-----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, I7sjwPUTAF+zM1KB3t1gB3trQp4uuq3WS6/OgAVx9t/fLNvHPk0CIBz98tfO4+aR EtL78wrc3DMr3vzZ8CASNw== 0001193125-04-151102.txt : 20040902 0001193125-04-151102.hdr.sgml : 20040902 20040902120053 ACCESSION NUMBER: 0001193125-04-151102 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20040630 FILED AS OF DATE: 20040902 DATE AS OF CHANGE: 20040902 EFFECTIVENESS DATE: 20040902 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT CENTRAL INDEX KEY: 0000742277 IRS NUMBER: 390509570 STATE OF INCORPORATION: WI FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-03989 FILM NUMBER: 041012903 BUSINESS ADDRESS: STREET 1: 720 E WISCONSIN AVE CITY: MILWAUKEE STATE: WI ZIP: 53202 BUSINESS PHONE: 4146652508 MAIL ADDRESS: STREET 1: 720 EAST WISCONSIN AVENUE CITY: MILWAUKEE STATE: WI ZIP: 53202 N-30D 1 dn30d.txt NML VARIABLE LIFE ACCOUNT SEMI ANNUAL REPORT Semi-Annual Report June 30, 2004 The Northwestern Mutual Life Insurance Company VariableLifeAccount June 30, 2004 Northwestern Mutual Series Fund, Inc., Fidelity VIP Mid Cap Portfolio and Russell Investment Funds The Northwestern Mutual Life Insurance Company 720 East Wisconsin Avenue Milwaukee, WI 53202 www.northwesternmutual.com (414) 271-1444 [LOGO] Northwestern Mutual(R) 90-1899 (0786) (REV 0704) Letter to Policyowners June 30, 2004 In the first six months of 2004, the economy as a whole continued to strengthen. Real GDP rose at an annual rate of 4.5% in the quarter ended March 31, 2004, then slowed to a 3% rate in the June 30 quarter. Although experience indicates that a strong stock market would be the norm when the economy is growing at this pace, the market was up only marginally for the first half of the year. For the six months ended June 30, 2004, the S&P 500 Index (a widely used benchmark of U.S. equity performance) had a total return of 2.60%. The S&P Small-Cap 600 had a total return of 9.59% for the six months, and the S&P MidCap 400 had a total return of 5.50%. Among industry sectors, the energy sector has been strongest, while the information technology sector has lagged the market over the past six months. For the past three years, the Federal Reserve has steadily reduced interest rates in an effort to stimulate economic growth. On June 30, 2004, the Fed reversed this pattern, raising its target for the Federal Funds rate by 25 basis points (equivalent to a quarter of a percentage point) from the lowest level in 46 years. This move had been widely anticipated, in part because of signs that inflation is increasing and also because of Fed communications in recent months. In anticipation of further tightening, bond yields have increased, and the yield curve (which depicts the relationship between short-term and long-term interest rates) has become decidedly steeper. Since bond prices move in the opposite direction of interest rates, returns on most bonds were negative in the first half of 2004. Much of the negative performance occurred in the second quarter of 2004, following signs of economic improvement (notably in the job market.) The stock market exhibited normal volatility during the first quarter of 2004, then traded in a much narrower range from April through June of 2004. This lack of volatility and relatively low volume might suggest widespread consensus as to the future direction of the economy. In fact, there are widely divergent viewpoints among economists, and many of these opinions are also supported by credible evidence. Further uncertainty is created by the ongoing conflict in Iraq and the upcoming presidential election. There are many reasons to regard the current economic recovery as part of a typical cyclical pattern. Consumer trends, particularly retail sales and housing, remain strong, and consumer confidence rose sharply in June of 2004. Although individuals' stock portfolios are still well below their peak in early 2000, much of the shortfall in consumer wealth has been made up by increasing equity in real estate, as home prices have risen. After a long period of weakness, employment is increasing: over a million new jobs were created in the first six months of 2004. Corporate balance sheets are in excellent condition, and earnings reports have been quite positive in recent months. Business spending for capital goods is increasing, driven by strong demand, positive corporate cash flow, and tax policies that encourage investment. But there are also negatives. Encouraged by low interest rates and readily available credit, consumers have taken on high levels of debt. This consumer debt, much of it at floating rates, will become more burdensome as interest rates rise. While overall inflation remains relatively modest, prices of essentials such as food, energy and health care are rising, and these cost increases could further strain consumers. There are concerns about the rising federal budget deficit and the loss of jobs to lower-wage countries such as China and India. The Federal Reserve's maintenance of very low interest rates more than two years into a recovery indicates their concern about the fragility of the economy. Investing in capital markets always involves making judgments in the face of economic and business uncertainties. We believe that it will be many months before the questions that are affecting the markets are fully resolved, and that means a particularly challenging environment for investors. If economic strength prevails, investors should benefit from holding equities. If a more negative scenario develops, less risky investments should fare better. For many investors, a well-diversified portfolio of funds should provide the best long-term solution. As you evaluate your own portfolio and its suitability for your situation and objectives, we urge you to take advantage of the considerable expertise available through the Northwestern Mutual Financial Network. As always, we are committed to helping our clients plan and invest to meet their goals. [PHOTO] Mark G. Doll [PHOTO] Edward J. Zore /s/ Edward J. Zore /s/ Mark G. Doll Edward J. Zore Mark G. Doll President and Chief Senior Vice President Executive Officer Investments The Northwestern Mutual Life Insurance Company [GRAPHIC] Northwestern Mutual(R) i Contents Performance Summary for the Northwestern Mutual Variable Life Account Northwestern Mutual Series Fund, Inc. - Semi-Annual Report Fidelity VIP Mid Cap Portfolio - Semi-Annual Report (This report follows the end of the Northwestern Mutual Series Fund, Inc.) Russell Investment Funds - Semi-Annual Report (This report follows the end of the Fidelity VIP Mid Cap Portfolio.) Northwestern Mutual Variable Life Account Financial Statements How To Get More Information Northwestern Mutual Express: 1-800-519-4665 Get up-to-date information about your Variable CompLife policy at your convenience with your policy number and your Personal Identification Number (PIN). Call toll-free to review policy values, fund performance information, and request a change to the allocations of your existing assets or future premiums/dividends. Information on the Internet: Northwestern Mutual Financial Network WWW.NMFN.COM To obtain current performance information and information about Northwestern Mutual, visit us on our website. You can also visit us at our customer service section from our Web site for information on Policy values and current fund performance. This site also allows you to view past confirmation and policy statements, as well as transfer funds online. To sign up for this service please call 1-866-424-2609 between 7 a.m. - 6 p.m. Central Time Monday - Friday. As always, your Investment Services representative of the Northwestern Mutual Financial Network is available to answer any questions you have about your variable life insurance policy or any of our products. For Variable Executive Life and Variable Joint Life inforce policy service questions please call 1-866-464-3800 between 7:30 a.m. - 6 p.m. Central Time Monday - Friday. iii Performance Summary as of June 30, 2004 VARIABLE LIFE -- Policies Issued Before October 11, 1995
Franklin T. Rowe Templeton AllianceBernstein Small Cap Price Small Aggressive International International Mid Cap Index 400 Total return(j) Growth Stock Cap Value Growth Stock Growth Equity Value Stock (as of 06/30/04) Division Division Division Division Division Division Division - ---------------------------------------------------------------------------------------------------------------------- 1 year.............. 29.52% 30.92% 21.63% 29.39% 31.68% 30.28% 26.53% 5 years............. 80.50% -- 12.65% -- 9.63% -- 46.98% Annualized......... 12.54% -- 2.41% -- 1.86% -- 8.01% 10 years............ -- -- 162.38% -- 97.80% -- -- Annualized......... -- -- 10.13% -- 7.06% -- -- Since division inception in Variable Life Account............ 80.50%(b) 41.43%(c) -- 13.73%(c) -- 40.15%(d) 46.98%(b) Annualized......... 12.54% 12.63% -- 4.51% -- 33.63% 8.01% Since portfolio inception(a)....... 117.97%(b) -- -- -- -- -- 54.88%(b) Annualized......... 16.28% -- -- -- -- -- 8.84% Current Yield(h).... VARIABLE COMPLIFE -- Policies Issued On or After October 11, 1995** - ---------------------------------------------------------------------------------------------------------------------- 1 year.............. 29.65% 31.05% 21.75% 29.52% 31.81% 30.41% 26.66% 5 years............. 81.41% -- 13.22% -- 10.19% -- 47.72% Annualized......... 12.65% -- 2.51% -- 1.96% -- 8.12% 10 years............ -- -- 165.06% -- 99.82% -- -- Annualized......... -- -- 10.24% -- 7.17% -- -- Since division inception in Variable Life Account............ 81.41%(b) 41.85%(c) -- 14.06%(c) -- 40.31%(d) 47.72%(b) Annualized......... 12.65% 12.74% -- 4.62% -- 33.76% 8.12% Since portfolio inception(a)....... 119.11%(b) -- -- -- -- -- 55.69%(b) Annualized......... 16.39% -- -- -- -- -- 8.95% Current Yield(h)....
All total return figures shown above reflect the deduction of portfolio expenses, as well as mortality and expense risk charges for each product. Returns do not reflect deductions such as sales charges or premium taxes, administrative charges, surrender charges or cost of insurance charges. These deductions would significantly impact the returns if they were included. Performance data quoted represents past results and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that, when redeemed, it may be worth more or less than the original cost. Current performance may be lower or higher than the performance data quoted. Performance for other separate accounts will differ. (a)Returns stated are as of the inception date of the portfolio which precedes availability in the Variable Life Account. See the following footnotes for portfolio inception dates. (b)Inception date of this division in the Variable Life Account was 6/30/99. Actual fund inception was 4/30/99. Performance quoted prior to 6/30/99 is based on actual investment experience, adjusted for expenses of the product and premium charges. (c)Inception date of 7/31/01. (d)Inception date of 5/1/03. (e)Inception date of this division in the Variable Life Account was 5/1/03. Actual fund inception was 12/28/98. Performance quoted prior to 5/1/03 is based on actual investment experience, adjusted for expenses of the product and premium charges. (f)Inception date of this division in the Variable Life Account was 6/30/99. Actual fund inception was 1/2/97. Performance quoted prior to 6/30/99 is based on actual investment experience, adjusted for expenses of the product and premium charges. (h)For the seven-day period ended June 30,2004, the Money Market Portfolio's yield was 1.24% and was equivalent to a compound effective yield of 1.24%. 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. (j)Returns shown include any fee waivers in effect and deductions for all Fund expenses. In the absence of fee waivers, total return would be reduced. ** Product inception date of 10/11/95. Returns prior to 10/11/95 were reflected using the actual investment experience of each division, adjusted for the expenses of the product and premium charges. ***Product inception date of 3/2/98. (For use with non-tax qualified executive benefit plans.) Returns prior to 3/2/98 were reflected using the actual investment experience of each division adjusted for expenses of the product and premium charges. ****Product inception date of December 28, 1998 (For use primarily in estate planning, provides coverage on two insureds with a death benefit payable on the second death). Returns prior to 12/28/98 were reflected using the actual investment experience of each division adjusted for expenses of the product and premium charges. iv
Capital T. Rowe Janus Guardian Price Capital Growth Large Cap Domestic Equity Index 500 Asset High Yield Select Appreciation Stock Core Stock Equity Income Stock Allocation Balanced Bond Bond Division Division Division Division Division Division Division Division Division Division - ---------------------------------------------------------------------------------------------------------- 19.56% 12.17% 13.86% 22.66% 18.93% 18.03% 12.19% 8.84% 13.00% (1.11%) -- (15.87%) (27.13%) -- -- (13.57%) -- 8.00% 23.43% 38.22% -- (3.40%) (6.13%) -- -- (2.87%) -- 1.55% 4.30% 6.69% -- 143.10% 100.84% -- -- 184.22% -- 137.83% 94.25% 93.32% -- 9.29% 7.22% -- -- 11.01% -- 9.05% 6.87% 6.81% 25.39%(d) -- -- 6.41%(c) 28.18%(d) -- 5.99%(c) -- -- -- 21.45% -- -- 2.16% 23.77% -- 2.01% -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- - ---------------------------------------------------------------------------------------------------------- 19.68% 12.29% 13.97% 22.78% 19.05% 18.15% 12.30% 8.95% 13.12% (1.01%) -- (15.45%) (26.76%) -- -- (13.13%) -- 8.55% 24.05% 38.92% -- (3.30%) (6.04%) -- -- (2.78%) -- 1.65% 4.41% 6.80% -- 145.58% 102.89% -- -- 187.12% -- 140.26% 96.23% 95.29% -- 9.40% 7.33% -- -- 11.12% -- 9.16% 6.97% 6.92% 25.54%(d) -- -- 6.72%(c) 28.33%(d) -- 6.29%(c) -- -- -- 21.57% -- -- 2.26% 23.89% -- 2.12% -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
v Performance Summary, continued as of June 30, 2004 VARIABLE LIFE -- Policies Issued Before October 11, 1995
Russell Russell Russell Money Fidelity VIP Multi-Style Aggressive Russell Russell Real Estate Total return(j) Market Mid Cap Equity Equity Non-U.S. Core Bond Securities (as of 06/30/04) Division Division Division Division Division Division Division - ---------------------------------------------------------------------------------------------------------- 1 year.............. 0.42% 33.90% 17.90% 28.00% 31.40% 0.41% 28.43% 5 years............. 13.33% 113.88%(e) (22.53%) 20.90% (1.33%) 32.95% 89.66% Annualized......... 2.53% 16.42% (4.98%) 3.87% (0.27%) 5.86% 13.66% 10 years............ 42.00% -- -- -- -- -- -- Annualized......... 3.57% -- -- -- -- -- -- Since division inception in Variable Life Account............ -- 48.03%(e) (22.53%)(f) 20.90%(f) (1.33%)(f) 32.95%(f) 89.66%(b) Annualized......... -- 40.05% (4.98%) 3.87% (0.27%) 5.86% 13.66% Since portfolio inception(a)....... -- 150.85%(e) 41.22%(f) 63.75%(f) 17.58%(f) 52.23%(f) 86.60%(b) Annualized......... -- 18.19% 4.72% 6.81% 2.19% 5.77% 12.83% Current Yield(h).... 1.24% VARIABLE COMPLIFE -- Policies Issued On or After October 11, 1995** - ---------------------------------------------------------------------------------------------------------- 1 year.............. 0.52% 34.03% 17.31% 28.13% 31.53% 0.51% 28.55% 5 years............. 13.90% 114.97%(e) (22.14%) 21.51% (0.84%) 33.62% 90.62% Annualized......... 2.64% 16.54% (4.88%) 3.97% (0.17%) 5.97% 13.77% 10 years............ 43.45% -- -- -- -- -- Annualized......... 3.67% -- -- -- -- -- Since division inception in Variable Life Account............ -- 48.20%(e) (22.14%)(f) 21.51%(f) (0.84%)(f) 33.62%(f) 90.62%(b) Annualized......... -- 40.19% (4.88%) 3.97% (0.17%) 5.97% 13.77% Since portfolio inception(a)....... -- 152.26%(e) 42.29%(f) 65.00%(f) 18.47%(f) 53.39%(f) 87.57%(b) Annualized......... -- 18.31% 4.82% 6.91% 2.29% 5.88% 12.94% Current Yield(h).... 1.24%
All total return figures shown above reflect the deduction of portfolio expenses, as well as mortality and expense risk charges for each product. Returns do not reflect deductions such as sales charges or premium taxes, administrative charges, surrender charges or cost of insurance charges. These deductions would significantly impact the returns if they were included. Performance data quoted represents past results and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that, when redeemed, it may be worth more or less than the original cost. Current performance may be lower or higher than the performance data quoted. Performance for other separate accounts will differ. (a)Returns stated are as of the inception date of the portfolio which precedes availability in the Variable Life Account. See the following footnotes for portfolio inception dates. (b)Inception date of this division in the Variable Life Account was 6/30/99. Actual fund inception was 4/30/99. Performance quoted prior to 6/30/99 is based on actual investment experience, adjusted for expenses of the product and premium charges. (c)Inception date of 7/31/01. (d)Inception date of 5/1/03. (e)Inception date of this division in the Variable Life Account was 5/1/03. Actual fund inception was 12/28/98. Performance quoted prior to 5/1/03 is based on actual investment experience, adjusted for expenses of the product and premium charges. (f)Inception date of this division in the Variable Life Account was 6/30/99. Actual fund inception was 1/2/97. Performance quoted prior to 6/30/99 is based on actual investment experience, adjusted for expenses of the product and premium charges. (h)For the seven-day period ended June 30,2004, the Money Market Portfolio's yield was 1.24% and was equivalent to a compound effective yield of 1.24%. 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. (j)Returns shown include any fee waivers in effect and deductions for all Fund expenses. In the absence of fee waivers, total return would be reduced. ** Product inception date of 10/11/95. Returns prior to 10/11/95 were reflected using the actual investment experience of each division, adjusted for the expenses of the product and premium charges. ***Product inception date of 3/2/98. (For use with non-tax qualified executive benefit plans.) Returns prior to 3/2/98 were reflected using the actual investment experience of each division adjusted for expenses of the product and premium charges. ****Product inception date of December 28, 1998 (For use primarily in estate planning, provides coverage on two insureds with a death benefit payable on the second death). Returns prior to 12/28/98 were reflected using the actual investment experience of each division adjusted for expenses of the product and premium charges. vi Performance Summary, continued as of June 30, 2004 VARIABLE EXECUTIVE LIFE -- Policies First Offered on March 2, 1998***
Franklin T. Rowe Templeton AllianceBernstein Small Cap Price Small Aggressive International International Mid Cap Index 400 Total return(j) Growth Stock Cap Value Growth Stock Growth Equity Value Stock (as of 06/30/04) Division Division Division Division Division Division Division - ---------------------------------------------------------------------------------------------------------------------- 1 year.............. 30.43% 31.84% 22.48% 30.30% 32.60% 31.19% 27.42% 5 years............. 86.93% -- 16.66% -- 13.54% -- 52.22% Annualized......... 13.33% -- 3.13% -- 2.57% -- 8.77% 10 years............ -- -- 181.42% -- 112.15% -- -- Annualized......... -- -- 10.90% -- 7.81% -- -- Since division inception in Variable Life Account............ 86.93%(b) 44.34%(c) -- 16.07%(c) -- 41.29%(d) 52.22%(b) Annualized......... 13.33% 13.42% -- 5.24% -- 34.56% 8.77% Since portfolio inception(a)....... 125.99%(b) -- -- -- -- -- 60.59%(b) Annualized......... 17.09% -- -- -- -- -- 9.60% Current Yield(h).... VARIABLE JOINT LIFE -- Policies First Offered on December 28, 1998**** - ---------------------------------------------------------------------------------------------------------------------- 1 year.............. 30.43% 31.84% 22.48% 30.30% 32.60% 31.19% 27.42% 5 years............. 86.93% -- 16.66% -- 13.54% -- 52.22% Annualized......... 13.33% -- 3.13% -- 2.57% -- 8.77% 10 years............ -- -- 181.42% -- 112.15% -- -- Annualized......... -- -- 10.90% -- 7.81% -- -- Since division inception in Variable Life Account............ 86.93%(b) 44.34%(c) -- 16.07%(c) -- 41.29%(d) 52.22%(b) Annualized......... 13.33% 13.42% -- 5.24% -- 34.56% 8.77% Since portfolio inception(a)....... 125.99%(b) -- -- -- -- -- 60.59%(b) Annualized......... 17.09% -- -- -- -- -- 9.60% Current Yield(h)....
All total return figures shown above reflect the deduction of portfolio expenses, as well as mortality and expense risk charges for each product. Returns do not reflect deductions such as sales charges or premium taxes, administrative charges, surrender charges or cost of insurance charges. These deductions would significantly impact the returns if they were included. Performance data quoted represents past results and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that, when redeemed, it may be worth more or less than the original cost. Current performance may be lower or higher than the performance data quoted. Performance for other separate accounts will differ. (a)Returns stated are as of the inception date of the portfolio which precedes availability in the Variable Life Account. See the following footnotes for portfolio inception dates. (b)Inception date of this division in the Variable Life Account was 6/30/99. Actual fund inception was 4/30/99. Performance quoted prior to 6/30/99 is based on actual investment experience, adjusted for expenses of the product and premium charges. (c)Inception date of 7/31/01. (d)Inception date of 5/1/03. (e)Inception date of this division in the Variable Life Account was 5/1/03. Actual fund inception was 12/28/98. Performance quoted prior to 5/1/03 is based on actual investment experience, adjusted for expenses of the product and premium charges. (f)Inception date of this division in the Variable Life Account was 6/30/99. Actual fund inception was 1/2/97. Performance quoted prior to 6/30/99 is based on actual investment experience, adjusted for expenses of the product and premium charges. (h)For the seven-day period ended June 30, 2004, the Money Market Portfolio's yield was 1.24% and was equivalent to a compound effective yield of 1.24%. 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. (j)Returns shown include any fee waivers in effect and deductions for all Fund expenses. In the absence of fee waivers, total return would be reduced. ** Product inception date of 10/11/95. Returns prior to 10/11/95 were reflected using the actual investment experience of each division, adjusted for the expenses of the product and premium charges. ***Product inception date of 3/2/98. (For use with non-tax qualified executive benefit plans.) Returns prior to 3/2/98 were reflected using the actual investment experience of each division adjusted for expenses of the product and premium charges. ****Product inception date of December 28, 1998 (For use primarily in estate planning, provides coverage on two insureds with a death benefit payable on the second death). Returns prior to 12/28/98 were reflected using the actual investment experience of each division adjusted for expenses of the product and premium charges. vii Performance Summary, continued as of June 30, 2004 VARIABLE EXECUTIVE LIFE -- Policies First Offered on March 2, 1998***
Capital T. Rowe Janus Large Guardian Price Capital Growth Cap Core Domestic Equity Index 500 Asset Total return(j) Appreciation Stock Stock Equity Income Stock Allocation (as of 06/30/04) Division Division Division Division Division Division Division - ------------------------------------------------------------------------------------------------- 1 year.............. 20.40% 12.96% 14.65% 23.52% 19.77% 18.85% 12.97% 5 years............. -- (12.88%) (24.53%) -- -- (10.49%) -- Annualized......... -- (2.72%) (5.47%) -- -- (2.19%) -- 10 years............ -- 160.74% 115.41% -- -- 204.84% -- Annualized......... -- 10.06% 7.98% -- -- 11.79% -- Since division inception in Variable Life Account............ 26.42%(d) -- -- 8.60%(c) 29.23%(d) -- 8.17%(c) Annualized......... 22.30% -- -- 2.87% 24.63% -- 2.73% Since portfolio inception(a)....... -- -- -- -- -- -- -- Annualized......... -- -- -- -- -- -- -- Current Yield(h).... VARIABLE JOINT LIFE -- Policies First Offered on December 28, 1998**** - ------------------------------------------------------------------------------------------------- 1 year.............. 20.40% 12.96% 14.65% 23.52% 19.77% 18.85% 12.97% 5 years............. -- (12.88%) (24.53%) -- -- (10.49%) -- Annualized......... -- (2.72%) (5.47%) -- -- (2.19%) -- 10 years............ -- 160.74% 115.41% -- -- 204.84% -- Annualized......... -- 10.06% 7.98% -- -- 11.79% -- Since division inception in Variable Life Account............ 26.42%(d) -- -- 8.60%(c) 29.23%(d) -- 8.17%(c) Annualized......... 22.30% -- -- 2.87% 24.63% -- 2.73% Since portfolio inception(a)....... -- -- -- -- -- -- -- Annualized......... -- -- -- -- -- -- -- Current Yield(h)....
All total return figures shown above reflect the deduction of portfolio expenses, as well as mortality and expense risk charges for each product. Returns do not reflect deductions such as sales charges or premium taxes, administrative charges, surrender charges or cost of insurance charges. These deductions would significantly impact the returns if they were included. Performance data quoted represents past results and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that, when redeemed, it may be worth more or less than the original cost. Current performance may be lower or higher than the performance data quoted. Performance for other separate accounts will differ. (a)Returns stated are as of the inception date of the portfolio which precedes availability in the Variable Life Account. See the following footnotes for portfolio inception dates. (b)Inception date of this division in the Variable Life Account was 6/30/99. Actual fund inception was 4/30/99. Performance quoted prior to 6/30/99 is based on actual investment experience, adjusted for expenses of the product and premium charges. (c)Inception date of 7/31/01. (d)Inception date of 5/1/03. (e)Inception date of this division in the Variable Life Account was 5/1/03. Actual fund inception was 12/28/98. Performance quoted prior to 5/1/03 is based on actual investment experience, adjusted for expenses of the product and premium charges. (f)Inception date of this division in the Variable Life Account was 6/30/99. Actual fund inception was 1/2/97. Performance quoted prior to 6/30/99 is based on actual investment experience, adjusted for expenses of the product and premium charges. (h)For the seven-day period ended June 30,2004, the Money Market Portfolio's yield was 1.24% and was equivalent to a compound effective yield of 1.24%. 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. (j)Returns shown include any fee waivers in effect and deductions for all Fund expenses. In the absence of fee waivers, total return would be reduced. ** Product inception date of 10/11/95. Returns prior to 10/11/95 were reflected using the actual investment experience of each division, adjusted for the expenses of the product and premium charges. ***Product inception date of 3/2/98. (For use with non-tax qualified executive benefit plans.) Returns prior to 3/2/98 were reflected using the actual investment experience of each division adjusted for expenses of the product and premium charges. ****Product inception date of December 28, 1998 (For use primarily in estate planning, provides coverage on two insureds with a death benefit payable on the second death). Returns prior to 12/28/98 were reflected using the actual investment experience of each division adjusted for expenses of the product and premium charges. viii
Russell Russell Russell High Yield Select Fidelity VIP Multi-Style Aggressive Russell Russell Real Estate Balanced Bond Bond Money Market Mid Cap Equity Equity Non-U.S. Core Bond Securities Division Division Division Division Division Division Division Division Division Division - ---------------------------------------------------------------------------------------------------------------------- 9.60% 13.79% (0.41%) 1.12% 34.84% 18.01% 28.90% 32.32% 1.11% 29.33% 11.85% 27.83% 43.14% 17.36% 121.51%(e) (19.77%) 25.21% 2.18% 37.68% 96.41% 2.26% 5.03% 7.44% 3.25% 17.24% (4.31%) 4.60% 0.43% 6.60% 14.45% 155.08% 108.33% 107.34% 52.29% -- -- -- -- -- -- 9.82% 7.62% 7.56% 4.30% -- -- -- -- -- -- -- -- -- -- 49.24%(e) (19.77%)(f) 25.21%(f) 2.18%(f) 37.68%(f) 96.41%(b) -- -- -- -- 41.04% (4.31%) 4.60% 0.43% 6.60% 14.45% -- -- -- -- 160.71%(e) 48.82%(f) 72.57%(f) 23.91%(f) 60.42%(f) 93.47%(b) -- -- -- -- 19.02% 5.45% 7.56% 2.90% 6.51% 13.62% 1.24% - ---------------------------------------------------------------------------------------------------------------------- 9.60% 13.79% (0.41%) 1.12% 34.84% 18.01% 28.90% 32.32% 1.11% 29.33% 11.85% 27.83% 43.14% 17.36% 121.51%(e) (19.77%) 25.21% 2.18% 37.68% 96.41% 2.26% 5.03% 7.44% 3.25% 17.24% (4.31%) 4.60% 0.43% 6.60% 14.45% 155.08% 108.33% 107.34% 52.29% -- -- -- -- -- -- 9.82% 7.62% 7.56% 4.30% -- -- -- -- -- -- -- -- -- -- 49.24%(e) (19.77%)(f) 25.21%(f) 2.18%(f) 37.68%(f) 96.41%(b) -- -- -- -- 41.04% (4.31%) 4.60% 0.43% 6.60% 14.45% -- -- -- -- 160.71%(e) 48.82%(f) 72.57%(f) 23.91%(f) 60.42%(f) 93.47%(b) -- -- -- -- 19.02% 5.45% 7.56% 2.90% 6.51% 13.62% 1.24%
ix [GRAPHIC] Semi-Annual Report June 30, 2004 [LOGO] Northwestern Mutual(R) --------------------------------------------------------- Northwestern Mutual Series Fund, Inc. A Series Fund Offering Eighteen Portfolios . Small Cap Growth Stock Portfolio . T. Rowe Price Small Cap Value Portfolio . Aggressive Growth Stock Portfolio . International Growth Portfolio . Franklin Templeton International Equity Portfolio . AllianceBernstein Mid Cap Value Portfolio . Index 400 Stock Portfolio . Janus Capital Appreciation Portfolio . Growth Stock Portfolio . Large Cap Core Stock Portfolio . Capital Guardian Domestic Equity Portfolio . T. Rowe Price Equity Income Portfolio . Index 500 Stock Portfolio . Asset Allocation Portfolio . Balanced Portfolio . High Yield Bond Portfolio . Select Bond Portfolio . Money Market Portfolio Northwestern Mutual Series Fund, Inc. Table of Contents Series Fund Objectives and Schedules of Investments Small Cap Growth Stock Portfolio................... 1 T. Rowe Price Small Cap Value Portfolio............ 3 Aggressive Growth Stock Portfolio.................. 6 International Growth Portfolio..................... 8 Franklin Templeton International Equity Portfolio.. 11 AllianceBernstein Mid Cap Value Portfolio.......... 13 Index 400 Stock Portfolio.......................... 15 Janus Capital Appreciation Portfolio............... 20 Growth Stock Portfolio............................. 21 Large Cap Core Stock Portfolio..................... 23 Capital Guardian Domestic Equity Portfolio......... 25 T. Rowe Price Equity Income Portfolio.............. 27 Index 500 Stock Portfolio.......................... 29 Asset Allocation Portfolio......................... 35 Balanced Portfolio................................. 46 High Yield Bond Portfolio.......................... 57 Select Bond Portfolio.............................. 62 Money Market Portfolio............................. 68 Statements of Assets and Liabilities................... 70 Statements of Operations............................... 72 Statement of Changes in Net Assets..................... 74 Financial Highlights................................... 83 Notes to Series Fund Financial Statements.............. 92
Small Cap Growth Stock Portfolio Northwestern Mutual Series Funds Schedule of Investments June 30, 2004 (unaudited)
Shares/ Value Common Stocks (95.9%) $ Par $ (000) ------------------------------------------------------- Consumer Discretionary (22.7%) Aaron Rents, Inc. 238,195 7,893 *AnnTaylor Stores Corp. 244,650 7,090 *Coach, Inc. 90,100 4,072 *Cumulus Media, Inc. -- Class A 116,300 1,955 *Digital Theater Systems, Inc. 140,300 3,669 *Getty Images, Inc. 86,650 5,199 *Guitar Center, Inc. 156,000 6,937 *Multimedia Games, Inc. 319,800 8,576 *O'Reilly Automotive, Inc. 165,100 7,463 *Orbitz, Inc. -- Class A 54,800 1,185 Orient-Express Hotel, Ltd. -- Class A 381,750 6,467 *Pinnacle Entertainment, Inc. 311,100 3,923 Polaris Industries, Inc. 96,400 4,627 *Sharper Image Corp. 135,300 4,247 *The Sports Authority, Inc. 52,000 1,867 Station Casinos, Inc. 106,250 5,143 Thor Industries, Inc. 189,200 6,331 *WMS Industries, Inc. 179,900 5,361 ------ Total 92,005 ------ Consumer Staples (2.9%) *Peet's Coffee & Tea, Inc. 190,100 4,751 *United Natural Foods, Inc. 206,600 5,972 *Wild Oats Markets, Inc. 86,500 1,217 ------ Total 11,940 ------ Energy (5.9%) *FMC Technologies, Inc. 178,700 5,147 *Grant Prideco, Inc. 347,700 6,418 *National-Oilwell, Inc. 196,950 6,202 Patterson-UTI Energy, Inc. 183,500 6,131 ------ Total 23,898 ------ Financials (4.3%) BankAtlantic Bancorp, Inc. -- Class A 120,000 2,214 Boston Private Financial Holdings, Inc. 85,200 1,973 Investors Financial Services Corp. 127,550 5,558 National Financial Partners, Corp. 154,400 5,446 *Silicon Valley Bancshares 61,100 2,423 ------ Total 17,614 ------ Health Care (19.3%) *AmSurg Corp. 226,300 5,687 *Bio-Rad Laboratories, Inc. -- Class A 35,000 2,060 *Bradley Pharmaceuticals, Inc. 134,400 3,750 *Cerner Corp. 106,100 4,730 *Endocardial Solutions, Inc. 205,100 2,123 *Inveresk Research Group, Inc. 141,000 4,348 *Kyphon, Inc. 179,300 5,053 *Nabi Biopharmaceuticals 108,300 1,540 *Patterson Dental Co. 56,700 4,337 *Pediatrix Medical Group, Inc. 67,700 4,729 *Providence Service Corp. 178,500 3,354 *Psychiatric Solutions, Inc. 218,600 5,450
Shares/ Value Common Stocks (95.9%) $ Par $ (000) ---------------------------------------------------------- Health Care continued *Radiation Therapy Services, Inc. 80,000 1,136 *Renal Care Group, Inc. 119,100 3,946 *ResMed, Inc. 150,100 7,648 *Salix Pharmaceuticals, Ltd. 60,300 1,987 Select Medical Corp. 189,000 2,536 *Ventana Medical Systems, Inc. 133,300 6,336 *VistaCare -- Class A 105,600 1,959 *Wright Medical Group, Inc. 163,900 5,835 ------ Total 78,544 ------ Industrials (16.2%) C.H. Robinson Worldwide, Inc. 157,650 7,227 The Corporate Executive Board Co. 142,000 8,205 *Corrections Corp. of America 159,450 6,297 *Education Management Corp. 96,900 3,184 *Forward Air Corp. 118,900 4,447 *Intersections, Inc. 127,300 3,054 *Knight Transportation, Inc. 220,352 6,331 *Marlin Business Services, Inc. 258,600 3,887 MSC Industrial Direct Co., Inc. -- Class A 221,600 7,277 *Pacer International, Inc. 176,850 3,272 *Resources Connection, Inc. 114,700 4,486 *School Specialty, Inc. 138,300 5,022 Strayer Education, Inc. 27,000 3,012 ------ Total 65,701 ------ Information Technology (18.4%) *Amphenol Corp. -- Class A 190,600 6,351 *Brooks Automation, Inc. 184,408 3,716 *Cognizant Technology Solutions Corp. 242,200 6,154 *Cree, Inc. 157,800 3,674 *Digital Insight Corp. 179,600 3,723 *Digital River, Inc. 60,700 1,981 *Electronics for Imaging, Inc. 230,300 6,507 *Entegris, Inc. 332,700 3,849 *Euronet Worldwide, Inc. 201,200 4,654 *Genesis Microchip, Inc. 224,300 3,089 *Hyperion Solutions Corp. 101,950 4,457 *Inforte Corp. 296,300 2,992 *MKS Instruments, Inc. 161,250 3,680 *NETGEAR, Inc. 164,500 1,767 *O2Micro International, Ltd. 182,650 3,111 *Plexus Corp. 115,000 1,553 *Tollgrade Communications, Inc. 351,550 3,733 *Varian, Inc. 65,050 2,742 *Verint Systems, Inc. 148,800 5,092 *Westell Technologies, Inc. -- Class A 334,800 1,707 ------ Total 74,532 ------ Materials (4.3%) Airgas, Inc. 307,650 7,355 Minerals Technologies, Inc. 103,200 5,986 Silgan Holdings, Inc. 101,700 4,100 ------ Total 17,441 ------
Small Cap Growth Stock Portfolio 1 Small Cap Growth Stock Portfolio
Shares/ Value Common Stocks (95.9%) $ Par $ (000) -------------------------------------------------------- Other Holdings (1.9%) iShares Russell 2000 Index Fund 66,200 7,804 ------- Total 7,804 ------- Total Common Stocks (Cost: $329,615) 389,479 ------- Money Market Investments (4.3%) -------------------------------------------------------- Agricultural Services (0.8%) Cargill, Inc., 1.44%, 7/1/04 3,100,000 3,100 ------- Total 3,100 ------- Federal Government & Agencies (1.1%) Federal Home Loan Bank, 1.055%, 7/16/04 4,500,000 4,498 ------- Total 4,498 ------- Finance Lessors (1.2%) Receivable Capital Trust, 1.30%, 7/27/2004 5,000,000 4,995 ------- Total 4,995 ------- Short Term Business Credit (1.2%) (b)Sheffield Receivables, 1.24%, 7/20/04 5,000,000 4,997 ------- Total 4,997 ------- Total Money Market Investments (Cost: $17,590) 17,590 ------- Total Investments (100.2%) (Cost $347,205)(a) 407,069 ------- Other Assets, Less Liabilities (-0.2%) (938) ------- Total Net Assets (100.0%) 406,131 -------
* Non-Income Producing (a)At June 30, 2004 the aggregate cost of securities for federal tax purposes was $347,205 and the net unrealized appreciation of investments based on that cost was $59,864 which is comprised of $71,987 aggregate gross unrealized appreciations and $12,123 aggregate gross unrealized depreciation. (b)All or a portion of the securities have been committed as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.
Unrealized Appreciation/ Number of Expiration Depreciation Issuer (000's) Contracts Date (000's) -------------------------------------------------------- Russell 2000 Index Futures 16 9/04 $40 (Total Notional Value at June 30, 2004, $4,699 )
The Accompanying Notes are an Integral Part of the Financial Statements 2 Small Cap Growth Stock Portfolio T. Rowe Price Small Cap Value Portfolio Northwestern Mutual Series Fund, Inc. Schedule of Investments June 30, 2004 (unaudited)
Shares/ Value Common Stocks (96.7%) $ Par $ (000) --------------------------------------------------------- Consumer Discretionary (17.1%) Aaron Rents, Inc. 72,700 2,409 Aaron Rents, Inc. -- Class A 3,150 95 Abercrombie & Fitch Co. -- Class A 4,900 190 *Big Lots, Inc. 12,600 182 *Cablevision Systems Corp. 18,500 364 *Cox Radio Inc. -- Class A 7,600 132 CSS Industries, Inc. 32,500 1,139 *Culp, Inc. 30,400 237 Dillard's, Inc. -- Class A 10,800 241 Dow Jones & Co., Inc. 7,500 338 Eastman Kodak Co. 2,000 54 *Entercom Communications Corp. -- Class A 10,700 399 Family Dollar Stores, Inc. 11,300 344 Fred's, Inc. 54,050 1,194 The Gap, Inc. 4,200 102 Hancock Fabrics, Inc. 43,400 553 Haverty Furniture Companies, Inc. 74,500 1,302 *Journal Register Co. 47,900 958 *Lamar Advertising Co. -- Class A 1,900 82 Matthews International Corp. -- Class A 60,400 1,990 Meredith Corp. 3,400 187 The New York Times Co. -- Class A 4,900 219 Newell Rubbermaid, Inc. 13,900 327 Pearson PLC-Sponsored ADR 30,000 374 *RARE Hospitality International, Inc. 61,650 1,535 Reuters Group PLC-Spons ADR 7,700 314 Ruby Tuesday, Inc. 92,300 2,533 *Saga Communications, Inc. -- Class A 64,500 1,177 *Scholastic Corp. 9,900 297 SCP Pool Corp. 34,950 1,573 Sinclair Broadcast Group, Inc. -- Class A 18,200 187 Skyline Corp. 22,900 931 Stanley Furniture Co., Inc. 22,000 926 *Stein Mart, Inc. 104,420 1,698 *TBC Corp. 57,200 1,361 *Unifi, Inc. 114,400 335 The Washington Post Co. -- Class B 249 232 ------ Total 26,511 ------ Consumer Staples (1.6%) Archer-Daniels-Midland Co. 6,800 114 Campbell Soup Co. 11,800 317 Casey's General Stores, Inc. 65,300 1,195 Costco Wholesale Corp. 3,300 136 H.J. Heinz Co. 7,000 274 *Wild Oats Markets, Inc. 37,100 522 ------ Total 2,558 ------ Energy (7.7%) *Atwood Oceanics, Inc. 18,300 764 Baker Hughes, Inc. 1,900 72 CARBO Ceramics, Inc. 18,500 1,263
Shares/ Value Common Stocks (96.7%) $ Par $ (000) ---------------------------------------------------- Energy continued *Cooper Cameron Corp. 6,600 321 Diamond Offshore Drilling, Inc. 31,600 753 *Forest Oil Corp. 54,250 1,482 *Grant Prideco, Inc. 24,700 456 *Hanover Compressor Co. 20,500 244 *Key Energy Services, Inc. 5,100 48 *Lone Star Technologies, Inc. 23,100 637 *Magnum Hunter Resources, Inc. 89,900 933 Murphy Oil Corp. 2,700 199 Penn Virginia Corp. 44,000 1,589 *Petroleum Geo-Services-ADR 3,200 129 *TETRA Technologies, Inc. 50,550 1,357 *Todco -- Class A 67,700 1,047 *W-H Energy Services, Inc. 32,100 629 ------ Total 11,923 ------ Financials (21.6%) Allied Capital Corp. 44,000 1,074 American Capital Strategies, Ltd. 20,800 583 Aon Corp. 3,400 97 Apartment Investment and Management Co. -- Class A 10,900 339 Bedford Property Investors, Inc. 34,700 1,015 Brown & Brown, Inc. 35,100 1,513 The Charles Schwab Corp. 35,200 338 Charter One Financial, Inc. 5,000 221 Citizens Banking Corp. 4,300 134 Commerce Bancshares, Inc. 3,530 162 *Conseco Inc. 12,000 239 East West Bancorp, Inc. 65,400 2,008 Equity Office Properties Trust 3,300 90 Federated Investors, Inc. -- Class B 4,100 124 First Financial Fund, Inc. 56,500 1,003 First Horizon National Corp. 5,400 246 First Republic Bank 44,300 1,908 *Genworth Financial, Inc. 17,700 406 Glenborough Realty Trust, Inc. 26,700 490 Huntington Bancshares, Inc. 16,500 378 Innkeepers USA Trust 66,400 685 Janus Capital Group, Inc. 16,300 269 Kilroy Realty Corp. 42,100 1,436 LaBranche & Co., Inc. 19,800 167 Lasalle Hotel Properties 41,300 1,008 Loews Corp. 3,300 198 *Markel Corp. 4,400 1,221 Midland Co. 27,300 809 National Commerce Financial Corp. 6,700 218 Northern Trust Corp. 7,800 330 *Ohio Casualty Corp. 13,000 262 *ProAssurance Corp. 55,900 1,907 Protective Life Corp. 4,200 162 Radian Group, Inc. 6,600 316 Reckson Associates Realty Corp. 4,000 110 SAFECO Corp. 9,400 414
T. Rowe Price Small Cap Value Portfolio 3 T. Rowe Price Small Cap Value Portfolio
Shares/ Value Common Stocks (96.7%) $ Par $ (000) ---------------------------------------------------------- Financials continued Scottish Annuity & Life Holdings, Ltd. 36,100 839 *Silicon Valley Bancshares 51,200 2,030 The St. Paul Travelers Companies, Inc. 12,030 488 Sun Communities, Inc. 32,300 1,216 Synovus Financial Corp. 14,100 357 TCF Financial Corp. 5,400 313 Texas Regional Bancshares, Inc. -- Class A 59,300 2,722 *Triad Guaranty, Inc. 32,000 1,862 Union Planters Corp. 8,800 262 UnumProvident Corp. 18,700 297 Washington Real Estate Trust 29,800 876 XL Capital, Ltd. -- Class A 3,300 249 ------ Total 33,391 ------ Health Care (5.8%) AmerisourceBergen Corp. 5,500 329 Analogic Corp. 10,300 437 *Andrx Corp. 2,400 67 Arrow International, Inc. 18,530 554 *Barr Laboratories, Inc. 4,000 135 *Bone Care International, Inc. 50,500 1,183 *Diversa Corp. 76,200 772 *Exelixis Inc. 65,500 661 *HEALTHSOUTH Corp. 46,200 275 *Human Genome Sciences, Inc. 5,700 66 *King Pharmaceuticals, Inc. 23,100 264 *Laboratory Corp. of America Holdings 1,300 52 *Lexicon Genetics Inc. 92,500 725 *Lincare Holdings, Inc. 10,400 342 *MedImmune, Inc. 17,800 417 *Neighborcare, Inc. 13,900 435 Owens & Minor, Inc. 65,300 1,691 *Tenet Healthcare Corp. 30,200 405 Valeant Pharmaceuticals International Co. 3,800 76 *Vertex Pharmaceuticals, Inc. 10,900 118 ------ Total 9,004 ------ Industrials (18.5%) Ameron International Corp. 18,500 631 C&D Technologies, Inc. 43,400 774 *Casella Waste Systems, Inc. -- Class A 76,100 1,001 CNF, Inc. 800 33 CSX Corp. 11,500 377 *Dollar Thrifty Automotive Group, Inc. 39,000 1,070 EDO Corp. 28,700 692 Electro Rent Corp. 71,000 743 ElkCorp 30,800 737 Equifax, Inc. 12,600 312 Franklin Electric Co., Inc. 48,600 1,836 *FTI Consulting, Inc. 35,400 584 G & K Services, Inc. -- Class A 32,500 1,306 *Genesee & Wyoming, Inc. 25,800 611 Herman Miller, Inc. 9,600 278 *Hewitt Associates, Inc. 2,600 72 IDEX Corp. 39,800 1,367 *Insituform Technologies, Inc. -- Class A 62,300 1,014 JLG Industries, Inc. 79,800 1,108 *Kirby Corp. 36,100 1,404
Shares/ Value Common Stocks (96.7%) $ Par $ (000) ---------------------------------------------------- Industrials continued *Landstar System, Inc. 65,500 3,464 Manpower, Inc. 5,700 289 McGrath Rentcorp 31,000 1,145 Nordson Corp. 37,700 1,635 Raytheon Co. 9,900 354 Rockwell Collins, Inc. 7,000 233 The ServiceMaster Co. 14,700 181 Southwest Airlines Co. 23,800 399 Thomas Industries, Inc. 38,400 1,275 Union Pacific Corp. 5,300 315 UTI Worldwide, Inc. 27,040 1,425 Viad Corp. 14,948 404 *Waste Connections, Inc. 27,900 828 *Weight Watchers Intl., Inc. 2,600 102 Woodward Governor Co. 11,400 822 ------ Total 28,821 ------ Information Technology (10.5%) *ATMI, Inc. 30,100 822 AVX Corp. 15,800 228 *Bearingpoint, Inc. 35,600 316 *The BISYS Group, Inc. 23,500 330 *BMC Software, Inc. 20,700 383 *Cable Design Technologies Corp. 107,600 1,141 *Cadence Design Systems, Inc. 20,900 306 *Ceridian Corp. 11,600 261 *Exar Corp. 53,800 789 *Ingram Micro, Inc. -- Class A 10,500 152 *Intuit, Inc. 4,400 170 Landauer, Inc. 16,500 737 *Littelfuse, Inc. 35,000 1,484 Methode Electronics, Inc. -- Class A 37,100 481 Molex, Inc. -- Class A 13,300 363 *MPS Group, Inc. 122,200 1,481 *Mykrolis Corp. 70,600 1,230 *Netegrity, Inc. 52,300 442 *Network Associates, Inc. 16,200 294 *Novellus Systems, Inc. 11,100 349 *Packeteer, Inc. 79,100 1,277 *Progress Software Corp. 51,700 1,120 *SPSS, Inc. 45,625 820 *Tellabs, Inc. 15,100 132 *Websense, Inc. 33,200 1,236 ------ Total 16,344 ------ Materials (9.3%) Agrium, Inc. 3,800 55 Airgas, Inc. 50,700 1,212 AptarGroup, Inc. 32,250 1,409 Arch Chemicals, Inc. 37,500 1,081 Bowater, Inc. 7,500 312 Carpenter Technology Corp. 28,900 984 Chesapeake Corp. 16,200 432 Deltic Timber Corp. 28,300 1,087 Domtar, Inc. 13,200 171 Florida Rock Industries, Inc. 28,225 1,190 Gibraltar Steel Corp. 39,651 1,301 Great Lakes Chemical Corp. 8,900 241
4 T. Rowe Price Small Cap Value Portfolio T. Rowe Price Small Cap Value Portfolio
Shares/ Value Common Stocks (96.7%) $ Par $ (000) --------------------------------------------------------- Materials continued Harmony Gold Mining Co.-Sponsored ADR 15,100 160 IMC Global, Inc. 8,500 114 MacDermid, Inc. 20,500 694 MeadWestvaco Corp. 12,700 373 *Meridian Gold, Inc. 62,200 807 Myers Industries, Inc. 37,225 525 Nucor Corp. 600 46 Potash Corp. of Saskatchewan, Inc. 1,750 170 Potlatch Corp. 4,100 171 *Symyx Technologies, Inc. 27,500 663 Wausau-Mosinee Paper Corp. 75,100 1,299 ------- Total 14,497 ------- Telecommunication Services (0.6%) AT&T Corp. 12,500 183 *Crown Castle International Corp. 12,900 190 *Qwest Communications International, Inc. 91,700 329 Telephone and Data Systems, Inc. 4,100 292 ------- Total 994 ------- Utilities (4.0%) Black Hills Corp. 34,100 1,075 Cleco Corp. 36,900 663 *CMS Energy Corp. 11,100 101 Duke Energy Corp. 17,400 353 *Dynegy, Inc. -- Class A 56,000 239 *El Paso Electric Co. 54,700 846 FirstEnergy Corp. 6,800 254 NiSource, Inc. 18,200 375 *NRG Energy, Inc.-W/I 15,300 379 Otter Tail Corp. 20,900 561 Pinnacle West Capital Corp. 5,000 202 TECO Energy, Inc. 26,800 321 Unisource Energy Corp. 2,700 67 Vectren Corp. 28,400 713 Xcel Energy, Inc. 5,100 84 ------- Total 6,233 ------- Total Common Stocks (Cost: $118,488) 150,276 -------
Shares/ Value Investment Grade Bonds (0.0%) $ Par $ (000) -------------------------------------------------------- Radiotelephone Communications (0.0%) US Cellular Corp., 0.00%, 6/15/15 45,000 23 ------- Total 23 ------- Utilities (0.0%) Xcel Energy Inc., 7.50%, 11/21/07 144A 2,000 3 ------- Total 3 ------- Total Investment Grade Bonds (Cost: $27) 26 ------- Money Market Investments (3.2%) -------------------------------------------------------- Other Holdings (3.2%) Reserve Investment Fund 5,006,065 5,006 ------- Total Money Market Investments (Cost: $5,006) 5,006 ------- Total Investments (99.9%) (Cost $123,521)(a) 155,308 ------- Other Assets, Less Liabilities (0.1%) 107 ------- Total Net Assets (100.0%) 155,415 -------
* Non-Income Producing ADR -- American Depository Receipt (a)At June 30, 2004 the aggregate cost of securities for federal tax purposes was $123,521 and the net unrealized appreciation of investments based on that cost was $31,787 which is comprised of $33,881 aggregate gross unrealized appreciations and $2,094 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements T. Rowe Price Small Cap Value Portfolio 5 Aggressive Growth Stock Portfolio Northwestern Mutual Series Funds Schedule of Investments June 30, 2004 (unaudited)
Shares/ Value Common Stocks (97.8%) $ Par $ (000) -------------------------------------------------- Consumer Discretionary (15.2%) *Cabela's, Inc. -- Class A 21,000 566 Circuit City Stores, Inc. 459,400 5,949 *Dick's Sporting Goods, Inc. 97,200 3,242 Fairmont Hotels & Resorts, Inc. 362,720 9,775 Garmin, Ltd. 350,700 12,990 Gentex Corp. 344,930 13,687 *Getty Images, Inc. 300,070 18,004 Jones Apparel Group, Inc. 423,700 16,728 *Lamar Advertising Co. -- Class A 374,625 16,240 *MGM MIRAGE 187,560 8,804 Michaels Stores, Inc. 280,700 15,439 *O'Reilly Automotive, Inc. 454,830 20,557 PETsMART, Inc. 308,600 10,014 *Pixar 65,800 4,574 The Talbots, Inc. 327,400 12,818 *Tempur-Pedic International, Inc. 420,458 5,891 *Univision Communications, Inc. -- Class A 208,027 6,642 *Westwood One, Inc. 232,800 5,541 ------- Total 187,461 ------- Consumer Staples (1.4%) *Smithfield Foods, Inc. 237,800 6,991 Whole Foods Market, Inc. 107,300 10,242 ------- Total 17,233 ------- Energy (5.8%) *BJ Services Co. 330,900 15,168 *Cooper Cameron Corp. 342,900 16,699 *Nabors Industries, Ltd. 442,000 19,987 Pioneer Natural Resources Co. 189,900 6,662 *Smith International, Inc. 222,700 12,418 ------- Total 70,934 ------- Financials (9.2%) *Ameritrade Holding Corp. 482,700 5,479 *Assured Guaranty, Ltd. 354,300 6,005 *CapitalSource, Inc. 705,300 17,245 CIT Group, Inc. 535,000 20,484 Investors Financial Services Corp. 459,980 20,046 Legg Mason, Inc. 218,380 19,875 SouthTrust Corp. 427,100 16,576 Ventas, Inc. 331,000 7,729 ------- Total 113,439 ------- Health Care (17.0%) *Biogen Idec, Inc. 277,100 17,527 Biomet, Inc. 408,610 18,158 *Caremark Rx, Inc. 389,794 12,840 *Charles River Laboratories International, Inc. 352,300 17,217 *Covance, Inc. 356,700 13,761 *Cytyc Corp. 575,700 14,606 *DaVita, Inc. 352,500 10,868
Shares/ Value Common Stocks (97.8%) $ Par $ (000) ------------------------------------------------------- Health Care continued *Elan Corp. PLC, ADR 472,700 11,695 Health Management Associates, Inc. -- Class A 696,210 15,609 *Kinetic Concepts, Inc. 271,700 13,558 Medicis Pharmaceutical Corp. -- Class A 282,900 11,302 *Neurocrine Biosciences, Inc. 153,700 7,969 *Patterson Dental Co. 184,798 14,135 *St. Jude Medical, Inc. 206,200 15,599 *Varian Medical Systems Inc. 70,600 5,602 *VCA Antech, Inc. 204,400 9,161 ------- Total 209,607 ------- Industrials (19.0%) *Apollo Group, Inc. -- Class A 103,980 9,180 ARAMARK Corp. -- Class B 592,100 17,029 *Career Education Corp. 98,800 4,501 Cintas Corp. 259,950 12,392 The Corporate Executive Board Co. 433,620 25,059 Deere & Co. 197,140 13,827 Expeditors International of Washington, Inc. 426,030 21,050 Fastenal Co. 443,390 25,198 Graco, Inc. 881,400 27,367 *Hewitt Associates, Inc. 596,510 16,404 L-3 Communications Holdings, Inc. 361,550 24,152 Manpower, Inc. 261,840 13,294 Robert Half International, Inc. 388,100 11,554 *Stericycle, Inc. 256,080 13,250 ------- Total 234,257 ------- Information Technology (27.5%) Adobe Systems, Inc. 358,130 16,653 *Amdocs, Ltd. 684,150 16,030 *Avaya, Inc. 717,900 11,336 CDW Corp. 285,240 18,187 *Cognos, Inc. 678,300 24,527 *DST Systems, Inc. 175,200 8,425 Harris Corp. 247,700 12,571 Infosys Technologies, Ltd., ADR 141,085 13,088 *Integrated Circuit Systems, Inc. 434,280 11,795 *Jabil Circuit, Inc. 475,500 11,973 *KLA-Tencor Corp. 258,780 12,779 *Lam Research Corp. 477,600 12,800 *Mercury Interactive Corp. 252,300 12,572 Microchip Technology, Inc. 519,795 16,394 Paychex, Inc. 510,340 17,290 *QLogic Corp. 368,470 9,798 *Semtech Corp. 736,990 17,349 *Silicon Laboratories, Inc. 218,300 10,118 *UTStarcom, Inc. 401,800 12,154 *VeriSign, Inc. 328,920 6,546 *VERITAS Software Corp. 436,770 12,099 *Waters Corp. 474,470 22,670
6 Aggressive Growth Stock Portfolio Aggressive Growth Stock Portfolio
Shares/ Value Common Stocks (97.8%) $ Par $ (000) --------------------------------------------------------- Information Technology continued *Zebra Technologies Corp. -- Class A 382,435 33,271 --------- Total 340,425 --------- Materials (1.7%) Praxair, Inc. 512,540 20,455 --------- Total 20,455 --------- Other Holdings (1.0%) Broadband HOLDRS (SM) Trust 362,700 6,046 *iShares Goldman Sachs Networking Index Fund 185,800 5,886 --------- Total 11,932 --------- Total Common Stocks (Cost: $983,438) 1,205,743 --------- Money Market Investments (2.4%) --------------------------------------------------------- Agricultural Services (1.4%) Cargill, Inc., 1.44%, 7/1/04 17,100,000 17,100 --------- Total 17,100 ---------
Shares/ Value Money Market Investments (2.4%) $ Par $ (000) ------------------------------------------------------------------- Federal Government & Agencies (0.2%) Federal Home Loan Bank, 1.07%, 7/16/04 3,000,000 2,999 --------- Total 2,999 --------- Short Term Business Credit (0.8%) Sheffield Receivables, 1.30%, 7/26/04 10,000,000 9,991 --------- Total 9,991 --------- Total Money Market Investments (Cost: $30,090) 30,090 --------- Total Investments (100.2%) (Cost $1,013,528)(a) 1,235,833 --------- Other Assets, Less Liabilities (-0.2%) (2,345) --------- Total Net Assets (100.0%) 1,233,488 ---------
* Non-Income Producing ADR -- American Depository Receipt (a)At June 30, 2004 the aggregate cost of securities for federal tax purposes was $1,013,528 and the net unrealized appreciation of investments based on that cost was $222,305 which is comprised of $245,563 aggregate gross unrealized appreciations and $23,258 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements Aggressive Growth Stock Portfolio 7 International Growth Portfolio Northwestern Mutual Series Fund, Inc. Schedule of Investments June 30, 2004 (unaudited)
Foreign Common Shares/ Value Stocks (97.4%) Country $ Par $ (000) -------------------------------------------------------- Basic Materials (3.1%) +CRH PLC Ireland 26,525 562 *+SGL Carbon AG Germany 12,070 113 +Shin-Etsu Chemical Co., Ltd. Japan 4,800 173 +Sumitomo Chemical Co., Ltd. Japan 112,000 526 *+Syngenta AG Switzerland 7,005 589 +Wienerberger AG Austria 17,955 626 ----- Total 2,589 ----- Conglomerates (4.9%) +Grupo Ferrovial Spain 20,170 841 *iShares MSCI EAFE Index Fund United States 12,090 1,729 *+Nomura TOPIX Exchange Traded Fund Japan 65,400 727 +Vinci SA France 7,455 752 ----- Total 4,049 ----- Consumer Cyclical (22.9%) +Autoliv Sweden 12,915 541 Belluna Warrants Japan 1,452 8 +Berkeley Group PLC United Kingdom 26,355 591 +Beru AG Ludwigsburg Germany 6,885 529 +Bridgestone Corp. Japan 33,000 624 *+Bulgari SPA Italy 37,005 375 +Burberry Group PLC United Kingdom 74,240 551 Carnival Corp. Panama 13,215 621 +Denway Motors, Ltd. Hong Kong 1,124,000 411 +Esprit Holdings, Ltd. Hong Kong 155,000 698 +Funai Electric Co., Ltd. Japan 3,500 530 *+Gestevision Telecinco SA Spain 5,585 83 +Hilton Group PLC United Kingdom 119,490 599 +Hyundai Motor Co., Ltd. South Korea 14,050 543 +Intercontinental Hotels United Kingdom 45,710 484 +Lagardere S.C.A. France 7,700 483 +Lottomatica SPA Italy 8,315 206 +Mediaset SPA Italy 49,705 568 +Metro AG Germany 10,195 485 +Michelin -- Class B Shares France 10,820 600 News Corp., Ltd. ADR Australia 10,670 378 +Next PLC United Kingdom 33,970 880 +Nissan Motor Co., Ltd. Japan 44,800 499 +Nitori Co., Ltd. Japan 8,950 563
Foreign Common Shares/ Value Stocks (97.4%) Country $ Par $ (000) ------------------------------------------------------------ Consumer Cyclical continued +Nobia AB Sweden 22,115 261 +Nokian Renkaat Oyj Finland 2,040 199 +Opap SA Greece 27,560 518 +Porsche AG Germany 905 610 +Punch Taverns PLC United Kingdom 71,645 664 +Rank Group PLC United Kingdom 107,395 585 +Signet Group PLC United Kingdom 278,670 579 *+Sogecable SA Spain 4,685 190 +Swatch Group AG Switzerland 4,630 604 +Techtronics Industries Co. Hong Kong 345,000 551 *Urbi Desarrollos Urbanos SA Mexico 40,390 130 +USS Co., Ltd. Japan 7,020 606 *+Vivendi Universal SA France 21,635 603 Walmart de Mexico -- Series V Mexico 147,165 436 +Wolseley PLC United Kingdom 36,695 570 ------ Total 18,956 ------ Consumer Non-Cyclical (6.4%) *Cott Corp. ADR Canada 19,085 618 *Natura Cosmeticos SA Brazil 11,475 185 +Nestle SA Switzerland 2,200 588 +Puma AG Rudolf Dassler Sport Germany 4,440 1,130 +Reckitt Benckiser PLC United Kingdom 26,335 746 *+Royal Numico NV Netherlands 17,015 548 +Swedish Match AB Sweden 76,270 781 +Tesco PLC United Kingdom 143,960 696 ------ Total 5,292 ------ Energy (4.3%) +BG Group PLC United Kingdom 83,200 513 Encana Corp. Canada 14,215 611 +ENI SPA Italy 32,195 641 Suncor Energy, Inc. Canada 19,205 487 +Technip France 4,520 614 +Total Fina Elf SA France 3,575 684 ------ Total 3,550 ------ Financials (14.6%) +Alpha Bank AE Greece 24,918 636 +AMP, Ltd. Australia 143,605 636 +Anglo Irish Bank Corp. Ireland 69,937 1,094 *+Banco Espanol de Credito SA Spain 40,665 484 +Banco Popolare Di Verona Italy 33,455 576 +Bank Rakyat Indonesia Indonesia 2,757,000 493 +BNP Paribas SA France 8,405 519 +Cattles PLC United Kingdom 67,925 391 +Corporacion Mapfre Spain 24,325 299 +Depfa Bank PLC Ireland 40,480 589 +Erste Bank Der Oester Austria 3,795 597 +Fondiaria SAI SPA Italy 23,560 526
8 International Growth Portfolio International Growth Portfolio
Foreign Common Shares/ Value Stocks (97.4%) Country $ Par $ (000) ------------------------------------------------------------- Financials continued +HSBC Holdings PLC United Kingdom 24,892 376 +ING Groep NV Netherlands 19,929 473 *+Kookmin Bank South Korea 9,930 310 +Man Group PLC United Kingdom 19,915 516 Manulife Financial Corp. ADR Canada 12,980 526 +Mitsubishi Tokyo Financial Japan 64 597 *+OM Hex AB Sweden 28,170 339 +OTP Bank RT Hungary 34,835 712 +Royal Bank of Scotland Group PLC United Kingdom 18,361 530 +Storebrand ASA Norway 89,020 610 +UFJ Holdings, Inc. Japan 57 254 ------ Total 12,083 ------ Health Care (7.4%) *+Actelion, Ltd. Switzerland 4,050 466 +CSL, Ltd. Australia 32,520 506 *+Elekta AB -- B Shares Sweden 22,120 490 +GN Store Nord A/S Denmark 75,795 671 Nobel Bicare AB Sweden 35 5 +Nobel Biocare Holding AG Switzerland 3,935 617 +Novartis AG Switzerland 12,005 531 *QLT, Inc. Canada 27,215 545 +Roche Holding AG Switzerland 4,895 486 +Straumann Holding -- N Shares Switzerland 2,195 442 +Synthes, Inc. Switzerland 6,380 728 Teva Pharmaceutical Industries, Ltd. ADR Israel 9,035 608 ------ Total 6,095 ------ Industrials (10.6%) *+Ainax AB Sweden 1,046 34 +Atlas Copco AB -- A Shares Sweden 16,045 597 +Capita Group PLC United Kingdom 116,760 676 *+Chiyoda Corp. Japan 94,000 671 +Cobham Group PLC United Kingdom 24,895 631 +Computershare, Ltd. Australia 49,550 110 +Daewoo Shipbuilding & Marine Engineering Co. South Korea 42,410 514 *+Deutz AG Germany 26,733 115 +Keyence Corp. Japan 2,700 620 +Kubota Corp. Japan 140,000 747 +Li & Fung, Ltd. Hong Kong 214,000 314 +Meggitt PLC United Kingdom 109,718 521 +Neopost SA France 8,285 490 +Omron Corp. Japan 26,500 622 +Premier Farnell PLC United Kingdom 110,480 494 +Schneider Electric SA France 7,895 540 +SMC Corp. Japan 3,900 425 +Volvo AB Sweden 17,035 595 ------ Total 8,716 ------ Technology (12.5%) +ASM Pacific Technology Hong Kong 59,000 223 +Canon, Inc. Japan 11,900 632 *+Chi Mei Optoelectronics Taiwan 300,000 485 +Citizen Electronics Co., Ltd. Japan 10,650 608
Foreign Common Shares/ Value Stocks (97.4%) Country $ Par $ (000) ---------------------------------------------------------- Technology continued +Dassault Systemes SA France 10,635 495 *+Epcos AG Germany 19,560 411 *+Ericsson LM -- B Shares Sweden 324,000 959 *+Gresham Computing PLC United Kingdom 83,850 526 +Hoya Corp. Japan 6,000 631 +Indra Sistemas SA Spain 40,415 517 +INFOSYS Technologies, Ltd. India 3,592 432 *+Kontron AG Germany 71,985 600 +Murata Manufacturing Co., Ltd. Japan 5,100 293 +Net One Systems Co., Ltd. Japan 130 509 *+Opera Software ASA Norway 32,830 43 +Philips Electronics NV Netherlands 20,440 554 +Sage Group PLC United Kingdom 130,630 443 +Samsung Electronics Co., Ltd. South Korea 1,670 695 +Siemens AG Germany 5,265 381 +Taiwan Semiconductor Manufacturing Co., Ltd. Taiwan 243,401 352 +TDK Corp. Japan 6,900 526 ------ Total 10,315 ------ Telecommunication Services (4.5%) *+Freenet.de AG Germany 6,770 587 +KDDI Corp. Japan 105 604 *+Mobistar SA Belgium 12,350 771 *+PT Telekomunikasi Indonesia Indonesia 510,500 400 +Tele2 AB -- B Shares Sweden 4,210 185 +Telefonica SA Spain 37,955 563 +Telekom Austria AG Austria 5,365 82 +Vodafone Group PLC United Kingdom 227,845 500 ------ Total 3,692 ------ Transportation (4.3%) Canadian National Railway Co. Canada 13,165 567 +Deutsche Post AG Germany 20,220 438 +Exel PLC United Kingdom 23,660 330 +Fraport AG Germany 10,715 300 *+Golar LNG, Ltd. Bermuda 31,460 488 +Iberia Linea Aereas de Espana SA Spain 54,505 157 +Kamigumi Co., Ltd. Japan 79,000 575 +Neptune Orient Lines, Ltd. Singapore 273,000 375 Thai Airways International Thailand 252,100 348 ------ Total 3,578 ------ Utilities (1.9%) +Brisa Auto Estrada de Portugal SA Portugal 72,180 521 +Centrica PLC United Kingdom 136,260 556 +Iberdrola SA Spain 23,680 501 ------ Total 1,578 ------ Total Foreign Common Stocks (Cost: $64,569) 80,493 ------
International Growth Portfolio 9 International Growth Portfolio
Money Market Shares/ Value Investments (0.6%) Country $ Par $ (000) --------------------------------------------------------- Agricultural Services (0.6%) Cargill, Inc., 1.44%, 7/1/04 United States 500,000 500 ------ Total Money Market Investments (Cost: $500) 500 ------ Total Investments (98.0%) (Cost $65,069)(a) 80,993 ------ Other Assets, Less Liabilities (2.0%) 1,622 ------ Total Net Assets (100.0%) 82,615 ------
* Non-Income Producing ADR -- American Depository Receipt + Security was fair valued under procedures adopted by the Board of Directors. (a)At June 30, 2004 the aggregate cost of securities for federal tax purposes was $65,069 and the net unrealized appreciation of investments based on that cost was $15,924 which is comprised of $16,707 aggregate gross unrealized appreciations and $783 aggregate gross unrealized depreciation. Investment Percentage by Country: United Kingdom 17.2% Japan 15.5% France 7.1% Germany 7.0% Switzerland 6.2% Sweden 5.9% Other 41.1% ------ Total 100.0% ------
The Accompanying Notes are an Integral Part of the Financial Statements 10 International Growth Portfolio Franklin Templeton International Equity Portfolio Northwestern Mutual Series Funds Schedule of Investments June 30, 2004 (unaudited)
Foreign Common Shares/ Value Stocks (92.1%) Country $ Par $ (000) --------------------------------------------------------- Consumer Discretionary (9.4%) +Accor SA France 173,000 7,320 +GKN PLC United Kingdom 2,091,540 9,533 +Koninklijke (Royal) Philips Electronics NV Netherlands 576,875 15,621 +Michelin SA -- Class B France 209,230 11,609 +Reed Elsevier NV Netherlands 645,340 9,080 +Sony Corp. Japan 200,900 7,613 +Valeo SA France 148,650 6,213 *+Volkswagen AG Germany 230,450 9,772 +Wolters Kluwer NV Netherlands 166,630 3,033 ------ Total 79,794 ------ Consumer Staples (4.2%) +Cadbury Schweppes PLC United Kingdom 1,000,720 8,647 +J Sainsbury PLC United Kingdom 1,769,000 9,154 +Nestle SA Switzerland 38,980 10,410 +Unilever PLC United Kingdom 773,990 7,613 ------ Total 35,824 ------ Energy (8.0%) +BP PLC United Kingdom 1,037,940 9,173 CNOOC, Ltd., ADR Hong Kong 197,530 8,444 +ENI SPA Italy 414,535 8,250 Husky Energy, Inc. Canada 150,650 2,882 +IHC Caland NV Netherlands 112,800 5,255 +Norsk Hydro ASA Norway 125,558 8,175 +Repsol YPF SA Spain 493,680 10,836 +Shell Transport & Trading Co. PLC United Kingdom 1,428,430 10,506 +Total SA France 21,182 4,050 ------ Total 67,571 ------ Financials (18.9%) +Abbey National PLC United Kingdom 697,500 6,503 ACE, Ltd. Cayman Island 234,580 9,918 *+Ainax AB Sweden 17,983 591 +Australia & New Zealand Banking Group, Ltd. Australia 582,319 7,425 +Axa SA France 433,842 9,603 Axa SA France 27,115 600 *+Banca Nazionale Del Lavoro SPA Italy 3,584,211 8,354 +Cheung Kong Holdings, Ltd. Hong Kong 1,035,000 7,650 +DBS Group Holdings, Ltd. Singapore 1,192,000 10,005 *+HSBC Holdings PLC United Kingdom 530,937 8,010 +ING Groep NV Netherlands 436,000 10,350 +Lloyds TSB Group PLC United Kingdom 1,165,150 9,145 +Nomura Holdings, Inc. Japan 332,400 4,963 +Nordea Bank AB Sweden 1,651,590 11,906 +Riunione Adriatica di Sicurta SPA Italy 447,283 8,129
Foreign Common Shares/ Value Stocks (92.1%) Country $ Par $ (000) ---------------------------------------------------------- Financials continued +Sompo Japan Insurance, Inc. Japan 1,103,000 11,349 +Standard Chartered PLC United Kingdom 370,360 6,046 +Swire Pacific, Ltd. -- Class B Hong Kong 1,746,500 11,365 +Swiss Re Switzerland 170,200 11,082 XL Capital, Ltd. -- Class A Cayman Island 94,850 7,157 ------- Total 160,151 ------- Health Care (5.0%) +Aventis SA France 197,550 14,943 *+CK Life Sciences International, Inc. Hong Kong 29,640 6 +GlaxoSmithKline PLC United Kingdom 365,910 7,421 +Mayne Group, Ltd. Australia 10 0 +Ono Pharmaceutical Co., Ltd. Japan 191,000 8,976 *+Shire Pharmaceuticals Group PLC United Kingdom 1,124,010 9,873 +Takeda Chemical Industries, Ltd. Japan 30,400 1,340 ------- Total 42,559 ------- Industrials (16.2%) +Adecco. SA Switzerland 124,930 6,246 +Atlas Copco AB Sweden 221,760 8,248 +BAE Systems PLC United Kingdom 3,411,020 13,622 +Brambles Industries PLC United Kingdom 1,453,754 5,633 *+British Airways PLC United Kingdom 1,228,800 6,169 +Deutsche Post AG Germany 602,100 13,037 +Hutchison Whampoa, Ltd. Hong Kong 1,081,000 7,399 +KCI Konecranes International PLC Finland 302,500 11,238 +Kurita Water Industries, Ltd. Japan 430,000 5,898 +Rentokil Initial PLC United Kingdom 2,672,940 7,015 +Rolls-Royce Group +PLC United Kingdom 1,516,890 6,938 +Securitas AB -- Class B Sweden 541,000 6,774 +Societe Bic SA France 173,740 7,743 +Toto, Ltd. Japan 873,000 9,241 +Vestas Wind Systems AS Denmark 626,460 9,230 +Vestas Wind Systems AS Denmark 208,820 3,092 +Volvo AB -- Class B Sweden 278,740 9,731 ------- Total 137,254 ------- Materials (9.9%) +Akzo Nobel NV Netherlands 234,050 8,629 +Alumina, Ltd. Australia 1,908,930 7,050 +BASF AG Germany 206,800 11,126 +Bayer AG Germany 263,150 7,621 +BHP Billiton, Ltd. Australia 1,681,770 14,712
Franklin Templeton International Equity Portfolio 11 Franklin Templeton International Equity Portfolio
Foreign Common Shares/ Value Stocks (92.1%) Country $ Par $ (000) ---------------------------------------------------------- Materials continued Companhia Vale do Rio Doce, ADR Brazil 163,550 6,395 +Norske Skogindustrier ASA Norway 684,860 12,240 +Stora Enso OYJ -- R Shares Finland 658,140 8,924 +UPM-Kymmene OYJ Finland 394,760 7,523 ------- Total 84,220 ------- Technology (6.9%) *Celestica, Inc. Canada 415,600 8,273 *Check Point Software Technologies, Ltd. Israel 387,430 10,457 +Hitachi, Ltd. Japan 1,198,000 8,314 +Nintendo Co., Ltd. Japan 64,600 7,512 +Samsung Electronics Co., Ltd. South Korea 34,390 14,301 +Toshiba Corp. Japan 2,350,000 9,522 ------- Total 58,379 ------- Telecommunication Services (7.6%) BCE, Inc. Canada 430,910 8,581 KT Corp., ADR South Korea 385,100 6,947 +Nippon Telegraph & Telephone Corp. Japan 1,930 10,325 +Portugal Telecom Sgps SA Portugal 468,980 5,072 SK Telecom, Ltd., ADR South Korea 322,890 6,777 +Telecom Corp. of New Zealand, Ltd. New Zealand 18,900 71 Telefoncos de Mexico SA, ADR Mexico 257,344 8,562 *Telefonica SA, ADR Spain 251,528 11,226 +Vodafone Group PLC United Kingdom 3,279,700 7,203 ------- Total 64,764 ------- Utilities (6.0%) +E.ON AG Germany 146,700 10,597 +Endesa SA Spain 431,810 8,339 +Hong Kong Electric Holdings, Ltd. Hong Kong 1,549,500 6,433 +Iberdrola SA Spain 387,080 8,190 +Korea Electric Power Corp. South Korea 224,850 3,627 +Suez SA France 646,510 13,513 ------- Total 50,699 ------- Total Foreign Common Stocks (Cost: $639,700) 781,215 -------
Money Market Investments Shares/ Value (6.4%) Country $ Par $ (000) ------------------------------------------------------------- Agricultural Services (1.7%) Cargill, Inc., 1.44%, 7/1/04 United States 14,400,000 14,400 ------- Total 14,400 ------- Finance Lessors (3.5%) Preferred Receivable Funding, 1.09%, 7/7/04 United States 10,000,000 9,998 Thunder Bay Funding, Inc., 1.22%, 7/15/04 United States 10,000,000 9,995 Windmill Funding Corp., 1.08%, 7/12/04 United States 10,000,000 9,997 ------- Total 29,990 ------- Short Term Business Credit (1.2%) Sheffield Receivables, 1.17%, 7/12/04 United States 10,000,000 9,997 ------- Total 9,997 ------- Total Money Market Investments (Cost: $54,387) 54,387 ------- Total Investments (98.5%) (Cost $694,087)(a) 835,602 ------- Other Assets, Less Liabilities (1.5%) 12,325 ------- Total Net Assets (100.0%) 847,927 -------
* Non-Income Producing ADR -- American Depository Receipt + Security was fair valued under procedures adopted by the Board of Directors (a)At June 30, 2004 the aggregate cost of securities for federal tax purposes was $694,087 and the net unrealized appreciation of investments based on that cost was $141,515 which is comprised of $176,004 aggregate gross unrealized appreciations and $34,489 aggregate gross unrealized depreciation. Investment Percentage by Country: United Kingdom 17.7% Japan 10.2% France 9.1% Germany 6.2% Netherlands 6.2% Other 50.6% ------ Total 100.0% ------
12 Franklin Templeton International Equity Portfolio The Accompanying Notes are an Integral Part of the Financial Statements AllianceBernstein Mid Cap Value Portfolio Northwestern Mutual Series Fund, Inc. Schedule of Investments June 30, 2004 (unaudited)
Shares/ Value Common Stocks (94.8%) $ Par $ (000) -------------------------------------------------------- Consumer Discretionary (22.2%) American Axle & Manufacturing Holdings, Inc. 17,500 636 ArvinMeritor, Inc. 46,700 915 *AutoNation, Inc. 47,900 819 Beazer Homes USA, Inc. 6,200 622 Borders Group, Inc. 37,800 886 BorgWarner, Inc. 14,400 630 Brunswick Corp. 10,800 441 Dana Corp. 50,000 981 Federated Department Stores, Inc. 14,000 687 Foot Locker, Inc. 9,100 221 *Group 1 Automotive, Inc. 25,200 837 Jones Apparel Group, Inc. 22,700 896 The Neiman Marcus Group, Inc. -- Class A 16,000 890 *Office Depot, Inc. 46,200 827 *Payless ShoeSource, Inc. 51,200 763 The Reader's Digest Association, Inc. -- Class A 35,200 563 V. F. Corp. 13,900 677 ------ Total 12,291 ------ Consumer Staples (8.0%) *BJ's Wholesale Club, Inc. 34,500 863 *Constellation Brands, Inc. -- Class A 28,700 1,065 Corn Products International, Inc. 17,300 805 *Del Monte Foods Co. 85,300 867 Universal Corp. 16,600 846 ------ Total 4,446 ------ Energy (2.6%) Pogo Producing Co. 16,600 820 *Seacor Smit, Inc. 13,900 611 ------ Total 1,431 ------ Financials (15.2%) Astoria Financial Corp. 20,100 735 Banknorth Group, Inc. 19,300 627 Commercial Federal Corp. 23,000 623 Fidelity National Financial, Inc. 6,300 235 Hibernia Corp. -- Class A 30,000 729 Old Republic International Corp. 30,900 733 Popular, Inc. 13,800 590 Radian Group, Inc. 19,300 924 Sovereign Bancorp, Inc. 27,600 610 StanCorp Financial Group, Inc. 10,500 704 UnionBanCal Corp. 12,000 677 Washington Federal, Inc. 22,000 528 Whitney Holding Corp. 15,100 675 ------ Total 8,390 ------ Health Care (3.8%) Owens & Minor, Inc. 30,950 801 *PacifiCare Health Systems, Inc. 20,500 793
Shares/ Value Common Stocks (94.8%) $ Par $ (000) ---------------------------------------------------------- Health Care continued Universal Health Services, Inc. -- Class B 11,000 505 ------ Total 2,099 ------ Industrials (19.1%) Cooper Industries, Ltd. -- Class A 12,000 713 Deluxe Corp. 16,800 731 Harsco Corp. 14,200 667 Hughes Supply, Inc. 13,300 784 Lincoln Electric Holdings, Inc. 22,600 770 Mueller Industries, Inc. 19,600 702 PACCAR, Inc. 9,750 565 Parker-Hannifin Corp. 10,600 630 Reliance Steel & Aluminum Co. 25,000 1,008 *Terex Corp. 17,100 584 Textron, Inc. 12,000 712 *United Stationers, Inc. 24,700 981 *URS Corp. 41,400 1,135 USF Corp. 17,000 597 ------ Total 10,579 ------ Information Technology (9.6%) *Adaptec, Inc. 73,500 622 *ADC Telecommunications, Inc. 235,000 667 *Andrew Corp. 33,600 672 Anixter International, Inc. 25,900 882 *Tech Data Corp. 18,000 704 *Tellabs, Inc. 70,000 612 *Vishay Intertechnology, Inc. 33,200 617 *Western Digital Corp. 61,600 533 ------ Total 5,309 ------ Materials (9.0%) Albemarle Corp. 22,500 712 Ball Corp. 10,900 785 Crompton Corp. 83,000 523 Cytec Industries, Inc. 21,300 968 *FMC Corp. 12,600 543 MeadWestvaco Corp. 18,000 529 Texas Industries, Inc. 22,000 906 ------ Total 4,966 ------ Utilities (5.3%) Northeast Utilities 32,800 638 OGE Energy Corp. 23,900 609 PNM Resources, Inc. 22,800 474 Puget Energy, Inc. 28,200 618 WPS Resources Corp. 12,900 598 ------ Total 2,937 ------ Total Common Stocks (Cost: $43,073) 52,448 ------
AllianceBernstein Mid Cap Value Portfolio 13 AllianceBernstein Mid Cap Value Portfolio
Shares/ Value Money Market Investments (5.6%) $ Par $ (000) ------------------------------------------------------- Agricultural Services (1.3%) Cargill, Inc., 1.44%, 7/1/04 700,000 700 ------ Total 700 ------ Finance Services (2.1%) Preferred Receivables Funding, 1.2%, 7/13/04 1,200,000 1,200 ------ Total 1,200 ------ Short Term Business Credit (2.2%) Sheffield Receivables, 1.24%, 7/20/04 1,200,000 1,199 ------ Total 1,199 ------ Total Money Market Investments (Cost: $3,099) 3,099 ------ Total Investments (100.4%) (Cost $46,172)(a) 55,547 ------ Other Assets, Less Liabilities (-0.4%) (217) ------ Total Net Assets (100.0%) 55,330 ------
* Non-Income Producing (a)At June 30, 2004 the aggregate cost of securities for federal tax purposes was $46,172 and the net unrealized appreciation of investments based on that cost was $9,375 which is comprised of $9,976 aggregate gross unrealized appreciations and $601 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements 14 AllianceBernstein Mid Cap Value Portfolio Index 400 Stock Portfolio Northwestern Mutual Series Funds Schedule of Investments June 30, 2004 (unaudited)
Shares/ Value Common Stocks (92.4%) $ Par $ (000) ------------------------------------------------------- Consumer Discretionary (16.6%) *99 Cents Only Stores 25,333 386 Abercrombie & Fitch Co. -- Class A 33,900 1,314 *American Eagle Outfitters, Inc. 24,950 721 *American Greetings Corp. -- Class A 23,500 545 *AnnTaylor Stores Corp. 23,850 691 Applebee's International, Inc. 29,200 672 ArvinMeritor, Inc. 24,350 477 Bandag, Inc. 6,800 303 *Barnes & Noble, Inc. 23,900 812 Belo Corp. -- Class A 40,600 1,090 Blyth, Inc. 15,700 541 Bob Evans Farms, Inc. 12,200 334 Borders Group, Inc. 27,400 642 BorgWarner, Inc. 19,300 845 Boyd Gaming Corp. 23,000 611 *Brinker International, Inc. 33,650 1,148 *Caesars Entertainment Corp. 106,400 1,596 Callaway Golf Co. 26,500 301 *CarMax, Inc. 36,400 796 *Catalina Marketing Corp. 18,800 344 CBRL Group, Inc. 17,400 537 *The Cheesecake Factory, Inc. 18,100 720 *Chico's FAS, Inc. 30,600 1,382 Claire's Stores, Inc. 34,500 749 *Coach, Inc. 65,500 2,960 D.R. Horton, Inc. 81,650 2,319 *Dollar Tree Stores, Inc. 40,500 1,111 *Emmis Communications Corp. -- Class A 19,400 407 *Entercom Communications Corp. -- Class A 18,100 675 Furniture Brands International, Inc. 19,600 491 Gentex Corp. 27,000 1,071 GTECH Holdings Corp. 20,700 959 Harman International 23,100 2,102 Harte-Hanks, Inc. 30,650 748 *Hovananian Enterprises, Inc. 21,300 739 International Speedway Corp. -- Class A 18,700 910 *Krispy Kreme Doughnuts, Inc. 21,400 409 Lear Corp. 24,000 1,416 Lee Enterprises, Inc. 15,800 759 Lennar Corp. -- Class A 54,600 2,442 Mandalay Resort Group 22,800 1,565 Media General, Inc. -- Class A 8,300 533 Michaels Stores, Inc. 23,800 1,309 Modine Manufacturing Co. 12,000 382 *Mohawk Industries, Inc. 23,400 1,716 The Neiman Marcus Group, Inc. -- Class A 17,200 957 *O'Reilly Automotive, Inc. 19,100 863 Outback Steakhouse, Inc. 26,300 1,088 *Pacific Sunwear of California, Inc. 27,500 538 *Payless ShoeSource, Inc. 23,842 355 PETsMART, Inc. 50,200 1,629
Shares/ Value Common Stocks (92.4%) $ Par $ (000) -------------------------------------------------------- Consumer Discretionary continued Pier 1 Imports, Inc. 31,100 550 The Reader's Digest Association, Inc. -- Class A 34,800 556 Regis Corp. 15,600 696 *Rent-A-Center, Inc. 28,400 850 Ross Stores, Inc. 53,100 1,421 Ruby Tuesday, Inc. 23,100 634 Ryland Group, Inc. 8,700 680 Saks, Inc. 47,900 719 *Scholastic Corp. 13,800 413 *Six Flags, Inc. 32,500 236 Superior Industries International, Inc. 9,400 314 Thor Industries, Inc. 20,100 673 *The Timberland Co. -- Class A 12,200 788 *Toll Brothers, Inc. 25,700 1,088 Tupperware Corp. 20,500 398 *Valassis Communications, Inc. 18,300 558 The Washington Post Co. -- Class B 3,300 3,069 *Westwood One, Inc. 35,100 835 *Williams-Sonoma, Inc. 41,200 1,358 ------ Total 63,846 ------ Consumer Staples (4.5%) *BJ's Wholesale Club, Inc. 24,500 613 Church & Dwight Co., Inc. 14,400 659 *Constellation Brands, Inc. -- Class A 37,200 1,381 *Dean Foods Co. 54,814 2,045 *Energizer Holdings, Inc. 28,600 1,287 Hormel Foods Corp. 48,700 1,515 Interstate Bakeries Corp. 15,700 170 The J.M. Smucker Co. 17,596 808 Lancaster Colony Corp. 12,600 525 PepsiAmericas, Inc. 48,200 1,024 Ruddick Corp. 16,300 366 *Smithfield Foods, Inc. 38,900 1,144 Tootsie Roll Industries, Inc. 18,654 606 Tyson Foods, Inc. -- Class A 123,740 2,591 Universal Corp. 8,800 448 Whole Foods Market, Inc. 21,400 2,043 ------ Total 17,225 ------ Energy (6.5%) *Cooper Cameron Corp. 19,000 925 ENSCO International, Inc. 53,000 1,542 *FMC Technologies, Inc. 23,269 670 *Forest Oil Corp. 20,400 557 *Grant Prideco, Inc. 42,600 786 *Hanover Compressor Co. 25,800 307 Helmerich & Payne, Inc. 17,600 460 Murphy Oil Corp. 32,200 2,373 *National-Oilwell, Inc. 29,900 942 *Newfield Exploration Co. 19,700 1,098 Noble Energy, Inc. 19,900 1,015
Index 400 Stock Portfolio 15 Index 400 Stock Portfolio
Shares/ Value Common Stocks (92.4%) $ Par $ (000) -------------------------------------------------- Energy continued Overseas Shipholding Group, Inc. 13,800 609 Patterson-UTI Energy, Inc. 29,000 969 Pioneer Natural Resources Co. 41,900 1,470 *Plains Exploration and Product 26,300 483 Pogo Producing Co. 22,400 1,107 *Pride International, Inc. 47,600 814 *Smith International, Inc. 35,100 1,957 Tidewater, Inc. 21,300 635 *Varco International, Inc. 34,262 750 *Weatherford International, Ltd. 46,100 2,074 Western Gas Resources, Inc. 25,800 838 XTO Energy, Inc. 88,191 2,627 ------ Total 25,008 ------ Financials (17.5%) A.G. Edwards, Inc. 28,100 956 *Allmerica Financial Corp. 18,600 629 AMB Property Co. 28,700 994 American Financial Group, Inc. 25,600 783 *AmeriCredit Corp. 55,200 1,078 Amerus Group, Co. 13,800 571 Arthur J. Gallagher & Co. 31,600 962 Associated Banc-Corp. 38,563 1,143 Astoria Financial Corp. 27,900 1,021 Bank of Hawaii Corp. 19,200 868 Banknorth Group, Inc. 60,400 1,962 Brown & Brown, Inc. 24,100 1,039 City National Corp. 17,200 1,130 The Colonial BancGroup, Inc. 44,600 810 Commerce Bancorp, Inc. 26,600 1,463 Compass Bancshares, Inc. 42,700 1,836 Cullen/Frost Bankers, Inc. 18,200 814 Eaton Vance Corp. 24,000 917 Everest Re Group, Ltd. 19,500 1,567 Fidelity National Financial, Inc. 60,515 2,260 The First American Corp. 31,200 808 FirstMerit Corp. 29,800 786 GATX Corp. 17,300 471 Greater Bay Bancorp 18,600 538 GreenPoint Financial Corp. 46,850 1,860 HCC Insurance Holdings, Inc. 22,400 748 Hibernia Corp. -- Class A 54,500 1,324 Highwoods Properties, Inc. 18,700 439 Horace Mann Educators Corp. 15,000 262 Hospitality Properties Trust 23,400 990 Independence Community Bank Corp. 28,700 1,045 IndyMac Bancorp, Inc. 20,600 651 Investors Financial Services Corp. 23,100 1,007 Jefferies Group, Inc. 19,300 597 LaBranche & Co., Inc. 21,000 177 Legg Mason, Inc. 23,300 2,121 Leucadia National Corp. 24,500 1,218 Liberty Property Trust 29,400 1,182 Mack-Cali Realty Corp. 21,100 873 Mercantile Bankshares Corp. 28,000 1,311 *The MONY Group, Inc. 15,900 498 National Commerce Financial Corp. 71,925 2,337
Shares/ Value Common Stocks (92.4%) $ Par $ (000) ---------------------------------------------------------- Financials continued New Plan Excel Realty Trust, Inc. 34,900 815 New York Community Bancorp, Inc. 94,821 1,861 *Ohio Casualty Corp. 21,400 431 Old Republic International Corp. 63,600 1,509 The PMI Group, Inc. 32,900 1,432 Protective Life Corp. 24,200 936 Provident Financial Group, Inc. 17,200 679 Radian Group, Inc. 33,000 1,581 Raymond James Financial, Inc. 25,750 681 Rayonier, Inc. 17,111 761 SEI Investments Co. 37,000 1,074 *Silicon Valley Bancshares 12,200 484 Sovereign Bancorp, Inc. 107,200 2,368 StanCorp Financial Group, Inc. 10,200 683 TCF Financial Corp. 24,900 1,445 United Dominion Realty Trust, Inc. 44,500 880 Unitrin, Inc. 23,800 1,014 W.R. Berkley Corp. 29,300 1,258 Waddell & Reed Financial, Inc. -- Class A 28,900 639 Washington Federal, Inc. 27,550 661 Webster Financial Corp. 18,400 865 Westamerica Bancorporation 11,500 603 Wilmington Trust Corp. 23,200 864 ------ Total 67,570 ------ Health Care (10.8%) *Apogent Technologies, Inc. 31,100 995 *Apria Healthcare Group, Inc. 17,900 514 *Barr Laboratories, Inc. 35,500 1,196 Beckman Coulter, Inc. 21,600 1,318 *Cephalon, Inc. 19,500 1,053 *Charles River Laboratories International, Inc. 16,100 787 *Community Health Systems, Inc. 34,600 926 *Covance, Inc. 22,000 849 *Coventry Health Care, Inc. 31,600 1,545 *Cytyc Corp. 38,400 974 DENTSPLY International, Inc. 27,750 1,446 *Edwards Lifesciences Corp. 20,800 725 *First Health Group Corp. 33,100 517 *Gilead Sciences, Inc. 75,100 5,032 *Health Net, Inc. 39,900 1,057 *Henry Schein, Inc. 15,300 966 Hillenbrand Industries, Inc. 21,800 1,318 *IVAX Corp. 68,925 1,654 *LifePoint Hospitals, Inc. 13,200 491 *Lincare Holdings, Inc. 34,500 1,134 *Millennium Pharmaceuticals, Inc. 105,800 1,460 Omnicare, Inc. 36,000 1,541 Oxford Health Plans, Inc. 29,100 1,602 *PacifiCare Health Systems, Inc. 29,300 1,133 *Par Pharmaceutical Cos, Inc. 11,900 419 *Patterson Dental Co. 24,000 1,836 Perrigo Co. 24,600 467 *Protein Design Labs, Inc. 32,900 629 *Renal Care Group, Inc. 23,950 793 *Sepracor, Inc. 29,800 1,576
16 Index 400 Stock Portfolio Index 400 Stock Portfolio
Shares/ Value Common Stocks (92.4%) $ Par $ (000) ------------------------------------------------------------ Health Care continued *STERIS Corp. 24,500 553 *Triad Hospitals, Inc. 26,439 984 Universal Health Services, Inc. -- Class B 20,400 936 Valeant Pharmaceuticals International Co. 29,200 584 *Varian Medical Systems Inc. 24,100 1,912 *Vertex Pharmaceuticals, Inc. 27,300 296 *VISX, Inc. 17,000 454 ------ Total 41,672 ------ Industrials (12.1%) (b)*AGCO Corp. 31,000 631 *Alaska Air Group, Inc. 9,400 224 Alexander & Baldwin, Inc. 14,700 492 ALLETE, Inc. 30,500 1,016 *Alliant Techsystems, Inc. 13,600 861 AMETEK, Inc. 23,400 723 Banta Corp. 9,000 400 The Brink's Co. 19,000 651 C.H. Robinson Worldwide, Inc. 29,600 1,357 *Career Education Corp. 35,200 1,604 Carlisle Companies, Inc. 10,800 672 *ChoicePoint, Inc. 30,700 1,402 CNF, Inc. 17,500 727 *Copart, Inc. 31,200 833 *Corinthian Colleges, Inc. 31,500 779 *DeVry, Inc. 24,600 675 Donaldson Co., Inc. 30,400 891 *The Dun & Bradstreet Corp. 25,500 1,375 *Dycom Industries, Inc. 16,900 473 *Education Management Corp. 25,600 841 Expeditors International of Washington, Inc. 36,900 1,822 Fastenal Co. 26,600 1,512 Federal Signal Corp. 16,800 313 *Flowserve Corp. 19,400 484 Graco, Inc. 24,000 745 Granite Construction, Inc. 14,600 266 Harsco Corp. 14,300 672 Herman Miller, Inc. 25,600 741 HNI Corp. 20,400 864 Hubbell, Inc. -- Class B 21,000 981 *ITT Educational Services, Inc. 16,000 608 J.B. Hunt Transport Services, Inc. 28,200 1,088 *Jacobs Engineering Group, Inc. 19,600 772 *Jetblue Airways Corp. 35,850 1,053 Kelly Services, Inc. -- Class A 12,200 364 Kennametal, Inc. 12,700 582 *Korn/Ferry International 13,200 256 L-3 Communications Holdings, Inc. 37,000 2,471 *Laureate Education, Inc. 15,319 586 Manpower, Inc. 31,100 1,579 Nordson Corp. 12,100 525 Pentair, Inc. 34,700 1,167 Precision Castparts Corp. 22,700 1,241 *Quanta Services, Inc. 40,900 254 Republic Services, Inc. 55,600 1,609 Rollins, Inc. 15,850 365 *Sequa Corp. -- Class A 3,700 216
Shares/ Value Common Stocks (92.4%) $ Par $ (000) ------------------------------------------------------------ Industrials continued *Sotheby's Holdings, Inc. -- Class A 21,700 346 SPX Corp. 26,500 1,231 *Stericycle, Inc. 14,800 766 *Swift Transportation Co., Inc. 29,400 528 Tecumseh Products Co. -- Class A 6,500 268 Teleflex, Inc. 13,900 697 Trinity Industries, Inc. 16,400 521 *United Rentals, Inc. 27,000 483 Viad Corp. 31,000 837 Werner Enterprises, Inc. 27,950 590 York International Corp. 14,100 579 ------ Total 46,609 ------ Information Technology (14.1%) *3Com Corp. 134,300 839 *Activision, Inc. 47,450 754 Acxiom Corp. 30,000 745 ADTRAN, Inc. 27,800 928 *Advanced Fibre Communications, Inc. 30,500 616 *Advent Software, Inc. 11,500 208 *Arrow Electronics, Inc. 39,500 1,059 *Ascential Software Corp. 20,875 334 *Atmel Corp. 165,500 980 *Avnet, Inc. 42,200 958 *Avocent Corp. 16,800 617 *The BISYS Group, Inc. 42,300 595 *Cabot Microelectronics Corp. 8,692 266 *Cadence Design Systems, Inc. 92,400 1,352 CDW Corp. 29,200 1,861 *Ceridian Corp. 52,400 1,179 Certegy, Inc. 22,600 877 *CheckFree Corp. 28,100 843 *Cognizant Technology Solutions Corp. 44,500 1,131 *CommScope, Inc. 20,800 446 *Credence Systems Corp. 33,700 465 *Cree, Inc. 25,900 603 *CSG Systems International, Inc. 18,400 381 *Cypress Semiconductor Corp. 42,200 599 Diebold, Inc. 25,600 1,353 *DST Systems, Inc. 29,300 1,409 Fair, Isaac and Co., Inc. 24,800 828 *Fairchild Semiconductor International, Inc. -- Class A 41,300 676 *Gartner, Inc. 45,400 600 Harris Corp. 23,400 1,188 Imation Corp. 12,400 528 *Integrated Circuit Systems, Inc. 25,400 690 *Integrated Device Technology, Inc. 37,000 512 *International Rectifier Corp. 23,100 957 Intersil Corp. -- Class A 48,800 1,057 Jack Henry & Associates, Inc. 31,500 633 *Keane, Inc. 22,500 308 *KEMET Corp. 30,300 370 *Lam Research Corp. 46,800 1,254 *Lattice Semiconductor Corp. 39,600 278 *LTX Corp. 20,900 226 *Macromedia, Inc. 23,600 579
Index 400 Stock Portfolio 17 Index 400 Stock Portfolio
Shares/ Value Common Stocks (92.4%) $ Par $ (000) -------------------------------------------------------- Information Technology continued *Macrovision Corp. 17,200 431 *McDATA Corp. -- Class A 41,100 221 *Mentor Graphics Corp. 23,900 370 *Micrel, Inc. 32,400 394 Microchip Technology, Inc. 73,012 2,302 *MPS Group, Inc. 36,700 445 National Instruments Corp. 27,450 841 *Network Associates, Inc. 56,700 1,028 *Newport Corp. 13,700 222 *Plantronics, Inc. 16,100 678 *Plexus Corp. 15,100 204 *Polycom, Inc. 34,800 780 *Powerwave Technologies, Inc. 36,600 282 *Quantum Corp. -- DLT & Storage Systems 63,200 196 *Retek, Inc. 19,200 118 The Reynolds and Reynolds Co. -- Class A 23,500 544 *RF Micro Devices, Inc. 65,200 489 *RSA Security, Inc. 21,100 432 *SanDisk Corp. 55,900 1,212 *Semtech Corp. 25,900 610 *Silicon Laboratories, Inc. 18,000 834 *Storage Technology Corp. 38,800 1,125 *Sybase, Inc. 33,900 610 *Synopsys, Inc. 55,000 1,563 *Tech Data Corp. 20,000 783 *The Titan Corp. 28,600 371 *Transaction Systems Architects, Inc. -- Class A 13,400 289 *TriQuint Semiconductor, Inc. 47,111 257 *UTStarcom, Inc. 40,000 1,210 *Varian, Inc. 12,200 514 *Vishay Intertechnology, Inc. 56,287 1,046 *Wind River Systems, Inc. 28,200 332 *Zebra Technologies Corp. -- Class A 16,700 1,453 ------ Total 54,268 ------ Materials (4.0%) Airgas, Inc. 25,700 614 Albemarle Corp. 14,500 459 Arch Coal, Inc. 18,500 677 Bowater, Inc. 19,400 807 Cabot Corp. 21,700 883 Crompton Corp. 39,063 246 Cytec Industries, Inc. 13,700 623 Ferro Corp. 14,500 387 *FMC Corp. 12,400 535 IMC Global, Inc. 40,400 541 *Longview Fibre Co. 17,900 264 The Lubrizol Corp. 18,100 663 Lyondell Chemical Co. 62,100 1,080 Martin Marietta Materials, Inc. 17,200 762 Minerals Technologies, Inc. 7,200 418 Olin Corp. 24,300 428 P.H. Glatfelter Co. 15,400 217 Packaging Corp. of America 37,000 884 Peabody Energy Corp. 21,600 1,208 Potlatch Corp. 10,100 421
Shares/ Value Common Stocks (92.4%) $ Par $ (000) ------------------------------------------------------ Materials continued RPM, Inc. 40,700 619 *The Scotts Co. -- Class A 11,400 728 Sensient Technologies Corp. 16,400 352 Sonoco Products Co. 34,300 875 The Valspar Corp. 17,800 898 ------- Total 15,589 ------- Telecommunication Services (0.5%) *Cincinnati Bell, Inc. 85,700 381 Telephone and Data Systems, Inc. 20,200 1,438 ------- Total 1,819 ------- Utilities (5.8%) AGL Resources, Inc. 22,700 659 Alliant Energy Corp. 38,900 1,015 Aqua America, Inc. 32,450 651 *Aquila, Inc. 68,500 244 Black Hills Corp. 11,300 356 DPL, Inc. 44,400 862 Duquesne Light Holdings, Inc. 26,400 510 Energy East Corp. 51,300 1,244 Equitable Resources, Inc. 21,600 1,117 Great Plains Energy, Inc. 26,100 775 Hawaiian Electric Industries, Inc. 27,900 728 IDACORP, Inc. 13,400 362 MDU Resources Group, Inc. 41,000 985 National Fuel Gas Co. 28,700 718 Northeast Utilities 44,700 870 NSTAR 18,600 891 OGE Energy Corp. 30,500 777 ONEOK, Inc. 35,900 789 Pepco Holdings, Inc. 60,200 1,100 PNM Resources, Inc. 21,150 439 Puget Energy, Inc. 34,800 762 Questar Corp. 29,200 1,128 SCANA Corp. 38,900 1,415 *Sierra Pacific Resouces 41,181 318 Vectren Corp. 26,600 667 Westar Energy, Inc. 29,100 579 WGL Holdings, Inc. 17,100 491 Wisconsin Energy Corp. 41,600 1,357 WPS Resources Corp. 12,700 589 ------- Total 22,398 ------- Total Common Stocks (Cost: $299,132) 356,004 ------- Money Market Investments (7.5%) ------------------------------------------------------ Agricultural Services (1.3%) (b)Cargill, Inc., 1.44%, 7/1/04 5,100,000 5,100 ------- Total 5,100 ------- Federal Government & Agencies (0.5%) (b)Fannie Mae, 0.98%, 7/16/2004 300,000 300 (b)Federal Home Loan Bank, 1.055%, 7/16/04 1,500,000 1,499 ------- Total 1,799 -------
18 Index 400 Stock Portfolio Index 400 Stock Portfolio
Shares/ Value Money Market Investments (7.5%) $ Par $ (000) ----------------------------------------------------------- Finance Lessors (1.6%) (b)Receivable Capital Trust, 1.33%, 7/30/04 6,000,000 5,994 ------- Total 5,994 ------- Short Term Business Credit (2.5%) (b)Old Line Funding Corp., 1.07%, 7/8/2004 5,000,000 4,999 (b)Sheffield Receivables, 1.05%, 7/2/04 5,000,000 5,000 ------- Total 9,999 ------- Utilities (1.6%) (b)National Rural Utility, 1.30%, 7/28/04 6,000,000 5,994 ------- Total 5,994 ------- Total Money Market Investments (Cost: $28,886) 28,886 ------- Total Investments (99.9%) (Cost $328,018)(a) 384,890 ------- Other Assets, Less Liabilities (0.1%) 462 ------- Total Net Assets (100.0%) 385,352 -------
* Non-Income Producing (a)At June 30, 2004 the aggregate cost of securities for federal tax purposes was $328,018 and the net unrealized appreciation of investments based on that cost was $56,872 which is comprised of $82,018 aggregate gross unrealized appreciations and $25,146 aggregate gross unrealized depreciation. (b)All or a portion of the securities have been committed as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.
Unrealized Appreciation/ Number of Expiration Depreciation Issuer (000's) Contracts Date (000's) --------------------------------------------------- MidCap 400 Index Futures 95 9/04 $687 (Total Notional Value at June 30, 2004, $28,205 )
Index 400 Stock Portfolio 19 The Accompanying Notes are an Integral Part of the Financial Statements Janus Capital Appreciation Portfolio Northwestern Mutual Series Fund, Inc. Schedule of Investments June 30, 2004 (unaudited)
Shares/ Value Common Stocks (82.8%) $ Par $ (000) ----------------------------------------------------------- Consumer Discretionary (11.3%) *Advance Auto Parts, Inc. 14,280 631 *Amazon.com, Inc. 15,725 855 *eBay, Inc. 18,000 1,655 *Echostar Communications Corp. -- Class A 2,355 72 *Kohl's Corp. 10,325 437 NIKE, Inc. -- Class B 16,515 1,251 Outback Steakhouse, Inc. 3,385 140 ----- Total 5,041 ----- Consumer Staples (3.8%) *Energizer Holdings, Inc. 14,535 654 The Procter & Gamble Co. 19,160 1,043 ----- Total 1,697 ----- Energy (2.3%) Murphy Oil Corp. 8,615 635 Suncor Energy, Inc. 14,570 373 ----- Total 1,008 ----- Financials (14.5%) The Allstate Corp. 17,160 799 Bank of America Corp. 19,725 1,668 *Berkshire Hathaway, Inc. -- Class B 135 399 The Goldman Sachs Group, Inc. 12,555 1,182 SLM Corp. 29,580 1,197 Wells Fargo & Co. 20,680 1,184 ----- Total 6,429 ----- Health Care (21.3%) Aetna, Inc. 19,850 1,687 *Anthem, Inc. 4,625 414 *Forest Laboratories, Inc. 11,710 663 *Genentech, Inc. 59,000 3,317 *Invitrogen Corp. 5,755 414 UnitedHealth Group, Inc. 44,280 2,757 *Wellpoint Health Networks, Inc. -- Class A 2,190 245 ----- Total 9,497 ----- Industrials (5.5%) 3M Co. 12,760 1,149 United Parcel Service, Inc. -- Class B 17,260 1,297 ----- Total 2,446 ----- Information Technology (19.7%) *Apple Computer, Inc. 39,890 1,298 *Applied Materials, Inc. 59,705 1,171 *Cisco Systems, Inc. 33,850 802
Shares/ Value Common Stocks (82.8%) $ Par $ (000) -------------------------------------------------------------- Information Technology continued *Electronic Arts, Inc. 33,130 1,807 *KLA-Tencor Corp. 19,555 966 *NVIDIA Corp. 21,520 441 *SanDisk Corp. 5,425 118 *Synopsys, Inc. 11,600 330 Texas Instruments, Inc. 41,145 995 *Yahoo!, Inc. 22,540 819 ------ Total 8,747 ------ Telecommunication Services (4.4%) *Nextel Communications, Inc. -- Class A 50,185 1,338 Vodafone Group PLC, ADR 27,395 606 ------ Total 1,944 ------ Total Common Stocks (Cost: $29,052) 36,809 ------ Money Market Investments (17.1%) -------------------------------------------------------------- Federal Government & Agencies (14.4%) Federal National Mortgage Association, 1.25%, 7/21/04 6,400,000 6,395 ------ Total 6,395 ------ Finance Services (2.7%) Preferred Receivable Funding, 1.20%, 7/13/04 1,200,000 1,200 ------ Total 1,200 ------ Total Money Market Investments (Cost: $7,595) 7,595 ------ Total Investments (99.9%) (Cost $36,647)(a) 44,404 ------ Other Assets, Less Liabilities (0.1%) 65 ------ Total Net Assets (100.0%) 44,469 ------
* Non-Income Producing ADR -- American Depository Receipt (a)At June 30, 2004 the aggregate cost of securities for federal tax purposes was $36,647 and the net unrealized appreciation of investments based on that cost was $7,757 which is comprised of $8,052 aggregate gross unrealized appreciations and $295 aggregate gross unrealized depreciation. The Accompanying Notes are an Integral Part of the Financial Statements 20 Janus Capital Appreciation Portfolio Growth Stock Portfolio Northwestern Mutual Series Funds Schedule of Investments June 30, 2004 (unaudited)
Shares/ Value Common Stocks (96.4%) $ Par $ (000) -------------------------------------------------- Consumer Discretionary (18.3%) *Bed Bath & Beyond, Inc. 115,900 4,456 Best Buy Co., Inc. 67,900 3,445 Carnival Corp. 125,000 5,875 *Comcast Corp. -- Class A 120,084 3,366 Fortune Brands, Inc. 156,700 11,821 Gannett Co., Inc. 37,200 3,156 Harley-Davidson, Inc. 129,600 8,027 *InterActiveCorp 95,200 2,869 J.C. Penney Co., Inc. 192,600 7,273 *Kohl's Corp. 91,500 3,869 Lowe's Companies, Inc. 118,700 6,238 McDonald's Corp. 178,300 4,636 The McGraw-Hill Companies, Inc. 84,200 6,447 The News Corp. Ltd., ADR 138,700 4,560 NIKE, Inc. -- Class B 73,600 5,575 PETsMART, Inc. 79,600 2,583 Staples, Inc. 196,300 5,754 Target Corp. 275,000 11,680 *Time Warner, Inc. 299,000 5,256 Tribune Co. 99,600 4,536 Viacom, Inc. -- Class B 149,900 5,354 Wendy's International, Inc. 129,000 4,494 ------- Total 121,270 ------- Consumer Staples (8.2%) Altria Group, Inc. 151,200 7,568 Anheuser-Busch Companies, Inc. 59,000 3,186 Avon Products, Inc. 63,100 2,911 The Coca-Cola Co. 94,700 4,780 *Dean Foods Co. 111,100 4,145 PepsiCo, Inc. 184,400 9,935 The Procter & Gamble Co. 30,200 1,644 Wal-Mart Stores, Inc. 269,800 14,236 Walgreen Co. 165,500 5,993 ------- Total 54,398 ------- Energy (5.7%) ConocoPhillips 118,008 9,003 EOG Resources, Inc. 132,500 7,912 Exxon Mobil Corp. 287,034 12,746 Halliburton Co. 177,000 5,356 *Noble Corp. 70,700 2,679 ------- Total 37,696 ------- Financials (15.1%) American Express Co. 191,600 9,844 American International Group, Inc. 118,900 8,475 Citigroup, Inc. 358,700 16,681 The Goldman Sachs Group, Inc. 91,400 8,606 Lehman Brothers Holdings, Inc. 83,900 6,313 Morgan Stanley 182,400 9,625 Principal Financial Group, Inc. 285,600 9,933 Prudential Financial, Inc. 156,600 7,277 U.S. Bancorp 233,200 6,427
Shares/ Value Common Stocks (96.4%) $ Par $ (000) ------------------------------------------------------- Financials continued Wachovia Corp. 105,900 4,713 Wells Fargo & Co. 215,700 12,345 ------- Total 100,239 ------- Health Care (15.4%) Abbott Laboratories 152,500 6,216 *Amgen, Inc. 166,800 9,102 *Boston Scientific Corp. 58,100 2,487 *Caremark Rx, Inc. 157,800 5,198 Eli Lilly and Co. 124,800 8,725 *Forest Laboratories, Inc. 66,000 3,738 *Genentech, Inc. 29,100 1,635 *Gilead Sciences, Inc. 77,000 5,159 Guidant Corp. 42,300 2,364 Johnson & Johnson 180,900 10,076 Medtronic, Inc. 201,100 9,798 Pfizer, Inc. 459,550 15,753 *St. Jude Medical, Inc. 55,600 4,206 Teva Pharmaceutical Industries, Ltd., ADR 184,800 12,435 UnitedHealth Group, Inc. 48,300 3,007 *Zimmer Holdings, Inc. 24,200 2,134 ------- Total 102,033 ------- Industrials (8.3%) *American Standard Companies, Inc. 378,300 15,249 Caterpillar, Inc. 41,800 3,321 FedEx Corp. 146,100 11,935 General Electric Co. 635,200 20,581 Tyco International, Ltd. 120,800 4,003 ------- Total 55,089 ------- Information Technology (21.6%) *Accenture, Ltd. -- Class A 180,500 4,960 *Affiliated Computer Services, Inc. -- Class A 125,300 6,633 Analog Devices, Inc. 90,300 4,251 *Applied Materials, Inc. 179,100 3,514 *ASML Holding N.V. 232,400 3,976 *Broadcom Corp. -- Class A 94,900 4,438 *Cisco Systems, Inc. 601,000 14,244 *Dell, Inc. 194,500 6,967 First Data Corp. 223,500 9,950 *Fiserv, Inc. 124,362 4,836 Hewlett-Packard Co. 463,300 9,776 Intel Corp. 499,300 13,781 International Business Machines Corp. 109,300 9,635 *Lexmark International, Inc. -- Class A 53,300 5,145 Microsoft Corp. 775,800 22,157 Motorola, Inc. 146,900 2,681 *National Semiconductor Corp. 148,000 3,255 *NVIDIA Corp. 110,000 2,255 Taiwan Semiconductor Manufacturing Co., Ltd., ADR 558,538 4,641
Growth Stock Portfolio 21 Growth Stock Portfolio
Shares/ Value Common Stocks (96.4%) $ Par $ (000) ---------------------------------------------------- Information Technology continued Texas Instruments, Inc. 152,800 3,695 *Yahoo!, Inc. 91,610 3,328 ------- Total 144,118 ------- Materials (2.3%) Air Products and Chemicals, Inc. 65,100 3,414 Alcoa, Inc. 140,400 4,638 PPG Industries, Inc. 60,200 3,762 Praxair, Inc. 86,000 3,432 ------- Total 15,246 ------- Other Holdings (0.7%) Nasdaq-100 Trust, Series 1 40,200 1,518 Semiconductor HOLDRS (SM) Trust 83,200 3,142 ------- Total 4,660 ------- Telecommunication Services (0.8%) Vodafone Group PLC, ADR 233,800 5,167 ------- Total 5,167 ------- Total Common Stocks (Cost: $575,371) 639,916 ------- Money Market Investments (3.8%) ---------------------------------------------------- Agricultural Services (1.7%) Cargill, Inc., 1.44%, 7/1/04 11,400,000 11,400 ------- Total 11,400 ------- Federal Government & Agencies (0.6%) Federal Home Loan Bank, 1.055%, 7/16/04 4,000,000 3,998 ------- Total 3,998 -------
Shares/ Value Money Market Investments (3.8%) $ Par $ (000) --------------------------------------------------------- Short Term Business Credit (1.5%) (b)Sheffield Receivables, 1.30%, 7/26/04 10,000,000 9,991 ------- Total 9,991 ------- Total Money Market Investments (Cost: $25,389) 25,389 ------- Total Investments (100.2%) (Cost $600,760)(a) 665,305 ------- Other Assets, Less Liabilities (-0.2%) (1,335) ------- Total Net Assets (100.0%) 663,970 -------
* Non-Income Producing ADR -- American Depository Receipt (a)At June 30, 2004 the aggregate cost of securities for federal tax purposes was $600,760 and the net unrealized appreciation of investments based on that cost was $64,545 which is comprised of $82,227 aggregate gross unrealized appreciations and $17,682 aggregate gross unrealized depreciation. (b)All or a portion of the securities have been committed as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.
Unrealized Appreciation/ Number of Expiration Depreciation Issuer (000's) Contracts Date (000's) -------------------------------------------------- S&P 500 Index Futures 19 9/04 $31 (Total Notional Value at June 30, 2004, $5,386 )
The Accompanying Notes are an Integral Part of the Financial Statements 22 Growth Stock Portfolio Large Cap Core Stock Portfolio Northwestern Mutual Series Fund, Inc. Schedule of Investments June 30, 2004 (unaudited)
Shares/ Value Common Stocks (97.8%) $ Par $ (000) -------------------------------------------------- Consumer Discretionary (13.4%) Best Buy Co., Inc. 43,100 2,187 Carnival Corp. 84,700 3,981 *Comcast Corp. -- Class A 78,014 2,187 DaimlerChrysler AG 47,000 2,212 Fortune Brands, Inc. 60,000 4,526 Gannett Co., Inc. 24,000 2,036 J. C. Penney Co., Inc. 130,500 4,927 Lear Corp. 59,600 3,516 *Liberty Media Corp. -- Class A 364,300 3,275 McDonald's Corp. 110,600 2,876 The News Corp. Ltd., ADR 94,000 3,091 NIKE, Inc. -- Class B 57,700 4,371 Omnicom Group, Inc. 30,000 2,277 PETsMART, Inc. 54,300 1,762 Staples, Inc. 133,200 3,904 Target Corp. 100,500 4,268 *Time Warner, Inc. 178,000 3,129 The TJX Companies, Inc. 91,800 2,216 Viacom, Inc. -- Class B 39,700 1,418 Wendy's International, Inc. 63,100 2,198 ------ Total 60,357 ------ Consumer Staples (9.6%) Altria Group, Inc. 134,400 6,727 Anheuser-Busch Companies, Inc. 40,300 2,176 Avon Products, Inc. 43,300 1,998 The Coca-Cola Co. 85,100 4,296 *Dean Foods Co. 70,350 2,625 The Gillette Co. 57,500 2,438 PepsiCo, Inc. 106,400 5,733 The Procter & Gamble Co. 138,400 7,534 Wal-Mart Stores, Inc. 123,000 6,489 Walgreen Co. 87,000 3,150 ------ Total 43,166 ------ Energy (7.4%) BP PLC, ADR 40,800 2,186 ConocoPhillips 80,244 6,122 Devon Energy Corp. 28,100 1,855 EOG Resources, Inc. 69,300 4,138 Exxon Mobil Corp. 246,400 10,942 Halliburton Co. 120,900 3,658 Schlumberger, Ltd. 44,100 2,801 Valero Energy Corp. 23,900 1,763 ------ Total 33,465 ------ Financials (16.7%) American Express Co. 60,200 3,093 American International Group, Inc. 107,200 7,641 Bank of America Corp. 51,700 4,375 Bank One Corp. 87,800 4,478 The Chubb Corp. 29,200 1,991 CIT Group, Inc. 56,200 2,152 Citigroup, Inc. 252,900 11,760
Shares/ Value Common Stocks (97.8%) $ Par $ (000) --------------------------------------------------------- Financials continued Countrywide Financial Corp. 66,000 4,637 The Goldman Sachs Group, Inc. 40,000 3,766 The Hartford Financial Services Group, Inc. 41,900 2,880 Lehman Brothers Holdings, Inc. 46,100 3,469 Morgan Stanley 62,800 3,314 *Piper Jaffray Companies, Inc. 1,658 75 Prudential Financial, Inc. 110,000 5,112 U.S. Bancorp 197,300 5,438 Wachovia Corp. 68,900 3,066 Wells Fargo & Co. 129,600 7,417 ------ Total 74,664 ------ Health Care (13.0%) Abbott Laboratories 93,900 3,827 *Amgen, Inc. 69,100 3,771 *Boston Scientific Corp. 39,900 1,708 *Caremark Rx, Inc. 107,300 3,534 Eli Lilly and Co. 81,300 5,684 *Forest Laboratories, Inc. 44,300 2,509 *Genentech, Inc. 20,000 1,124 Guidant Corp. 33,000 1,844 Johnson & Johnson 142,900 7,960 Medtronic, Inc. 90,900 4,429 Pfizer, Inc. 288,212 9,879 *St. Jude Medical, Inc. 37,900 2,867 Teva Pharmaceutical Industries, Ltd., ADR 114,100 7,678 UnitedHealth Group, Inc. 26,400 1,643 ------ Total 58,457 ------ Industrials (9.6%) 3M Co. 73,000 6,571 Canadian National Railway Co. 90,000 3,923 FedEx Corp. 50,600 4,134 General Electric Co. 428,900 13,895 Honeywell International, Inc. 89,790 3,289 Tyco International, Ltd. 82,700 2,741 United Technologies Corp. 55,000 5,031 Waste Management, Inc. 121,000 3,709 ------ Total 43,293 ------ Information Technology (17.3%) *Accenture, Ltd. -- Class A 122,400 3,364 *Affiliated Computer Services, Inc. -- Class A 42,500 2,250 Analog Devices, Inc. 71,600 3,371 *ASML Holding N.V. 133,700 2,288 *Broadcom Corp. -- Class A 77,200 3,611 *Cisco Systems, Inc. 482,700 11,440 *Dell, Inc. 108,500 3,886 First Data Corp. 133,700 5,952 *Fiserv, Inc. 43,200 1,680 Hewlett-Packard Co. 203,302 4,290 Intel Corp. 254,600 7,027
Large Cap Core Stock Portfolio 23 Large Cap Core Stock Portfolio
Shares/ Value Common Stocks (97.8%) $ Par $ (000) ------------------------------------------------------- Information Technology continued International Business Machines Corp. 52,000 4,584 *Lexmark International, Inc. -- Class A 36,700 3,543 Microsoft Corp. 435,700 12,443 Motorola, Inc. 98,800 1,803 *National Semiconductor Corp. 99,800 2,195 SAP AG, ADR 88,500 3,700 ------- Total 77,427 ------- Materials (5.1%) Air Products and Chemicals, Inc. 21,800 1,143 Alcoa, Inc. 94,000 3,105 The Dow Chemical Co. 80,200 3,264 Monsanto Co. 100,800 3,880 Newmont Mining Corp. 47,700 1,849 PPG Industries, Inc. 36,000 2,250 Praxair, Inc. 58,200 2,323 Temple-Inland, Inc. 46,900 3,248 Weyerhaeuser Co. 31,800 2,007 ------- Total 23,069 ------- Telecommunication Services (3.2%) *AT&T Wireless Services, Inc. 117,900 1,688 *Nextel Communications, Inc. -- Class A 131,500 3,506 SBC Communications, Inc. 114,000 2,765 Verizon Communications, Inc. 108,348 3,921 Vodafone Group PLC, ADR 103,500 2,287 ------- Total 14,167 ------- Utilities (2.5%) DTE Energy Co. 50,100 2,031 Duke Energy Corp. 118,800 2,410 Edison International 70,501 1,803 *PG&E Corp. 178,600 4,990 ------- Total 11,234 ------- Total Common Stocks (Cost: $395,719) 439,299 -------
Shares/ Value Money Market Investments (2.1%) $ Par $ (000) -------------------------------------------------------- Agricultural Services (2.0%) (b)Cargill, Inc., 1.44%, 7/1/04 8,900,000 8,900 ------- Total 8,900 ------- Federal Government and Agencies (0.1%) Federal National Mortgage Association, 1.03%, 7/14/04 500,000 500 ------- Total 500 ------- Total Money Market Investments (Cost: $9,400) 9,400 ------- Total Investments (99.9%) (Cost $405,119)(a) 448,699 ------- Other Assets, Less Liabilities (0.1%) 546 ------- Total Net Assets (100.0%) 449,245 -------
* Non-Income Producing ADR -- American Depository Receipt (a)At June 30, 2004 the aggregate cost of securities for federal tax purposes was $405,119 and the net unrealized appreciation of investments based on that cost was $43,580 which is comprised of $61,658 aggregate gross unrealized appreciations and $18,078 aggregate gross unrealized depreciation. (b)All or a portion of the securities have been committed as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.
Unrealized Appreciation/ Number of Expiration Depreciation Issuer (000's) Contracts Date (000's) -------------------------------------------------- S&P 500 Index Futures 14 9/04 $22 (Total Notional Value at June 30, 2004, $3,969 )
The Accompanying Notes are an Integral Part of the Financial Statements 24 Large Cap Core Stock Portfolio Capital Guardian Domestic Equity Portfolio Northwestern Mutual Series Funds Schedule of Investments June 30, 2004 (unaudited)
Shares/ Value Common Stocks (91.7%) $ Par $ (000) ------------------------------------------------------ Consumer Discretionary (4.3%) *AutoNation, Inc. 53,900 922 Boise Cascade Corp. 25,300 952 Carnival Corp. 27,400 1,289 Ford Motor Co. 21,300 333 Mattel, Inc. 37,700 688 Starwood Hotels & Resorts Worldwide, Inc. 24,900 1,117 The Thomson Corp. 31,300 1,047 *Time Warner, Inc. 45,700 803 ------ Total 7,151 ------ Consumer Staples (9.2%) Altria Group, Inc. 88,400 4,424 Campbell Soup Co. 98,100 2,637 General Mills, Inc. 22,800 1,084 Kimberly-Clark Corp. 26,900 1,772 Kraft Foods, Inc. -- Class A 120,900 3,830 Unilever NV 21,700 1,487 ------ Total 15,234 ------ Energy (9.1%) ChevronTexaco Corp. 7,100 668 Exxon Mobil Corp. 24,300 1,079 Royal Dutch Petroleum Co. 71,100 3,674 Shell Transport & Trading Co., ADR 59,300 2,651 *Transocean, Inc. 63,400 1,835 Unocal Corp. 97,300 3,697 *Weatherford International, Ltd. 31,700 1,426 ------ Total 15,030 ------ Financials (21.0%) American International Group, Inc. 15,500 1,105 *AmeriCredit Corp. 82,100 1,603 Assurant, Inc. 25,400 670 Bank One Corp. 103,400 5,274 The Chubb Corp. 5,300 361 Everest Re Group, Ltd. 17,900 1,438 Fannie Mae 14,500 1,035 General Growth Properties, Inc. 113,200 3,347 The Goldman Sachs Group, Inc. 6,800 640 The Hartford Financial Services Group, Inc. 66,800 4,592 J.P. Morgan Chase & Co. 29,300 1,136 The PMI Group, Inc. 44,800 1,950 SLM Corp. 92,100 3,725 The St. Paul Travelers Companies, Inc. 15,823 641 Washington Mutual, Inc. 49,700 1,920 Wells Fargo & Co. 73,800 4,224 XL Capital, Ltd. -- Class A 16,100 1,215 ------ Total 34,876 ------ Health Care (8.9%) *Anthem, Inc. 24,400 2,185 AstraZeneca PLC, ADR 54,400 2,483
Shares/ Value Common Stocks (91.7%) $ Par $ (000) ------------------------------------------------------ Health Care continued CIGNA Corp. 15,400 1,060 Eli Lilly and Co. 22,800 1,594 *Lincare Holdings, Inc. 30,500 1,002 Merck & Co., Inc. 57,500 2,731 *PacifiCare Health Systems, Inc. 13,600 526 Pfizer, Inc. 45,100 1,546 *Triad Hospitals, Inc. 44,900 1,672 ------ Total 14,799 ------ Industrials (14.2%) Canadian National Railway Co. 6,750 294 Canadian Pacific Railway, Ltd. 24,900 613 Emerson Electric Co. 13,400 852 Fluor Corp. 29,200 1,392 General Electric Co. 153,300 4,966 Hubbell, Inc. -- Class B 22,600 1,056 Ingersoll-Rand Co. -- Class A 41,600 2,842 *Navistar International Corp. 23,100 895 Northrop Grumman Corp. 52,000 2,792 Raytheon Co. 32,000 1,145 Siemens AG, ADR 8,200 595 Tyco International, Ltd. 20,100 666 Union Pacific Corp. 31,800 1,891 United Technologies Corp. 38,900 3,558 ------ Total 23,557 ------ Information Technology (3.5%) *Affiliated Computer Services, Inc. -- Class A 18,800 995 *Avnet, Inc. 40,400 917 *Cadence Design Systems, Inc. 74,700 1,093 Hewlett-Packard Co. 30,484 643 *Micron Technology, Inc. 30,900 473 *Polycom, Inc. 12,300 276 Sabre Holdings Corp. -- Class A 52,000 1,441 ------ Total 5,838 ------ Materials (7.4%) Air Products and Chemicals, Inc. 86,900 4,559 Alcoa, Inc. 8,600 284 The Dow Chemical Co. 23,300 948 E. I. du Pont de Nemours and Co. 84,700 3,762 International Paper Co. 53,600 2,396 Nucor Corp. 3,900 299 ------ Total 12,248 ------ Telecommunication Services (7.8%) CenturyTel, Inc. 18,200 547 SBC Communications, Inc. 79,400 1,925 Sprint Corp. 380,300 6,694 Verizon Communications, Inc. 106,500 3,854 ------ Total 13,020 ------
Capital Guardian Domestic Equity Portfolio 25 Capital Guardian Domestic Equity Portfolio
Shares/ Value Common Stocks (91.7%) $ Par $ (000) ------------------------------------------------- Utilities (6.3%) *The AES Corp. 72,400 719 American Electric Power Co., Inc. 37,400 1,197 Duke Energy Corp. 118,600 2,406 Equitable Resources, Inc. 48,800 2,524 FirstEnergy Corp. 5,700 213 *Kinder Morgan Management, LLC. 28,184 1,036 NiSource, Inc. 19,300 398 Pinnacle West Capital Corp. 50,400 2,036 ------- Total 10,529 ------- Total Common Stocks (Cost: $132,409) 152,282 ------- Preferred Stocks (1.2%) ------------------------------------------------- Consumer Discretionary (0.8%) Ford Motor Co., Capital Trust II 22,500 1,235 ------- Total 1,235 ------- Materials (0.4%) Phelps Dodge Corp. 4,300 698 ------- Total 698 ------- Total Preferred Stocks (Cost: $1,567) 1,933 -------
Shares/ Value Money Market Investments (7.0%) $ Par $ (000) -------------------------------------------------------- Federal Government & Agencies (6.3%) Federal National Mortgage Association, 1.25%, 7/21/04 10,500,000 10,493 ------- Total 10,493 ------- Short Term Business Credit (0.7%) Sheffield Receivables, 1.22%, 7/14/04 1,200,000 1,199 ------- Total 1,199 ------- Total Money Market Investments (Cost: $11,692) 11,692 ------- Total Investments (99.9%) (Cost $145,668)(a) 165,907 ------- Other Assets, Less Liabilities (0.1%) 109 ------- Total Net Assets (100.0%) 166,016 -------
* Non-Income Producing ADR -- American Depository Receipt (a)At June 30, 2004 the aggregate cost of securities for federal tax purposes was $145,668 and the net unrealized appreciation of investments based on that cost was $20,239 which is comprised of $21,432 aggregate gross unrealized appreciations and $1,193 aggregate gross unrealized depreciation. 26 Capital Guardian Domestic Equity Portfolio The Accompanying Notes are an Integral Part of the Financial Statements T. Rowe Price Equity Income Portfolio Northwestern Mutual Series Fund, Inc. Schedule of Investments June 30, 2004 (unaudited)
Shares/ Value Common Stocks (94.9%) $ Par $ (000) ------------------------------------------------- Consumer Discretionary (17.3%) *Comcast Corp. -- Class A 25,500 715 Dow Jones & Co., Inc. 13,900 627 Eastman Kodak Co. 22,400 604 Ford Motor Co. 16,200 254 Fortune Brands, Inc. 8,000 603 Genuine Parts Co. 15,500 615 Hasbro, Inc. 8,600 163 Hilton Hotels Corp. 23,100 431 The Home Depot, Inc. 17,100 602 Knight-Ridder, Inc. 6,900 497 Mattel, Inc. 31,100 568 The May Department Stores Co. 11,300 311 McDonald's Corp. 23,700 616 The New York Times Co. -- Class A 18,300 818 Newell Rubbermaid, Inc. 30,000 705 Starwood Hotels & Resorts Worldwide, Inc. 12,500 561 *Time Warner, Inc. 48,400 850 *Toys "R" Us, Inc. 16,600 264 Viacom, Inc. -- Class B 22,600 807 The Walt Disney Co. 29,600 755 ------ Total 11,366 ------ Consumer Staples (5.3%) Altria Group, Inc. 7,200 360 Campbell Soup Co. 21,300 573 The Clorox Co. 6,500 350 Colgate-Palmolive Co. 6,500 380 ConAgra Foods, Inc. 8,600 233 General Mills, Inc. 10,700 509 Kimberly-Clark Corp. 9,600 631 UST, Inc. 11,500 414 Winn-Dixie Stores, Inc. 1,500 11 ------ Total 3,461 ------ Energy (10.5%) Amerada Hess Corp. 14,100 1,117 Anadarko Petroleum Corp. 8,700 510 Baker Hughes, Inc. 4,900 184 BP PLC, ADR 12,800 686 ChevronTexaco Corp. 13,000 1,223 El Paso Corp. 19,300 152 Exxon Mobil Corp. 29,100 1,293 Marathon Oil Corp. 4,200 159 Royal Dutch Petroleum Co. 18,200 940 Schlumberger, Ltd. 5,800 368 Unocal Corp. 6,500 247 ------ Total 6,879 ------ Financials (18.2%) American Express Co. 13,100 673 Bank of America Corp. 13,250 1,121 Bank One Corp. 18,400 938
Shares/ Value Common Stocks (94.9%) $ Par $ (000) ------------------------------------------------------ Financials continued The Charles Schwab Corp. 21,200 204 The Chubb Corp. 7,200 491 Citigroup, Inc. 9,400 437 Fannie Mae 7,100 507 Federated Investors, Inc. -- Class B 4,200 127 J.P. Morgan Chase & Co. 14,600 566 Janus Capital Group, Inc. 7,700 127 Lincoln National Corp. 12,076 571 Marsh & McLennan Companies, Inc. 20,300 921 Mellon Financial Corp. 17,000 499 Mercantile Bankshares Corp. 7,700 361 Morgan Stanley 13,300 702 National City Corp. 8,900 312 Northern Trust Corp. 6,800 288 SAFECO Corp. 15,000 660 Simon Property Group, Inc. 6,500 334 The St. Paul Travelers Companies, Inc. 16,727 678 SunTrust Banks, Inc. 8,500 552 UnumProvident Corp. 30,200 480 Wells Fargo & Co. 5,400 309 Wilmington Trust Corp. 4,500 167 ------ Total 12,025 ------ Health Care (9.7%) Abbott Laboratories 10,000 408 Baxter International, Inc. 19,100 659 Bristol-Myers Squibb Co. 39,200 960 CIGNA Corp. 8,800 606 Johnson & Johnson 16,400 913 *MedImmune, Inc. 16,800 393 Merck & Co., Inc. 23,900 1,135 Schering-Plough Corp. 27,600 510 Wyeth 21,200 767 ------ Total 6,351 ------ Industrials (13.9%) Cooper Industries, Ltd. -- Class A 12,900 766 *The Dun & Bradstreet Corp. 5,500 297 Emerson Electric Co. 4,700 299 General Electric Co. 43,600 1,412 Honeywell International, Inc. 31,400 1,150 Hubbell, Inc. -- Class B 2,200 103 Lockheed Martin Corp. 13,000 677 Norfolk Southern Corp. 17,500 464 Pall Corp. 19,500 511 Raytheon Co. 18,100 647 Rockwell Automation, Inc. 12,000 450 Rockwell Collins, Inc. 18,600 620 Union Pacific Corp. 15,100 898 W.W. Grainger, Inc. 4,300 247 Waste Management, Inc. 20,000 613 ------ Total 9,154 ------
T. Rowe Price Equity Income Portfolio 27 T. Rowe Price Equity Income Portfolio
Shares/ Value Common Stocks (94.9%) $ Par $ (000) --------------------------------------------------------- Information Technology (4.2%) *Agere Systems, Inc. -- Class A 8,400 19 Hewlett-Packard Co. 30,000 633 *Lucent Technologies, Inc. 44,800 169 Microsoft Corp. 26,400 755 Motorola, Inc. 33,800 617 Nokia Corp., ADR 21,000 305 Texas Instruments, Inc. 10,500 254 ------ Total 2,752 ------ Materials (6.4%) Alcoa, Inc. 8,400 277 The Dow Chemical Co. 15,100 615 E. I. du Pont de Nemours and Co. 12,900 573 Great Lakes Chemical Corp. 11,500 311 *Hercules, Inc. 19,200 234 International Flavors & Fragrances, Inc. 9,300 348 International Paper Co. 17,600 787 MeadWestvaco Corp. 14,400 423 Nucor Corp. 6,500 499 Vulcan Materials Co. 2,200 105 ------ Total 4,172 ------ Telecommunication Services (5.3%) ALLTEL Corp. 11,900 602 AT&T Corp. 15,600 228 *Qwest Communications International, Inc. 136,500 490 SBC Communications, Inc. 24,600 597 Sprint Corp. 36,400 641 Verizon Communications, Inc. 26,000 941 ------ Total 3,499 ------ Utilities (4.1%) Constellation Energy Group, Inc. 12,900 489 Duke Energy Corp. 32,200 653 FirstEnergy Corp. 10,900 408 NiSource, Inc. 24,600 507 TECO Energy, Inc. 6,300 76 TXU Corp. 13,900 563 ------ Total 2,696 ------ Total Common Stocks (Cost: $54,480) 62,355 ------
Shares/ Value Convertible Corporate Debt (0.3%) $ Par $ (000) --------------------------------------------------------- Information Technology (0.3%) Lucent Technologies, 8.00%, 8/1/31 165,000 185 ------ Total Convertible Corporate Debt (Cost: $158) 185 ------ Preferred Stocks (0.3%) --------------------------------------------------------- Consumer Discretionary (0.1%) Ford Motor Co., Capital Trust II 1,400 77 ------ Total 77 ------ Financials (0.2%) (g)UnumProvident Corp. 5,900 146 ------ Total 146 ------ Total Preferred Stocks (Cost: $208) 223 ------ Money Market Investments (4.7%) --------------------------------------------------------- Other Holdings (4.7%) Reserve Investment Fund 3,062,875 3,063 ------ Total Money Market Investments (Cost: $3,063) 3,063 ------ Total Investments (100.2%) (Cost $57,909)(a) 65,826 ------ Other Assets, Less Liabilities (-0.2%) (158) ------ Total Net Assets (100.0%) 65,668 ------
* Non-Income Producing ADR -- American Depository Receipt (a)At June 30, 2004 the aggregate cost of securities for federal tax purposes was $57,909 and the net unrealized appreciation of investments based on that cost was $7,917 which is comprised of $8,478 aggregate gross unrealized appreciations and $561 aggregate gross unrealized depreciation. (g)Security restricted to resale. At June 30, 2004, the value of these securities was $146, representing 0.22% of net assets. The Accompanying Notes are an Integral Part of the Financial Statements 28 T. Rowe Price Equity Income Portfolio Index 500 Stock Portfolio Northwestern Mutual Series Funds Schedule of Investments June 30, 2004 (unaudited)
Shares/ Value Common Stocks (98.3%) $ Par $ (000) --------------------------------------------------------- Consumer Discretionary (10.8%) *AutoNation, Inc. 44,700 764 *AutoZone, Inc. 13,925 1,115 *Bed Bath & Beyond, Inc. 50,200 1,930 Best Buy Co., Inc. 54,150 2,748 *Big Lots, Inc. 19,200 278 The Black & Decker Corp. 13,200 820 Boise Cascade Corp. 14,600 550 Brunswick Corp. 15,800 645 Carnival Corp. 105,709 4,968 Centex Corp. 20,600 942 Circuit City Stores, Inc. 33,200 430 Clear Channel Communications, Inc. 102,650 3,793 *Comcast Corp. -- Class A 374,570 10,498 Cooper Tire & Rubber Co. 12,400 285 Dana Corp. 24,850 487 Darden Restaurants, Inc. 26,850 552 Delphi Automotive Systems Corp. 93,587 1,000 Dillard's, Inc. -- Class A 13,964 311 Dollar General Corp. 55,048 1,077 Dow Jones & Co., Inc. 13,620 614 Eastman Kodak Co. 47,883 1,292 *eBay, Inc. 109,800 10,096 Family Dollar Stores, Inc. 28,600 870 Federated Department Stores, Inc. 30,051 1,476 Ford Motor Co. 305,794 4,786 Fortune Brands, Inc. 24,467 1,846 Gannett Co., Inc. 45,550 3,865 The Gap, Inc. 150,375 3,647 General Motors Corp. 94,327 4,395 Genuine Parts Co. 29,100 1,155 *The Goodyear Tire & Rubber Co. 29,300 266 Harley-Davidson, Inc. 49,300 3,054 Harrah's Entertainment, Inc. 18,850 1,020 Hasbro, Inc. 29,325 557 Hilton Hotels Corp. 64,050 1,195 The Home Depot, Inc. 371,294 13,069 International Game Technology 58,300 2,250 *The Interpublic Group of Companies, Inc. 70,000 961 J. C. Penney Co., Inc. 47,150 1,780 Johnson Controls, Inc. 31,700 1,692 Jones Apparel Group, Inc. 21,100 833 KB Home 7,800 535 Knight-Ridder, Inc. 13,150 947 *Kohl's Corp. 56,967 2,409 Leggett & Platt Inc. 32,033 856 The Limited, Inc. 78,705 1,472 Liz Claiborne, Inc. 18,500 666 Lowe's Companies, Inc. 131,350 6,902 Marriott International, Inc. -- Class A 37,800 1,885 Mattel, Inc. 70,588 1,288 The May Department Stores Co. 48,550 1,335 Maytag Corp. 13,133 322 McDonald's Corp. 210,278 5,467
Shares/ Value Common Stocks (98.3%) $ Par $ (000) ---------------------------------------------------- Consumer Discretionary continued The McGraw-Hill Companies, Inc. 31,860 2,440 Meredith Corp. 8,400 462 The New York Times Co. -- Class A 24,870 1,112 Newell Rubbermaid, Inc. 45,892 1,078 NIKE, Inc. -- Class B 44,100 3,341 Nordstrom, Inc. 23,267 991 *Office Depot, Inc. 52,157 934 Omnicom Group, Inc. 31,600 2,398 Pulte Corp. 21,200 1,103 RadioShack Corp. 26,900 770 Reebok International, Ltd. 10,000 360 Sears, Roebuck & Co. 35,550 1,342 The Sherwin-Williams Co. 23,913 994 Snap-on, Inc. 9,717 326 The Stanley Works 13,650 622 Staples, Inc. 83,100 2,436 *Starbucks Corp. 66,250 2,881 Starwood Hotels & Resorts Worldwide, Inc. 34,600 1,552 Target Corp. 152,557 6,479 Tiffany & Co. 24,467 902 *Time Warner, Inc. 761,600 13,388 The TJX Companies, Inc. 82,700 1,996 *Toys "R" Us, Inc. 35,750 569 Tribune Co. 54,736 2,493 *Univision Communications, Inc. -- Class A 54,000 1,724 V. F. Corp. 18,357 894 Viacom, Inc. -- Class B 289,448 10,339 Visteon Corp. 21,583 252 The Walt Disney Co. 342,757 8,737 Wendy's International, Inc. 19,050 664 Whirlpool Corp. 11,550 792 *Yum! Brands, Inc. 48,380 1,801 ------- Total 194,168 ------- Consumer Staples (11.0%) Adolph Coors Co. -- Class B 6,200 449 Alberto-Culver Co. -- Class B 15,150 760 Albertson's, Inc. 61,454 1,631 Altria Group, Inc. 342,522 17,143 Anheuser-Busch Companies, Inc. 134,349 7,255 Archer-Daniels-Midland Co. 108,603 1,822 Avon Products, Inc. 78,800 3,636 Brown-Forman Corp. -- Class B 20,318 981 Campbell Soup Co. 68,622 1,845 The Clorox Co. 35,450 1,907 The Coca-Cola Co. 406,875 20,539 Coca-Cola Enterprises, Inc. 78,500 2,276 Colgate-Palmolive Co. 88,922 5,197 ConAgra Foods, Inc. 88,267 2,390 Costco Wholesale Corp. 76,664 3,149 CVS Corp. 66,367 2,789
Index 500 Stock Portfolio 29 Index 500 Stock Portfolio
Shares/ Value Common Stocks (98.3%) $ Par $ (000) ------------------------------------------------------ Consumer Staples continued General Mills, Inc. 63,167 3,002 The Gillette Co. 167,635 7,108 H.J. Heinz Co. 58,817 2,306 Hershey Foods Corp. 43,300 2,003 Kellogg Co. 68,557 2,869 Kimberly-Clark Corp. 83,756 5,518 *The Kroger Co. 124,005 2,257 McCormick & Co., Inc. 23,000 782 The Pepsi Bottling Group, Inc. 43,000 1,313 PepsiCo, Inc. 285,130 15,363 The Procter & Gamble Co. 429,410 23,377 R.J. Reynolds Tobacco Holdings, Inc. 14,200 960 *Safeway, Inc. 74,500 1,888 Sara Lee Corp. 132,035 3,035 SUPERVALU, Inc. 22,550 690 SYSCO Corp. 106,825 3,832 UST, Inc. 27,667 996 Wal-Mart Stores, Inc. 716,400 37,796 Walgreen Co. 171,146 6,197 Winn-Dixie Stores, Inc. 23,750 171 Wm. Wrigley Jr. Co. 37,467 2,362 ------- Total 197,594 ------- Energy (6.5%) Amerada Hess Corp. 15,000 1,188 Anadarko Petroleum Corp. 42,062 2,465 Apache Corp. 54,346 2,367 Ashland, Inc. 11,700 618 Baker Hughes, Inc. 55,630 2,094 *BJ Services Co. 26,900 1,233 Burlington Resources, Inc. 66,266 2,398 ChevronTexaco Corp. 178,757 16,822 ConocoPhillips 114,510 8,736 Devon Energy Corp. 40,100 2,647 El Paso Corp. 107,071 844 EOG Resources, Inc. 19,460 1,162 Exxon Mobil Corp. 1,092,356 48,511 Halliburton Co. 73,469 2,223 Kerr-McGee Corp. 25,005 1,345 Kinder Morgan, Inc. 20,667 1,225 Marathon Oil Corp. 57,709 2,184 *Nabors Industries, Ltd. 24,850 1,124 *Noble Corp. 22,550 854 Occidental Petroleum Corp. 65,320 3,162 *Rowan Companies, Inc. 17,650 429 Schlumberger, Ltd. 98,367 6,247 Sunoco, Inc. 12,650 805 *Transocean, Inc. 53,551 1,550 Unocal Corp. 44,067 1,675 Valero Energy Corp. 21,500 1,586 The Williams Companies, Inc. 86,800 1,033 ------- Total 116,527 ------- Financials (19.8%) ACE, Ltd. 47,300 2,000 (b)AFLAC, Inc. 84,950 3,467 The Allstate Corp. 117,328 5,462
Shares/ Value Common Stocks (98.3%) $ Par $ (000) ------------------------------------------------------ Financials continued Ambac Financial Group, Inc. 18,100 1,329 American Express Co. 213,475 10,968 American International Group, Inc. 435,630 31,052 AmSouth Bancorporation 58,855 1,499 Aon Corp. 52,600 1,498 Apartment Investment and Management Co. -- Class A 15,700 489 Bank of America Corp. 340,536 28,816 The Bank of New York Co., Inc. 129,853 3,828 Bank One Corp. 187,386 9,557 BB&T Corp. 93,700 3,464 The Bear Stearns Companies, Inc. 17,495 1,475 Capital One Financial Corp. 40,000 2,735 The Charles Schwab Corp. 227,939 2,190 Charter One Financial, Inc. 37,420 1,654 The Chubb Corp. 31,650 2,158 Cincinnati Financial Corp. 28,134 1,224 Citigroup, Inc. 863,748 40,165 Comerica, Inc. 28,950 1,589 Countrywide Financial Corp. 46,650 3,277 *E*TRADE Group, Inc. 61,000 680 Equity Office Properties Trust 67,400 1,833 Equity Residential Properties Trust 46,800 1,391 Fannie Mae 161,848 11,549 Federated Investors, Inc. -- Class B 18,100 549 Fifth Third Bancorp 94,034 5,057 First Horizon National Corp. 20,700 941 Franklin Resources, Inc. 41,750 2,091 Freddie Mac 114,986 7,279 Golden West Financial Corp. 25,450 2,707 The Goldman Sachs Group, Inc. 80,600 7,589 The Hartford Financial Services Group, Inc. 48,750 3,351 Huntington Bancshares, Inc. 38,342 878 J.P. Morgan Chase & Co. 347,848 13,486 Janus Capital Group, Inc. 40,029 660 Jefferson-Pilot Corp. 23,334 1,185 KeyCorp 68,575 2,050 Lehman Brothers Holdings, Inc. 46,222 3,478 Lincoln National Corp. 29,740 1,405 Loews Corp. 30,967 1,857 M&T Bank Corp. 19,800 1,729 Marsh & McLennan Companies, Inc. 87,380 3,965 Marshall & Ilsley Corp. 37,100 1,450 MBIA, Inc. 24,150 1,379 MBNA Corp. 213,415 5,504 Mellon Financial Corp. 70,868 2,079 Merrill Lynch & Co., Inc. 160,500 8,664 MetLife, Inc. 126,236 4,526 MGIC Investment Corp. 16,500 1,252 Moody's Corp. 24,975 1,615 Morgan Stanley 183,613 9,689 National City Corp. 103,797 3,634 North Fork Bancorporation, Inc. 28,900 1,100 Northern Trust Corp. 36,850 1,558 Plum Creek Timber Co., Inc. (REIT) 30,600 997 The PNC Financial Services Group, Inc. 47,067 2,498
30 Index 500 Stock Portfolio Index 500 Stock Portfolio
Shares/ Value Common Stocks (98.3%) $ Par $ (000) ------------------------------------------------------ Financials continued Principal Financial Group, Inc. 53,300 1,854 The Progressive Corp. 36,300 3,096 ProLogis 30,300 997 *Providian Financial Corp. 48,657 714 Prudential Financial, Inc. 87,900 4,085 Regions Financial Corp. 36,686 1,341 SAFECO Corp. 23,250 1,023 Simon Property Group, Inc. 34,800 1,789 SLM Corp. 73,342 2,967 SouthTrust Corp. 55,067 2,137 The St. Paul Travelers Companies, Inc. 111,410 4,517 State Street Corp. 56,100 2,751 SunTrust Banks, Inc. 47,133 3,063 Synovus Financial Corp. 50,950 1,290 T. Rowe Price Group, Inc. 21,100 1,063 Torchmark Corp. 18,550 998 U.S. Bancorp 316,621 8,726 Union Planters Corp. 31,737 946 UnumProvident Corp. 49,531 788 Wachovia Corp. 219,581 9,771 Washington Mutual, Inc. 144,487 5,583 Wells Fargo & Co. 281,880 16,132 XL Capital, Ltd. -- Class A 23,100 1,743 Zions Bancorporation 15,000 922 ------- Total 359,847 ------- Health Care (13.1%) Abbott Laboratories 260,550 10,620 Aetna, Inc. 25,477 2,166 Allergan, Inc. 21,967 1,966 AmerisourceBergen Corp. 18,800 1,124 *Amgen, Inc. 212,417 11,592 *Anthem, Inc. 23,200 2,078 Applera Corp. -- Applied Biosystems Group 33,733 734 Bausch & Lomb, Inc. 8,800 573 Baxter International, Inc. 102,400 3,534 Becton, Dickinson and Co. 42,350 2,194 *Biogen Idec, Inc. 56,790 3,592 Biomet, Inc. 42,545 1,891 *Boston Scientific Corp. 139,472 5,969 Bristol-Myers Squibb Co. 324,808 7,958 C.R. Bard, Inc. 17,400 986 Cardinal Health, Inc. 71,925 5,038 *Caremark Rx, Inc. 76,400 2,517 *Chiron Corp. 31,522 1,407 CIGNA Corp. 23,629 1,626 Eli Lilly and Co. 188,706 13,192 *Express Scripts, Inc. 13,000 1,030 *Forest Laboratories, Inc. 61,766 3,498 *Genzyme Corp. 37,800 1,789 Guidant Corp. 52,388 2,927 HCA, Inc. 81,111 3,373 Health Management Associates, Inc. -- Class A 40,600 910 *Hospira, Inc. 26,065 719 *Humana, Inc. 27,000 456
Shares/ Value Common Stocks (98.3%) $ Par $ (000) ----------------------------------------------------- Health Care continued IMS Health, Inc. 39,267 920 Johnson & Johnson 495,837 27,618 *King Pharmaceuticals, Inc. 40,366 462 Manor Care, Inc. 14,800 484 McKesson HBOC, Inc. 48,905 1,679 *Medco Health Solutions, Inc. 45,272 1,698 *MedImmune, Inc. 41,500 971 Medtronic, Inc. 202,500 9,866 Merck & Co., Inc. 371,120 17,628 *Millipore Corp. 8,200 462 Mylan Laboratories, Inc. 44,900 909 Pfizer, Inc. 1,274,534 43,691 Quest Diagnostics Inc. 17,300 1,470 Schering-Plough Corp. 245,850 4,543 *St. Jude Medical, Inc. 29,400 2,224 Stryker Corp. 66,800 3,674 *Tenet Healthcare Corp. 77,750 1,043 UnitedHealth Group, Inc. 102,872 6,404 *Watson Pharmaceuticals, Inc. 18,100 487 *Wellpoint Health Networks, Inc. -- Class A 26,000 2,912 Wyeth 222,729 8,054 *Zimmer Holdings, Inc. 40,737 3,593 ------- Total 236,251 ------- Industrials (11.3%) 3M Co. 130,676 11,761 *Allied Waste Industries, Inc. 52,950 698 *American Power Conversion Corp. 33,350 655 *American Standard Companies, Inc. 35,900 1,447 *Apollo Group, Inc. -- Class A 29,500 2,605 Avery Dennison Corp. 18,450 1,181 The Boeing Co. 140,876 7,196 Burlington Northern Santa Fe Corp. 61,985 2,174 Caterpillar, Inc. 57,088 4,535 Cendant Corp. 170,333 4,170 Cintas Corp. 28,633 1,365 Cooper Industries, Ltd. -- Class A 15,500 921 Crane Co. 9,975 313 CSX Corp. 35,850 1,175 Cummins, Inc. 7,200 450 Danaher Corp. 51,400 2,665 Deere & Co. 41,560 2,915 *Delta Air Lines, Inc. 20,767 148 Deluxe Corp. 8,351 363 Dover Corp. 33,967 1,430 Eaton Corp. 25,200 1,631 Emerson Electric Co. 70,450 4,477 Equifax, Inc. 22,900 567 FedEx Corp. 49,920 4,078 Fluor Corp. 13,800 658 General Dynamics Corp. 33,200 3,297 General Electric Co. 1,762,906 57,117 Goodrich Corp. 19,600 634 H&R Block, Inc. 29,250 1,395 Honeywell International, Inc. 143,450 5,255 Illinois Tool Works, Inc. 51,700 4,958
Index 500 Stock Portfolio 31 Index 500 Stock Portfolio
Shares/ Value Common Stocks (98.3%) $ Par $ (000) --------------------------------------------------------- Industrials continued Ingersoll-Rand Co. -- Class A 28,980 1,980 ITT Industries, Inc. 15,500 1,287 Lockheed Martin Corp. 75,008 3,906 Masco Corp. 73,200 2,282 *Monster Worldwide, Inc. 19,567 503 *Navistar International Corp. 11,650 452 Norfolk Southern Corp. 65,457 1,736 Northrop Grumman Corp. 60,020 3,223 PACCAR, Inc. 29,307 1,700 Pall Corp. 20,850 546 Parker-Hannifin Corp. 19,975 1,188 Pitney Bowes, Inc. 38,637 1,710 *Power-One, Inc. 14,000 154 R. R. Donnelley & Sons Co. 36,334 1,200 Raytheon Co. 74,800 2,676 Robert Half International, Inc. 28,640 853 Rockwell Automation, Inc. 31,050 1,165 Rockwell Collins, Inc. 29,650 988 Ryder System, Inc. 10,900 437 Southwest Airlines Co. 131,967 2,213 Textron, Inc. 22,950 1,362 *Thomas & Betts Corp. 9,800 267 Tyco International, Ltd. 335,008 11,101 Union Pacific Corp. 43,260 2,572 United Parcel Service, Inc. -- Class B 188,300 14,154 United Technologies Corp. 85,867 7,854 W.W. Grainger, Inc. 15,200 874 Waste Management, Inc. 96,885 2,970 ------- Total 203,587 ------- Information Technology (16.9%) (b)*ADC Telecommunications, Inc. 135,150 384 Adobe Systems, Inc. 39,925 1,857 *Advanced Micro Devices, Inc. 59,100 940 *Affiliated Computer Services, Inc. -- Class A 22,700 1,202 *Agilent Technologies, Inc. 80,437 2,355 *Altera Corp. 62,511 1,389 Analog Devices, Inc. 62,757 2,955 *Andrew Corp. 26,837 537 *Apple Computer, Inc. 63,500 2,066 *Applied Materials, Inc. 281,600 5,525 *Applied Micro Circuits Corp. 52,100 277 Autodesk, Inc. 18,934 811 Automatic Data Processing, Inc. 98,650 4,131 *Avaya, Inc. 74,116 1,170 *BMC Software, Inc. 37,260 689 *Broadcom Corp. -- Class A 52,500 2,455 *CIENA Corp. 94,800 353 *Cisco Systems, Inc. 1,129,400 26,767 *Citrix Systems, Inc. 28,420 579 Computer Associates International, Inc. 97,692 2,741 *Computer Sciences Corp. 31,350 1,456 *Compuware Corp. 64,457 425 *Comverse Technology, Inc. 32,700 652 *Convergys Corp. 23,950 369 *Corning, Inc. 229,200 2,993 *Dell, Inc. 421,433 15,096
Shares/ Value Common Stocks (98.3%) $ Par $ (000) --------------------------------------------------------- Information Technology continued *Electronic Arts, Inc. 50,600 2,760 Electronic Data Systems Corp. 80,867 1,549 *EMC Corp. 408,174 4,653 First Data Corp. 145,732 6,488 *Fiserv, Inc. 32,525 1,265 *Gateway, Inc. 62,250 280 Hewlett-Packard Co. 509,326 10,747 Intel Corp. 1,080,363 29,817 International Business Machines Corp. 281,539 24,818 *Intuit, Inc. 32,000 1,235 *Jabil Circuit, Inc. 33,567 845 *JDS Uniphase Corp. 240,600 912 *KLA-Tencor Corp. 32,800 1,620 *Lexmark International, Inc. -- Class A 21,700 2,095 Linear Technology Corp. 51,650 2,039 *LSI Logic Corp. 63,700 485 *Lucent Technologies, Inc. 715,736 2,705 Maxim Integrated Products, Inc. 53,800 2,820 *Mercury Interactive Corp. 15,400 767 *Micron Technology, Inc. 101,950 1,561 Microsoft Corp. 1,803,000 51,493 Molex, Inc. 31,650 1,015 Motorola, Inc. 391,577 7,146 *National Semiconductor Corp. 59,886 1,317 *NCR Corp. 15,800 784 *Network Appliance, Inc. 58,000 1,249 *Novell, Inc. 64,600 542 *Novellus Systems, Inc. 24,700 777 *NVIDIA Corp. 27,700 568 *Oracle Corp. 867,725 10,352 *Parametric Technology Corp. 44,680 223 Paychex, Inc. 63,035 2,136 *PeopleSoft, Inc. 60,900 1,127 PerkinElmer, Inc. 21,300 427 *PMC-Sierra, Inc. 29,500 423 *QLogic Corp. 15,550 413 QUALCOMM, Inc. 135,367 9,879 Sabre Holdings Corp. -- Class A 23,267 645 *Sanmina-SCI Corp. 87,000 792 Scientific-Atlanta, Inc. 25,600 883 *Siebel Systems, Inc. 83,900 896 *Solectron Corp. 160,600 1,039 *Sun Microsystems, Inc. 555,597 2,411 *SunGard Data Systems, Inc. 48,500 1,261 *Symantec Corp. 52,100 2,281 Symbol Technologies, Inc. 39,150 577 Tektronix, Inc. 14,160 482 *Tellabs, Inc. 69,492 607 *Teradyne, Inc. 32,450 737 Texas Instruments, Inc. 289,100 6,990 *Thermo Electron Corp. 27,700 851 *Unisys Corp. 55,650 772 *VERITAS Software Corp. 72,132 1,998 *Waters Corp. 20,000 956 *Xerox Corp. 133,700 1,939 Xilinx, Inc. 57,900 1,929 *Yahoo!, Inc. 224,900 8,171 ------- Total 305,723 -------
32 Index 500 Stock Portfolio Index 500 Stock Portfolio
Shares/ Value Common Stocks (98.3%) $ Par $ (000) --------------------------------------------------------- Materials (2.9%) Air Products and Chemicals, Inc. 37,967 1,991 Alcoa, Inc. 145,207 4,796 Allegheny Technologies, Inc. 13,517 244 Ball Corp. 9,366 675 Bemis Co., Inc. 17,900 506 The Dow Chemical Co. 156,409 6,366 E. I. du Pont de Nemours and Co. 167,028 7,420 Eastman Chemical Co. 12,925 598 Ecolab, Inc. 42,900 1,360 Engelhard Corp. 20,800 672 Freeport-McMoRan Copper & Gold, Inc. -- Class B 29,581 981 Georgia-Pacific Corp. 42,604 1,575 Great Lakes Chemical Corp. 8,500 230 *Hercules, Inc. 18,400 224 International Flavors & Fragrances, Inc. 15,700 587 International Paper Co. 81,066 3,624 Louisiana-Pacific Corp. 18,200 430 MeadWestvaco Corp. 33,679 990 Monsanto Co. 44,353 1,708 Newmont Mining Corp. 73,980 2,867 Nucor Corp. 13,233 1,016 *Pactiv Corp. 25,600 638 *Phelps Dodge Corp. 15,624 1,211 PPG Industries, Inc. 28,667 1,791 Praxair, Inc. 54,300 2,167 Rohm and Haas Co. 37,380 1,554 *Sealed Air Corp. 14,121 752 Sigma-Aldrich Corp. 11,500 686 Temple-Inland, Inc. 9,200 637 United States Steel Corp. 18,950 666 Vulcan Materials Co. 17,100 813 Weyerhaeuser Co. 40,280 2,542 Worthington Industries, Inc. 14,500 298 ------ Total 52,615 ------ Telecommunication Services (3.4%) ALLTEL Corp. 51,457 2,605 (b)AT&T Corp. 132,607 1,940 (b)*AT&T Wireless Services, Inc. 455,597 6,524 BellSouth Corp. 306,365 8,033 CenturyTel, Inc. 23,200 697 *Citizens Communications Co. 47,900 580 *Nextel Communications, Inc. -- Class A 185,350 4,941 *Qwest Communications International, Inc. 298,035 1,070 SBC Communications, Inc. 553,147 13,414 Sprint Corp. 238,189 4,192 Verizon Communications, Inc. 462,742 16,746 ------ Total 60,742 ------
Shares/ Value Common Stocks (98.3%) $ Par $ (000) --------------------------------------------------------- Utilities (2.6%) (b)*The AES Corp. 106,400 1,057 *Allegheny Energy, Inc. 21,200 327 Ameren Corp. 30,467 1,309 American Electric Power Co., Inc. 66,040 2,113 *Calpine Corp. 69,460 300 Centerpoint Energy, Inc. 51,262 590 Cinergy Corp. 30,084 1,143 *CMS Energy Corp. 27,100 247 Consolidated Edison, Inc. 40,250 1,600 Constellation Energy Group, Inc. 28,100 1,065 Dominion Resources, Inc. 54,495 3,437 DTE Energy Co. 28,950 1,174 Duke Energy Corp. 152,830 3,101 *Dynegy, Inc. -- Class A 63,300 270 Edison International 54,420 1,392 Entergy Corp. 38,409 2,151 Exelon Corp. 110,424 3,675 FirstEnergy Corp. 55,065 2,060 FPL Group, Inc. 30,857 1,973 KeySpan Corp. 26,700 980 Nicor, Inc. 7,350 250 NiSource, Inc. 43,973 907 Peoples Energy Corp. 6,300 266 *PG&E Corp. 70,025 1,956 Pinnacle West Capital Corp. 15,300 618 PPL Corp. 29,734 1,365 Progress Energy, Inc. 41,192 1,815 Public Service Enterprise Group, Inc. 39,536 1,583 Sempra Energy 38,402 1,322 The Southern Co. 123,200 3,590 TECO Energy, Inc. 31,500 378 TXU Corp. 54,065 2,190 Xcel Energy, Inc. 66,720 1,115 --------- Total 47,319 --------- Total Common Stocks (Cost: $1,376,073) 1,774,373 --------- Money Market Investments (1.1%) --------------------------------------------------------- Agricultural Services (0.4%) (b)Cargill, Inc., 1.44%, 7/1/04 6,600,000 6,600 --------- Total 6,600 --------- Federal Government & Agencies (0.2%) (b)Federal Home Loan Bank, 1.055%, 7/16/04 3,000,000 2,999 --------- Total 2,999 ---------
Index 500 Stock Portfolio 33 Index 500 Stock Portfolio
Shares/ Value Money Market Investments (1.1%) $ Par $ (000) -------------------------------------------------------- Finance Lessors (0.5%) (b)Receivable Capital Trust, 1.33%, 7/30/04 10,000,000 9,989 --------- Total 9,989 --------- Total Money Market Investments (Cost: $19,588) 19,588 --------- Total Investments (99.4%) (Cost $1,395,661)(a) 1,793,961 --------- Other Assets, Less Liabilities (0.6%) 10,240 --------- Total Net Assets (100.0%) 1,804,201 ---------
* Non-Income Producing (a)At June 30, 2004 the aggregate cost of securities for federal tax purposes was $1,395,661 and the net unrealized appreciation of investments based on that cost was $398,300 which is comprised of $562,782 aggregate gross unrealized appreciations and $164,482 aggregate gross unrealized depreciation. (b)All or a portion of the securities have been committed as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.
Unrealized Appreciation/ Number of Expiration (Depreciation) Issuer (000's) Contracts Date (000's) --------------------------------------------------- S&P 500 Index Futures 97 9/04 $169 (Total Notional Value at June 30, 2004, $27,486 )
34 Index 500 Stock Portfolio The Accompanying Notes are an Integral Part of the Financial Statements Asset Allocation Portfolio Northwestern Mutual Series Fund, Inc. Schedule of Investments June 30, 2004 (unaudited)
Domestic Common Stocks and Warrants Shares/ Value (38.1%) $ Par $ (000) --------------------------------------------------- Large Cap Common Stocks (25.0%) --------------------------------------------------- Consumer Discretionary (5.1%) *Bed Bath & Beyond, Inc. 7,500 288 Best Buy Co., Inc. 4,100 208 Carnival Corp. 8,100 381 *Comcast Corp. -- Class A 7,600 213 DaimlerChrysler AG 4,400 207 Fortune Brands, Inc. 11,200 845 Gannett Co., Inc. 4,600 390 Harley-Davidson, Inc. 8,200 508 *InterActiveCorp 7,300 220 J. C. Penney Co., Inc. 12,400 468 *Kohl's Corp. 6,100 258 Lowe's Companies, Inc. 1,500 79 McDonald's Corp. 10,800 281 The McGraw-Hill Companies, Inc. 5,200 398 The News Corp., Ltd., ADR 9,200 302 NIKE, Inc. -- Class B 4,800 364 Omnicom Group, Inc. 6,000 455 PETsMART, Inc. 5,200 169 Staples, Inc. 12,900 378 Target Corp. 18,000 764 *Time Warner, Inc. 19,000 334 Tribune Co. 6,000 273 Viacom, Inc. -- Class B 11,500 411 Wendy's International, Inc. 8,600 300 ----- Total Consumer Discretionary 8,494 ----- Consumer Staples (2.1%) Altria Group, Inc. 11,400 571 Anheuser-Busch Companies, Inc. 3,600 194 Avon Products, Inc. 4,200 194 The Coca-Cola Co. 6,400 323 *Dean Foods Co. 7,250 270 PepsiCo, Inc. 11,700 630 The Procter & Gamble Co. 1,800 98 Wal-Mart Stores, Inc. 17,000 898 Walgreen Co. 10,500 380 ----- Total Consumer Staples 3,558 ----- Energy (1.5%) ConocoPhillips 8,100 618 EOG Resources, Inc. 8,600 514 Exxon Mobil Corp. 19,300 857 Halliburton Co. 11,300 342 *Noble Corp. 3,800 144 ----- Total Energy 2,475 ----- Financials (3.9%) American Express Co. 6,400 329 American International Group, Inc. 12,200 870 The Chubb Corp. 5,700 389
Shares/ Value Large Cap Common Stocks (25.0%) $ Par $ (000) --------------------------------------------------------- Financials continued Citigroup, Inc. 23,100 1,075 Countrywide Credit Industries, Inc. 4,149 291 The Goldman Sachs Group, Inc. 5,800 546 Lehman Brothers Holdings, Inc. 5,100 384 Morgan Stanley 11,000 580 Prudential Financial, Inc. 8,400 390 U.S. Bancorp 15,500 427 Wachovia Corp. 7,100 316 Wells Fargo & Co. 15,300 876 ----- Total Financials 6,473 ----- Health Care (3.9%) Abbott Laboratories 8,800 359 *Amgen, Inc. 11,400 622 *Boston Scientific Corp. 3,700 158 *Caremark Rx, Inc. 10,200 336 Eli Lilly and Co. 6,000 419 *Forest Laboratories, Inc. 4,600 260 *Genentech, Inc. 1,900 107 *Gilead Sciences, Inc. 4,900 328 Guidant Corp. 2,800 156 Johnson & Johnson 11,500 641 Medtronic, Inc. 13,000 633 *Pfizer, Inc. 31,200 1,071 *St. Jude Medical, Inc. 3,600 272 Teva Pharmaceutical Industries, Ltd., ADR 11,800 795 *UnitedHealth Group, Inc. 2,400 149 *Zimmer Holdings, Inc. 1,500 132 ----- Total Health Care 6,438 ----- Industrials (1.6%) Canadian National Railway Co. 10,000 436 Caterpillar, Inc. 2,800 222 FedEx Corp. 1,700 139 General Electric Co. 42,000 1,361 Tyco International, Ltd. 7,800 258 United Parcel Service, Inc. -- Class B 3,000 226 ----- Total Industrials 2,642 ----- Information Technology (5.4%) *Accenture Ltd. -- Class A 11,300 311 *Affiliated Computer Services, Inc. -- Class A 8,300 439 Analog Devices, Inc. 5,300 250 *Applied Materials, Inc. 11,300 222 *ASML Holding N.V. 15,100 258 *Broadcom Corp. -- Class A 6,400 299 *Cisco Systems, Inc. 36,300 861 *Dell, Inc. 11,900 426 First Data Corp. 13,500 601 *Fiserv, Inc. 8,000 311 Hewlett-Packard Co. 30,500 644
Asset Allocation Portfolio 35 Asset Allocation Portfolio
Shares/ Value Large Cap Common Stocks (25.0%) $ Par $ (000) ----------------------------------------------------- Information Technology continued Intel Corp. 30,600 845 International Business Machines Corp. 6,400 564 *Lexmark International Group, Inc. -- Class A 3,500 338 Microsoft Corp. 47,800 1,366 Motorola, Inc. 9,700 177 *National Semiconductor Corp. 9,700 213 *NVIDIA Corp. 7,000 144 Taiwan Semiconductor-ADR 36,388 302 Texas Instruments, Inc. 10,100 244 *Yahoo!, Inc. 5,966 217 ------ Total Information Technology 9,032 ------ Materials (1.1%) Air Products and Chemicals, Inc. 3,800 199 Alcoa, Inc. 22,600 747 Newmont Mining Corp. 4,900 190 Praxair, Inc. 5,600 223 Weyerhaeuser Co. 6,800 429 ------ Total Materials 1,788 ------ Other Holdings (0.2%) *Nasdaq-100 Trust, Series 1 3,000 113 Semiconductor Holders Trust 5,800 219 ------ Total Other Holdings 332 ------ Telecommunication Services (0.2%) Vodafone Group PLC, ADR 15,500 343 ------ Total Telecommunication Services 343 ------ Total Large Cap Common Stocks 41,575 ------ Small Cap Common Stocks (13.1%) ----------------------------------------------------- Consumer Discretionary (3.1%) *AnnTaylor Stores Corp. 7,625 221 *Cabela's, Inc. -- Class A 400 11 Circuit City Stores, Inc. 4,700 61 *Coach, Inc. 4,500 203 *Digital Theater Systems, Inc. 4,700 123 *Entercom Communications Corp. -- Class A 2,700 101 Fairmont Hotels & Resorts, Inc. 6,400 172 Jones Apparel Group, Inc. 4,900 193 *Lamar Advertising Co. -- Class A 7,200 312 Leggett & Platt Inc. 17,600 470 Michaels Stores, Inc. 9,600 528 *Multimedia Games, Inc. 11,800 316 *O'Reilly Automotive, Inc. 22,300 1,009 *Orbitz, Inc. -- Class A 6,000 130 Orient-Express Hotel, Ltd. -- Class A 12,000 203 *Pinnacle Entertainment, Inc. 17,300 218
Shares/ Value Small Cap Common Stocks (13.1%) $ Par $ (000) ----------------------------------------------------- Consumer Discretionary continued Polaris Industries, Inc. 4,600 221 *Sharper Image Corp. 5,600 176 *Stoneridge, Inc. 1,700 29 The Talbots, Inc. 6,000 235 *Tommy Hilfiger Corp. 9,000 136 *Westwood One, Inc. 4,100 98 ----- Total Consumer Discretionary 5,166 ----- Energy (0.7%) *BJ Services Co. 5,800 266 *National-Oilwell, Inc. 8,200 258 Patterson-UTI Energy, Inc. 7,400 247 Pioneer Natural Resources Co. 3,400 119 *Smith International, Inc. 4,100 229 ----- Total Energy 1,119 ----- Financials (1.2%) *Assured Guaranty, Ltd. 6,500 110 BankAtlantic Bancorp, Inc. 6,500 120 CIT Group, Inc. 4,700 180 Investors Financial Services Corp. 18,000 784 Old Republic International Corp. 9,450 224 *Silicon Valley Bancshares 3,400 135 SouthTrust Corp. 9,100 353 *Trammell Crow Co. 9,800 138 ----- Total Financials 2,044 ----- Health Care (3.0%) *Bio-Rad Laboratories, Inc. Class A 2,200 129 *Bradley Pharmaceuticals, Inc. 7,500 209 *Caremark Rx, Inc. 11,136 367 *Cytyc Corp. 10,200 259 *DaVita, Inc. 46,750 1,442 Health Management Associates, Inc. -- Class A 12,200 274 *Kinetic Concepts, Inc. 3,700 185 *Kyphon, Inc. 6,600 186 *Lincare Holdings, Inc. 10,300 338 *Patterson Dental Co. 8,700 665 *Psychiatric Solutions, Inc. 8,200 204 *Radiation Therapy Services, Inc. 4,200 60 *Renal Care Group, Inc. 13,600 451 Select Medical Corp. 6,400 86 *Varian Medical Systems Inc. 1,200 95 ----- Total Health Care 4,950 ----- Industrials (2.1%) C.H. Robinson Worldwide, Inc. 9,800 449 Cintas Corp. 3,700 176 The Corporate Executive Board Co. 4,700 272 *Forward Air Corp. 4,900 183 *Hewitt Associates, Inc. 7,900 217 *Intersections, Inc. 7,400 178 *Knight Transportation, Inc. 11,750 338
36 Asset Allocation Portfolio Asset Allocation Portfolio
Shares/ Value Small Cap Common Stocks (13.1%) $ Par $ (000) ---------------------------------------------------------- Industrials continued L-3 Communications Holdings, Inc. 3,800 254 Manpower, Inc. 1,600 81 *Marlin Business Services Inc. 7,000 105 MSC Industrial Direct Co., Inc. -- Class A 10,800 355 Robert Half International, Inc. 6,800 202 Teleflex, Inc. 12,600 632 ------ Total Industrials 3,442 ------ Information Technology (3.0%) *Amdocs, Ltd. 7,100 166 *Brooks Automation, Inc. 7,380 149 CDW Corp. 3,800 242 *Cognos, Inc. 7,900 286 *Cree, Inc. 7,700 179 *Digital River, Inc. 3,400 111 *Electronics for Imaging, Inc. 10,100 285 *Genesis Microchip, Inc. 9,100 125 Harris Corp. 2,300 117 *Hyperion Solutions Corp. 5,300 232 *Integrated Circuit Systems, Inc. 4,500 122 *Lam Research Corp. 4,300 115 *Mercury Interactive Corp. 3,400 169 Microchip Technology, Inc. 9,100 287 *Netgear, Inc. 9,300 100 *O2Micro International, Ltd. 6,600 112 Paychex, Inc. 7,700 261 *Plexus Corp. 5,700 77 *QLogic Corp. 6,700 178 *Semtech Corp. 10,300 242 *Silicon Laboratories, Inc. 3,900 181 *Thermo Electron Corp. 7,400 227 *Tollgrade Communications, Inc. 5,800 62 *UTStarcom, Inc. 7,400 224 *Verint Systems, Inc. 4,100 140 *Westell Technologies, Inc. -- Class A 16,300 83 *Zebra Technologies Corp. -- Class A 6,200 539 ------ Total Information Technology 5,011 ------ Total Small Cap Common Stocks 21,732 ------ Warrants (0.0%) ---------------------------------------------------------- Basic Materials (0.0%) *Umicore-Strip VVPR 75 0 ------ Total Basic Materials 0 ------ Information Technology (0.0%) Belluna Co. Ltd. 307 2 ------ Total Information Technology 2 ------ Telecommunications (0.0%) IWO Holdings, Inc. 144A 50 0 ------ Total Telecommunications 0 ------ Total Warrants 2 ------ Total Domestic Common Stocks and Warrants (Cost: $55,459) 63,309 ------
Foreign Common Shares/ Value Stocks (15.8%) Country $ Par $ (000) -------------------------------------------------------- Basic Materials (0.5%) +CRH PLC Ireland 7,620 161 *+SGL Carbon AG Germany 3,781 36 +Shin-Etsu Chemical Co., Ltd. Japan 1,500 54 +Sumitomo Chemical Co., Ltd. Japan 35,000 164 *+Syngenta AG Switzerland 2,285 192 +Wienerberger AG Austria 4,556 159 ----- Total Basic Materials 766 ----- Conglomerates (1.1%) +Grupo Ferrovial Spain 6,685 279 *iShares MSCI EAFE Index Fund United States 7,840 1,122 *+Nomura TOPIX Exchange Traded Fund Japan 20,700 230 +Vinci SA France 2,380 240 ----- Total Conglomerates 1,871 ----- Consumer Cyclical (3.7%) +Autoliv, Inc. Sweden 4,090 171 +Berkeley Group PLC United Kingdom 8,290 186 +Beru AG Ludwigsburg Germany 2,200 169 +Bridgestone Corp. Japan 11,000 208 *+Bulgari SPA Italy 11,815 120 +Burberry Group PLC United Kingdom 24,335 181 Carnival Corp. United Kingdom 4,295 202 +Denway Motors, Ltd. Hong Kong 362,200 132 +Esprit Holdings, Ltd. Hong Kong 51,500 231 +Funai Electric Co., Ltd. Japan 1,100 167 *+Gestevision Telecinco SA Spain 1,755 26 +Hilton Group PLC United Kingdom 37,845 190 +Hyundai Motor Co., Ltd. South Korea 4,470 173 +Intercontinental Hotels United Kingdom 14,375 152 +Lagardere S.C.A. France 2,400 150 +Lottomatica SPA Italy 2,630 65 +Mediaset SPA Italy 15,870 181 +Metro AG Germany 3,225 154 +Michelin -- Class B Shares France 3,420 190 The News Corp., Ltd., ADR Australia 3,345 118 +Next PLC United Kingdom 14,675 379 +Nissan Motor Co., Ltd. Japan 14,200 158 +Nitori Co. Ltd. Japan 2,950 186 +Nobia AB Sweden 7,005 83 +Nokian Renkaat Oyj Finland 640 62 +Opap SA Greece 8,755 165 +Porsche AG Germany 222 150 +Punch Taverns PLC United Kingdom 22,695 210 +Rank Group PLC United Kingdom 29,115 159 +Signet Group PLC United Kingdom 91,330 190 *+Sogecable SA Spain 1,535 62 +Swatch Group AG Switzerland 1,550 202
Asset Allocation Portfolio 37 Asset Allocation Portfolio
Foreign Common Shares/ Value Stocks (15.8%) Country $ Par $ (000) ------------------------------------------------------ Consumer Cyclical continued +Techtronic Industries Co. Hong Kong 107,500 172 *Urbi Desarrollos Urbanos SA Mexico 13,240 42 *+USS Co., Ltd. Japan 2,220 192 *+Vivendi Universal SA France 6,885 192 Wal-Mart de Mexico -- Series V Mexico 46,945 139 +Wolseley PLC United Kingdom 11,715 182 ----- Total Consumer Cyclical 6,091 ----- Consumer Non-Cyclical (1.0%) *Cott Corp., ADR Canada 5,875 190 *Natura Cosmeticos SA Brazil 3,610 58 +Nestle SA Switzerland 710 190 +Puma AG Rudolf Dassler Sport Germany 1,320 336 +Reckitt Benckiser PLC United Kingdom 8,805 249 *+Royal Numico NV Netherlands 5,270 170 +Swedish Match AB Sweden 25,200 258 +Tesco PLC United Kingdom 42,810 207 ----- Total Consumer Non-Cyclical 1,658 ----- Energy (0.7%) +BG Group PLC United Kingdom 35,860 222 EnCana Corp. Canada 3,975 170 +ENI SPA Italy 9,565 190 Suncor Energy, Inc. Canada 6,130 155 +Technip France 1,418 193 +Total Fina Elf SA France 1,105 211 ----- Total Energy 1,141 ----- Financials (2.4%) +Alpha Bank AE Greece 7,182 183 +AMP, Ltd. Australia 47,625 211 *+Anglo Irish Bank Corp Ireland 21,892 344 *+Banco Espanol de Credito, SA Spain 12,920 154 +Banco Popolare Di Verona Italy 10,630 183 +Bank Rakyat Indonesia Indonesia 877,500 157 +BNP Paribas SA France 2,680 165 +Cattles PLC United Kingdom 23,195 133 +Corporacion Mapfre Spain 7,740 95 +Depra Bank PLC Ireland 12,885 188 +Erste Bank Der Oester Austria 1,710 269 +Fondiaria SAI SPA Italy 7,610 170 +HSBC Holdings PLC United Kingdom 7,759 117 +ING Groep NV Netherlands 6,380 151 *+Kookmin Bank South Korea 3,120 97 +Man Group PLC United Kingdom 6,370 165 Manulife Financial Corp. ADR Canada 4,215 171 *+Mitsubishi Tokyo Financial Japan 19 177 *+OM Hex AB Sweden 8,790 106 +OTP Bank RT Hungary 10,850 222
Foreign Common Shares/ Value Stocks (15.8%) Country $ Par $ (000) -------------------------------------------------------- Financials continued +Royal Bank of Scotland Group PLC United Kingdom 5,835 168 +Storebrand ASA Norway 28,640 196 +UFJ Holdings, Inc. Japan 19 85 ----- Total Financials 3,907 ----- Health Care (1.1%) *+Actelion, Ltd. Switzerland 1,315 151 +CSL., Ltd. Australia 9,125 142 *+Elekta AB -- Class B Shares Sweden 6,435 143 +GN Store Nord A/S Denmark 23,935 212 *Nobel Biocare AB Sweden 10 2 +Nobel Biocare Holding AG Switzerland 1,395 219 +Novartis AG Switzerland 4,030 178 *QLT, Inc. Canada 7,990 160 +Roche Holdings AG Switzerland 1,645 163 +Straumann Holding -- N Shares Switzerland 680 137 +Synthes, Inc. Switzerland 1,840 210 Teva Pharmaceutical Industries, Ltd., ADR Israel 2,770 186 ----- Total Health Care 1,903 ----- Industrials (1.7%) *+Ainax AB Sweden 330 11 +Atlas Copco AB-A Shares Sweden 5,075 189 +Canadian National Railway Co. Canada 4,320 184 +Capita Group PLC United Kingdom 33,820 196 *+Chiyoda Corp. Japan 29,000 207 +Cobham Group PLC United Kingdom 7,195 182 +Computershare, Ltd. Australia 15,265 34 *+Daewoo Shipbuilding & Marine Engineering Co. South Korea 13,290 161 *+Deutz AG Germany 8,909 38 +Keyence Corp. Japan 800 184 +Kubota Corp. Japan 45,000 241 +Li & Fung, Ltd. Hong Kong 74,000 108 +Meggitt PLC United Kingdom 34,141 162 *+Neopost SA France 2,620 155 +Omron Corp. Japan 7,900 185 +Premier Farnell PLC United Kingdom 35,135 157 +Schneider Electric SA France 2,500 171 +SMC Corp. Japan 1,200 131 +Volvo AB Sweden 5,370 187 ----- Total Industrials 2,883 ----- Technology (2.0%) +ASM Pacific Technology Hong Kong 18,500 70 +Canon, Inc. Japan 3,800 202 *+Chi Mei Optoelectronics Taiwan 97,000 157 +Citizen Electronics Co. Ltd. Japan 3,200 183
38 Asset Allocation Portfolio Asset Allocation Portfolio
Foreign Common Shares/ Value Stocks (15.8%) Country $ Par $ (000) ------------------------------------------------------- Technology continued +Dassault Systemes SA France 3,340 155 *+Epcos AG Germany 6,105 128 *+Ericsson LM -- B Shares Sweden 102,000 302 *+Gresham Computing PLC United Kingdom 26,575 167 +Hoya Corp. Japan 1,900 200 +Indra Sistemas SA Spain 13,060 167 +INFOSYS Technologies, Ltd. India 1,168 140 *+Kontron AG Germany 22,590 188 +Murata Manufacturing Co., Ltd. Japan 1,700 98 +Net One Systems Co., Ltd. Japan 65 255 *+Opera Software ASA Norway 10,540 14 +Philips Electronics NV Netherlands 6,515 176 +Sage Group PLC United Kingdom 41,065 139 +Samsung Electronics Co., Ltd. South Korea 520 216 +Siemens AG Germany 1,665 121 +Taiwan Semiconductor Manufacturing Co., Ltd. Taiwan 75,625 109 +TDK Corp. Japan 2,100 160 ----- Total Technology 3,347 ----- Telecommunication Services (0.7%) *+Freenet.de AG Germany 1,900 165 +KDDI Corp. Japan 34 196 *+Mobistar SA Belgium 3,860 241 *+PT Telekomunikasi Indonesia Indonesia 149,500 117 +Tele2 AB -- B Shares Sweden 1,345 59 *+Telefonica SA Spain 11,785 175 +Telekom Austria AG Austria 3,170 48 +Vodafone Group PLC United Kingdom 72,515 159 ----- Total Telecommunication Services 1,160 ----- Transportation (0.6%) +Deutsche Post AG Germany 6,415 139 +Exel PLC United Kingdom 7,570 106 +Fraport AG Germany 3,385 95 *+Golar LNG, Ltd. Bermuda 9,860 153 +Iberia Lineas Aereas de Espana SA Spain 16,545 48 +Kamigumi Co., Ltd. Japan 25,000 181 +Neptune Orient Lines, Ltd. Singapore 87,000 119 Thai Airways International Thailand 81,900 113 ----- Total Transportation 954 ----- Utilities (0.3%) +Brisa-Auto Estradas de Portugal SA Portugal 23,320 168 +Centrica PLC United Kingdom 39,045 159
Foreign Common Shares/ Value Stocks (15.8%) Country $ Par $ (000) --------------------------------------------------------- Utilities continued +Iberdrola SA Spain 8,180 174 ------ Total Utilities 501 ------ Total Foreign Common Stocks (Cost: $21,280) 26,182 ------ Revenue Bonds (0.2%) --------------------------------------------------------- Municipal Bonds -- Revenue (0.2%) Nashville & Davidson County, Tennessee Health and Educational 850,000 344 Facilities Board of The Metropolitan Government, 0.00%, 6/1/21, RB ------ Total Revenue Bonds (Cost: $363) 344 ------ Investment Grade Bonds (7.7%) --------------------------------------------------------- Auto Related (0.6%) American Honda Finance, 4.50%, 5/26/09 144A 350,000 350 Toyota Motor Credit Corp., 4.35%, 12/15/10 600,000 591 ------ Total Auto Related 941 ------ Beverages, Malt Beverages (0.1%) Anheuser-Busch Companies, Inc., 7.50%, 3/15/12 23,000 27 Coca-Cola Enterprises, Inc., 5.25%, 5/15/07 125,000 131 Coca-Cola Enterprises, Inc., 5.375%, 8/15/06 75,000 78 ------ Total Beverages, Malt Beverages 236 ------ Brokers (0.1%) Credit Suisse First Boston USA, Inc., 4.70%, 6/1/09 190,000 191 ------ Total Brokers 191 ------ Commercial Banks (1.3%) Bank of America Corp., 5.375%, 6/15/14 35,000 35 Bank One Corp., 5.25%, 1/30/13 250,000 246 HBOS Treasury Services, 3.75%, 9/30/08 144A 350,000 345 Rabobank Capital Fund II, 5.26%, 12/31/13 144A 350,000 339 RBS Capital Trust II, 6.425%, 1/3/34 350,000 335 Supra -- National Agency., 0.00%, 3/1/28 MTNB 1,550,000 361 UnionBanCal Corp., 5.25%, 12/16/13 350,000 345 Wells Fargo & Co., 3.125%, 4/1/09 250,000 237 ------ Total Commercial Banks 2,243 ------ Commercial Physical Research (0.2%) Monsanto Co., 7.375%, 8/15/12 250,000 283 ------ Total Commercial Physical Research 283 ------
Asset Allocation Portfolio 39 Asset Allocation Portfolio
Shares/ Value Investment Grade Bonds (7.7%) $ Par $ (000) --------------------------------------------------------- Computer and Other Data Processing Service (0.3%) Gtech Holdings Corp., 4.75%, 10/15/10 565,000 553 ----- Total Computer and Other Data Processing Service 553 ----- Crude Petroleum and Natural Gas (0.1%) Occidental Petroleum, 10.125%, 9/15/09 120,000 149 ----- Total Crude Petroleum and Natural Gas 149 ----- Electrical Equipment and Supplies (0.1%) Cooper Industries, Inc., 5.50%, 11/1/09 200,000 209 ----- Total Electrical Equipment and Supplies 209 ----- Fire, Marine and Casualty Insurance (1.0%) Berkley (WR) Corp., 5.875%, 2/15/13 200,000 204 Berkley (WR) Corp., 9.875%, 5/15/08 600,000 709 Berkshire Hathaway, Inc., 4.625%, 10/15/13 400,000 382 Progressive Corp., 6.25%, 12/1/32 176,000 176 Progressive Corp., 6.375%, 1/15/12 130,000 140 ----- Total Fire, Marine and Casualty Insurance 1,611 ----- Measuring and Controlling Devices (0.1%) Rockwell Automation, Inc., 6.70%, 1/15/28 160,000 171 ----- Total Measuring and Controlling Devices 171 ----- Medical and Hospital Equipment (0.1%) Astrazeneca PLC, 5.40%, 6/1/14 165,000 167 ----- Total Medical and Hospital Equipment 167 ----- Miscellaneous Business Credit Institutions (0.2%) Textron Financial Corp., 2.75%, 6/1/06 350,000 347 ----- Total Miscellaneous Business Credit Institutions 347 ----- Motors and Generators (0.1%) Emerson Electric Co., 4.50%, 5/1/13 70,000 67 Emerson Electric Co., 5.75%, 11/1/11 48,000 51 ----- Total Motors and Generators 118 ----- Office Machines (0.1%) Pitney Bowes Credit Corp., 5.75%, 8/15/08 100,000 106 ----- Total Office Machines 106 ----- Pharmaceutical Preparations (1.2%) Abbott Laboratories, 3.75%, 3/15/11 260,000 247 GlaxoSmithKline Capital, Inc., 4.375%, 4/15/14 400,000 374 Johnson & Johnson, Inc., 3.80%, 5/15/13 350,000 321 Johnson & Johnson, Inc., 4.95%, 5/15/33 350,000 307 Merck & Co., Inc., 6.40%, 3/1/28 350,000 370 Pfizer, Inc., 4.50% 2/15/14 350,000 335 ----- Total Pharmaceutical Preparations 1,954 ----- Radio, TV Electronic Stores (0.2%) RadioShack Corp., 6.95%, 9/1/07 350,000 381 ----- Total Radio, TV Electronic Stores 381 -----
Shares/ Value Investment Grade Bonds (7.7%) $ Par $ (000) ----------------------------------------------------------- Real Estate Investment Trusts (0.3%) ERP Operating LP, 4.75%, 6/15/09 60,000 60 First Industrial LP, 5.25%, 6/15/09 50,000 50 Vornado Realty Trust, 4.75%, 12/1/10 350,000 340 ------ Total Real Estate Investment Trusts 450 ------ Retail-Retail Stores (0.5%) Fortune Brands, Inc., 4.875%, 12/1/13 350,000 342 Limited Brands, Inc., 6.125%, 12/1/12 70,000 73 Limited Brands, Inc., 6.95%, 3/1/33 205,000 215 VF Corp., 6.00%, 10/15/33 200,000 191 ------ Total Retail-Retail Stores 821 ------ Savings Institutions Except Federal (0.2%) U.S. Central Credit Union, 2.75%, 5/30/08 350,000 334 ------ Total Savings Institutions Except Federal 334 ------ Security Brokers and Dealers (0.2%) Goldman Sachs Group, Inc., 5.15%, 1/15/14 350,000 336 ------ Total Security Brokers and Dealers 336 ------ Steel Wire and Related Products (0.2%) Hubbell, Inc., 6.375%, 5/15/12 300,000 317 ------ Total Steel Wire and Related Products 317 ------ Toilet Preparations (0.4%) Estee Lauder, Inc., 5.75%, 10/15/33 350,000 333 The Gillette Co., 2.50%, 6/1/08 350,000 333 ------ Total Toilet Preparations 666 ------ Wines and Distilled Beverages (0.1%) Brown Forman Corp., 3.00%, 3/15/08 125,000 121 ------ Total Wines and Distilled Beverages 121 ------ Total Investment Grade Bonds (Cost: $13,069) 12,705 ------ Government (Domestic and Foreign) and Agency Bonds (19.7%) ----------------------------------------------------------- Federal Government and Agencies (19.7%) Housing & Urban Development, 6.08%, 8/1/13 100,000 107 Quebec Province, 4.875%, 5/5/14 160,000 156 State of Israel, 7.25%, 12/15/28 350,000 370 US Treasury, 1.125%, 6/30/05 80,000 79 US Treasury, 1.625%, 1/31/05 40,000 40 US Treasury, 1.625%, 4/30/05 55,000 55 US Treasury, 1.75%, 12/31/04 70,000 70 US Treasury, 1.875%, 11/30/05 1,100,000 1,092 US Treasury, 1.875%, 1/31/06 330,000 327 US Treasury, 2.00%, 8/31/05 140,000 140 US Treasury, 2.125%, 10/31/04 500,000 501 US Treasury, 2.25%, 2/15/07 2,600,000 2,549 US Treasury, 2.625%, 5/15/08 2,750,000 2,664 US Treasury, 2.625%, 3/15/09 1,081,000 1,029 US Treasury, 3.00%, 2/15/08 125,000 123 US Treasury, 3.00%, 2/15/09 3,205,000 3,105 US Treasury, 3.125%, 4/15/09 650,000 632
40 Asset Allocation Portfolio Asset Allocation Portfolio
Government (Domestic and Foreign) and Shares/ Value Agency Bonds (19.7%) $ Par $ (000) ---------------------------------------------------------- Federal Government and Agencies continued US Treasury, 3.25%, 8/15/07 2,600,000 2,602 US Treasury, 3.25%, 1/15/09 4,315,000 4,231 US Treasury, 3.375%, 12/15/08 880,000 869 US Treasury, 3.50%, 11/15/06 2,129,000 2,157 US Treasury, 4.125%, 2/15/14 967,000 922 US Treasury, 4.25%, 11/15/13 645,000 628 US Treasury, 4.625%, 5/15/06 153,000 158 US Treasury, 4.875%, 2/15/12 900,000 930 US Treasury, 5.00%, 8/15/11 900,000 940 US Treasury, 5.375%, 2/15/31 772,000 779 US Treasury, 6.50%, 5/15/05 1,325,000 1,376 US Treasury, 6.50%, 8/15/05 1,000,000 1,048 US Treasury Inflation Index Bond, 3.375%, 1/15/07 2,521,270 2,700 US Treasury Stripped, 0.00%, 8/15/27 1,200,000 326 ------ Total Government (Domestic and Foreign) and Agency Bonds (Cost: $33,416) 32,705 ------ Mortgage-Backed and Asset Backed Securities (1.4%) ---------------------------------------------------------- Federal Government and Agencies (1.4%) Government National Mortgage Association, TBA, 4.50%, 7/1/34 2,390,726 2,246 ------ Total Mortgage-Backed and Asset Backed Securities (Cost: $2,217) 2,246 ------ Below Investment Grade Bonds (7.1%) ---------------------------------------------------------- Aerospace/Defense (0.0%) L-3 Communications Corp., 6.125%, 1/15/14 50,000 48 ------ Total Aerospace/Defense 48 ------ Autos/Vehicle Parts (0.2%) Collins & Aikman Products, 10.75%, 12/31/11 75,000 75 Delco Remy International, Inc., 9.375%, 4/15/12 144A 63,000 61 HLI Operating Co., 10.50%, 6/15/10 32,000 36 Metaldyne Corp., 10.00%, 11/1/13 144A 100,000 98 United Rentals NA, Inc., 6.50%, 2/15/12 62,000 59 Visteon Corp., 7.00%, 3/10/14 50,000 48 ------ Total Autos/Vehicle Parts 377 ------ Basic Materials (0.9%) Chemicals (0.5%) BCP Caylux Holding, 9.625%, 6/15/14 144A 72,000 75 Huntsman Adv. Materials, 11.00%, 7/15/10 144A 60,000 68 Huntsman Co., LLC, 11.50%, 7/15/12 144A 75,000 76 Huntsman LLC, 11.625%, 10/15/10 50,000 55 Invista, 9.25%, 5/1/12 144A 80,000 80 Koppers, Inc., 9.875%, 10/15/13 75,000 82 NOVA Chemicals, Ltd., 6.50%, 1/15/12 63,000 62 Rockwood Specialties Group, Inc., 10.265%, 5/15/11 100,000 106 Terra Capital Corp., 11.50%, 6/1/10 100,000 109 ------ Total 713 ------
Shares/ Value Below Investment Grade Bonds (7.1%) $ Par $ (000) ---------------------------------------------------------- Metals/Mining (0.2%) CSN Islands VIII Corp., 9.75%, 12/16/13 144A 50,000 45 Ispat Inland ULC, 9.75%, 4/1/14 144A 63,000 65 Texas Industries, Inc., 10.25%, 6/15/11 50,000 56 Wise Metals Group LLC, 10.25%, 5/15/12 144A 100,000 102 ----- Total 268 ----- Packaging/Containers (0.1%) (e)Consolidated Container, Co. 75,000 57 Crown European Holdings SA, 9.50%, 3/1/11 25,000 27 Owens Brockway Glass Container, 8.25%, 5/15/13 25,000 26 Owens Brockway Glass Container, 8.75%, 11/15/12 75,000 81 Pliant Corp., 11.125%, 9/1/09 40,000 43 ----- Total 234 ----- Paper & Forest Products (0.1%) Abitibi-Consolidated, Inc., 7.75%, 6/15/11 144A 79,000 79 Appleton Papers, Inc., 8.125%, 6/15/11 144A 57,000 58 Appleton Papers, Inc., 9.75%, 6/15/14 144A 50,000 50 ----- Total 187 ----- Total Basic Materials 1,402 ----- Builders/Building Materials (0.2%) Building Materials (0.0%) Integrated Electrical Services, Inc., 9.375%, 2/1/09 40,000 41 (e)Nortek Holdings, Inc., 10.00%, 5/15/11 144A 50,000 40 ----- Total 81 ----- Home Builders (0.2%) Hovnanian Enterprises, 6.375%, 12/15/14 144A 60,000 55 Technical Olympic USA, Inc., 7.50%, 3/15/11 75,000 70 Technical Olympic USA, Inc., 9.00%, 7/1/10 50,000 51 William Lyon Homes, 7.50%, 2/15/14 144A 75,000 70 ----- Total 246 ----- Total Builders/Building Materials 327 ----- Capital Goods (0.5%) AEARO CO. I, 8.25%, 4/15/12 144A 75,000 77 Amsted Industries, Inc., 10.25%, 10/15/11 144A 50,000 54 Bombardier Recreational, 8.375%, 12/15/13 144A 25,000 25 Columbus McKinnon Corp., 10.00%, 8/1/10 50,000 53 Communications & Power Ind., 8.00%, 2/1/12 75,000 75
Asset Allocation Portfolio 41 Asset Allocation Portfolio
Shares/ Value Below Investment Grade Bonds (7.1%) $ Par $ (000) ---------------------------------------------------------- Capital Goods continued DA-Lite Screen Co. Inc., 9.50%, 5/15/11 144A 70,000 73 General Cable Corp., 9.50%, 11/15/10 50,000 54 ITRON, Inc., 7.75%, 5/15/12 144A 75,000 75 Mueller Group, Inc., 10.00%, 5/1/12 144A 20,000 21 Rexnord Corp., 10.125%, 12/15/12 100,000 110 Superior Essx Com & Essx Group, 9.00%, 4/15/12 144A 125,000 119 Terex Corp., 7.375%, 1/15/14 32,000 31 Trimas Corp., 9.875%, 6/15/12 50,000 53 Trinity Industries LE, 6.50%, 3/15/14 144A 62,000 57 ----- Total Capital Goods 877 ----- Consumer Products/Retailing (0.8%) Consumer Products (0.3%) American Achievement Corp., 8.25%, 4/1/12 144A 50,000 51 Ames True Temper, Inc., 10.00%, 7/15/12 144A 87,000 87 Amscan Holdings, Inc., 8.75%, 5/1/14 144A 62,000 61 Jafra Cosmetics, 10.75%, 5/15/11 50,000 56 (e)Jostens Holding Corp., 10.25%, 12/1/13 75,000 51 Playtex Products, Inc., 9.375%, 6/1/11 100,000 97 Samsonite Corp., 8.875%, 6/1/11 144A 60,000 62 Sealy Mattress Co., 8.25%, 6/15/14 144A 45,000 45 ----- Total 510 ----- Retail Food & Drug (0.1%) Delhaize America, Inc., 9%, 4/15/31 25,000 27 Stater Brothers Holdings, 8.125%, 6/15/12 144A 108,000 109 ----- Total 136 ----- Retail Stores (0.2%) Cole National Group, 8.875%, 5/15/12 75,000 80 Couche-Tard US, 7.50%, 12/15/13 50,000 50 Finlay Fine Jewelry Corp., 8.375%, 6/1/12 144A 63,000 65 TOYS R US, 7.875%, 4/15/13 125,000 126 ----- Total 321 ----- Textile/Apparel (0.2%) Oxford Industries, Inc., 8.875%, 6/1/11 144A 75,000 79 Perry Ellis International, Inc., 8.875%, 9/15/13 50,000 52 Phillips Van Heusen, 7.25%, 2/15/11 144A 75,000 75 Tommy Hilfiger USA, Inc., 6.85%, 6/1/08 92,000 92 ----- Total 298 ----- Total Consumer Products/Retailing 1,265 ----- Energy (0.6%) Gas Pipelines/Oil Field Services (0.2%) Hanover Equipment Trust 01 A, 0.00%, 3/31/07 50,000 40 Hanover Equipment Trust, 8.75% 9/1/11 100,000 106 Parker Drilling Co., 9.625%, 10/1/13 75,000 78
Shares/ Value Below Investment Grade Bonds (7.1%) $ Par $ (000) ---------------------------------------------------------- Gas Pipelines/Oil Field Services continued Pride International, Inc., 7.375%, 7/15/14 144A 60,000 61 --- Total 285 --- Oil & Gas Exploration/Production (0.3%) Chesapeake Energy Corp., 7.50%, 6/15/14 144A 93,000 96 Compton Pete Corp., 9.90%, 5/15/09 50,000 55 Comstock Resources, Inc., 6.875%, 3/1/12 90,000 86 EXCO Resources, Inc., 7.25%, 1/15/11 75,000 76 Hilcorp Energy, 10.50%, 9/1/10 144A 100,000 107 KCS Energy, Inc., 7.125%, 4/1/12 144A 50,000 50 Range Resources Corp., 7.375%, 7/15/13 50,000 50 Range Resources Corp., 7.375%, 7/15/13 144A 20,000 20 Whiting Petroleum Corp., 7.25%, 5/1/12 144A 63,000 62 --- Total 602 --- Oil Refining & Marketing (0.1%) Citgo Petroleum Corp., 11.375%, 2/1/11 75,000 87 --- Total 87 --- Total Energy 974 --- Financials (0.3%) Banking/Savings and Loan (0.0%) Western Financial Bank-FSB, 9.625%, 5/15/12 50,000 55 --- Total 55 --- Financials Services (0.2%) Dollar Financial Group, 9.75%, 11/15/11 75,000 78 E*Trade Financial Corp., 8.00%, 6/15/11 144A 50,000 50 Ios Capital LLC, 7.25%, 6/30/08 6,000 6 LaBranche and Co., 11.00%, 5/15/12 144A 63,000 65 LaBranche and Co., 9.50%, 5/15/09 144A 63,000 64 --- Total 263 --- Insurance (0.1%) Crum and Forster Holding Corp., 10.375%, 6/15/13 50,000 55 Fairfax Financial Holdings, 7.375%, 3/15/06 75,000 77 --- Total 132 --- Total Financials 450 --- Foods (0.4%) Food/Beverage/Tobacco (0.3%) Gold Kist, Inc., 10.25%, 3/15/14 144A 60,000 65 Merisant Co., 9.50%, 7/15/13 144A 75,000 80 North Atlantic Trading Co., 9.25%, 3/1/12 144A 100,000 97 Pinnacle Foods Holding, 8.25%, 12/1/13 144A 50,000 48 RJ Reynolds Tobacco Holdings, 7.25%, 6/1/12 100,000 97
42 Asset Allocation Portfolio Asset Allocation Portfolio
Shares/ Value Below Investment Grade Bonds (7.1%) $ Par $ (000) ---------------------------------------------------------- Food/Beverage/Tobacco continued Standard Commercial Corp., 8.00%, 4/15/12 144A 42,000 41 (e)Tabletop Holdings, 12.25%, 5/15/14 144A 125,000 76 ----- Total 504 ----- Restaurants (0.1%) Friendly Ice Cream Corp., 8.375%, 6/15/12 144A 75,000 73 O'Charleys, Inc., 9.00%, 11/1/13 33,000 34 VICORP Restaurants, Inc., 10.50%, 4/15/11 144A 80,000 80 ----- Total 187 ----- Total Foods 691 ----- Gaming/Leisure/Lodging (0.7%) Gaming (0.5%) American Casino & Entertainment., 7.85%, 2/1/12 144A 50,000 51 Aztar Corp., 7.875%, 6/15/14 144A 50,000 51 Boyd Gaming Corp., 6.75%, 4/15/14 144A 37,000 35 (d)Hollywood Casino Shreveport, 13.00%, 8/1/06 50,000 38 Inn of the Mountain Gods., 12.00%, 11/15/10 144A 100,000 110 Jacobs Entertainment, Inc., 11.875%, 2/01/09 50,000 55 Majestic Star Casino LLC, 9.50%, 10/15/10 75,000 75 MGM Mirage, Inc., 5.875%, 2/27/14 144A 37,000 34 Resort Intl. Hotel/Casino, 11.50%, 3/15/09 75,000 85 River Rock Entertainment, 9.75%, 11/1/11 75,000 82 Seneca Gaming Corp., 7.25%, 5/1/12 144A 45,000 45 Station Casinos, Inc., 6.00%, 4/1/12 50,000 48 Wheeling Island Gaming, 10.125%, 12/15/09 75,000 80 ----- Total 789 ----- Leisure (0.2%) AMC Entertainment, Inc., 9.875%, 2/1/12 100,000 104 Royal Caribbean Cruises, 6.875%, 12/1/13 100,000 99 Universal City Development Corp., 11.75%, 4/1/10 50,000 58 ----- Total 261 ----- Lodging (0.0%) Host Marriot LP, 7.125%, 11/1/13 50,000 49 ----- Total 49 ----- Total Gaming/Leisure/Lodging 1,099 ----- Health Care/Pharmaceuticals (0.4%) Ameripath, Inc., 10.50%, 4/1/13 25,000 25 General Nutrition Center, 8.5%, 12/1/10 144A 75,000 78 Genesis HealthCare Corp., 8.00%, 10/15/13 144A 50,000 51 Iasis Health Care Corp., 8.75%, 06/15/14 144A 79,000 80
Shares/ Value Below Investment Grade Bonds (7.1%) $ Par $ (000) --------------------------------------------------------- Health Care/Pharmaceuticals continued Medcath Holdings Corp., 9.875%, 7/15/12 144A 87,000 87 Medical Device Manufacturing, Inc., 10.00%, 7/15/12 144A 75,000 77 Quintiles Transnational, 10.00%, 10/1/13 50,000 50 Senior Housing Property Trust, 7.875%, 4/15/15 25,000 26 Tenet Health Care Corp., 9.875%, 7/1/14 144A 50,000 51 Triad Hospitals, Inc., 7.00%, 5/15/12 62,000 62 Universal Hospital Service, 10.125%, 11/1/11 50,000 51 Valeant Pharmaceuticals, 7.00%, 12/15/11 144A 25,000 24 Ventas Realty Ltd. Partnership, 9.00%, 5/1/12 50,000 55 ----- Total Health Care/Pharmaceuticals 717 ----- Media (0.6%) Cable/Satellite (0.3%) Cablevision Systems Corp., 8.00%, 4/15/12 144A 125,000 123 Charter Communications OPT LLC/Cap, 8.00%, 4/30/12 144A 100,000 97 CSC Holdings, Inc., 6.75%, 4/15/12 144A 37,000 36 Echostar Corp., 6.375%, 10/1/11 50,000 49 Insight Midwest, 9.75%, 10/1/09 50,000 53 Kabel Deutschland GMBH, 10.625%, 7/1/14 144A 125,000 127 MediaCom LLC, 9.50%, 1/15/13 50,000 48 NTL Cable PLC, 8.75%, 4/15/14 144A 50,000 51 ----- Total 584 ----- Publishing (0.3%) American Media, Inc., 8.875%, 1/15/11 75,000 73 Dex Media Inc. 8.00%, 11/15/13 144A 75,000 72 Dex Media West, LLC, 9.875%, 8/15/13 75,000 82 Primedia, Inc., 7.625%, 4/1/08 25,000 25 Reader's Digest Association, Inc., 6.50%, 3/1/11 60,000 59 Vertis, Inc., 10.875%, 6/15/09 71,000 76 Von Hoffman Corp., 10.25%, 3/15/09 90,000 93 ----- Total 480 ----- Total Media 1,064 ----- Real Estate (0.1%) LNR Property Corp., 7.25%, 10/15/13 50,000 49 Omega Healthcare Investors, 7.00%, 4/1/14 144A 50,000 47 ----- Total Real Estate 96 ----- Services (0.3%) Environmental Services (0.1%) Allied Waste North America., 5.75%, 2/15/11 144A 50,000 47 MSW Energy Holdings, 8.50%, 9/1/10 50,000 53
Asset Allocation Portfolio 43 Asset Allocation Portfolio
Shares/ Value Below Investment Grade Bonds (7.1%) $ Par $ (000) --------------------------------------------------------- Environmental Services continued Waste Services, Inc., 9.50%, 4/15/14 144A 42,000 43 --- Total 143 --- Services -- Other (0.2%) Buhrmann U.S., Inc., 8.25%, 07/01/14 144A 63,000 63 Coinmach Corp., 9.00%, 2/1/10 99,000 99 Kindercare Learning Centers, 9.50%, 2/15/09 38,000 39 Memberworks, Inc., 9.25%, 4/1/14 144A 75,000 72 Petro Stopping Center, 9.00%, 2/15/12 144A 75,000 74 --- Total 347 --- Total Services 490 --- Technology (0.1%) Amkor Technologies, Inc., 7.125%, 3/15/11 144A 75,000 70 Xerox Corp., 7.125%, 6/15/10 75,000 77 --- Total Technology 147 --- Telecommunications (0.5%) Telecommunications -- Wireline (0.1%) MCI, Inc., 5.908%, 5/1/07 26,000 25 MCI, Inc., 6.688%, 5/1/09 43,000 40 Qwest Communications International, 7.50%, 11/1/08 B 25,000 23 Qwest Communications, Inc., 12/15/10, 13.50% 144A 48,000 56 Qwest Communications, Inc., 7.25%, 2/15/11 144A 75,000 70 --- Total 214 --- Telecommunications -- Wirleless (0.4%) ACC Escrow Corp., 10.00%, 8/1/11 50,000 43 Alamosa Delaware, Inc., 8.50%, 1/31/12 144A 100,000 98 American Tower Corporation-Warrants 100 2 Centennial Communications, 8.125%, 2/1/14 144A 75,000 70 Nextel Communications, 5.95%, 3/15/14 50,000 46 Nextel Communications, 6.875%, 10/31/13 100,000 99 Rogers Wireless, Inc., 6.375%, 3/1/14 144A 125,000 115 Triton PCS, 8.75%, 11/15/11 50,000 41 US Unwired, Inc., 10.00%, 06/15/12 144A 87,000 88 --- Total 602 --- Total Telecommunications 816 --- Transportation (0.2%) (c)American Commercial Lines LLC 261 0 (d)American Commercial Lines LLC, 11.25%, 1/1/08 29,794 16 CHC Helicopter Corp., 7.375%, 5/1/14 144A 58,000 57 Laidlaw International, Inc., 10.75%, 6/15/11 50,000 55
Shares/ Value Below Investment Grade Bonds (7.1%) $ Par $ (000) ------------------------------------------------------------ Transportation continued Omni Corp., 7.625%, 12/1/13 75,000 73 Railamerica Transportation Corp., 12.875%, 8/15/10 50,000 57 Ship Finance International, Ltd., 8.50%, 12/15/13 144A 25,000 24 Stena AB, 9.625%, 12/1/12 50,000 56 TFM SA DE C V, 12.50%, 6/15/12 50,000 53 ------ Total Transportation 391 ------ Utilities (0.3%) AES Corp., 8.75%, 5/15/13 144A 25,000 27 AES Corp., 9.00%, 5/15/15 144A 50,000 54 Calpine Corp., 8.50%, 7/15/10 144A 52,000 43 CMS Energy Corp., 7.75%, 8/1/10 144A 75,000 75 Midwest Generation LLC, 8.75%, 5/1/34 144A 30,000 30 Nevada Power Co., 8.25%, 6/1/11 50,000 52 NRG Energy, Inc., 8.00%, 12/15/13 144A 25,000 25 Reliant Resources, Inc., 9.50%, 7/15/13 75,000 81 Sierra Pacific Resources, 8.625%, 3/15/14 144A 75,000 73 ------ Total Utilities 460 ------ Total Below Investment Grade Bonds (Cost: $11,530) 11,691 ------ Money Market Investments (11.3%) ------------------------------------------------------------ Federal Government and Agencies (10.6%) Federal Home Loan Bank, 1.07%, 7/16/04 1,500,000 1,499 (b)Federal National Mortgage Association, 1.25%, 7/21/04 16,100,000 16,089 ------ Total Federal Government and Agencies 17,588 ------
44 Asset Allocation Portfolio Asset Allocation Portfolio
Money Market Shares/ Value Investments (11.3%) $ Par $ (000) ------------------------------------------------ Finance Lessors (0.7%) Preferred Receivable Funding, 1.20%, 7/13/04 1,200,000 1,200 ------- Total Finance Lessors 1,200 ------- Total Money Market Investments (Cost: $18,788) 18,788 ------- Total Investments (101.3%) (Cost $156,122)(a) 167,970 ------- Other Assets, Less Liabilities (-1.3%) (2,236) ------- Total Net Assets (100.0%) 165,734 -------
* Non-Income Producing 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, 2004, the value of these securities was $6,927, representing 4.18% of net assets. + Security was fair valued under procedures adopted by the Board of Directors. (a)At June 30, 2004 the aggregate cost of securities for federal tax purposes was $156,122 and the net unrealized appreciation of investments based on that cost was $11,848 which is comprised of $14,306 aggregate gross unrealized appreciations and $2,458 aggregate gross unrealized depreciation. (b)All or a portion of the securities have been committed as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.
Unrealized Appreciation/ Number of Expiration Depreciation Issuer (000's) Contracts Date (000's) ----------------------------------------------------- S&P 500 Index Futures 38 9/04 $62 (Total Notional Value at June 30, 2004, $10,772) US Long Bond (CBT) Commodity Futures 45 9/04 $36 (Total Notional Value at June 30, 2004, $4,751)
(c)PIK -- Payment In Kind (d)Defaulted Security (e)Step bond security that presently receives no coupon payments. At the predetermined date, the stated coupon rate becomes effective. The Accompanying Notes are an Integral Part of the Financial Statements Asset Allocation Portfolio 45 Balanced Portfolio Northwestern Mutual Series Funds Schedule of Investments June 30, 2004 (unaudited)
Shares/ Value Revenue Bonds (0.1%) $ Par $ (000) -------------------------------------------------------- Municipal Bonds -- Revenue (0.1%) Nashville & Davidson County, Tennessee Health and Educational Facilities Board of The Metropolitan Government, 0.00%, 6/1/21, RB 9,800,000 3,972 ------ Total Revenue Bonds (Cost: $4,188) 3,972 ------ Corporate Bonds (11.7%) -------------------------------------------------------- Aerospace-Defense (0.3%) Lockheed Martin Corp., 8.20%, 12/1/09 7,450,000 8,730 ------ Total 8,730 ------ Auto Related (0.9%) American Honda Finance, 4.50%, 5/26/09 144A 6,180,000 6,184 Toyota Motor Credit Corp., 2.70%, 1/30/07 3,800,000 3,737 Toyota Motor Credit Corp., 2.875%, 8/1/08 1,800,000 1,721 Toyota Motor Credit Corp., 4.35%, 12/15/10 4,770,000 4,701 Toyota Motor Credit Corp., 5.65%, 1/15/07 9,750,000 10,255 ------ Total 26,598 ------ Beverages, Malt Beverages (1.1%) Anheuser-Busch Companies, Inc., 7.00%, 12/1/25 4,800,000 5,105 Anheuser-Busch Companies, Inc., 7.50%, 3/15/12 910,000 1,061 Coca-Cola Enterprises, Inc., 5.25%, 5/15/07 8,975,000 9,405 Coca-Cola Enterprises, Inc., 5.375%, 8/15/06 4,175,000 4,362 Coca-Cola Enterprises, Inc., 5.75%, 3/15/11 10,000,000 10,623 ------ Total 30,556 ------ Broad Woven Fabric Mills, Manmade (0.0%) (c)Polysindo International Finance, 11.375%, 6/15/06 6,500,000 585 ------ Total 585 ------ Brokers (0.2%) Credit Suisse First Boston USA, Inc., 4.70%, 6/1/09 5,900,000 5,917 ------ Total 5,917 ------ Commercial Banks (2.0%) Banco Montevideo, 8.40%, 4/30/08 144A 6,250,000 1,000
Shares/ Value Corporate Bonds (11.7%) $ Par $ (000) --------------------------------------------------------- Commercial Banks continued Bank of America Corp., 5.375%, 6/15/14 4,550,000 4,510 Bank of America Corp., 7.40%, 1/15/11 2,668,000 3,024 Bank of America Corp., 7.875%, 5/16/05 2,800,000 2,930 Bank One Corp., 5.25%, 1/30/13 5,000,000 4,918 HBOS Treasury Services PLC, 1.518%, 3/14/05 4,500,000 4,502 HBOS Treasury Services PLC, 3.75%, 9/30/08 144A 6,200,000 6,107 Rabobank Capital Fund II, 5.26%, 12/31/13 144A 5,600,000 5,419 RBS Capital Trust II, 6.425%, 1/3/34 7,980,000 7,639 Supra-National Agency, 0.00%, 3/1/28 MTNB 10,700,000 2,500 UnionBanCal Corp., 5.25%, 12/16/13 800,000 788 Wells Fargo & Co., 3.125%, 4/1/09 7,500,000 7,119 Wells Fargo Bank, 6.45%, 2/1/11 4,850,000 5,288 ------ Total 55,744 ------ Commercial Physical Research (0.2%) Monsanto Co., 7.375%, 8/15/12 6,200,000 7,008 ------ Total 7,008 ------ Computer and Other Data Processing Service (0.3%) Gtech Holdings Corp., 4.75%, 10/15/10 8,350,000 8,178 ------ Total 8,178 ------ Crude Petroleum and Natural Gas (0.2%) Occidental Petroleum, 8.45%, 2/15/29 1,900,000 2,419 Occidental Petroleum, 10.125%, 9/15/09 3,230,000 4,011 ------ Total 6,430 ------ Electrical Equipment and Supplies (0.2%) Cooper Industries, Inc., 5.50%, 11/1/09 5,100,000 5,331 ------ Total 5,331 ------ Fire, Marine and Casualty Insurance (1.2%) Berkley (WR) Corp., 5.875%, 2/15/13 4,100,000 4,184 Berkley (WR) Corp., 9.875%, 5/15/08 4,310,000 5,095 Berkshire Hathaway, Inc., 4.625%, 10/15/13 10,320,000 9,864 Progressive Corp., 6.25%, 12/1/32 11,905,000 11,873 Progressive Corp., 6.375%, 1/15/12 4,540,000 4,894 ------ Total 35,910 ------
46 Balanced Portfolio Balanced Portfolio
Shares/ Value Corporate Bonds (11.7%) $ Par $ (000) -------------------------------------------------------- Measuring and Controlling Devices (0.1%) Rockwell Automation, Inc., 6.70%, 1/15/28 3,440,000 3,669 ------ Total 3,669 ------ Medical and Hospital Equipment (0.2%) Astrazeneca PLC, 5.40%, 6/1/14 5,350,000 5,412 ------ Total 5,412 ------ Motors and Generators (0.1%) Emerson Electric Co., 4.50%, 5/1/13 970,000 926 Emerson Electric Co., 5.75%, 11/1/11 1,918,000 2,026 ------ Total 2,952 ------ Office Machines (0.2%) Pitney Bowes Credit Corp., 5.75%, 8/15/08 5,000,000 5,310 ------ Total 5,310 ------ Oil and Gas Extraction (0.2%) ChevronTexaco Corp., 6.625%, 10/1/04 4,750,000 4,806 ------ Total 4,806 ------ Pharmaceutical Preparations (1.9%) Abbott Laboratories, 3.75%, 3/15/11 3,750,000 3,557 GlaxoSmithKline Capital, Inc., 4.375%, 4/15/14 11,775,000 11,012 Johnson & Johnson, Inc., 3.80%, 5/15/13 4,400,000 4,040 Johnson & Johnson, Inc., 4.95%, 5/15/33 5,000,000 4,382 Johnson & Johnson, Inc., 6.625%, 9/1/09 2,800,000 3,120 Merck & Co., Inc., 6.40%, 3/1/28 5,135,000 5,426 Merck & Co., Inc. 5.95%, 12/1/28 3,774,000 3,779 Pfizer, Inc., 5.625%, 2/1/06 7,175,000 7,490 Pfizer, Inc., 5.625%, 4/15/09 4,125,000 4,355 Pfizer, Inc., 4.50% 2/15/14 8,000,000 7,657 ------ Total 54,818 ------ Radio,TV Electronic Stores (0.4%) RadioShack Corp., 7.375%, 5/15/11 9,590,000 10,820 ------ Total 10,820 ------ Real Estate Investment Trusts (0.3%) ERP Operating LP, 4.75%, 6/15/09 1,870,000 1,872 First Industrial LP, 5.25%, 6/15/09 1,925,000 1,938 Vornado Realty Trust, 4.75%, 12/1/10 3,780,000 3,665 ------ Total 7,475 ------ Retail-Retail Stores (0.9%) Fortune Brands, Inc., 4.875%, 12/1/13 2,070,000 2,022 LB Mortgage Trust, Series 1991-2, Class A3, 8.39%, 1/20/17 10,660,468 11,877 Limited Brands, Inc., 6.125%, 12/1/12 1,590,000 1,667 Limited Brands, Inc., 6.95%, 3/1/33 6,858,000 7,182
Shares/ Value Corporate Bonds (11.7%) $ Par $ (000) ------------------------------------------------------- Retail-Retail Stores continued VF Corp., 6.00%, 10/15/33 4,450,000 4,249 ------- Total 26,997 ------- Savings Institutions Except Federal (0.1%) U.S. Central Credit Union, 2.75%, 5/30/08 3,950,000 3,772 ------- Total 3,772 ------- Security Brokers and Dealers (0.2%) Goldman Sachs Group, Inc., 5.15%, 1/15/14 6,800,000 6,530 ------- Total 6,530 ------- Toilet Preparations (0.4%) Estee Lauder, Inc., 5.75%, 10/15/33 7,750,000 7,371 The Gillette Co., 2.50%, 6/1/08 5,000,000 4,759 ------- Total 12,130 ------- Wines and Distilled Beverages (0.1%) Brown Forman Corp., 3.00%, 3/15/08 2,500,000 2,416 ------- Total 2,416 ------- Total Corporate Bonds (Cost: $349,867) 338,094 ------- Government (Domestic and Foreign) and Agency Bonds (20.8%) ------------------------------------------------------- Commercial Banks (0.3%) BP Capital Markets PLC, 4.00%, 4/29/05 4,500,000 4,557 Royal Bank of Canada New York, 1.015%, 1/24/05 YCD 5,500,000 5,500 ------- Total 10,057 ------- Federal Government & Agencies (20.5%) Aid-Israel, 0.00%, 11/15/22 11,600,000 3,950 Aid-Israel, 0.00%, 11/15/23 11,500,000 3,679 Aid-Israel, 5.50%, 3/18/33 27,200,000 26,526 Federal Home Loan Bank, 1.58%, 5/20/05 7,900,000 7,863 Federal Home Loan Bank, 5.54%, 1/8/09 5,000,000 5,308 Federal Home Loan Bank, 7.125%, 2/15/05 4,500,000 4,647 Federal Home Loan Mortgage Corp., 1.875%, 1/15/05 4,500,000 4,503 Federal Home Loan Mortgage Corp., 6.50%, 4/1/11 2,065,128 2,186 Federal Home Loan Mortgage Corp., 7.50%, 10/1/27 1,235,462 1,335 Housing & Urban Development, 6.17%, 8/1/14 14,981,000 15,986 Quebec Province, 4.875%, 5/5/14 5,350,000 5,206
Balanced Portfolio 47 Balanced Portfolio
Government (Domestic and Foreign) Shares/ Value and Agency Bonds (20.8%) $ Par $ (000) -------------------------------------------------------- Federal Government & Agencies continued Rural Housing Trust 1987-1, Series 1, Class D, 6.33%, 4/1/26 1,173,583 1,173 State of Israel, 7.25%, 12/15/28 5,200,000 5,500 US Treasury, 1.125%, 6/30/05 2,270,000 2,249 (f)US Treasury, 1.50%, 3/31/06 45,700,000 44,869 US Treasury, 1.625%, 1/31/05 825,000 825 US Treasury, 1.625%, 3/31/05 3,570,000 3,563 US Treasury, 1.625%, 4/30/05 325,000 324 (f)US Treasury, 1.625%, 9/30/05 3,195,000 3,171 US Treasury, 1.75%, 12/31/04 3,385,000 3,386 US Treasury, 1.875%, 11/30/05 3,100,000 3,079 US Treasury, 1.875%, 1/31/06 6,390,000 6,329 (f)US Treasury, 2.00%, 5/15/06 3,190,000 3,152 US Treasury, 2.125%, 10/31/04 1,025,000 1,027 (f)US Treasury, 2.25%, 2/15/07 36,600,000 35,887 (f)US Treasury, 2.375%, 8/15/06 4,440,000 4,402 (f)US Treasury, 2.625%, 3/15/09 40,745,000 38,767 US Treasury, 3.00%, 2/15/08 2,500,000 2,466 (f)US Treasury, 3.00%, 2/15/09 20,015,000 19,394 (f)US Treasury, 3.25%, 8/15/07 36,600,000 36,633 (f)US Treasury, 3.25%, 1/15/09 31,435,000 30,831 (f)US Treasury, 3.375%, 11/15/08 3,285,000 3,249 US Treasury, 4.00%, 11/15/12 1,521,000 1,473 US Treasury, 4.125%, 2/15/14 1,190,000 1,134 US Treasury, 5.375%, 2/15/31 5,475,000 5,522 US Treasury, 5.875%, 11/15/05 7,900,000 8,274 US Treasury, 6.50%, 10/15/06 55,000,000 59,371 US Treasury, 6.50%, 2/15/10 3,885,000 4,378 US Treasury Inflation Index Bond, 3.375%, 1/15/07 35,158,962 37,659 US Treasury Inflation Index Bond, 3.625%, 1/15/08 27,134,452 29,654 US Treasury Inflation Index Bond, 4.25%, 1/15/10 53,630,400 61,381 US Treasury Inflation Index Bond, 5.00%, 2/15/11 29,000,000 30,355 US Treasury Stripped, 0.00%, 8/15/27 50,000,000 13,541 US Treasury Stripped, 0.00%, 8/15/27 28,300,000 7,699 ------- Total 591,906 ------- Total Government (Domestic and Foreign) and Agency Bonds (Cost: $602,660) 601,963 ------- Mortgage-Backed and Asset Backed Securities (8.9%) -------------------------------------------------------- Boat Dealers (0.0%) Nationscredit Grantor Trust, Series 1997-2, Class A1, 6.35%, 4/15/14 221,829 227 ------- Total 227 ------- Commercial Mortgages (2.4%) Asset Securitization Corp., Series 1997-D5, Class PS1, 1.62%, 2/14/43 IO 19,601,980 993 Chase Commercial Mortgage Securities Corp., Series 1997-2, Class A2, 6.60%, 7,833,908 8,294
Mortgage-Backed and Asset Shares/ Value Backed Securities (8.9%) $ Par $ (000) ---------------------------------------------------------- Commercial Mortgages continued Chase Commercial Mortgage Securities Corp., Series 1997-2, Class B, 6.60%, 11/19/07 2,500,000 2,687 Commercial Mortgage Acceptance Corp., Series 1997-ML1, Class B, 6.64%, 12/15/30 2,500,000 2,696 Credit Suisse First Boston Mortgage Securities Corp., Series 1997-C1, Class A2, 7.26%, 6/20/29 144A 2,743,141 2,959 Credit Suisse First Boston Mortgage Securities Corp., Series 1997-C1, Class B, 7.28%, 6/20/29 144A 3,250,000 3,538 Criimi Mae Commercial Mortgage Trust, Series 1998-C1, Class A1, 7.00%, 11/2/06 6,162,847 6,396 Criimi Mae Commercial Mortgage Trust, Series 1998-C1, Class B, 7.00%, 11/2/11 144A 5,700,000 5,882 DLJ Commercial Mortgage Corp., Series 1998-CF1, Class S, 0.70%, 1/15/18 IO 230,561,770 6,710 DLJ Mortgage Acceptance Corp., Series 1997-CF2, Class S, 0.35%, 10/15/30 IO 144A 14,416,957 264 Midland Realty Acceptance Corp., Series 1996-C2, Class AEC, 1.35%, 1/25/29 IO 17,687,796 672 Mortgage Capital Funding, Inc., Series 1997-MC1, Class A3, 7.29%, 3/20/27 11,377,298 11,737 Nomura Asset Securities Corp., Series 1998-D6, Class A2, 6.99%, 3/15/30 15,000,000 16,902 RMF Commercial Mortgage Pass- Through, Series 1997-1, Class F, 7.47%, 1/15/19 1,800,000 1,010 ------ Total 70,740 ------ Credit Card Asset Backed (0.6%) Citibank Credit Card Master Trust I, Series 1997-6, Class A, 0.00%, 8/15/06 17,000,000 16,985 (d)Heilig-Meyers Master Trust, Series 1998-1A, Class A, 6.125%, 1/20/07 144A 2,756,669 2 ------ Total 16,987 ------ Federal Government & Agencies (5.3%) Federal National Mortgage Association, 0.00%, 8/2/04 5,700,000 5,694 Federal National Mortgage Association, 5.97%, 10/1/08 1,603,516 1,705 Federal National Mortgage Association, 6.24%, 2/1/06 4,518,290 4,678 Federal National Mortgage Association, 6.265%, 10/1/08 5,332,041 5,709 Federal National Mortgage Association, 6.315%, 3/1/06 4,776,963 4,959
48 Balanced Portfolio Balanced Portfolio
Mortgage-Backed and Asset Shares/ Value Backed Securities (8.9%) $ Par $ (000) -------------------------------------------------------- Federal Government & Agencies continued Federal National Mortgage Association, 6.34%, 2/1/08 3,784,704 4,039 Federal National Mortgage Association, 6.43%, 6/1/08 6,682,851 7,171 Federal National Mortgage Association, 6.75%, 11/1/07 762,805 821 Federal National Mortgage Association, 6.75%, 4/25/18 4,237,471 4,480 Federal National Mortgage Association, 6.75%, 12/25/23 2,138,958 2,181 Federal National Mortgage Association, 6.895%, 5/1/06 5,621,627 5,900 Federal National Mortgage Association, 7.00%, 4/1/26 1,499,743 1,592 Federal National Mortgage Association, 7.025%, 9/1/05 1,800,007 1,848 Federal National Mortgage Association, 11.00%, 12/1/12 16,700 19 Federal National Mortgage Association, 11.00%, 9/1/17 85,334 95 Federal National Mortgage Association, 11.00%, 12/1/17 15,368 17 Federal National Mortgage Association, 11.00%, 2/1/18 47,885 54 Federal National Mortgage Association, 11.50%, 4/1/18 57,353 65 Federal National Mortgage Association, 12.00%, 9/1/12 187,256 211 Federal National Mortgage Association, 12.00%, 12/1/12 56,747 65 Federal National Mortgage Association, 12.00%, 9/1/17 35,289 40 Federal National Mortgage Association, 12.00%, 10/1/17 37,506 43 Federal National Mortgage Association, 12.00%, 12/1/17 18,648 21 Federal National Mortgage Association, 12.00%, 2/1/18 56,980 65 Federal National Mortgage Association, 12.50%, 4/1/18 15,258 18 Federal National Mortgage Association, 13.00%, 11/1/12 34,086 39 Federal National Mortgage Association, 13.00%, 11/1/17 27,183 32 Federal National Mortgage Association, 13.00%, 12/1/17 9,084 11 Federal National Mortgage Association, 13.00%, 2/1/18 59,587 69 Federal National Mortgage Association, 14.00%, 12/1/17 20,461 24 Government National Mortgage Association, 5.00%, 7/15/33 4,338,559 4,216 Government National Mortgage Association, 5.50%, 1/15/32 478,389 479 Government National Mortgage Association, 5.50%, 2/15/32 3,970,697 3,975 Government National Mortgage Association, 5.50%, 9/15/32 143,704 144
Mortgage-Backed and Asset Shares/ Value Backed Securities (8.9%) $ Par $ (000) ----------------------------------------------- Federal Government & Agencies continued Government National Mortgage Association, 7.00%, 5/15/23 1,362,908 1,456 Government National Mortgage Association, 7.00%, 6/15/23 62,221 66 Government National Mortgage Association, 7.00%, 7/15/23 219,091 234 Government National Mortgage Association, 7.00%, 8/15/23 1,343 1 Government National Mortgage Association, 7.00%, 9/15/23 46,387 50 Government National Mortgage Association, 7.00%, 10/15/23 40,907 44 Government National Mortgage Association, 7.00%, 11/15/23 247,924 265 Government National Mortgage Association, 7.00%, 12/15/27 80,736 86 Government National Mortgage Association, 7.00%, 1/15/28 76,797 82 Government National Mortgage Association, 7.00%, 2/15/28 11,837 13 Government National Mortgage Association, 7.00%, 4/15/28 123,855 131 Government National Mortgage Association, 7.00%, 5/15/28 148,266 158 Government National Mortgage Association, 7.00%, 6/15/28 353,282 374 Government National Mortgage Association, 7.00%, 7/15/28 410,260 436 Government National Mortgage Association, 7.50%, 1/15/23 99,654 108 Government National Mortgage Association, 7.50%, 6/15/23 51,395 56 Government National Mortgage Association, 7.50%, 6/15/24 1,370 1 Government National Mortgage Association, 7.50%, 7/15/24 31,138 34 Government National Mortgage Association, 7.50%, 8/15/25 1,755 2 Government National Mortgage Association, 7.50%, 9/15/25 14,538 16 Government National Mortgage Association, 7.50%, 12/15/25 54,818 60 Government National Mortgage Association, 7.50%, 1/15/26 1,663 2 Government National Mortgage Association, 7.50%, 3/15/26 26,678 29 Government National Mortgage Association, 7.50%, 6/15/26 70,872 77 Government National Mortgage Association, 7.50%, 9/15/26 1,746 2 Government National Mortgage Association, 7.50%, 10/15/26 6,987 8 Government National Mortgage Association, 7.50%, 12/15/26 94,230 102 Government National Mortgage Association, 7.50%, 1/15/27 4,639 6 Government National Mortgage Association, 7.50%, 2/15/27 38,754 42
Balanced Portfolio 49 Balanced Portfolio
Mortgage-Backed and Asset Shares/ Value Backed Securities (8.9%) $ Par $ (000) ----------------------------------------------- Federal Government & Agencies continued Government National Mortgage Association, 7.50%, 3/15/27 4,041 4 Government National Mortgage Association, 7.50%, 4/15/27 145,691 157 Government National Mortgage Association, 7.50%, 5/15/27 77,132 83 Government National Mortgage Association, 7.50%, 7/15/27 33,323 36 Government National Mortgage Association, 8.00%, 9/15/24 69,148 76 Government National Mortgage Association, 8.00%, 5/15/26 82,400 91 Government National Mortgage Association, 8.00%, 6/15/26 36,156 40 Government National Mortgage Association, 8.00%, 7/15/26 87,578 96 Government National Mortgage Association, 8.00%, 8/15/26 28,352 31 Government National Mortgage Association, 8.00%, 9/15/26 69,692 77 Government National Mortgage Association, 8.00%, 10/15/26 142,502 157 Government National Mortgage Association, 8.00%, 11/15/26 23,227 26 Government National Mortgage Association, 8.00%, 12/15/26 44,181 49 Government National Mortgage Association, 8.00%, 4/15/27 140,189 154 Government National Mortgage Association, 8.00%, 6/15/27 35,064 38 Government National Mortgage Association, 8.00%, 7/15/27 30,651 33 Government National Mortgage Association, 8.00%, 7/20/28 241,568 264 Government National Mortgage Association, 8.50%, 5/15/22 559 1 Government National Mortgage Association, 8.50%, 9/15/22 1,264 1 Government National Mortgage Association, 8.50%, 10/15/22 8,446 9 Government National Mortgage Association, 8.50%, 12/15/22 3,299 4 Government National Mortgage Association, 8.50%, 6/15/24 669 1 Government National Mortgage Association, 8.50%, 7/15/24 8,099 9 Government National Mortgage Association, 8.50%, 12/15/24 1,056 1 Government National Mortgage Association, 8.50%, 1/15/25 1,678 2 Government National Mortgage Association, 8.50%, 2/15/25 4,265 4 Government National Mortgage Association, 8.50%, 11/15/25 1,493 2 Government National Mortgage Association, 8.50%, 1/15/26 10,645 12 Government National Mortgage Association, 8.50%, 2/15/26 1,877 2
Mortgage-Backed and Asset Shares/ Value Backed Securities (8.9%) $ Par $ (000) --------------------------------------------------------- Federal Government & Agencies continued Government National Mortgage Association, 8.50%, 3/15/26 4,978 6 Government National Mortgage Association, 8.50%, 4/15/26 9,147 10 Government National Mortgage Association, 8.50%, 5/15/26 857 1 Government National Mortgage Association, 11.00%, 1/15/18 1,670,285 1,880 Government National Mortgage Association, TBA, 4.50%, 7/1/34 84,670,909 79,537 Vendee Mortgage Trust, Series 1998-3, Class E, 6.50%, 3/15/29 4,500,000 4,595 ------- Total 151,909 ------- Finance Services (0.6%) Morgan Stanley Capital, Series 1998- WF2, Class A2, 6.54%, 5/15/08 15,000,000 16,185 ------- Total 16,185 ------- Franchise Loan Receivables (0.0%) Enterprise Mortgage Acceptance Co., Series 1998-1, Class IO, 1.37%, 1/15/23 IO 144A 29,384,673 1,159 ------- Total 1,159 ------- Residential Mortgages (0.0%) Blackrock Capital Finance L.P., Series 1997-R1, Class B3, 7.75%, 3/25/37 144A 2,684,992 242 Blackrock Capital Finance L.P., Series 1997-R3, Class B3, 7.25%, 11/25/28 144A 3,277,749 164 ------- Total 406 ------- Total Mortgage-Backed and Asset Backed Securities (Cost: $257,806) 257,613 ------- Common Stocks (46.3%) --------------------------------------------------------- Consumer Discretionary (5.1%) *AutoNation, Inc. 33,600 575 *AutoZone, Inc. 10,475 839 *Bed Bath & Beyond, Inc. 37,800 1,453 Best Buy Co., Inc. 40,800 2,070 *Big Lots, Inc. 14,500 210 The Black & Decker Corp. 10,000 621 Boise Cascade Corp. 11,000 414 Brunswick Corp. 11,900 486 Carnival Corp. 79,473 3,735 Centex Corp. 15,500 709 Circuit City Stores, Inc. 25,000 324 Clear Channel Communications, Inc. 77,250 2,854 *Comcast Corp. -- Class A 281,837 7,901
50 Balanced Portfolio Balanced Portfolio
Shares/ Value Common Stocks (46.3%) $ Par $ (000) --------------------------------------------------------- Consumer Discretionary continued Cooper Tire & Rubber Co. 9,300 214 Dana Corp. 18,715 367 Darden Restaurants, Inc. 20,249 416 Delphi Automotive Systems Corp. 70,469 753 Dillard's, Inc. -- Class A 10,536 235 Dollar General Corp. 41,465 811 Dow Jones & Co., Inc. 10,280 464 Eastman Kodak Co. 36,017 972 *eBay, Inc. 82,600 7,595 Family Dollar Stores, Inc. 21,600 657 Federated Department Stores, Inc. 22,612 1,110 Ford Motor Co. 230,107 3,601 Fortune Brands, Inc. 18,333 1,383 Gannett Co., Inc. 34,250 2,906 The Gap, Inc. 113,125 2,743 General Motors Corp. 70,925 3,304 Genuine Parts Co. 21,875 868 *The Goodyear Tire & Rubber Co. 22,000 200 Harley-Davidson, Inc. 37,075 2,296 Harrah's Entertainment, Inc. 14,150 766 Hasbro, Inc. 22,175 421 Hilton Hotels Corp. 48,150 898 The Home Depot, Inc. 279,297 9,832 International Game Technology 43,800 1,691 *The Interpublic Group of Companies, Inc. 52,600 722 J. C. Penney Co., Inc. 35,425 1,338 Johnson Controls, Inc. 23,900 1,276 Jones Apparel Group, Inc. 15,900 628 KB Home 5,900 405 Knight-Ridder, Inc. 9,850 709 *Kohl's Corp. 42,833 1,811 Leggett & Platt Inc. 24,167 646 The Limited, Inc. 59,213 1,107 Liz Claiborne, Inc. 13,900 500 Lowe's Companies, Inc. 98,850 5,195 Marriott International, Inc. -- Class A 28,400 1,417 Mattel, Inc. 53,060 968 The May Department Stores Co. 36,600 1,006 Maytag Corp. 9,967 244 McDonald's Corp. 158,271 4,115 The McGraw-Hill Companies, Inc. 23,940 1,833 Meredith Corp. 6,300 346 The New York Times Co. -- Class A 18,692 836 Newell Rubbermaid, Inc. 34,511 811 NIKE, Inc. -- Class B 33,200 2,515 Nordstrom, Inc. 17,533 747 *Office Depot, Inc. 39,343 705 Omnicom Group, Inc. 23,800 1,806 Pulte Corp. 15,900 827 RadioShack Corp. 20,167 577 Reebok International, Ltd. 7,500 270 Sears, Roebuck & Co. 26,750 1,010 The Sherwin-Williams Co. 17,960 746 Snap-on, Inc. 7,317 245 The Stanley Works 10,250 467 Staples, Inc. 62,550 1,833 *Starbucks Corp. 49,850 2,167
Shares/ Value Common Stocks (46.3%) $ Par $ (000) --------------------------------------------------------- Consumer Discretionary continued Starwood Hotels & Resorts Worldwide, Inc. 26,000 1,166 Target Corp. 114,843 4,877 Tiffany & Co. 18,433 679 *Time Warner, Inc. 573,000 10,074 The TJX Companies, Inc. 62,200 1,502 *Toys "R" Us, Inc. 26,850 428 Tribune Co. 41,131 1,873 *Univision Communications, Inc. -- Class A 40,600 1,296 V. F. Corp. 13,843 674 Viacom, Inc. -- Class B 217,761 7,779 Visteon Corp. 16,312 190 The Walt Disney Co. 257,933 6,575 Wendy's International, Inc. 14,350 500 Whirlpool Corp. 8,650 593 Yum! Brands, Inc. 36,380 1,354 ------- Total 146,082 ------- Consumer Staples (5.1%) Adolph Coors Co. -- Class B 4,700 340 Alberto-Culver Co. 11,400 572 Albertson's, Inc. 46,195 1,226 Altria Group, Inc. 257,704 12,898 Anheuser-Busch Companies, Inc. 101,019 5,455 Archer-Daniels-Midland Co. 81,675 1,371 Avon Products, Inc. 59,350 2,738 Brown-Forman Corp. -- Class B 15,268 737 Campbell Soup Co. 51,654 1,388 The Clorox Co. 26,650 1,433 The Coca-Cola Co. 306,100 15,452 Coca-Cola Enterprises, Inc. 59,100 1,713 Colgate-Palmolive Co. 66,854 3,908 ConAgra Foods, Inc. 66,433 1,799 Costco Wholesale Corp. 57,652 2,368 CVS Corp. 49,933 2,098 General Mills, Inc. 47,533 2,259 The Gillette Co. 126,065 5,345 H.J. Heinz Co. 44,283 1,736 Hershey Foods Corp. 32,600 1,508 Kellogg Co. 51,643 2,161 Kimberly-Clark Corp. 62,997 4,150 *The Kroger Co. 93,273 1,698 McCormick & Co., Inc. 17,300 588 The Pepsi Bottling Group, Inc. 32,400 989 PepsiCo, Inc. 214,500 11,557 The Procter & Gamble Co. 323,046 17,587 R.J. Reynolds Tobacco Holdings, Inc. 10,700 723 *Safeway, Inc. 56,100 1,422 Sara Lee Corp. 99,284 2,283 SUPERVALU, Inc. 16,950 519 SYSCO Corp. 80,350 2,882 UST, Inc. 20,833 750 Wal-Mart Stores, Inc. 539,033 28,440 Walgreen Co. 128,754 4,662 Winn-Dixie Stores, Inc. 17,850 129 Wm. Wrigley Jr. Co. 28,233 1,780 ------- Total 148,664 -------
Balanced Portfolio 51 Balanced Portfolio
Shares/ Value Common Stocks (46.3%) $ Par $ (000) --------------------------------------------------- Energy (3.0%) Amerada Hess Corp. 11,300 895 Anadarko Petroleum Corp. 31,677 1,856 Apache Corp. 40,830 1,778 Ashland, Inc. 8,800 465 Baker Hughes, Inc. 41,840 1,575 *BJ Services Co. 20,200 926 Burlington Resources, Inc. 49,872 1,804 ChevronTexaco Corp. 134,484 12,657 ConocoPhillips 86,203 6,576 Devon Energy Corp. 30,100 1,987 El Paso Corp. 80,517 634 EOG Resources, Inc. 14,640 874 Exxon Mobil Corp. 821,871 36,500 Halliburton Co. 55,285 1,673 Kerr-McGee Corp. 18,757 1,009 Kinder Morgan, Inc. 15,633 927 Marathon Oil Corp. 43,391 1,642 *Nabors Industries, Ltd. 18,650 843 *Noble Corp. 16,950 642 Occidental Petroleum Corp. 49,180 2,381 *Rowan Companies, Inc. 13,250 322 Schlumberger, Ltd. 74,033 4,702 Sunoco, Inc. 9,450 601 *Transocean Sedco Forex, Inc. 40,354 1,168 Unocal Corp. 33,133 1,259 Valero Energy Corp. 16,200 1,195 The Williams Companies, Inc. 65,300 777 ------ Total 87,668 ------ Financials (9.4%) ACE, Ltd. 35,600 1,505 AFLAC, Inc. 63,950 2,610 The Allstate Corp. 88,269 4,109 Ambac Financial Group, Inc. 13,600 999 American Express Co. 160,600 8,252 American International Group, Inc. 327,790 23,364 AmSouth Bancorporation 44,245 1,127 Aon Corp. 39,575 1,127 Apartment Investment and Management Co. -- Class A 11,800 367 Bank of America Corp. 256,245 21,682 The Bank of New York Co., Inc. 97,720 2,881 Bank One Corp. 140,945 7,188 BB&T Corp. 70,500 2,606 The Bear Stearns Companies, Inc. 13,145 1,108 Capital One Financial Corp. 30,100 2,058 The Charles Schwab Corp. 171,486 1,648 Charter One Financial, Inc. 28,171 1,245 The Chubb Corp. 23,850 1,626 Cincinnati Financial Corp. 21,194 922 Citigroup, Inc. 649,874 30,218 Comerica, Inc. 21,800 1,196 Countrywide Credit Industries, Inc. 35,149 2,469 *E*TRADE Group, Inc. 45,900 512 Equity Office Properties Trust 50,700 1,379 Equity Residential Properties Trust 35,200 1,046 Fannie Mae 121,829 8,694
Shares/ Value Common Stocks (46.3%) $ Par $ (000) ----------------------------------------------------------- Financials continued Federated Investors, Inc. -- Class B 13,600 413 Fifth Third Bancorp 70,743 3,805 First Horizon National Corp. 15,600 709 Franklin Resources, Inc. 31,450 1,575 Freddie Mac 86,514 5,476 Golden West Financial Corp. 19,150 2,037 The Goldman Sachs Group, Inc. 60,600 5,706 The Hartford Financial Services Group, Inc. 36,650 2,519 Huntington Bancshares, Inc. 28,800 660 J.P. Morgan Chase & Co. 261,662 10,145 Janus Capital Group, Inc. 30,071 496 Jefferson-Pilot Corp. 17,553 892 KeyCorp 51,525 1,540 Lehman Brothers Holdings, Inc. 34,756 2,615 Lincoln National Corp. 22,360 1,057 Loews Corp. 23,333 1,399 M&T Bank Corp. 14,900 1,301 Marsh & McLennan Companies, Inc. 65,780 2,985 Marshall & Ilsley Corp. 27,900 1,091 MBIA, Inc. 18,150 1,037 MBNA Corp. 160,595 4,142 Mellon Financial Corp. 53,309 1,564 Merrill Lynch & Co., Inc. 120,800 6,521 MetLife, Inc. 95,015 3,406 MGIC Investment Corp. 12,400 941 Moody's Corp. 18,800 1,216 Morgan Stanley 138,131 7,289 National City Corp. 78,079 2,734 North Fork Bancorporation, Inc. 21,700 826 Northern Trust Corp. 27,650 1,169 Plum Creek Timber Co., Inc. (REIT) 23,000 749 The PNC Financial Services Group, Inc. 35,400 1,879 Principal Financial Group, Inc. 40,100 1,395 The Progressive Corp. 27,300 2,329 ProLogis 22,800 751 *Providian Financial Corp. 36,643 538 Prudential Financial, Inc. 66,100 3,072 Regions Financial Corp. 27,590 1,008 SAFECO Corp. 17,550 772 Simon Property Group, Inc. 26,200 1,347 SLM Corp. 55,158 2,231 SouthTrust Corp. 41,433 1,608 The St. Paul Travelers Companies, Inc. 83,831 3,399 State Street Corp. 42,200 2,069 SunTrust Banks, Inc. 35,467 2,305 Synovus Financial Corp. 38,350 971 T. Rowe Price Group, Inc. 15,900 801 Torchmark Corp. 13,950 751 U.S. Bancorp 238,209 6,565 Union Planters Corp. 23,912 713 UnumProvident Corp. 37,206 592 Wachovia Corp. 165,257 7,354 Washington Mutual, Inc. 108,738 4,202 Wells Fargo & Co. 212,085 12,138 XL Capital, Ltd. -- Class A 17,400 1,313 Zions Bancorporation 11,300 694 ------- Total 270,750 -------
52 Balanced Portfolio Balanced Portfolio
Shares/ Value Common Stocks (46.3%) $ Par $ (000) ----------------------------------------------------- Health Care (6.2%) Abbott Laboratories 196,025 7,990 *Aetna, Inc. 19,179 1,630 Allergan, Inc. 16,533 1,480 AmerisourceBergen Corp. 14,100 843 *Amgen, Inc. 159,823 8,722 *Anthem, Inc. 17,400 1,558 Applera Corp. -- Applied Biosystems Group 25,367 552 Bausch & Lomb, Inc. 6,700 436 Baxter International, Inc. 77,000 2,657 Becton, Dickinson and Co. 31,850 1,650 *Biogen Idec, Inc. 42,720 2,702 Biomet, Inc. 31,955 1,420 *Boston Scientific Corp. 104,980 4,493 Bristol-Myers Squibb Co. 244,344 5,986 C. R. Bard, Inc. 13,100 742 Cardinal Health, Inc. 54,050 3,786 *Caremark Rx, Inc. 57,500 1,894 *Chiron Corp. 23,778 1,061 CIGNA Corp. 17,771 1,223 Eli Lilly and Co. 141,966 9,925 *Express Scripts, Inc. 9,800 776 *Forest Laboratories, Inc. 46,434 2,630 *Genzyme Corp. 28,500 1,349 Guidant Corp. 39,412 2,202 HCA, Inc. 61,015 2,538 Health Management Associates, Inc. -- Class A 30,500 684 *Hospira, Inc. 19,642 542 *Humana, Inc. 20,300 343 IMS Health, Inc. 29,533 692 Johnson & Johnson 373,123 20,784 *King Pharmaceuticals, Inc. 30,366 348 Manor Care, Inc. 11,200 366 McKesson HBOC, Inc. 36,793 1,263 *Medco Health Solutions, Inc. 34,062 1,277 *MedImmune, Inc. 31,300 732 Medtronic, Inc. 152,300 7,420 Merck & Co., Inc. 279,300 13,267 *Millipore Corp. 6,200 349 Mylan Laboratories, Inc. 33,800 684 Pfizer, Inc. 958,959 32,874 Quest Diagnostics Inc. 13,000 1,104 Schering-Plough Corp. 184,950 3,418 *St. Jude Medical, Inc. 22,100 1,672 Stryker Corp. 50,300 2,767 *Tenet Healthcare Corp. 58,450 784 *UnitedHealth Group, Inc. 77,428 4,820 *Watson Pharmaceuticals, Inc. 13,700 369 *Wellpoint Health Networks, Inc. -- Class A 19,600 2,195 Wyeth 167,571 6,059 *Zimmer Holdings, Inc. 30,673 2,705 ------- Total 177,763 ------- Industrials (5.3%) 3M Co. 98,324 8,849
Shares/ Value Common Stocks (46.3%) $ Par $ (000) -------------------------------------------------------- Industrials continued *Allied Waste Industries, Inc. 39,850 525 American Power Conversion Corp. 25,150 494 *American Standard Companies, Inc. 27,000 1,088 *Apollo Group, Inc. -- Class A 22,200 1,960 Avery Dennison Corp. 13,850 887 The Boeing Co. 105,918 5,411 Burlington Northern Santa Fe Corp. 46,608 1,635 Caterpillar, Inc. 43,012 3,417 Cendant Corp. 128,173 3,138 Cintas Corp. 21,467 1,023 Cooper Industries, Ltd. -- Class A 11,600 689 Crane Co. 7,525 236 CSX Corp. 26,950 883 Cummins, Inc. 5,400 338 Danaher Corp. 38,700 2,007 Deere & Co. 31,240 2,191 *Delta Air Lines, Inc. 15,633 111 Deluxe Corp. 6,312 275 Dover Corp. 25,533 1,075 Eaton Corp. 18,900 1,224 Emerson Electric Co. 53,025 3,370 Equifax, Inc. 17,200 426 FedEx Corp. 37,540 3,067 Fluor Corp. 10,400 496 General Dynamics Corp. 25,000 2,483 General Electric Co. 1,326,398 42,974 Goodrich Corp. 14,800 478 H&R Block, Inc. 21,950 1,047 Honeywell International, Inc. 107,950 3,954 Illinois Tool Works, Inc. 38,900 3,730 Ingersoll-Rand Co. -- Class A 21,770 1,487 ITT Industries, Inc. 11,600 963 Lockheed Martin Corp. 56,422 2,938 Masco Corp. 55,000 1,715 *Monster Worldwide, Inc. 14,733 379 *Navistar International Corp. 8,820 342 Norfolk Southern Corp. 49,243 1,306 Northrop Grumman Corp. 45,162 2,425 PACCAR, Inc. 22,027 1,277 Pall Corp. 15,716 412 Parker-Hannifin Corp. 15,000 892 Pitney Bowes, Inc. 29,027 1,284 *Power-One, Inc. 10,500 115 R. R. Donnelley & Sons Co. 27,333 903 Raytheon Co. 56,300 2,014 Robert Half International, Inc. 21,560 642 Rockwell Automation, Inc. 23,350 876 Rockwell Collins, Inc. 22,250 741 Ryder System, Inc. 8,200 329 Southwest Airlines Co. 99,295 1,665 Textron, Inc. 17,250 1,024 *Thomas & Betts Corp. 7,400 202 Tyco International, Ltd. 252,083 8,353 Union Pacific Corp. 32,540 1,935 United Parcel Service, Inc. -- Class B 141,700 10,651 United Technologies Corp. 64,633 5,913 W.W. Grainger, Inc. 11,400 656
Balanced Portfolio 53 Balanced Portfolio
Shares/ Value Common Stocks (46.3%) $ Par $ (000) --------------------------------------------------------- Industrials continued Waste Management, Inc. 72,997 2,237 ------- Total 153,157 ------- Information Technology (8.0%) *ADC Telecommunications, Inc. 101,650 289 Adobe Systems, Inc. 29,975 1,394 *Advanced Micro Devices, Inc. 44,400 706 *Affiliated Computer Services, Inc. -- Class A 17,100 905 *Agilent Technologies, Inc. 60,488 1,771 *Altera Corp. 47,065 1,046 Analog Devices, Inc. 47,243 2,224 *Andrew Corp. 20,162 403 *Apple Computer, Inc. 47,800 1,555 *Applied Materials, Inc. 211,900 4,157 *Applied Micro Circuits Corp. 39,200 209 Autodesk, Inc. 14,266 611 Automatic Data Processing, Inc. 74,200 3,107 *Avaya, Inc. 55,712 880 *BMC Software, Inc. 28,040 519 *Broadcom Corp. -- Class A 39,500 1,847 *CIENA Corp. 71,300 265 *Cisco Systems, Inc. 849,767 20,140 *Citrix Systems, Inc. 21,380 435 Computer Associates International, Inc. 73,532 2,063 *Computer Sciences Corp. 23,550 1,093 *Compuware Corp. 48,543 320 *Comverse Technology, Inc. 24,600 491 *Convergys Corp. 18,050 278 *Corning, Inc. 172,400 2,252 *Dell, Inc. 317,067 11,357 *Electronic Arts, Inc. 38,000 2,073 Electronic Data Systems Corp. 60,900 1,166 *EMC Corp. 307,086 3,501 First Data Corp. 109,647 4,881 *Fiserv, Inc. 24,525 954 *Gateway, Inc. 46,750 210 Hewlett-Packard Co. 383,267 8,087 Intel Corp. 812,843 22,435 International Business Machines Corp. 211,810 18,672 *Intuit, Inc. 24,100 930 *Jabil Circuit, Inc. 25,233 635 *JDS Uniphase Corp. 181,000 686 *KLA-Tencor Corp. 24,700 1,220 *Lexmark International Group, Inc. -- Class A 16,300 1,573 Linear Technology Corp. 38,850 1,533 *LSI Logic Corp. 48,000 366 *Lucent Technologies, Inc. 538,562 2,036 Maxim Integrated Products, Inc. 40,500 2,123 *Mercury Interactive Corp. 11,600 578 *Micron Technology, Inc. 76,750 1,175 *Microsoft Corp. 1,356,600 38,745 Molex, Inc. 23,875 766 Motorola, Inc. 294,619 5,377 *National Semiconductor Corp. 45,086 991 *NCR Corp. 11,900 590 *Network Appliance, Inc. 43,700 941
Shares/ Value Common Stocks (46.3%) $ Par $ (000) -------------------------------------------------------- Information Technology continued *Novell, Inc. 48,600 408 *Novellus Systems, Inc. 18,600 585 *NVIDIA Corp. 20,900 428 *Oracle Corp. 652,850 7,789 *Parametric Technology Corp. 33,720 169 Paychex, Inc. 47,440 1,607 *PeopleSoft, Inc. 45,900 849 PerkinElmer, Inc. 16,000 321 *PMC-Sierra, Inc. 22,200 319 *QLogic Corp. 11,750 312 QUALCOMM, Inc. 101,833 7,432 Sabre Holdings Corp. -- Class A 17,509 485 *Sanmina-SCI Corp. 65,500 596 Scientific-Atlanta, Inc. 19,200 662 *Siebel Systems, Inc. 63,200 675 *Solectron Corp. 120,800 782 *Sun Microsystems, Inc. 417,954 1,814 *SunGard Data Systems, Inc. 36,500 949 *Symantec Corp. 39,200 1,716 Symbol Technologies, Inc. 29,450 434 Tektronix, Inc. 10,640 362 *Tellabs, Inc. 52,208 456 *Teradyne, Inc. 24,350 553 Texas Instruments, Inc. 217,575 5,261 *Thermo Electron Corp. 20,800 639 *Unisys Corp. 41,850 581 *VERITAS Software Corp. 54,301 1,504 *Waters Corp. 15,000 717 *Xerox Corp. 100,600 1,459 Xilinx, Inc. 43,600 1,452 *Yahoo!, Inc. 169,200 6,147 ------- Total 230,024 ------- Materials (1.4%) Air Products and Chemicals, Inc. 28,533 1,497 Alcoa, Inc. 109,243 3,607 Allegheny Technologies, Inc. 10,231 185 Ball Corp. 7,034 507 Bemis Co., Inc. 13,400 379 The Dow Chemical Co. 117,624 4,786 E. I. du Pont de Nemours and Co. 125,745 5,585 Eastman Chemical Co. 9,775 452 Ecolab, Inc. 32,300 1,024 Engelhard Corp. 15,600 504 Freeport-McMoRan Copper & Gold, Inc. -- Class B 22,219 737 Georgia-Pacific Corp. 32,058 1,186 Great Lakes Chemical Corp. 6,400 173 *Hercules, Inc. 13,800 168 International Flavors & Fragrances, Inc. 11,875 444 International Paper Co. 61,024 2,727 Louisiana-Pacific Corp. 13,700 324 MeadWestvaco Corp. 25,314 744 Monsanto Co. 33,378 1,285 Newmont Mining Corp. 55,730 2,160 Nucor Corp. 9,967 765 *Pactiv Corp. 19,300 481 Phelps Dodge Corp. 11,710 908
54 Balanced Portfolio Balanced Portfolio
Shares/ Value Common Stocks (46.3%) $ Par $ (000) --------------------------------------------------------- Materials continued PPG Industries, Inc. 21,533 1,346 Praxair, Inc. 40,800 1,628 Rohm and Haas Co. 28,134 1,170 *Sealed Air Corp. 10,636 567 Sigma-Aldrich Corp. 8,700 519 Temple-Inland, Inc. 7,000 485 United States Steel Corp. 14,250 500 Vulcan Materials Co. 12,800 609 Weyerhaeuser Co. 30,320 1,914 Worthington Industries, Inc. 10,850 223 ------ Total 39,589 ------ Telecommunication Services (1.6%) ALLTEL Corp. 38,743 1,961 AT&T Corp. 99,774 1,460 *AT&T Wireless Services, Inc. 342,716 4,908 BellSouth Corp. 230,535 6,045 CenturyTel, Inc. 17,500 526 *Citizens Communications Co. 36,100 437 *Nextel Communications, Inc. -- Class A 139,433 3,717 *Qwest Communications International, Inc. 224,220 805 SBC Communications, Inc. 416,233 10,094 Sprint Corp. 179,211 3,154 Verizon Communications, Inc. 348,138 12,598 ------ Total 45,705 ------ Utilities (1.2%) *The AES Corp. 80,075 795 *Allegheny Energy, Inc. 16,000 247 Ameren Corp. 22,933 985 American Electric Power Co., Inc. 49,720 1,591 *Calpine Corp. 52,240 226 Centerpoint Energy, Inc. 38,626 444 Cinergy Corp. 22,638 860 *CMS Energy Corp. 20,600 188 Consolidated Edison, Inc. 30,325 1,206 Constellation Energy Group, Inc. 21,200 803 Dominion Resources, Inc. 41,025 2,588 DTE Energy Co. 21,750 882 Duke Energy Corp. 114,942 2,332 *Dynegy, Inc. -- Class A 47,600 203 Edison International 40,980 1,048 Entergy Corp. 28,891 1,618 Exelon Corp. 83,024 2,764 FirstEnergy Corp. 41,474 1,552 FPL Group, Inc. 23,243 1,486 KeySpan Corp. 20,100 738 Nicor, Inc. 5,550 189 NiSource, Inc. 33,084 682 Peoples Energy Corp. 4,700 198 *PG&E Corp. 52,675 1,472 Pinnacle West Capital Corp. 11,500 464 PPL Corp. 22,333 1,025 Progress Energy, Inc. 30,979 1,365 Public Service Enterprise Group, Inc. 29,740 1,190 Sempra Energy 28,859 994 The Southern Co. 92,700 2,702 TECO Energy, Inc. 23,700 284
Shares/ Value Common Stocks (46.3%) $ Par $ (000) -------------------------------------------------------- Utilities continued TXU Corp. 40,715 1,649 Xcel Energy, Inc. 50,170 838 --------- Total 35,608 --------- Total Common Stocks (Cost: $745,411) 1,335,010 --------- Money Market Investments (22.2%) -------------------------------------------------------- Agricultural Services (0.1%) (b)Cargill, Inc., 1.44%, 7/1/04 2,870,000 2,870 --------- Total 2,870 --------- Asset-Backed Securities (CMO'S) (0.5%) (b)Fcar Owner Trust I, 1.3%, 9/2/04 15,000,000 14,964 --------- Total 14,964 --------- Autos (0.2%) (b)Daimler Chrysler Auto, 1.07%, 7/2/04 6,300,000 6,300 --------- Total 6,300 --------- Beverages, Malt Beverages (0.5%) (b)Coca-Cola Co., 1.08%, 7/8/04 15,000,000 14,997 --------- Total 14,997 --------- Diversified Business Finance (0.1%) (b)USAA Capital Corp., 7.54%, 3/30/05 3,400,000 3,525 --------- Total 3,525 --------- Electrical Equipment and Supplies (0.5%) (b)General Electric Capital, 1.08%, 8/3/04 15,000,000 14,985 --------- Total 14,985 --------- Federal Government & Agencies (2.2%) (b)Federal Home Loan Mortgage Co., 1.13%, 11/22/04 15,000,000 14,904 (b)Federal National Mortgage Association, 1.045%, 7/7/04 15,000,000 14,997 (b)Federal National Mortgage Association, 1.055%, 7/21/04 34,200,000 34,180 --------- Total 64,081 --------- Finance Lessors (4.8%) (b)Preferred Receivable Funding, 1.25%, 7/26/04 15,000,000 14,987 (b)Preferred Receivable Funding, 1.3%, 7/29/04 15,000,000 14,985 (b)Receivable Capital Trust, 1.08%, 7/9/04 15,000,000 14,996 (b)Receivable Capital Trust, 1.24%, 7/22/04 15,000,000 14,989 (b)Thunder Bay Funding, Inc., 1.18%, 7/12/04 15,000,000 14,995 (b)Thunder Bay Funding, Inc., 1.22%, 7/15/04 15,000,000 14,993
Balanced Portfolio 55 Balanced Portfolio
Shares/ Value Money Market Investments (22.2%) $ Par $ (000) --------------------------------------------------------- Finance Lessors (continued) (b)Toyota Motor Credit Corp., 1.06%, 7/9/04 15,000,000 14,997 (b)Windmill Funding Corp., 1.08%, 7/07/04 15,000,000 14,997 (b)Windmill Funding Corp., 1.10%, 7/13/04 15,000,000 14,995 ------- Total 134,934 ------- Finance Services (2.6%) (b)Citicorp, 1.13%, 7/26/04 15,000,000 14,988 (b)Citicorp, 1.28%, 8/3/04 15,000,000 14,982 (b)The Goldman Sachs Group, 1.30%, 8/13/04 30,000,000 29,954 (b)Merrill Lynch, 1.45%, 7/1/04 15,000,000 15,000 ------- Total 74,924 ------- Miscellaneous Business Credit Institutions (1.7%) (b)Catepillar Financial, 1.3%, 7/23/04 15,000,000 14,988 (b)Catepillar Financial, 1.32%, 8/5/04 15,000,000 14,981 (b)CIT Group, Inc., 1.39%, 2/14/05 5,500,000 5,506 (b)National Rural Utility, 1.27%, 7/16/04 15,000,000 14,992 ------- Total 50,467 ------- Personal Credit Institutions (4.7%) (b)American General Finance, 1.045%, 7/12/04 15,000,000 14,994 (b)CXC Inc., 1.14%, 7/19/04 15,000,000 14,991 (b)CXC Inc., 1.37%, 8/18/04 15,000,000 14,973 (b)Delaware Funding, 1.14%, 7/16/04 15,000,000 14,993 (b)Household Finance Corp., 1.32%, 8/17/04 15,000,000 14,974 (b)Household Finance Corp., 1.33%, 8/20/04 15,000,000 14,972 (b)Nestle Capital Corp,. 1.08%, 8/10/04 15,000,000 14,982 (b)New Center Asset Trust, 1.21%, 8/2/04 15,000,000 14,984 (b)New Center Asset Trust, 1.47%, 9/8/04 15,000,000 14,959 ------- Total 134,822 ------- Pharmaceutical Preparations (1.2%) (b)Merck & Co., Inc., 4.125%, 1/18/05 4,500,000 4,553 (b)Pfizer, Inc., 1.23%, 8/6/04 15,000,000 14,982 (b)Pfizer, Inc., 1.25%, 8/11/04 15,000,000 14,979 ------- Total 34,514 ------- Security Brokers and Dealers (1.0%) (b)Morgan Stanley Dean Witter, 1.28%, 8/2/04 15,000,000 14,983 (b)Morgan Stanley Dean Witter, 1.30%, 8/10/04 15,000,000 14,978 ------- Total 29,961 -------
Shares/ Value Money Market Investments (22.2%) $ Par $ (000) ---------------------------------------------------------- Short Term Business Credit (2.1%) (b)Old Line Funding Corp., 1.08%, 7/6/04 14,945,000 14,943 (b)Old Line Funding Corp., 1.20%, 8/20/04 15,000,000 14,975 (b)Sheffield Receivables, 1.24%, 7/19/04 15,000,000 14,991 (b)Sheffield Receivables, 1.24%, 7/20/04 15,000,000 14,990 --------- Total 59,899 --------- Total Money Market Investments (Cost: $641,313) 641,243 --------- Total Investments (110.0%) (Cost $2,601,245)(a) 3,177,895 --------- Other Assets, Less Liabilities (-10.0%) (289,439) --------- Total Net Assets (100.0%) 2,888,456 ---------
* Non-Income Producing 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, 2004, the value of these securities was $32,920, representing 1.14% of net assets. IO -- Interest Only Security RB -- Revenue Bond (a)At June 30, 2004 the aggregate cost of securities for federal tax purposes was $2,601,245 and the net unrealized appreciation of investments based on that cost was $576,650 which is comprised of $724,967 aggregate gross unrealized appreciations and $148,317 aggregate gross unrealized depreciation. (b)All or a portion of the securities have been committed as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.
Unrealized Appreciation/ Number of Expiration Depreciation Issuer (000's) Contracts Date (000's) -------------------------------------------------------- S&P 500 Index Futures 1,034 9/04 $1,715 (Total Notional Value at June 30, 2004, $293,078) US Long Bond (CBT) Commodity Futures 1,129 9/04 $ 847 (Total Notional Value at June 30, 2004, $119,251)
(d)Defaulted Security (f)All or a portion of the securities have been segregated as collateral for securities loaned by the portfolio. The Accompanying Notes are an Integral Part of the Financial Statements 56 Balanced Portfolio High Yield Bond Portfolio Northwestern Mutual Series Fund, Inc. Schedule of Investments June 30, 2004 (unaudited)
Shares/ Value Bonds (93.4%) $ Par $ (000) --------------------------------------------------------- Aerospace/Defense (0.4%) L-3 Communications Corp., 6.125%, 1/15/14 950,000 907 ------ Total Aerospace/Defense 907 ------ Autos/Vehicle Parts (2.9%) Collins & Aikman Products, 10.75%, 12/31/11 1,125,000 1,131 Delco Remy International, Inc., 9.375%, 4/15/12 144A 937,000 911 HLI Operating Co., 10.50%, 6/15/10 601,000 676 Metaldyne Corp., 10.00%, 11/1/13 144A 1,500,000 1,470 United Rentals NA, Inc., 6.50%, 2/15/12 938,000 886 Visteon Corp., 7.00%, 3/10/14 750,000 720 ------ Total Autos/Vehicle Parts 5,794 ------ Basic Materials (10.6%) Chemicals (5.4%) BCP Caylux Holding, 9.625%, 6/15/14 144A 1,079,000 1,118 Huntsman Adv. Materials, 11.00%, 7/15/10 144A 1,140,000 1,285 Huntsman LLC, 11.625%, 10/15/10 750,000 829 Huntsman LLC, 11.50%, 7/15/12 144A 1,125,000 1,139 Invista, 9.25%, 5/1/12 144A 1,250,000 1,256 Koppers, Inc., 9.875%, 10/15/13 1,125,000 1,232 NOVA Chemicals, Ltd., 6.50%, 1/15/12 938,000 924 Rockwood Specialties Group, Inc., 10.265%, 5/15/11 1,725,000 1,837 Terra Capital Corp., 11.50%, 6/1/10 1,050,000 1,150 ------ Total 10,770 ------ Metals/Mining (2.0%) CSN Islands VIII Corp., 9.75%, 12/16/13 144A 750,000 671 Ispat Inland ULC, 9.75%, 4/1/14 144A 937,000 965 Texas Industries, Inc., 10.25%, 6/15/11 725,000 808 Wise Metals Group LLC, 10.25%, 5/15/12 144A 1,585,000 1,625 ------ Total 4,069 ------ Packaging/Containers (1.9%) (e) Consolidated Container, Co. 1,125,000 855 Crown European Holdings SA, 9.50%, 3/1/11 550,000 600 Owens Brockway Glass Container, 8.75%, 11/15/12 775,000 841 Owens Brockway Glass Container, 8.25%, 5/15/13 725,000 749 Pliant Corp., 11.125%, 9/1/09 740,000 792 ------ Total 3,837 ------
Shares/ Value Bonds (93.4%) $ Par $ (000) ------------------------------------------------------------ Paper & Forest Products (1.3%) Abitibi-Consolidated, Inc., 7.75%, 06/15/11 144A 1,172,000 1,170 Appleton Papers, Inc., 8.125%, 6/15/11 144A 656,000 664 Appleton Papers, Inc., 9.75%, 6/15/14 144A 750,000 752 ------ Total 2,586 ------ Total Basic Materials 21,262 ------ Builders/Building Materials (2.9%) Building Materials (1.1%) Integrated Electrical Services, Inc., 9.375%, 2/1/09 1,450,000 1,497 (e) Nortek Holdings, Inc. 10.00%, 5/15/11 144A 950,000 760 ------ Total 2,257 ------ Home Builders (1.8%) Hovnanian Enterprises, 6.375%, 12/15/14 144A 940,000 860 Technical Olympic USA, Inc., 9.00%, 7/1/10 750,000 769 Technical Olympic USA, Inc., 7.50%, 3/15/11 1,125,000 1,046 William Lyon Homes., 7.50%, 2/15/14 144A 1,125,000 1,046 ------ Total 3,721 ------ Total Builders/Building Materials 5,978 ------ Capital Goods (7.7%) AEARO CO., 8.25%, 4/15/12 144A 1,125,000 1,148 Amsted Industries, Inc., 10.25%, 10/15/11 144A 1,825,000 1,979 Bombardier Recreational, 8.375%, 12/15/13 144A 1,350,000 1,340 Columbus McKinnon Corp., 10.00%, 8/1/10 925,000 981 Communications & Power Ind., 8.00%, 2/1/12 1,125,000 1,125 DA-Lite Screen Co. Inc., 9.50%, 5/15/11 144A 1,050,000 1,092 General Cable Corp., 9.50%, 11/15/10 1,325,000 1,424 ITRON, Inc., 7.75%, 5/15/12 144A 1,125,000 1,128 Mueller Group, Inc., 10.00%, 5/1/12 144A 300,000 312 Rexnord Corp., 10.125%, 12/15/12 750,000 825 Superior Essx Com & Essx Group, 9.00%, 4/15/12 144A 1,875,000 1,790 Terex Corp. 7.375%, 1/15/14 710,000 696 Trimas Corp., 9.875%, 6/15/12 975,000 1,034 Trinity Industries LE, 6.50%, 3/15/14 144A 938,000 858 ------ Total Capital Goods 15,732 ------
High Yield Bond Portfolio 57 High Yield Bond Portfolio
Shares/ Value Bonds (93.4%) $ Par $ (000) ------------------------------------------------------------ Consumer Products/Retailing (10.0%) Consumer Products (4.0%) American Achievement Corp., 8.25%, 4/1/12 144A 750,000 761 Ames True Temper, Inc., 10.00%, 7/15/12 144A 1,314,000 1,317 Amscan Holdings, Inc., 8.75%, 5/1/14 144A 936,000 920 Jafra Cosmetics, 10.75%, 5/15/11 1,100,000 1,227 (e)Jostens Holding Corp., 10.25%, 12/1/13 925,000 629 Playtex Products, Inc., 9.375%, 6/1/11 1,500,000 1,459 Samsonite Corp., 8.875%, 6/1/11 144A 872,000 903 Sealy Mattress Co., 8.25%, 6/15/14 144A 650,000 653 ------ Total 7,869 ------ Retail Food & Drug (1.3%) Delhaize America, Inc., 9%, 4/15/31 950,000 1,045 Stater Brothers Holdings, 8.125%, 6/15/12 144A 1,640,000 1,646 ------ Total 2,691 ------ Retail Stores (2.7%) Cole National Group, 8.875%, 5/15/12 1,000,000 1,068 Couche-Tard US, 7.50%, 12/15/13 1,525,000 1,525 Finlay Fine Jewelry Corp., 8.375%, 6/1/12 144A 937,000 972 Toys "R" Us, 7.875%, 4/15/13 1,875,000 1,881 ------ Total 5,446 ------ Textile/Apparel (2.0%) Oxford Industries, Inc., 8.875%, 6/1/11 144A 1,050,000 1,108 Perry Ellis International, Inc., 8.875%, 9/15/13 750,000 774 Phillips Van Heusen, 7.25%, 2/15/11 144A 1,125,000 1,131 Tommy Hilfiger USA, Inc., 6.85%, 6/1/08 1,095,000 1,096 ------ Total 4,109 ------ Total Consumer Products/Retailing 20,115 ------ Energy (7.2%) Gas Pipelines/Oil Field Services (1.8%) Hanover Equipment Trust 01 A, 0.00%, 3/31/07 750,000 593 Hanover Equipment Trust, 8.75% 9/1/11 975,000 1,043 Parker Drilling Co., 9.625%, 10/1/13 1,125,000 1,167 Pride International, Inc., 7.375%, 7/15/14 144A 900,000 909 ------ Total 3,712 ------ Oil & Gas Exploration/Production (4.8%) Chesapeake Energy Corp., 7.50%, 6/15/14 144A 1,407,000 1,449 Compton Pete Corp., 9.90%, 5/15/09 750,000 819 Comstock Resources, Inc., 6.875%, 3/1/12 1,310,000 1,245
Shares/ Value Bonds (93.4%) $ Par $ (000) --------------------------------------------------------- Oil & Gas Exploration/Production continued EXCO Resources, Inc., 7.25%, 1/15/11 1,125,000 1,142 Hilcorp Energy, 10.50%, 9/1/10 144A 2,100,000 2,273 KCS Energy, Inc., 7.125%, 4/1/12 144A 750,000 746 Range Resources Corp., 7.375%, 7/15/13 775,000 771 Range Resources Corp., 7.375%, 7/15/13 144A 300,000 299 Whiting Petroleum Corp., 7.25%, 5/1/12 144A 937,000 928 ------ Total 9,672 ------ Oil Refining & Marketing (0.6%) Citgo Petroleum Corp., 11.375%, 2/1/11 1,100,000 1,276 ------ Total 1,276 ------ Total Energy 14,660 ------ Financials (3.3%) Banking/Savings and Loan (0.3%) Western Financial Bank-FSB, 9.625%, 5/15/12 625,000 688 ------ Total 688 ------ Financials Services (1.9%) Dollar Financial Group, 9.75%, 11/15/11 1,125,000 1,176 E*Trade Financial Corp., 8.00%, 6/15/11 144A 750,000 746 IOS Capital LLC, 7.25%, 6/30/08 99,000 102 LaBranche and Co., 11.00%, 5/15/12 144A 936,000 964 LaBranche and Co., 9.50%, 5/15/09 144A 937,000 946 ------ Total 3,934 ------ Insurance (1.1%) Crum and Forster Holding Corp., 10.375%, 6/15/13 925,000 1,008 Fairfax Financial Holdings, 7.375%, 3/15/06 1,125,000 1,170 ------ Total 2,178 ------ Total Financials 6,800 ------ Foods (5.5%) Food/Beverage/Tobacco (4.0%) Gold Kist, Inc., 10.25%, 3/15/14 144A 930,000 1,009 Merisant Co., 9.50%, 7/15/13 144A 1,125,000 1,198 North Atlantic Trading Co., 9.25%, 3/1/12 144A 1,500,000 1,451 Pinnacle Foods Holding, 8.25%, 12/1/13 144A 1,325,000 1,279 RJ Reynolds Tobacco Holdings, 7.25%, 6/1/12 1,500,000 1,455 Standard Commercial Corp., 8.00%, 4/15/12 144A 625,000 613 (e)Tabletop Holdings, 12.25%, 5/15/14 144A 1,875,000 1,144 ------ Total 8,149 ------
58 High Yield Bond Portfolio High Yield Bond Portfolio
Shares/ Value Bonds (93.4%) $ Par $ (000) --------------------------------------------------------- Restaurants (1.5%) Friendly Ice Cream Corp., 8.375%, 6/15/12 144A 1,125,000 1,091 O'Charleys, Inc., 9.00%, 11/1/13 719,000 744 VICORP RESTAURANTS INC., 10.50%, 4/15/11 144A 1,200,000 1,194 ------ Total 3,029 ------ Total Foods 11,178 ------ Gaming/Leisure/Lodging (8.4%) Gaming (5.8%) American Casino & Entertainment., 7.85%, 2/1/12 144A 975,000 990 Aztar Corp., 7.875%, 6/15/14 144A 750,000 758 Boyd Gaming Corp., 6.75%, 4/15/14 144A 563,000 531 (d)Hollywood Casino Shreveport, 13.00%, 8/1/06 700,000 525 Inn of the Mountain Gods., 12.00%, 11/15/10 144A 1,500,000 1,664 Jacobs Entertainment, Inc., 11.875%, 2/01/09 675,000 743 Majestic Star Casino LLC, 9.50%, 10/15/10 1,125,000 1,131 MGM Mirage, Inc., 5.875%, 2/27/14 144A 508,000 460 Resort Intl. Hotel/Casino, 11.50%, 3/15/09 1,000,000 1,130 River Rock Entertainment, 9.75%, 11/1/11 1,125,000 1,226 Seneca Gaming Corp., 7.25%, 5/1/12 144A 655,000 654 Station Casinos, Inc., 6.00%, 4/1/12 750,000 726 Wheeling Island Gaming, 10.125%, 12/15/09 1,125,000 1,193 ------ Total 11,731 ------ Leisure (2.2%) AMC Entertainment, Inc., 9.875%, 2/1/12 1,500,000 1,574 Royal Caribbean Cruises, 6.875%, 12/1/13 1,500,000 1,483 Universal City Development Corp., 11.75%, 4/1/10 1,250,000 1,447 ------ Total 4,504 ------ Lodging (0.4%) Host Marriot LP, 7.125%, 11/1/13 750,000 735 ------ Total 735 ------ Total Gaming/Leisure/Lodging 16,970 ------ Health Care/Pharmaceuticals (6.1%) Ameripath, Inc., 10.50%, 4/1/13 700,000 707 General Nutrition Center, 8.5%, 12/1/10 144A 750,000 778 Genesis HealthCare Corp., 8.00%, 10/15/13 144A 750,000 765
Shares/ Value Bonds (93.4%) $ Par $ (000) ---------------------------------------------------------- Health Care/Pharmaceuticals continued Iasis Healthcare Corp., 8.75%, 06/15/14 144A 1,172,000 1,198 Medcath Holdings Corp., 9.875%, 7/15/12 144A 1,312,000 1,326 Medical Device Manufacturing, Inc., 10.00%, 7/15/12 144A 1,125,000 1,148 Quintiles Transnational, 10.00%, 10/1/13 1,125,000 1,114 Senior Housing Property Trust, 7.875%, 4/15/15 800,000 818 Tenet Healthcare Corp., 9.875%, 7/1/14 144A 750,000 763 Triad Hospitals, Inc., 7.00%, 5/15/12 937,000 944 Universal Hospital Service, 10.125%, 11/1/11 750,000 761 Valeant Pharmaceuticals, 7.00%, 12/15/11 144A 1,350,000 1,316 Ventas Realty LTD. Partnership, 9.00%, 5/1/12 750,000 821 ------ Total Health Care/Pharmaceuticals 12,459 ------ Media (8.4%) Cable/Satellite (5.3%) Cablevision Systems Corp., 8.00%, 4/15/12 144A 1,875,000 1,847 Charter Communications OPT LLC/Cap, 8.00%, 4/30/12 144A 1,500,000 1,451 CSC Holdings, Inc., 6.75%, 4/15/12 144A 565,000 542 Echostar Corp., 6.375%, 10/1/11 1,875,000 1,847 Insight Midwest, 9.75%, 10/1/09 950,000 1,002 Kabel Deutschland GMBH, 10.625%, 7/1/14 144A 1,875,000 1,927 MediaCom LLC, 9.50%, 1/15/13 1,500,000 1,448 NTL Cable PLC, 8.75%, 4/15/14 144A 750,000 769 ------ Total 10,833 ------ Publishing (3.1%) American Media, Inc., 8.875%, 1/15/11 1,125,000 1,088 Dex Media Inc. 8.00%, 11/15/13 144A 1,125,000 1,080 Dex Media West, LLC, 9.875%, 8/15/13 1,100,000 1,207 Primedia, Inc., 7.625%, 4/1/08 375,000 371 Reader's Digest Association, Inc., 6.50%, 3/1/11 940,000 918 Vertis, Inc., 10.875%, 6/15/09 655,000 704 Von Hoffman Corp., 10.25%, 3/15/09 825,000 849 ------ Total 6,217 ------ Total Media 17,050 ------ Real Estate (0.7%) LNR Property Corp., 7.25%, 10/15/13 750,000 731 Omega Healthcare Investors, 7.00%, 4/1/14 144A 750,000 709 ------ Total Real Estate 1,440 ------
High Yield Bond Portfolio 59 High Yield Bond Portfolio
Shares/ Value Bonds (93.4%) $ Par $ (000) ----------------------------------------------------------- Services (3.9%) Environmental Services (1.1%) Allied Waste North America., 5.75%, 2/15/11 144A 750,000 711 MSW Energy Holdings, 8.50%, 9/1/10 925,000 978 Waste Services, Inc., 9.50%, 4/15/14 144A 624,000 640 ------ Total 2,329 ------ Services-Other (2.8%) Buhrmann U.S., Inc., 8.25%, 07/01/14 144A 937,000 935 Coinmach Corp., 9.00%, 2/1/10 1,500,000 1,503 Kindercare Learning Centers, 9.50%, 2/15/09 1,017,000 1,032 Memberworks, Inc., 9.25%, 4/1/14 144A 1,125,000 1,074 Petro Stopping Center, 9.00%, 2/15/12 144A 1,125,000 1,114 ------ Total 5,658 ------ Total Services 7,987 ------ Technology (1.1%) Amkor Technologies, Inc., 7.125%, 3/15/11 144A 1,125,000 1,055 Xerox Corp., 7.125%, 6/15/10 1,125,000 1,147 ------ Total Technology 2,202 ------ Telecommunications (6.4%) Telecommunications-Wireline (1.6%) MCI, Inc., 5.908%, 5/1/07 415,000 403 MCI, Inc., 6.688%, 5/1/09 648,000 599 Qwest Communications International, 7.50%, 11/1/08 B 375,000 345 Qwest Communications, 7.25%, 2/15/11 144A 1,125,000 1,049 Qwest Communications, Inc., 12/15/10, 13.50% 144A 795,000 924 ------ Total 3,320 ------ Telecommunications-Wirleless (4.8%) ACC Escrow Corp., 10.00%, 8/1/11 1,150,000 992 Alamosa Delaware, Inc., 8.50%, 1/31/12 144A 1,500,000 1,470 Centennial Communications, 8.125%, 2/1/14 144A 1,125,000 1,043 Nextel Communications, 6.875%, 10/31/13 1,675,000 1,660 Nextel Communications, 5.95%, 3/15/14 750,000 690 Rogers Wireless, Inc., 6.375%, 3/1/14 144A 1,875,000 1,726 Triton PCS, 8.75%, 11/15/11 925,000 763 US Unwired, Inc., 10.00%, 06/15/12 144A 1,312,000 1,325 ------ Total 9,669 ------ Total Telecommunications 12,989 ------
Shares/ Value Bonds (93.4%) $ Par $ (000) --------------------------------------------------------- Transportation (4.1%) (d)American Commercial Lines LLC, 11.25%, 1/1/08 551,186 289 CHC Helicopter Corp., 7.375%, 5/1/14 144A 874,000 859 Laidlaw International, Inc., 10.75%, 6/15/11 1,275,000 1,391 Omni Corp., 7.625%, 12/1/13 1,125,000 1,103 Railamerica Transportation Corp., 12.875%, 8/15/10 1,400,000 1,602 Ship Finance International, LTD., 8.50%, 12/15/13 144A 1,100,000 1,062 Stena AB, 9.625%, 12/1/12 1,075,000 1,193 TFM SA DE C V, 12.50%, 6/15/12 750,000 799 ------- Total Transportation 8,298 ------- Utilities (3.8%) AES Corp., 8.75%, 5/15/13 144A 375,000 402 AES Corp., 9.00%, 5/15/15 144A 900,000 964 Calpine Corp., 8.50%, 7/15/10 144A 748,000 619 CMS Energy Corp., 7.75%, 8/1/10 144A 1,250,000 1,243 Midwest Generation LLC, 8.75%, 5/1/34 144A 450,000 455 Nevada Power Co., 8.25%, 6/1/11 750,000 784 NRG Energy, Inc., 8.00%, 12/15/13 144A 900,000 909 Reliant Resources, Inc., 9.50%, 7/15/13 1,150,000 1,239 Sierra Pacific Resources, 8.625%, 3/15/14 144A 1,125,000 1,097 ------- Total Utilities 7,712 ------- Total Bonds (Cost: $186,353) 189,533 ------- Preferred Stocks (0.0%) --------------------------------------------------------- Media (0.0%) PTV Inc. 23 0 ------- Total Media 0 ------- Transportation (0.0%) (c)American Commercial Lines LLC 4,948 3 ------- Total Preferred Stocks (Cost: $310) 3 ------- Common Stocks and Warrants (0.1%) --------------------------------------------------------- Gaming/Leisure/Lodging (0.0%) *La Quinta Corp. 11,117 93 ------- Total Gaming/Leisure/Lodging 93 ------- Media (0.0%) NTL, Inc. 12 0 ------- Total Media 0 ------- Telecommunications (0.0%) American Tower Corporation-Warrants 2,900 55 Horizon PCS, Inc. -- Warrant 144A 2,000 0 IWO Holdings, Inc. 144A 1,150 0 ------- Total Telecommunications 55 -------
60 High Yield Bond Portfolio High Yield Bond Portfolio
Shares/ Value Common Stocks and Warrants (0.1%) $ Par $ (000) ---------------------------------------------------------- Transportation (0.1%) Railamerica Transportation Corpo. 1,400 122 ------- Total Transportation 122 ------- Total Common Stocks and Warrants (Cost: $456) 270 ------- Money Market Investments (7.0%) ---------------------------------------------------------- Agricultural Services (3.1%) Cargill, Inc., 1.44%, 7/1/04 6,300,000 6,300 ------- Total Agricultural Services 6,300 ------- Short Term Business Credit (3.9%) Sheffield Receivables, 1.24%, 7/20/04 8,000,000 7,995 ------- Total Short Term Business Credit 7,995 ------- Total Money Market Investments (Cost: $14,295) 14,295 ------- Total Investments (100.5%) (Cost $201,414)(a) 204,101 ------- Other Assets, Less Liabilities (-0.5%) (948) ------- Total Net Assets (100.0%) 203,153 -------
* Non-Income Producing 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, 2004, the value of these securities was $94,341, representing 46.44% of net assets. (a)At June 30, 2004 the aggregate cost of securities for federal tax purposes was $201,414 and the net unrealized appreciation of investments based on that cost was $2,687 which is comprised of $6,298 aggregate gross unrealized appreciations and $3,611 aggregate gross unrealized depreciation. (c)PIK -- Payment In Kind (d)Defaulted Security (e)Step bond security that presently receives no coupon payments. At the predetermined date, the stated coupon rate becomes effective. The Accompanying Notes are an Integral Part of the Financial Statements High Yield Bond Portfolio 61 Select Bond Portfolio Northwestern Mutual Series Funds Schedule of Investments June 30, 2004 (unaudited)
Shares/ Value Revenue Bonds (0.4%) $ Par $ (000) ---------------------------------------------------------- Municipal Bonds -- Revenue (0.4%) Nashville & Davidson County, Tennessee Health and Educational Facilities Board of The Metropolitan Government, 0.00%, 6/1/21, RB 6,500,000 2,634 ------ Total Revenue Bonds (Cost: $2,777) 2,634 ------ Corporate Bonds (32.7%) ---------------------------------------------------------- Aerospace-Defense (0.7%) Lockheed Martin Corp., 8.20%, 12/1/09 3,850,000 4,512 ------ Total 4,512 ------ Auto Related (2.5%) American Honda Finance, 4.50%, 5/26/09 144A 4,120,000 4,123 Toyota Motor Credit Corp., 2.70%, 1/30/07 2,500,000 2,459 Toyota Motor Credit Corp., 2.875%, 8/1/08 1,190,000 1,137 Toyota Motor Credit Corp., 4.35%, 12/15/10 3,180,000 3,134 Toyota Motor Credit Corp., 5.65%, 1/15/07 4,000,000 4,207 ------ Total 15,060 ------ Beverages, Malt Beverages (2.6%) Anheuser-Busch Companies, Inc., 7.00%, 12/1/25 4,200,000 4,466 Anheuser-Busch Companies, Inc., 7.50%, 3/15/12 378,000 441 Coca-Cola Enterprises, Inc., 5.25%, 5/15/07 5,000,000 5,239 Coca-Cola Enterprises, Inc., 5.375%, 8/15/06 1,500,000 1,567 Coca-Cola Enterprises, Inc., 5.75%, 3/15/11 4,000,000 4,250 ------ Total 15,963 ------ Broad Woven Fabric Mills, Manmade (0.1%) (c)Polysindo International Finance, 11.375%, 6/15/06 4,200,000 378 ------ Total 378 ------ Brokers (0.6%) Credit Suisse First Boston USA, Inc., 4.70%, 6/1/09 3,900,000 3,911 ------ Total 3,911 ------ Commercial Banks (4.2%) Bank of America Corp., 5.375%, 6/15/14 740,000 733 Bank of America Corp., 7.40%, 1/15/11 1,133,000 1,284 Bank One Corp., 5.25%, 1/30/13 4,000,000 3,934
Shares/ Value Corporate Bonds (32.7%) $ Par $ (000) ------------------------------------------------------------ Commercial Banks continued HBOS Treasury Services PLC, 3.75%, 9/30/08 144A 4,100,000 4,038 Rabobank Capital Fund II, 5.26%, 12/31/13 144A 3,700,000 3,580 RBS Capital Trust II, 6.425%, 1/3/34 5,320,000 5,094 Supra-National Agency, 0.00%, 3/1/28 MTNB 7,100,000 1,659 UnionBanCal Corp., 5.25%, 12/16/13 500,000 492 Wells Fargo & Co., 3.125%, 4/1/09 5,000,000 4,747 ------ Total 25,561 ------ Commercial Physical Research (0.8%) Monsanto Co., 7.375%, 8/15/12 4,100,000 4,634 ------ Total 4,634 ------ Computer and Other Data Processing Service (0.9%) Gtech Holdings Corp., 4.75%, 10/15/10 5,510,000 5,396 ------ Total 5,396 ------ Crude Petroleum and Natural Gas (0.5%) Occidental Petroleum, 8.45%, 2/15/29 1,430,000 1,820 Occidental Petroleum, 10.125%, 9/15/09 1,000,000 1,242 ------ Total 3,062 ------ Electrical Equipment and Supplies (0.7%) Cooper Industries, Inc., 5.50%, 11/1/09 4,000,000 4,181 ------ Total 4,181 ------ Fire, Marine and Casualty Insurance (3.0%) Berkley (WR) Corp., 5.875%, 2/15/13 2,750,000 2,807 Berkley (WR) Corp., 9.875%, 5/15/08 2,860,000 3,381 Berkshire Hathaway, Inc., 4.625%, 10/15/13 6,880,000 6,576 Progressive Corp., 6.25%, 12/1/32 4,215,000 4,204 Progressive Corp., 6.375%, 1/15/12 1,415,000 1,525 ------ Total 18,493 ------ Measuring and Controlling Devices (0.4%) Rockwell Automation, Inc., 6.70%, 1/15/28 2,280,000 2,432 ------ Total 2,432 ------ Medical and Hospital Equipment (1.0%) Astrazeneca PLC, 5.40%, 6/1/14 3,570,000 3,611 Johnson & Johnson, Inc., 6.95%, 9/1/29 2,200,000 2,520 ------ Total 6,131 ------ Miscellaneous Business Credit Institutions (0.2%) Textron Financial Corp., 2.75%, 6/1/06 1,300,000 1,289 ------ Total 1,289 ------ Motors and Generators (0.2%) Emerson Electric Co., 4.50%, 5/1/13 655,000 625 Emerson Electric Co., 5.75%, 11/1/11 796,000 841 ------ Total 1,466 ------
62 Select Bond Portfolio Select Bond Portfolio
Shares/ Value Corporate Bonds (32.7%) $ Par $ (000) --------------------------------------------------------- Office Machines (0.4%) Pitney Bowes Credit Corp., 5.75%, 8/15/08 2,250,000 2,389 ------ Total 2,389 ------ Oil and Gas Extraction (0.7%) ChevronTexaco Corp., 6.625%, 10/1/04 4,500,000 4,553 ------ Total 4,553 ------ Pharmaceutical Preparations (5.2%) Abbott Laboratories, 3.75%, 3/15/11 2,480,000 2,352 GlaxoSmithKline Capital, Inc., 4.375%, 4/15/14 7,770,000 7,267 Johnson & Johnson, Inc., 3.80%, 5/15/13 2,900,000 2,663 Johnson & Johnson, Inc., 4.95%, 5/15/33 3,300,000 2,892 Johnson & Johnson, Inc., 6.625%, 9/1/09 2,750,000 3,065 Merck & Co., Inc., 6.40%, 3/1/28 1,100,000 1,162 Merck & Co., Inc. 5.95%, 12/1/28 4,841,000 4,848 Pfizer, Inc., 5.625%, 2/1/06 1,875,000 1,957 Pfizer, Inc., 5.625%, 4/15/09 1,100,000 1,161 Pfizer, Inc., 4.50% 2/15/14 5,300,000 5,073 ------ Total 32,440 ------ Radio, TV Electronic Stores (1.2%) RadioShack Corp., 6.95%, 9/1/07 1,500,000 1,633 RadioShack Corp., 7.375%, 5/15/11 4,885,000 5,512 ------ Total 7,145 ------ Real Estate Investment Trusts (0.8%) ERP Operating LP, 4.75%, 6/15/09 1,250,000 1,251 First Industrial LP, 5.25%, 6/15/09 1,275,000 1,284 Vornado Realty Trust, 4.75%, 12/1/10 2,520,000 2,443 ------ Total 4,978 ------ Retail-Retail Stores (2.7%) Fortune Brands, Inc., 4.875%, 12/1/13 1,370,000 1,338 LB Mortgage Trust, Series 1991-2, Class A3, 8.39%, 1/20/17 6,018,006 6,705 Limited Brands, Inc., 6.125%, 12/1/12 1,040,000 1,090 Limited Brands, Inc., 6.95%, 3/1/33 4,526,000 4,740 VF Corp., 6.00%, 10/15/33 2,850,000 2,721 ------ Total 16,594 ------ Savings Institutions Except Federal (0.4%) U.S. Central Credit Union, 2.75%, 5/30/08 2,600,000 2,483 ------ Total 2,483 ------ Security Brokers and Dealers (0.7%) Goldman Sachs Group, Inc., 5.15%, 1/15/14 4,500,000 4,321 ------ Total 4,321 ------ Steel Wire and Related Products (0.6%) Hubbell, Inc., 6.375%, 5/15/12 3,200,000 3,384 ------ Total 3,384 ------
Shares/ Value Corporate Bonds (32.7%) $ Par $ (000) -------------------------------------------------------- Toilet Preparations (1.3%) Estee Lauder, Inc., 5.75%, 10/15/33 5,400,000 5,136 The Gillette Co., 2.50%, 6/1/08 3,300,000 3,141 ------- Total 8,277 ------- Wines and Distilled Beverages (0.3%) Brown Forman Corp., 3.00%, 3/15/08 1,750,000 1,691 ------- Total 1,691 ------- Total Corporate Bonds (Cost: $203,870) 200,724 ------- Government (Domestic and Foreign) and Agency Bonds (41.1%) -------------------------------------------------------- Federal Government & Agencies (41.1%) Aid-Israel, 0.00%, 11/1/24 8,900,000 2,685 Aid-Israel, 5.50%, 3/18/33 3,700,000 3,608 Federal Home Loan Bank, 5.54%, 1/8/09 3,700,000 3,928 Federal Home Loan Mortgage Corp., 7.50%, 10/1/27 723,197 781 Housing & Urban Development, 6.08%, 8/1/13 4,000,000 4,283 Housing & Urban Development, 6.17%, 8/1/14 3,000,000 3,201 Quebec Province, 4.875%, 5/5/14 3,580,000 3,484 Rural Housing Trust 1987-1, Series 1, Class D, 6.33%, 4/1/26 316,681 317 State of Israel, 7.25%, 12/15/28 3,465,000 3,665 US Treasury, 1.125%, 6/30/05 1,225,000 1,214 US Treasury, 1.625%, 3/31/05 2,830,000 2,824 US Treasury, 1.625%, 4/30/05 1,770,000 1,765 US Treasury, 1.625%, 9/30/05 2,135,000 2,119 US Treasury, 1.75%, 12/31/04 2,000,000 2,001 US Treasury, 2.00%, 5/15/06 1,850,000 1,828 (f)US Treasury, 2.25%, 2/15/07 5,100,000 5,001 (f)US Treasury, 2.375%, 8/15/06 2,225,000 2,206 US Treasury, 2.625%, 5/15/08 9,495,000 9,197 (f)US Treasury, 3.00%, 11/15/07 14,510,000 14,373 (f)US Treasury, 3.00%, 2/15/08 38,530,000 37,999 US Treasury, 3.00%, 2/15/09 595,000 577 US Treasury, 3.125%, 9/15/08 1,085,000 1,065 US Treasury, 3.25%, 8/15/07 6,060,000 6,065 US Treasury, 3.375%, 11/15/08 1,915,000 1,894 US Treasury, 4.75%, 5/15/14 630,000 637 US Treasury, 5.00%, 8/15/11 1,000,000 1,044 (f)US Treasury, 5.375%, 2/15/31 9,570,000 9,652 US Treasury, 6.50%, 5/15/05 50,470,000 52,402 US Treasury, 6.50%, 10/15/06 25,000,000 26,987 US Treasury Inflation Index Bond, 3.375%, 1/15/07 4,843,211 5,188 US Treasury Inflation Index Bond, 3.625%, 1/15/08 27,692,966 30,264 US Treasury Inflation Index Bond, 3.875%, 4/15/29 4,974,138 6,343 US Treasury Stripped, 0.00%, 5/15/30 19,420,000 4,629 ------- Total Government (Domestic and Foreign) Bonds (Cost: $251,713) 253,226 -------
Select Bond Portfolio 63 Select Bond Portfolio
Mortgage-Backed and Asset Backed Shares/ Value Securities (21.1%) $ Par $ (000) ------------------------------------------------------------ Asset-Backed Securities (CMO'S) (0.3%) The Equitable Life Assurance Society, Series 174, Class C1, 7.52%, 5/15/06 144A 2,000,000 2,137 ------ Total 2,137 ------ Boat Dealers (0.0%) Nationscredit Grantor Trust, Series 1997-2, Class A1, 6.35%, 4/15/14 221,829 227 ------ Total 227 ------ Commercial Mortgages (5.5%) Asset Securitization Corp., Series 1997- D5, Class PS1, 1.62%, 2/14/43 IO 10,554,912 534 Chase Commercial Mortgage Securities Corp., Series 1997-1, Class B, 7.37%, 4/19/07 1,000,000 1,090 Chase Commercial Mortgage Securities Corp., Series 1997-2, Class A2, 6.60%, 4,608,181 4,879 Chase Commercial Mortgage Securities Corp., Series 1997-2, Class B, 6.60%, 11/19/07 2,000,000 2,150 Commercial Mortgage Acceptance Corp., Series 1997-ML1, Class B, 6.64%, 12/15/30 2,000,000 2,157 Credit Suisse First Boston Mortgage Securities Corp., Series 1997-C1, Class A2, 7.26%, 6/20/29 144A 1,266,065 1,366 Credit Suisse First Boston Mortgage Securities Corp., Series 1997-C1, Class B, 7.28%, 6/20/29 144A 1,500,000 1,633 Criimi Mae Commercial Mortgage Trust, Series 1998-C1, Class A1, 7.00%, 11/2/06 2,844,391 2,952 Criimi Mae Commercial Mortgage Trust, Series 1998-C1, Class B, 7.00%, 11/2/11 144A 4,000,000 4,128 DLJ Commercial Mortgage Corp., Series 1998-CF1, Class S, 0.70%, 1/15/18 IO 108,911,280 3,169 DLJ Mortgage Acceptance Corp., Series 1997-CF2, Class S, 0.35%, 10/15/30 IO 144A 80,432,259 1,474 Midland Realty Acceptance Corp., Series 1996-C2, Class AEC, 1.35%, 1/25/29 IO 8,843,898 336 Mortgage Capital Funding, Inc., Series 1997-MC1, Class A3, 7.29%, 3/20/27 3,187,440 3,288 Nomura Asset Securities Corp., Series 1998-D6, Class A2, 6.99%, 3/15/30 2,800,000 3,155 RMF Commercial Mortgage Pass- Through, Series 1997-1, Class F, 7.47%, 1/15/19 1,800,000 1,010 ------ Total 33,321 ------
Mortgage-Backed and Asset Backed Shares/ Value Securities (21.1%) $ Par $ (000) ------------------------------------------------------------- Credit Card Asset Backed (0.0%) (d)Heilig-Meyers Master Trust, Series 1998- 1A, Class A, 6.125%, 1/20/07 144A 1,102,667 1 ----- Total 1 ----- Federal Government & Agencies (15.0%) Federal National Mortgage Association, 5.97%, 10/1/08 3,563,370 3,789 Federal National Mortgage Association, 6.22%, 2/1/06 1,765,364 1,830 Federal National Mortgage Association, 6.265%, 10/1/08 2,781,934 2,979 Federal National Mortgage Association, 6.36%, 4/1/08 3,454,219 3,695 Federal National Mortgage Association, 6.39%, 4/1/08 1,307,945 1,400 Federal National Mortgage Association, 6.75%, 4/25/18 1,816,059 1,920 Federal National Mortgage Association, 6.75%, 12/25/23 1,151,747 1,174 Federal National Mortgage Association, 7.36%, 4/1/11 2,832,183 3,193 Federal National Mortgage Association, 11.00%, 12/1/12 13,289 15 Federal National Mortgage Association, 11.00%, 9/1/17 68,187 76 Federal National Mortgage Association, 11.00%, 12/1/17 22,065 25 Federal National Mortgage Association, 11.00%, 2/1/18 38,240 43 Federal National Mortgage Association, 11.50%, 4/1/18 28,685 32 Federal National Mortgage Association, 12.00%, 9/1/12 149,994 169 Federal National Mortgage Association, 12.00%, 12/1/12 45,431 52 Federal National Mortgage Association, 12.00%, 9/1/17 28,232 32 Federal National Mortgage Association, 12.00%, 10/1/17 29,915 34 Federal National Mortgage Association, 12.00%, 12/1/17 14,916 17 Federal National Mortgage Association, 12.00%, 2/1/18 45,556 52 Federal National Mortgage Association, 12.25%, 1/1/18 38,279 44 Federal National Mortgage Association, 12.50%, 4/1/18 7,610 9 Federal National Mortgage Association, 13.00%, 11/1/12 27,226 31 Federal National Mortgage Association, 13.00%, 11/1/17 21,754 25 Federal National Mortgage Association, 13.00%, 12/1/17 7,275 8 Federal National Mortgage Association, 13.00%, 2/1/18 47,669 55 Federal National Mortgage Association, 14.00%, 12/1/17 16,368 19
64 Select Bond Portfolio Select Bond Portfolio
Mortgage-Backed and Asset Backed Shares/ Value Securities (21.1%) $ Par $ (000) -------------------------------------------------- Federal Government & Agencies continued Government National Mortgage Association, 5.50%, 10/15/31 109,886 110 Government National Mortgage Association, 5.50%, 11/15/31 21,206 21 Government National Mortgage Association, 5.50%, 12/15/31 581,885 583 Government National Mortgage Association, 5.50%, 1/15/32 731,803 732 Government National Mortgage Association, 5.50%, 2/15/32 316,995 317 Government National Mortgage Association, 5.50%, 3/15/32 408,334 409 Government National Mortgage Association, 5.50%, 4/15/32 31,480 32 Government National Mortgage Association, 5.50%, 7/15/32 50,771 51 Government National Mortgage Association, 5.50%, 9/15/32 9,264,658 9,276 Government National Mortgage Association, 7.00%, 5/15/23 46,733 50 Government National Mortgage Association, 7.50%, 4/15/22 24,515 27 Government National Mortgage Association, 7.50%, 10/15/23 88,846 96 Government National Mortgage Association, 7.50%, 11/15/25 1,448 2 Government National Mortgage Association, 7.50%, 5/15/26 2,551 3 Government National Mortgage Association, 7.50%, 1/15/27 14,800 16 Government National Mortgage Association, 7.50%, 2/15/27 37,374 40 Government National Mortgage Association, 7.50%, 3/15/27 10,142 11 Government National Mortgage Association, 7.50%, 4/15/27 8,439 9 Government National Mortgage Association, 7.50%, 8/15/27 1,174 1 Government National Mortgage Association, 7.50%, 6/15/28 57,186 62 Government National Mortgage Association, 8.00%, 1/15/26 36,951 41 Government National Mortgage Association, 8.00%, 2/15/26 74,896 82 Government National Mortgage Association, 8.00%, 8/15/26 93,584 103 Government National Mortgage Association, 8.00%, 9/15/26 37,844 42 Government National Mortgage Association, 8.00%, 12/15/26 11,542 13 Government National Mortgage Association, 8.00%, 1/15/27 33,782 37 Government National Mortgage Association, 8.00%, 3/15/27 59,475 65 Government National Mortgage Association, 8.00%, 4/15/27 219,782 241
Mortgage-Backed and Asset Backed Shares/ Value Securities (21.1%) $ Par $ (000) --------------------------------------------------------- Federal Government & Agencies continued Government National Mortgage Association, 8.00%, 6/15/27 49,293 54 Government National Mortgage Association, 8.00%, 7/15/27 24,488 27 Government National Mortgage Association, 8.00%, 8/15/27 30,240 33 Government National Mortgage Association, 8.00%, 9/15/27 20,987 23 Government National Mortgage Association, 8.50%, 3/15/23 385 0 Government National Mortgage Association, 8.50%, 6/15/24 18,334 20 Government National Mortgage Association, 8.50%, 7/15/24 24,970 28 Government National Mortgage Association, 8.50%, 11/15/24 66,388 74 Government National Mortgage Association, 8.50%, 2/15/25 15,542 17 Government National Mortgage Association, 11.00%, 1/15/18 1,069,114 1,203 Government National Mortgage Association, TBA, 4.50%, 7/1/34 60,841,455 57,154 ------- Total 91,823 ------- Franchise Loan Receivables (0.1%) Enterprise Mortgage Acceptance Co., Series 1998-1, Class IO, 1.37%, 1/15/23 IO 144A 23,038,824 909 ------- Total 909 ------- Mobil Home Dealers (0.1%) Mid-State Trust, Series 6, Class A3, 7.54%, 7/1/35 629,285 629 ------- Total 629 ------- Residential Mortgages (0.1%) Blackrock Capital Finance L.P., Series 1997-R1, Class B3, 7.75%, 3/25/37 144A 2,147,994 193 Blackrock Capital Finance L.P., Series 1997-R3, Class B3, 7.25%, 11/25/28 144A 2,458,312 123 ------- Total 316 ------- Total Mortgage-Backed and Asset Backed Securities (Cost: $132,028) 129,363 -------
Select Bond Portfolio 65 Select Bond Portfolio
Shares/ Value Money Market Investments (22.0%) $ Par $ (000) ------------------------------------------------------------- Agricultural Services (0.6%) (b)Cargill, Inc., 1.44%, 7/1/04 3,450,000 3,450 ------ Total 3,450 ------ Asset-Backed Securities (CMO'S) (0.8%) (b)Fcar Owner Trust I, 1.08%, 7/6/04 5,000,000 4,999 ------ Total 4,999 ------ Auto Related (0.8%) (b)Toyota Motor Credit Corp, 1.30%, 8/13/04 5,000,000 4,992 ------ Total 4,992 ------ Automotive Services (0.8%) (b)Daimler Chrysler Auto, 1.32%, 7/29/04 5,000,000 4,995 ------ Total 4,995 ------ Beverages, Malt Beverages (1.6%) (b)Anheuser Busch Companies, 1.27%, 8/4/04 5,000,000 4,994 (b)Coca-Cola Co., 1.08%, 7/8/04 5,000,000 4,999 ------ Total 9,993 ------ Electrical Equipment and Supplies (0.8%) (b)General Electric Capital, 1.10%, 7/12/04 5,000,000 4,998 ------ Total 4,998 ------ Federal Government & Agencies (1.1%) (b)Federal Home Loan Bank, 1.07%, 7/16/04 1,600,000 1,599 (b)Federal National Mortgage Association, 1.24%, 8/25/04 5,000,000 4,991 ------ Total 6,590 ------ Finance Services (5.8%) (b)Citigroup Global Markets, 1.30%, 7/9/04 5,000,000 4,999 (b)The Goldman Sachs Group, 1.30%, 8/13/04 5,000,000 4,992 (b)Merrill Lynch, 1.45%, 7/1/04 5,000,000 5,000 (b)Receivable capital trust, 1.09%, 7/12/04 5,000,000 4,998 (b)Sheffield Receivables, 1.05%, 7/2/04 5,000,000 4,999 (b)Thunder Bay Funding, Inc, 1.23%, 7/19/04 5,000,000 4,997 (b)Windmill Funding Corp., 1.14%, 7/22/04 5,000,000 4,997 ------ Total 34,982 ------
Shares/ Value Money Market Investments (22.0%) $ Par $ (000) ------------------------------------------------------------- Miscellaneous Business Credit Institutions (2.4%) (b)BMW US Capital Corp, 1.26%, 7/29/04 5,000,000 4,995 (b)Caterpillar Financial, 1.25%, 7/12/04 5,000,000 4,998 (b)National Rural Utility, 1.24%, 7/27/04 5,000,000 4,996 -------- Total 14,989 -------- Personal Credit Institutions (1.6%) (b)CXC Incorporated, 1.18%, 8/3/04 5,000,000 4,995 (b)Delaware Funding, 1.20%, 8/3/04 5,000,000 4,994 -------- Total 9,989 -------- Petroleum Refining (0.8%) (b)Du Pont (e. i.) De Nemours Co., 1.24%, 8/12/04 5,000,000 4,993 -------- Total 4,993 -------- Pharmaceutical Preparations (0.8%) (b)Pfizer, Inc., 1.23%, 8/6/04 5,000,000 4,994 -------- Total 4,994 -------- Security Brokers and Dealers (0.8%) (b)Morgan Stanley Dean Witter, 1.25%, 7/26/04 5,000,000 4,996 -------- Total 4,996 -------- Short Term Business Credit (3.3%) (b)American General, 1.11%, 7/16/04 5,000,000 4,998 (b)New Center Asset Trust, 1.22%, 7/22/04 5,000,000 4,996 (b)Old Line Funding Corp., 1.16%, 7/20/04 5,000,000 4,997 (b)UBS Finance Delaware LLC, 1.09%, 7/15/04 5,000,000 4,998 -------- Total 19,989 -------- Total Money Market Investments (Cost: $134,949) 134,949 -------- Total Investments (117.3%) (Cost $725,337)(a) 720,896 -------- Other Assets, Less Liabilities (-17.3%) (106,373) -------- Total Net Assets (100.0%) 614,523 --------
66 Select Bond Portfolio Select Bond Portfolio 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, 2004, the value of these securities was $23,705, respresenting 3.86% of net assets. IO -- Interest Only Security RB -- Revenue Bond (a)At June 30, 2004 the aggregate cost of securities for federal tax purposes was $725,337 and the net unrealized depreciation of investments based on that cost was $4,441 which is comprised of $14,007 aggregate gross unrealized appreciations and $18,448 aggregate gross unrealized depreciation. (b)All or a portion of the securities have been committed as collateral for open futures positions or when-issued securities. Information regarding open futures contracts as of period end is summarized below.
Unrealized Appreciation/ Number of Expiration Depreciation Issuer (000's) Contracts Date (000's) -------------------------------------------------------- US Long Bond (CBT) Commodity Futures 640 9/04 $480 (Total Notional Value at June 30, 2004 $67,600)
(d)Defaulted Security (f)All or a portion of the securities have been segregated as collateral for securities loaned by the portfolio. The Accompanying Notes are an Integral Part of the Financial Statements Select Bond Portfolio 67 Money Market Portfolio Northwestern Mutual Series Fund, Inc. Schedule of Investments June 30, 2004 (unaudited)
Shares/ Value Money Market Investments (98.8%) $ Par $ (000) ---------------------------------------------------------- Agricultural Services (2.5%) Cargill, Inc., 1.08%, 07/19/2004 9,000,000 8,995 ------ Total 8,995 ------ Autos (12.7%) Fcar Owner trust I, 1.10%, 7/2/04 9,000,000 8,999 Fcar Owner trust I, 1.08%, 7/15/04 5,892,000 5,890 New Center Asset Trust, 1.29%, 8/10/04 8,500,000 8,488 New Center Asset Trust, 1.22%, 8/16/04 9,000,000 8,986 Toyota Motor Credit Corp., 1.08%, 7/12/04 9,000,000 8,997 Toyota Motor Credit Corp., 1.48%, 9/22/04 5,000,000 4,983 ------ Total 46,343 ------ Banks (9.6%) Bank of America Corp., 1.07%, 7/15/04 9,000,000 8,997 Bank of America Corp., 7.875%, 5/16/05 2,200,000 2,311 Citigroup, Inc., 1.39%, 2/14/05 4,500,000 4,508 HBOS Treasury Services PLC, 1.52%, 3/14/05 3,500,000 3,503 Royal Bank of Canada New York, 1.015%, 1/24/05 4,500,000 4,499 UBS Finance Delaware LLC, 1.055%, 7/1/04 5,900,000 5,900 Wells Fargo Bank, 1.13%, 7/13/04 5,330,000 5,330 ------ Total 35,048 ------ Federal Government & Agencies (7.8%) Federal Home Loan Bank, 7.125%, 2/15/05 3,500,000 3,622 Federal Home Loan Bank, 1.45%, 03/11/05 6,000,000 6,000 Federal Home Loan Bank, 1.58%, 5/20/05 7,450,000 7,448 Federal National Mortgage Association, 1.045%, 7/7/04 7,000,000 6,999 Federal National Mortgage Association, 0.00%, 8/2/04 4,300,000 4,296 ------ Total 28,365 ------ Finance Lessors (16.1%) Delaware Funding, 1.07%, 7/6/04 5,000,000 4,999 Delaware Funding, 1.24%, 7/20/04 5,178,000 5,175 Delaware Funding, 1.20%, 8/3/04 5,760,000 5,754 Receivable Capital Trust, 1.09%, 7/12/04 9,009,000 9,005 Thunder Bay Funding, Inc, 1.09%, 7/12/04 8,500,000 8,497 Thunder Bay Funding, inc, 1.18%, 7/21/04 8,270,000 8,265 Windmill Funding Corp., 1.08%, 7/12/04 8,500,000 8,497 Windmill Funding Corp., 1.22%, 8/11/04 8,000,000 7,989 ------ Total 58,181 ------
Shares/ Value Money Market Investments (98.8%) $ Par $ (000) ---------------------------------------------------------- Finance Services (4.8%) Preferred Receivable Funding, 1.20%, 7/15/04 9,000,000 8,996 Preferred Receivable Funding, 1.36%, 8/20/04 8,500,000 8,484 ------ Total 17,480 ------ Flavoring Extracts and Syrups (1.6%) Coca-Cola Co., 1.08%, 7/19/04 6,000,000 5,997 ------ Total 5,997 ------ Miscellaneous Business Credit Institutions (9.4%) BP Capital Markets PLC, 4.00%, 4/29/05 3,500,000 3,564 Catepillar Financial Svc, 1.18%, 8/10/04 6,000,000 5,992 Catepillar Financial Svc, 1.46%, 6/1/05 4,000,000 4,000 General Electric, 1.25%, 7/9/07 5,000,000 5,000 General Electric Capital Corp., 7.50%, 5/15/05 3,500,000 3,672 Nestle Capital Corp., 1.08%, 8/10/04 9,000,000 8,989 Newcourt Credit Group, 6.875%, 2/16/05 3,000,000 3,101 ------ Total 34,318 ------ Personal Credit Institutions (11.7%) American General, 1.10%, 7/7/04 5,500,000 5,499 American General, 1.10%, 7/12/04 6,000,000 5,998 American General, 1.33%, 7/29/04 6,000,000 5,994 Associates Corp., 1.67%, 6/27/05 5,000,000 5,000 Associates Corp., 6.10%, 1/15/05 4,000,000 4,102 Household Finance Corp., 1.22%, 8/6/04 9,000,000 8,989 Household Finance Corp., 1.45%, 9/7/04 4,500,000 4,488 USAA Capital Corp., 7.54%, 3/30/05 2,600,000 2,714 ------ Total 42,784 ------ Pharmaceutical Preparations (3.4%) Merck & Co. Inc., 4.125%, 1/18/05 3,500,000 3,552 Pfizer, Inc., 1.23%, 08/06/2004 9,000,000 8,989 ------ Total 12,541 ------ Security Brokers and Dealers (2.5%) Citigroup Global Markets, 6.25%, 1/15/05 1,500,000 1,540 Goldman Sachs Group Inc., 1.51%,10/26/04 4,000,000 4,006 Morgan Stanley Dean Witter, 7.75%, 6/15/05 3,500,000 3,683 ------ Total 9,229 ------ Short Term Business Credit (14.4%) Cxc Inc., 1.11%, 7/13/04 8,875,000 8,872 Cxc Inc., 1.14%, 7/19/04 9,000,000 8,995 Old Line Funding Corp., 1.05%, 7/8/04 9,000,000 8,998 Old Line Funding Corp., 1.3%, 8/10/04 8,000,000 7,988 Sheffield Receivables, 1.07%, 7/2/04 9,100,000 9,100 Sheffield Receivables, 1.11%, 7/7/04 8,500,000 8,498 ------ Total 52,451 ------
68 Money Market Portfolio Money Market Portfolio
Shares/ Value Money Market Investments (98.8%) $ Par $ (000) ------------------------------------------------------- Utilities (2.3%) National Rural Utility, 1.29%, 8/6/04 8,270,000 8,259 ------- Total 8,259 ------- Total Money Market Investments (Cost: $359,991) 359,991 -------
Government (Domestic and Foreign) and Shares/ Value Agency Bonds (1.0%) $ Par $ (000) ------------------------------------------------------- Federal Government & Agencies (1.0%) Freddie Mac, 1.875%, 1/15/05 3,500,000 3,511 ------- Total Government (Domestic and Foreign) and Agency Bonds (Cost: $3,511) 3,511 ------- Total Investments (99.8%) (Cost $363,502) 363,502 ------- Other Assets, Less Liabilities (0.2%) 673 ------- Total Net Assets (100.0%) 364,175 -------
The Accompanying Notes are an Integral Part of the Financial Statements Money Market Portfolio 69 Statement of Assets and Liabilities Northwestern Mutual Series Fund, Inc. June 30, 2004 (in thousands)
Franklin Templeton Small Cap T. Rowe Price Aggressive International International AllianceBernstein Growth Stock Small Cap Value Growth Stock Growth Equity Mid Cap Value Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio - ------------------------------------------------------------------------------------------------------------------------------- Assets Investments, at value (1)........... $ 407,069 $ 155,308 $1,235,833 $ 80,993 $ 835,602 $ 55,547 Cash................................ 1,111 135 2,823 14 3,064 100 Due From Sale of Securities......... -- 207 -- 2,077 22,353 203 Due From Sale of Foreign Currency........................... -- -- -- 397 11,021 -- Futures Variation Margin............ 31 -- -- -- -- -- Dividends and Interest Receivables.. 94 191 377 135 2,253 45 ---------- ---------- ---------- ---------- ---------- ---------- Total Assets....................... 408,305 155,841 1,239,033 83,616 874,293 55,895 ---------- ---------- ---------- ---------- ---------- ---------- Liabilities Due on Purchase of Securities and Securities Lending Collateral...... 1,961 295 4,972 520 17,135 513 Due on Purchase of Foreign Currency........................... -- -- -- 397 8,711 -- Due to Investment Advisor........... 196 113 559 50 452 40 Accrued Expenses.................... 17 18 14 34 68 12 Futures Variation Margin............ -- -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- Total Liabilities.................. 2,174 426 5,545 1,001 26,366 565 ---------- ---------- ---------- ---------- ---------- ---------- Net Assets......................... $ 406,131 $ 155,415 $1,233,488 $ 82,615 $ 847,927 $ 55,330 ========== ========== ========== ========== ========== ========== Represented By: Aggregate Paid in Capital (2), (3).. $ 347,392 $ 120,331 $1,173,408 $ 69,089 $ 794,210 $ 43,354 Undistributed Net Investment Income (Loss)............................. (652) 453 811 430 13,143 103 Undistributed Accumulated Net Realized Gain (Loss) on Investments........................ (513) 2,844 (163,036) (2,828) (100,966) 2,498 Net Unrealized Appreciation (Depreciation) of: Investment Securities.............. 59,864 31,787 222,305 15,924 141,515 9,375 Futures Contracts.................. 40 -- -- -- -- -- Foreign Currency Transactions...... -- -- -- -- 25 -- ---------- ---------- ---------- ---------- ---------- ---------- Net Assets for Shares Outstanding (2).................... $ 406,131 $ 155,415 $1,233,488 $ 82,615 $ 847,927 $ 55,330 ========== ========== ========== ========== ========== ========== Net Asset Value, Offering and Redemption Price per Share......... $ 2.11 $ 1.41 $ 2.90 $ 1.15 $ 1.45 $ 1.39 ========== ========== ========== ========== ========== ========== (1) Investments, at cost.............. $ 347,205 $ 123,521 $1,013,528 $ 65,069 $ 694,087 $ 46,172 (2) Shares Outstanding................ 192,607 110,340 424,800 72,018 586,096 39,714 (3) Shares authorized, $.01 par value. 2,000,000 2,000,000 2,000,000 2,000,000 2,000,000 2,000,000
Index 400 Stock Portfolio - ------------------------------------------------- Assets Investments, at value (1)........... $ 384,890 Cash................................ 7 Due From Sale of Securities......... -- Due From Sale of Foreign Currency........................... -- Futures Variation Margin............ 261 Dividends and Interest Receivables.. 294 ---------- Total Assets....................... 385,452 ---------- Liabilities Due on Purchase of Securities and Securities Lending Collateral...... -- Due on Purchase of Foreign Currency........................... -- Due to Investment Advisor........... 84 Accrued Expenses.................... 16 Futures Variation Margin............ -- ---------- Total Liabilities.................. 100 ---------- Net Assets......................... $ 385,352 ========== Represented By: Aggregate Paid in Capital (2), (3).. $ 322,806 Undistributed Net Investment Income (Loss)............................. 1,581 Undistributed Accumulated Net Realized Gain (Loss) on Investments........................ 3,406 Net Unrealized Appreciation (Depreciation) of: Investment Securities.............. 56,872 Futures Contracts.................. 687 Foreign Currency Transactions...... -- ---------- Net Assets for Shares Outstanding (2).................... $ 385,352 ========== Net Asset Value, Offering and Redemption Price per Share......... $ 1.33 ========== (1) Investments, at cost.............. $ 328,018 (2) Shares Outstanding................ 289,031 (3) Shares authorized, $.01 par value. 2,000,000
The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) 70 Statement of Assets and Liabilities
Capital T. Rowe Janus Guardian Price Capital Growth Large Cap Domestic Equity Index 500 Asset High Yield Money Appreciation Stock Core Stock Equity Income Stock Allocation Balanced Bond Select Bond Market Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio - ------------------------------------------------------------------------------------------------------------------------------ $ 44,404 $ 665,305 $ 448,699 $ 165,907 $ 65,826 $1,793,961 $ 167,970 $3,177,895 $ 204,101 $ 720,896 $ 363,502 94 -- 133 98 99 -- -- 30,375 83 -- 3 -- 4,308 2,964 15 197 12,810 1,320 29,791 3,774 17,814 -- -- -- -- -- -- -- 123 -- -- -- -- -- 22 16 -- -- 112 86 2,248 -- 600 -- 13 590 489 311 123 2,274 825 14,453 3,376 5,924 670 ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 44,511 670,225 452,301 166,331 66,245 1,809,157 170,324 3,254,762 211,334 745,234 364,175 ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- -- 5,990 2,868 217 527 4,617 4,488 365,538 8,076 130,548 -- -- -- -- -- -- -- -- -- -- -- -- 31 249 172 88 37 319 81 768 85 163 -- 11 16 16 10 13 20 21 -- 20 -- -- -- -- -- -- -- -- -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 42 6,255 3,056 315 577 4,956 4,590 366,306 8,181 130,711 -- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- $ 44,469 $ 663,970 $ 449,245 $ 166,016 $ 65,668 $1,804,201 $ 165,734 $2,888,456 $ 203,153 $ 614,523 $ 364,175 ========== ========== ========== ========== ========== ========== ========== ========== ========== ========== ========== $ 36,860 $ 672,644 $ 570,665 $ 144,311 $ 56,492 $1,380,826 $ 151,611 $2,272,442 $ 264,069 $ 616,339 $ 364,175 (22) 2,163 2,331 1,211 418 12,719 1,315 34,422 7,427 11,802 -- (126) (75,413) (167,353) 255 841 12,187 861 2,380 (71,030) (9,657) -- 7,757 64,545 43,580 20,239 7,917 398,300 11,848 576,650 2,687 (4,441) -- -- 31 22 -- -- 169 98 2,562 -- 480 -- -- -- -- -- -- -- 1 -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- $ 44,469 $ 663,970 $ 449,245 $ 166,016 $ 65,668 $1,804,201 $ 165,734 $2,888,456 $ 203,153 $ 614,523 $ 364,175 ========== ========== ========== ========== ========== ========== ========== ========== ========== ========== ========== $ 1.26 $ 1.88 $ 1.07 $ 1.05 $ 1.27 $ 2.75 $ 1.04 $ 1.77 $ 0.69 $ 1.17 $ 1.00 ========== ========== ========== ========== ========== ========== ========== ========== ========== ========== ========== $ 36,647 $ 600,760 $ 405,119 $ 145,668 $ 57,909 $1,395,661 $ 156,122 $2,601,245 $ 201,414 $ 725,337 $ 363,502 35,265 353,153 418,950 157,564 51,706 656,677 159,554 1,634,532 293,776 523,534 364,188 2,000,000 2,000,000 2,000,000 2,000,000 2,000,000 2,000,000 2,000,000 3,000,000 2,000,000 1,000,000 2,000,000
Statement of Assets and Liabilities 71 Statement of Operations Northwestern Mutual Series Fund, Inc. For the Six Months Ended June 30, 2004 (in thousands)
Franklin Templeton Small Cap T. Rowe Price Aggressive International International AllianceBernstein Growth Stock Small Cap Value Growth Stock Growth Equity Mid Cap Value Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio - -------------------------------------------------------------------------------------------------------------------------------- Investment Income Income Interest............................ $ 87 $ 30 $ 153 $ 17 $ 202 $ 15 Dividends (1)....................... 349 1,031 3,770 856 16,134 308 ------- ------- ------- ------ ------- ------ Total Income..................... 436 1,061 3,923 873 16,336 323 ------- ------- ------- ------ ------- ------ Expenses Management Fees..................... 1,067 580 3,097 281 2,720 207 Custodian Fees...................... 12 16 7 92 254 5 Audit Fees.......................... 9 8 9 9 12 6 Other Expenses...................... 1 1 1 1 1 1 ------- ------- ------- ------ ------- ------ Total Expenses................... 1,089 605 3,114 383 2,987 219 ------- ------- ------- ------ ------- ------ Less Waived Fees: Paid by Affiliate................ -- -- -- -- -- -- Paid Indirectly.................. (1) -- (2) -- -- -- ------- ------- ------- ------ ------- ------ Total Net Expenses............... 1,088 605 3,112 383 2,987 219 ------- ------- ------- ------ ------- ------ Net Investment Income (Loss)........ (652) 456 811 490 13,349 104 Realized and Unrealized Gain (Loss) on Investments and Foreign Currencies Net Realized Gain (Loss) on: Investment Securities............... 26,998 2,939 53,508 2,686 21,591 2,498 Futures Contracts................... 144 -- (697) -- -- -- Foreign Currency Transactions....... -- -- -- 4 (218) -- ------- ------- ------- ------ ------- ------ Net Realized Gain (Loss) on Investments and Foreign Currencies...................... 27,142 2,939 52,811 2,690 21,373 2,498 ------- ------- ------- ------ ------- ------ Net Unrealized Appreciation (Depreciation) of: Investment Securities............... 6,190 11,314 24,201 343 107 352 Futures Contracts................... 119 -- -- -- -- -- Foreign Currency Transactions....... -- -- -- (4) (82) -- ------- ------- ------- ------ ------- ------ Net Change in Unrealized Appreciation (Depreciation) of Investments.................. 6,309 11,314 24,201 339 25 352 ------- ------- ------- ------ ------- ------ Net Gain (Loss) on Investments....... 33,451 14,253 77,012 3,029 21,398 2,850 ------- ------- ------- ------ ------- ------ Net Increase (Decrease) in Net Assets Resulting from Operations............. $32,799 $14,709 $77,823 $3,519 $34,747 $2,954 ======= ======= ======= ====== ======= ====== (1) Less Foreign Dividend Tax........ $ -- $ -- $ 4 $ 33 $ 612 $ 1
Index 400 Stock Portfolio - ------------------------------------------------- Investment Income Income Interest............................ $ 129 Dividends (1)....................... 2,039 ------- Total Income..................... 2,168 ------- Expenses Management Fees..................... 455 Custodian Fees...................... 15 Audit Fees.......................... 9 Other Expenses...................... 1 ------- Total Expenses................... 480 ------- Less Waived Fees: Paid by Affiliate................ -- Paid Indirectly.................. -- ------- Total Net Expenses............... 480 ------- Net Investment Income (Loss)........ 1,688 Realized and Unrealized Gain (Loss) on Investments and Foreign Currencies Net Realized Gain (Loss) on: Investment Securities............... 5,663 Futures Contracts................... 1,008 Foreign Currency Transactions....... -- ------- Net Realized Gain (Loss) on Investments and Foreign Currencies...................... 6,671 ------- Net Unrealized Appreciation (Depreciation) of: Investment Securities............... 12,185 Futures Contracts................... 250 Foreign Currency Transactions....... -- ------- Net Change in Unrealized Appreciation (Depreciation) of Investments.................. 12,435 ------- Net Gain (Loss) on Investments....... 19,106 ------- Net Increase (Decrease) in Net Assets Resulting from Operations............. $20,794 ======= (1) Less Foreign Dividend Tax........ $ --
The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) 72 Statement of Operations
Capital T. Rowe Janus Guardian Price Capital Growth Large Cap Domestic Equity Index 500 Asset High Yield Money Appreciation Stock Core Stock Equity Income Stock Allocation Balanced Bond Select Bond Market Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio - --------------------------------------------------------------------------------------------------------------------- $ 20 $ 124 $ 136 $ 52 $ 22 $ 186 $1,309 $ 28,895 $ 7,941 $ 13,036 $2,073 130 3,462 3,179 1,634 594 14,399 510 10,803 69 -- -- ------ -------- ------- ------ ------ ------- ------ -------- ------- -------- ------ 150 3,586 3,315 1,686 616 14,585 1,819 39,698 8,010 13,036 2,073 ------ -------- ------- ------ ------ ------- ------ -------- ------- -------- ------ 160 1,402 966 462 183 1,778 423 4,331 478 923 555 5 11 8 6 8 19 45 -- 13 -- -- 6 9 9 6 6 9 8 -- 11 -- -- 1 1 1 1 1 1 2 -- 1 -- -- ------ -------- ------- ------ ------ ------- ------ -------- ------- -------- ------ 172 1,423 984 475 198 1,807 478 4,331 503 923 555 ------ -------- ------- ------ ------ ------- ------ -------- ------- -------- ------ -- -- -- -- -- -- -- -- -- -- (555) -- -- -- -- -- -- -- -- -- -- -- ------ -------- ------- ------ ------ ------- ------ -------- ------- -------- ------ 172 1,423 984 475 198 1,807 478 4,331 503 923 -- ------ -------- ------- ------ ------ ------- ------ -------- ------- -------- ------ (22) 2,163 2,331 1,211 418 12,778 1,341 35,367 7,507 12,113 2,073 (15) 20,207 (1,198) 3,934 841 15,668 1,541 5,151 5,397 (1,871) -- -- 490 28 -- -- 1,644 644 22,503 -- 1,334 -- -- -- -- -- -- -- (1) -- -- -- -- ------ -------- ------- ------ ------ ------- ------ -------- ------- -------- ------ (15) 20,697 (1,170) 3,934 841 17,312 2,184 27,654 5,397 (537) -- ------ -------- ------- ------ ------ ------- ------ -------- ------- -------- ------ 2,119 (15,181) 5,553 2,065 1,266 29,477 (510) 2,252 (7,496) (9,987) -- -- (296) 23 -- -- (922) (331) (13,267) -- (748) -- -- -- -- -- -- -- (1) -- -- -- -- ------ -------- ------- ------ ------ ------- ------ -------- ------- -------- ------ 2,119 (15,477) 5,576 2,065 1,266 28,555 (842) (11,015) (7,496) (10,735) -- ------ -------- ------- ------ ------ ------- ------ -------- ------- -------- ------ 2,104 5,220 4,406 5,999 2,107 45,867 1,342 16,639 (2,099) (11,272) -- ------ -------- ------- ------ ------ ------- ------ -------- ------- -------- ------ $2,082 $ 7,383 $ 6,737 $7,210 $2,525 $58,645 $2,683 $ 52,006 $ 5,408 $ 841 $2,073 ====== ======== ======= ====== ====== ======= ====== ======== ======= ======== ====== $ 1 $ 37 $ 7 $ 21 $ 5 $ -- $ 32 $ -- $ -- $ -- $ --
Statement of Operations 73 Statement of Changes in Net Assets Northwestern Mutual Series Fund, Inc.
For the For the Six Months Ended Year Ended June 30, December 31, Small Cap Growth Stock Portfolio 2004 2003 - ----------------------------------------------------------------------------------- (In thousands) Change in Net Assets Operations Net Investment Income (Loss)...................... $ (652) $ (1,036) Net Realized Gain (Loss) on Investments and Foreign Currencies.............................. 27,142 18,249 Net Change in Unrealized Appreciation (Depreciation) of Investments................... 6,309 69,720 -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 32,799 86,933 -------- -------- 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 16,071 and 35,064 Shares.... 32,374 58,399 Proceeds from Shares Issued on Reinvestment of Distributions Paid ( -- and -- shares, respectively)........................... -- -- Payments for 12,792 and 20,868 Shares Redeemed.... (25,654) (33,600) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (3,279 and 14,196 shares, respectively)........ 6,720 24,799 -------- -------- Total Increase (Decrease) in Net Assets............. 39,519 111,732 Net Assets Beginning of Period............................... 366,612 254,880 -------- -------- End of Period (Includes undistributed net investment income of $(652) and $0 respectively)................................... $406,131 $366,612 ======== ========
For the For the Six Months Ended Year Ended June 30, December 31, T. Rowe Price Small Cap Value Portfolio 2004 2003 - ----------------------------------------------------------------------------------- (In thousands) Change in Net Assets Operations Net Investment Income (Loss)...................... $ 456 $ 562 Net Realized Gain (Loss) on Investments and Foreign Currencies.............................. 2,939 2,029 Net Change in Unrealized Appreciation (Depreciation) of Investments................... 11,314 24,642 -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 14,709 27,233 -------- -------- Distributions to Shareholders from: Net Investment Income............................. (330) -- Net Realized Gain on Investments.................. (1,925) -- -------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. (2,255) -- -------- -------- Fund Share Transactions: Proceeds from Sale of 19,705 and 38,564 Shares.... 26,487 42,482 Proceeds from Shares Issued on Reinvestment of Distributions Paid (1,702 and -- shares, respectively)................................... 2,255 -- Payments for 5,773 and 10,062 Shares Redeemed..... (7,725) (10,854) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (15,634 and 28,502 shares, respectively)....... 21,017 31,628 -------- -------- Total Increase (Decrease) in Net Assets............. 33,471 58,861 Net Assets Beginning of Period............................... 121,944 63,083 -------- -------- End of Period (Includes undistributed net investment income of $453 and $525 respectively)................................... $155,415 $121,944 ======== ========
The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) 74 Statement of Changes in Net Assets Statement of Changes in Net Assets Northwestern Mutual Series Fund, Inc.
For the For the Six Months Ended Year Ended June 30, December 31, Aggressive Growth Stock Portfolio 2004 2003 - ------------------------------------------------------------------------------------ (In thousands) Change in Net Assets Operations Net Investment Income (Loss)....................... $ 811 $ (1,043) Net Realized Gain (Loss) on Investments and Foreign Currencies............................... 52,811 1,043 Net Change in Unrealized Appreciation (Depreciation) of Investments.................... 24,201 238,195 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations....................... 77,823 238,195 ---------- ---------- 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 13,250 and 33,086 Shares..... 36,926 78,472 Proceeds from Shares Issued on Reinvestment of Distributions Paid ( -- and -- shares, respectively).................................... -- -- Payments for 24,702 and 52,230 Shares Redeemed..... (68,803) (123,200) ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions ((11,452) and (19,144) shares, respectively).... (31,877) (44,728) ---------- ---------- Total Increase (Decrease) in Net Assets.............. 45,946 193,467 Net Assets Beginning of Period................................ 1,187,542 994,075 ---------- ---------- End of Period (Includes undistributed net investment income of $811 and $0 respectively).................................... $1,233,488 $1,187,542 ========== ==========
For the For the Six Months Ended Year Ended June 30, December 31, International Growth Portfolio 2004 2003 - ----------------------------------------------------------------------------------- (In thousands) Change in Net Assets Operations Net Investment Income (Loss)...................... $ 490 $ 381 Net Realized Gain (Loss) on Investments and Foreign Currencies.............................. 2,690 (902) Net Change in Unrealized Appreciation (Depreciation) of Investments................... 339 17,919 ------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 3,519 17,398 ------- -------- Distributions to Shareholders from: Net Investment Income............................. (7) (420) Net Realized Gain on Investments.................. -- -- ------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. (7) (420) ------- -------- Fund Share Transactions: Proceeds from Sale of 18,184 and 30,332 Shares.... 20,650 27,066 Proceeds from Shares Issued on Reinvestment of Distributions Paid (6 and 388 shares, respectively)................................... 7 420 Payments for 7,292 and 14,368 Shares Redeemed..... (8,244) (13,147) ------- -------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (10,898 and 16,352 shares, respectively)....... 12,413 14,339 ------- -------- Total Increase (Decrease) in Net Assets............. 15,925 31,317 Net Assets Beginning of Period............................... 66,690 35,373 ------- -------- End of Period (Includes undistributed net investment income of $430 and ($53) respectively)................................... $82,615 $ 66,690 ======= ========
The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) Statement of Changes in Net Assets 75 Statement of Changes in Net Assets Northwestern Mutual Series Fund, Inc.
For the For the Six Months Ended Year Ended June 30, December 31, Franklin Templeton International Equity Portfolio 2004 2003 - -------------------------------------------------------------------------------------- (In thousands) Change in Net Assets Operations Net Investment Income (Loss)...................... $ 13,349 $ 14,871 Net Realized Gain (Loss) on Investments and Foreign Currencies.............................. 21,373 (47,810) Net Change in Unrealized Appreciation (Depreciation) of Investments................... 25 260,519 -------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 34,747 227,580 -------- --------- Distributions to Shareholders from: Net Investment Income............................. (14,574) (11,039) Net Realized Gain on Investments.................. -- -- -------- --------- Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. (14,574) (11,039) -------- --------- Fund Share Transactions: Proceeds from Sale of 38,256 and 306,456 Shares... 55,235 326,386 Proceeds from Shares Issued on Reinvestment of Distributions Paid (10,380 and 10,594 shares, respectively)........................... 14,574 11,039 Payments for 26,252 and 303,227 Shares Redeemed... (37,762) (321,361) -------- --------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (22,384 and 13,823 shares, respectively)....... 32,047 16,064 -------- --------- Total Increase (Decrease) in Net Assets............. 52,220 232,605 Net Assets Beginning of Period............................... 795,707 563,102 -------- --------- End of Period (Includes undistributed net investment income of $13,143 and $14,368 respectively)................................... $847,927 $ 795,707 ======== ========= For the Period For the May 1, 2003 (a) Six Months Ended through June 30, December 31, AllianceBernstein Mid Cap Value Portfolio 2004 2003 - -------------------------------------------------------------------------------------- (In thousands) Change in Net Assets Operations Net Investment Income (Loss)...................... $ 104 $ 156 Net Realized Gain (Loss) on Investments and Foreign Currencies.............................. 2,498 485 Net Change in Unrealized Appreciation (Depreciation) of Investments................... 352 9,007 -------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 2,954 9,648 -------- --------- Distributions to Shareholders from: Net Investment Income............................. -- (160) Net Realized Gain on Investments.................. (85) (381) -------- --------- Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. (85) (541) -------- --------- Fund Share Transactions: Proceeds from Sale of 7,781 and 33,540 Shares..... 10,495 34,956 Proceeds from Shares Issued on Reinvestment of Distributions Paid (64 and 415 shares, respectively)................................... 85 541 Payments for 1,652 and 435 Shares Redeemed........ (2,210) (513) -------- --------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (6,193 and 33,520 shares, respectively)........ 8,370 34,984 -------- --------- Total Increase (Decrease) in Net Assets............. 11,239 44,091 Net Assets Beginning of Period............................... 44,091 -- -------- --------- End of Period (Includes undistributed net investment income of $103 and $15 respectively)................................... $ 55,330 $ 44,091 ======== =========
(a)Portfolio commenced operations on May 1, 2003. The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) 76 Statement of Changes in Net Assets Statement of Changes in Net Assets Northwestern Mutual Series Fund, Inc.
For the For the Six Months Ended Year Ended June 30, December 31, Index 400 Stock Portfolio 2004 2003 - ----------------------------------------------------------------------------------- (In thousands) Change in Net Assets Operations Net Investment Income (Loss)...................... $ 1,688 $ 2,461 Net Realized Gain (Loss) on Investments and Foreign Currencies.............................. 6,671 3,452 Net Change in Unrealized Appreciation (Depreciation) of Investments................... 12,435 78,087 -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 20,794 84,000 -------- -------- Distributions to Shareholders from: Net Investment Income............................. (2,523) (1,934) Net Realized Gain on Investments.................. (2,268) -- -------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. (4,791) (1,934) -------- -------- Fund Share Transactions: Proceeds from Sale of 30,154 and 57,250 Shares.... 39,704 61,744 Proceeds from Shares Issued on Reinvestment of Distributions Paid (3,734 and 1,962 shares, respectively)................................... 4,791 1,934 Payments for 13,462 and 27,449 Shares Redeemed.... (17,646) (28,654) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (20,426 and 31,763 shares, respectively)....... 26,849 35,024 -------- -------- Total Increase (Decrease) in Net Assets............. 42,852 117,090 Net Assets Beginning of Period............................... 342,500 225,410 -------- -------- End of Period (Includes undistributed net investment income of $1,581 and $2,436 respectively)................................... $385,352 $342,500 ======== ========
For the Period For the May 1, 2003(a) Six Months Ended through June 30, December 31, Janus Capital Appreciation Portfolio 2004 2003 - ------------------------------------------------------------------------------------- (In thousands) Change in Net Assets Operations Net Investment Income (Loss)...................... $ (22) $ 14 Net Realized Gain (Loss) on Investments and Foreign Currencies.............................. (15) (34) Net Change in Unrealized Appreciation (Depreciation) of Investments................... 2,119 5,638 ------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 2,082 5,618 ------- ------- Distributions to Shareholders from: Net Investment Income............................. -- (14) Net Realized Gain on Investments.................. -- (77) ------- ------- Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. -- (91) ------- ------- Fund Share Transactions: Proceeds from Sale of 5,691 and 31,143 Shares..... 7,046 31,680 Proceeds from Shares Issued on Reinvestment of Distributions Paid (11 and 77 shares, respectively)................................... -- 91 Payments for 1,132 and 515 Shares Redeemed........ (1,389) (568) ------- ------- .Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (4,570 and 30,705 shares, respectively)........ 5,657 31,203 ------- ------- Total Increase (Decrease) in Net Assets............. 7,739 36,730 Net Assets Beginning of Period............................... 36,730 -- ------- ------- End of Period (Includes undistributed net investment income of $(22) and $0 respectively)................................... $44,469 $36,730 ======= =======
(a)Portfolio commenced operations on May 1, 2003. The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) Statement of Changes in Net Assets 77 Statement of Changes in Net Assets Northwestern Mutual Series Fund, Inc.
For the For the Six Months Ended Year Ended June 30, December 31, Growth Stock Portfolio 2004 2003 - ----------------------------------------------------------------------------------- (In thousands) Change in Net Assets Operations Net Investment Income (Loss)...................... $ 2,163 $ 4,542 Net Realized Gain (Loss) on Investments and Foreign Currencies.............................. 20,697 22,011 Net Change in Unrealized Appreciation (Depreciation) of Investments................... (15,477) 78,208 -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 7,383 104,761 -------- -------- Distributions to Shareholders from: Net Investment Income............................. (4,542) (4,774) Net Realized Gain on Investments.................. -- -- -------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. (4,542) (4,774) -------- -------- Fund Share Transactions: Proceeds from Sale of 16,088 and 46,115 Shares.... 30,381 76,995 Proceeds from Shares Issued on Reinvestment of Distributions Paid (2,470 and 2,934 shares, respectively)................................... 4,542 4,774 Payments for 21,009 and 40,664 Shares Redeemed.... (39,665) (67,306) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions ((2,451) and 8,385 shares, respectively)....... (4,742) 14,463 -------- -------- Total Increase (Decrease) in Net Assets............. (1,901) 114,450 Net Assets Beginning of Period............................... 665,871 551,421 -------- -------- End of Period (Includes undistributed net investment income of $2,163 and $4,542 respectively)................................... $663,970 $665,871 ======== ========
For the For the Six Months Ended Year Ended June 30, December 31, Large Cap Core Stock Portfolio 2004 2003 - ----------------------------------------------------------------------------------- (In thousands) Change in Net Assets Operations Net Investment Income (Loss)...................... $ 2,331 $ 4,201 Net Realized Gain (Loss) on Investments and Foreign Currencies.............................. (1,170) (84,731) Net Change in Unrealized Appreciation (Depreciation) of Investments................... 5,576 167,352 -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 6,737 86,822 -------- -------- Distributions to Shareholders from: Net Investment Income............................. (4,200) (3,770) Net Realized Gain on Investments.................. -- -- -------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. (4,200) (3,770) -------- -------- Fund Share Transactions: Proceeds from Sale of 20,308 and 44,876 Shares.... 21,800 42,265 Proceeds from Shares Issued on Reinvestment of Distributions Paid (4,016 and 4,194 shares, respectively)................................... 4,200 3,770 Payments for 25,043 and 51,025 Shares Redeemed.... (26,846) (47,477) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions ((719) and (1,955) shares, respectively)....... (846) (1,442) -------- -------- Total Increase (Decrease) in Net Assets............. 1,691 81,610 Net Assets Beginning of Period............................... 447,554 365,944 -------- -------- End of Period (Includes undistributed net investment income of $2,331 and $4,200 respectively)................................... $449,245 $447,554 ======== ========
The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) 78 Statement of Changes in Net Assets Statement of Changes in Net Assets Northwestern Mutual Series Fund, Inc.
For the For the Six Months Ended Year Ended June 30, December 31, Capital Guardian Domestic Equity Portfolio 2004 2003 - -------------------------------------------------------------------------------------- (In thousands) Change in Net Assets Operations Net Investment Income (Loss)...................... $ 1,211 $ 1,807 Net Realized Gain (Loss) on Investments and Foreign Currencies.............................. 3,934 215 Net Change in Unrealized Appreciation (Depreciation) of Investments................... 2,065 29,182 -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 7,210 31,204 -------- -------- Distributions to Shareholders from: Net Investment Income............................. (19) (1,804) Net Realized Gain on Investments.................. -- -- -------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. (19) (1,804) -------- -------- Fund Share Transactions: Proceeds from Sale of 27,893 and 46,482 Shares.... 28,693 39,838 Proceeds from Shares Issued on Reinvestment of Distributions Paid (18 and 1,826 shares, respectively)................................... 19 1,804 Payments for 5,827 and 10,806 Shares Redeemed..... (5,986) (9,217) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (22,084 and 37,502 shares, respectively)....... 22,726 32,425 -------- -------- Total Increase (Decrease) in Net Assets............. 29,917 61,825 Net Assets Beginning of Period............................... 136,099 74,274 -------- -------- End of Period (Includes undistributed net investment income of $1,211 and $19 respectively)................................... $166,016 $136,099 ======== ======== For the Period For the May 1, 2003 (a) Six Months Ended through June 30, December 31, T. Rowe Equity Income Portfolio 2004 2003 - -------------------------------------------------------------------------------------- (In thousands) Change in Net Assets Operations Net Investment Income (Loss)...................... $ 418 $ 439 Net Realized Gain (Loss) on Investments and Foreign Currencies.............................. 841 408 Net Change in Unrealized Appreciation (Depreciation) of Investments................... 1,266 6,651 -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 2,525 7,498 -------- -------- Distributions to Shareholders from: Net Investment Income............................. (4) (435) Net Realized Gain on Investments.................. (192) (216) -------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. (196) (651) -------- -------- Fund Share Transactions: Proceeds from Sale of 13,095 and 39,054 Shares.... 16,292 40,714 Proceeds from Shares Issued on Reinvestment of Distributions Paid (158 and 543 shares, respectively)................................... 196 651 Payments for 656 and 489 Shares Redeemed.......... (813) (548) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (12,597 and 39,108 shares, respectively)....... 15,675 40,817 -------- -------- Total Increase (Decrease) in Net Assets............. 18,004 47,664 Net Assets Beginning of Period............................... 47,664 -- -------- -------- End of Period (Includes undistributed net investment income of $418 and $4 respectively)................................... $ 65,668 $ 47,664 ======== ========
(a)Portfolio commenced operations on May 1, 2003. The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) Statement of Changes in Net Assets 79 Statement of Changes in Net Assets Northwestern Mutual Series Fund, Inc.
For the For the Six Months Ended Year Ended June 30, December 31, Index 500 Stock Portfolio 2004 2003 - ----------------------------------------------------------------------------------- (In thousands) Change in Net Assets Operations Net Investment Income (Loss)...................... $ 12,778 $ 23,881 Net Realized Gain (Loss) on Investments and Foreign Currencies.............................. 17,312 17,414 Net Change in Unrealized Appreciation (Depreciation) of Investments................... 28,555 344,408 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 58,645 385,703 ---------- ---------- Distributions to Shareholders from: Net Investment Income............................. (23,734) (21,914) Net Realized Gain on Investments.................. (19,343) (8,037) ---------- ---------- Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. (43,077) (29,951) ---------- ---------- Fund Share Transactions: Proceeds from Sale of 29,580 and 64,442 Shares.... 81,564 153,657 Proceeds from Shares Issued on Reinvestment of Distributions Paid (16,097 and 13,329 shares, respectively)........................... 43,077 29,951 Payments for 33,531 and 62,305 Shares Redeemed.... (92,128) (146,121) ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (12,146 and 15,466 shares, respectively)....... 32,513 37,487 ---------- ---------- Total Increase (Decrease) in Net Assets............. 48,081 393,239 Net Assets Beginning of Period............................... 1,756,120 1,362,881 ---------- ---------- End of Period (Includes undistributed net investment income of $12,719 and $23,815 respectively)........................... $1,804,201 $1,756,120 ========== ==========
For the For the Six Months Ended Year Ended June 30, December 31, Asset Allocation Portfolio 2004 2003 - ----------------------------------------------------------------------------------- (In thousands) Change in Net Assets Operations Net Investment Income (Loss)...................... $ 1,341 $ 2,087 Net Realized Gain (Loss) on Investments and Foreign Currencies.............................. 2,184 3,511 Net Change in Unrealized Appreciation (Depreciation) of Investments................... (842) 16,774 -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 2,683 22,372 -------- -------- Distributions to Shareholders from: Net Investment Income............................. -- (2,122) Net Realized Gain on Investments.................. -- -- -------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. -- (2,122) -------- -------- Fund Share Transactions: Proceeds from Sale of 39,213 and 60,300 Shares.... 40,610 55,946 Proceeds from Shares Issued on Reinvestment of Distributions Paid ( -- and 2,087 shares, respectively)................................... -- 2,122 Payments for 7,840 and 35,897 Shares Redeemed..... (8,037) (35,100) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (31,373 and 26,490 shares, respectively)....... 32,573 22,968 -------- -------- Total Increase (Decrease) in Net Assets............. 35,256 43,218 Net Assets Beginning of Period............................... 130,478 87,260 -------- -------- End of Period (Includes undistributed net investment income of $1,315 and ($26) respectively)............................. $165,734 $130,478 ======== ========
The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) 80 Statement of Changes in Net Assets Statement of Changes in Net Assets Northwestern Mutual Series Fund, Inc.
For the For the Six Months Ended Year Ended June 30, December 31, Balanced Portfolio 2004 2003 - ----------------------------------------------------------------------------------- (In thousands) Change in Net Assets Operations Net Investment Income (Loss)...................... $ 35,367 $ 73,405 Net Realized Gain (Loss) on Investments and Foreign Currencies.............................. 27,654 138,458 Net Change in Unrealized Appreciation (Depreciation) of Investments................... (11,015) 233,710 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 52,006 445,573 ---------- ---------- Distributions to Shareholders from: Net Investment Income............................. (73,596) (85,974) Net Realized Gain on Investments.................. (103,895) -- ---------- ---------- Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. (177,491) (85,974) ---------- ---------- Fund Share Transactions: Proceeds from Sale of 48,196 and 98,048 Shares.... 89,154 167,389 Proceeds from Shares Issued on Reinvestment of Distributions Paid (102,300 and 52,328 shares, respectively)........................... 177,491 85,974 Payments for 78,313 and 167,140 Shares Redeemed... (144,192) (283,003) ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (72,183 and (16,764) shares, respectively)..... 122,453 (29,640) ---------- ---------- Total Increase (Decrease) in Net Assets............. (3,032) 329,959 Net Assets Beginning of Period............................... 2,891,488 2,561,529 ---------- ---------- End of Period (Includes undistributed net investment income of $34,422 and $72,758 respectively)................................... $2,888,456 $2,891,488 ========== ==========
For the For the Six Months Ended Year Ended June 30, December 31, High Yield Bond Portfolio 2004 2003 - ----------------------------------------------------------------------------------- (In thousands) Change in Net Assets Operations Net Investment Income (Loss)...................... $ 7,507 $ 14,601 Net Realized Gain (Loss) on Investments and Foreign Currencies.............................. 5,397 7,972 Net Change in Unrealized Appreciation (Depreciation) of Investments................... (7,496) 20,079 -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 5,408 42,652 -------- -------- Distributions to Shareholders from: Net Investment Income............................. (14,553) (362) Net Realized Gain on Investments.................. -- -- -------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. (14,553) (362) -------- -------- Fund Share Transactions: Proceeds from Sale of 23,219 and 80,917 Shares.... 16,791 52,808 Proceeds from Shares Issued on Reinvestment of Distributions Paid (21,213 and 572 shares, respectively)................................... 14,553 362 Payments for 25,634 and 50,808 Shares Redeemed.... (18,417) (33,642) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (18,798 and 30,681 shares, respectively)....... 12,927 19,528 -------- -------- Total Increase (Decrease) in Net Assets............. 3,782 61,818 Net Assets Beginning of Period............................... 199,371 137,553 -------- -------- End of Period (Includes undistributed net investment income of $7,427 and $14,473 respectively)................................... $203,153 $199,371 ======== ========
The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) Statement of Changes in Net Assets 81 Statement of Changes in Net Assets Northwestern Mutual Series Fund, Inc.
For the For the Six Months Ended Year Ended June 30, December 31, Select Bond Portfolio 2004 2003 - ----------------------------------------------------------------------------------- (In thousands) Change in Net Assets Operations Net Investment Income (Loss)...................... $ 12,113 $ 25,481 Net Realized Gain (Loss) on Investments and Foreign Currencies.............................. (537) 17,559 Net Change in Unrealized Appreciation (Depreciation) of Investments................... (10,735) (10,035) -------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 841 33,005 -------- --------- Distributions to Shareholders from: Net Investment Income............................. (25,606) (24,369) Net Realized Gain on Investments.................. (17,700) (13,905) -------- --------- Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. (43,306) (38,274) -------- --------- Fund Share Transactions: Proceeds from Sale of 39,462 and 106,806 Shares... 49,097 135,872 Proceeds from Shares Issued on Reinvestment of Distributions Paid (37,204 and 31,067 shares, respectively)........................... 43,306 38,274 Payments for 45,526 and 105,045 Shares Redeemed... (56,740) (131,570) -------- --------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (31,140 and 32,828 shares, respectively)....... 35,663 42,576 -------- --------- Total Increase (Decrease) in Net Assets............. (6,802) 37,307 Net Assets Beginning of Period............................... 621,325 584,018 -------- --------- End of Period (Includes undistributed net investment income of $11,802 and $25,295 respectively)................................... $614,523 $ 621,325 ======== =========
For the For the Six Months Ended Year Ended June 30, December 31, Money Market Portfolio 2004 2003 - ----------------------------------------------------------------------------------- (In thousands) Change in Net Assets Operations Net Investment Income (Loss)...................... $ 2,073 $ 5,837 Net Realized Gain (Loss) on Investments and Foreign Currencies.............................. -- -- Net Change in Unrealized Appreciation (Depreciation) of Investments................... -- -- --------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 2,073 5,837 --------- --------- Distributions to Shareholders from: Net Investment Income............................. (2,073) (5,836) Net Realized Gain on Investments.................. -- -- --------- --------- Net Decrease in Net Assets Resulting from Distributions to Shareholders.................. (2,073) (5,836) --------- --------- Fund Share Transactions: Proceeds from Sale of 83,892 and 420,450 Shares... 83,900 420,450 Proceeds from Shares Issued on Reinvestment of Distributions Paid (2,073 and 5,836 shares, respectively)................................... 2,073 5,836 Payments for 121,671 and 527,727 Shares Redeemed........................................ (121,671) (527,727) --------- --------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions ((35,706) and (101,441) shares, respectively).................................. (35,698) (101,441) --------- --------- Total Increase (Decrease) in Net Assets............. (35,698) (101,440) Net Assets Beginning of Period............................... 399,873 501,313 --------- --------- End of Period (Includes undistributed net investment income of $0 and $0 respectively).... $ 364,175 $ 399,873 ========= =========
The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) 82 Statement of Changes in Net Assets Financial Highlights Northwestern Mutual Series Fund, Inc.
For the For the Period Six Months April 30, 1999(a) Ended For the Year Ended December 31, through Small Cap Growth Stock Portfolio June 30, -------------------------------------- December 31, (For a share outstanding throughout the period) 2004 2003 2002 2001 2000 1999 - --------------------------------------------------------- ---------------------------------------- Selected Per Share Data Net Asset Value, Beginning of Period................... $ 1.94 $ 1.46 $ 1.79 $ 1.86 $ 1.79 $ 1.00 Income from Investment Operations: Net Investment Income.............................. -- -- -- -- -- -- Net Realized and Unrealized Gains (Losses) on Investments....................................... 0.17 0.48 (0.33) (0.07) 0.13 0.85 -------- -------- -------- -------- -------- ------- Total from Investment Operations.................. 0.17 0.48 (0.33) (0.07) 0.13 0.85 -------- -------- -------- -------- -------- ------- Less Distributions: Distributions from Net Investment Income........... -- -- -- -- -- -- Distributions from Realized Gains on Investments... -- -- -- -- (0.06) (0.06) -------- -------- -------- -------- -------- ------- Total Distributions............................... -- -- -- -- (0.06) (0.06) -------- -------- -------- -------- -------- ------- Net Asset Value, End of Period......................... $ 2.11 $ 1.94 $ 1.46 $ 1.79 $ 1.86 $ 1.79 ======== ======== ======== ======== ======== ======= Total Return(e)........................................ 8.94% 33.06% (18.42%) (3.76%) 6.71% 86.09% ======== ======== ======== ======== ======== ======= Ratios and Supplemental Data Net Assets, End of Period (in thousands)............... $406,131 $366,612 $254,880 $291,448 $250,314 $71,483 ======== ======== ======== ======== ======== ======= Ratio of Gross Expenses to Average Net Assets.......... 0.57%(d) 0.59% 0.60% 0.60% 0.67% 1.03%(d) ======== ======== ======== ======== ======== ======= Ratio of Net Expenses to Average Net Assets(g)......... 0.57%(d) 0.59% 0.60% 0.60% 0.67% 1.00%(d) ======== ======== ======== ======== ======== ======= Ratio of Net Investment Income (Loss) to Average Net Assets................................................ (0.34%)(d) (0.35%) (0.26%) 0.17% 0.19% (0.07%)(d) ======== ======== ======== ======== ======== ======= Portfolio Turnover Rate................................ 41.18% 84.20% 41.87% 70.58% 86.13% 70.72% ======== ======== ======== ======== ======== =======
For the For the For the Period Six Months Year Ended July 31, 2001(b) Ended December 31, through T. Rowe Price Small Cap Value Portfolio June 30, ---------------- December 31, (For a share outstanding throughout the period) 2004 2003 2002 2001 - --------------------------------------------------------------- ------------------ Selected Per Share Data Net Asset Value, Beginning of Period......................... $ 1.29 $ 0.95 $ 1.02 $ 1.00 Income from Investment Operations: Net Investment Income.................................... -- 0.01 0.01 -- Net Realized and Unrealized Gains on Investments......... 0.10 0.33 (0.07) 0.02 -------- -------- ------- ------- Total from Investment Operations........................ 0.10 0.34 (0.06) 0.02 -------- -------- ------- ------- Less Distributions: Distributions from Net Investment Income................. -- -- (0.01) -- Distributions from Realized Gains on Investments......... 0.02 -- -- -- -------- -------- ------- ------- Total Distributions..................................... 0.02 -- (0.01) -- -------- -------- ------- ------- Net Asset Value, End of Period............................... $ 1.41 $ 1.29 $ 0.95 $ 1.02 ======== ======== ======= ======= Total Return(e).............................................. 11.16% 35.15% (5.58%) 1.76% ======== ======== ======= ======= Ratios and Supplemental Data Net Assets, End of Period (in thousands)..................... $155,415 $121,944 $63,083 $21,003 ======== ======== ======= ======= Ratio of Gross Expenses to Average Net Assets................ 0.88%(d) 0.90% 1.02% 1.36%(d) ======== ======== ======= ======= Ratio of Net Expenses to Average Net Assets(g)............... 0.88%(d) 0.90% 1.00% 1.00%(d) ======== ======== ======= ======= Ratio of Net Investment Income (Losses) to Average Net Assets 0.67%(d) 0.65% 0.54% 1.03%(d) ======== ======== ======= ======= Portfolio Turnover Rate...................................... 10.07% 33.78% 28.26% 49.70% ======== ======== ======= =======
(a)Portfolio commenced operations on April 30, 1999. (b)Portfolio commenced operations July 31, 2001. (d)Computed on an annualized basis. (e)Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for period less than one year. (g)Portfolio subject to expense waiver agreement. See Note 9 of accompanying notes. The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) Financial Highlights 83 Financial Highlights Northwestern Mutual Series Fund, Inc.
For the Six Months Ended For the Year Ended December 31, Aggressive Growth Stock Portfolio June 30, -------------------------------------------------------- (For a share outstanding throughout the period) 2004 2003 2002 2001 2000 1999 - ------------------------------------------------------ --------------------------------------------------------- Selected Per Share Data Net Asset Value, Beginning of Period................ $ 2.72 $ 2.18 $ 2.82 $ 4.47 $ 4.81 $ 3.46 Income from Investment Operations: Net Investment Income........................... -- -- -- -- -- -- Net Realized and Unrealized Gains (Losses) on Investments.................................... 0.18 0.54 (0.59) (0.83) 0.29 1.48 ---------- ---------- -------- ---------- ---------- ---------- Total from Investment Operations............... 0.18 0.54 (0.59) (0.83) 0.29 1.48 ---------- ---------- -------- ---------- ---------- ---------- Less Distributions: Distributions from Net Investment Income........ -- -- -- -- -- -- Distributions from Realized Gains on Investments.................................... -- -- (0.05) (0.82) (0.63) (0.13) ---------- ---------- -------- ---------- ---------- ---------- Total Distributions............................ -- -- (0.05) (0.82) (0.63) (0.13) ---------- ---------- -------- ---------- ---------- ---------- Net Asset Value, End of Period...................... $ 2.90 $ 2.72 $ 2.18 $ 2.82 $ 4.47 $ 4.81 ========== ========== ======== ========== ========== ========== Total Return(e)..................................... 6.69% 24.69% (21.15%) (19.87%) 6.18% 43.78% ========== ========== ======== ========== ========== ========== Ratios and Supplemental Data Net Assets, End of Period (in thousands)............ $1,233,488 $1,187,542 $994,075 $1,341,876 $1,696,013 $1,485,311 ========== ========== ======== ========== ========== ========== Ratio of Expenses to Average Net Assets............. 0.52%(d) 0.52% 0.52% 0.52% 0.52% 0.51% ========== ========== ======== ========== ========== ========== Ratio of Net Investment Income (Loss) to Average Net Assets............................................. 0.14%(d) (0.10%) (0.11%) 0.08% 0.09% (0.02%) ========== ========== ======== ========== ========== ========== Portfolio Turnover Rate............................. 39.53% 63.21% 43.37% 70.40% 63.18% 68.64% ========== ========== ======== ========== ========== ==========
For the For the Period Six Months For the Year Ended July 31, 2001(b) Ended December 31, through International Growth Portfolio June 30, ----------------- December 31, (For a share outstanding throughout the period) 2004 2003 2002 2001 - ------------------------------------------------------------------ ------------------- Selected Per Share Data Net Asset Value, Beginning of Period............................ $ 1.09 $ 0.79 $ 0.91 $ 1.00 Income from Investment Operations: Net Investment Income....................................... 0.01 0.01 -- -- Net Realized and Unrealized Gains (Losses) on Investments... 0.05 0.30 (0.12) (0.09) ------- ------- -------- ------- Total from Investment Operations........................... 0.06 0.31 (0.12) (0.09) ------- ------- -------- ------- Less Distributions: Distributions from Net Investment Income.................... -- (0.01) -- -- Distributions from Realized Gains on Investments............ -- -- -- -- ------- ------- -------- ------- Total Distributions........................................ -- (0.01) -- -- ------- ------- -------- ------- Net Asset Value, End of Period.................................. $ 1.15 $ 1.09 $ 0.79 $ 0.91 ======= ======= ======== ======= Total Return(e)................................................. 5.14% 38.99% (12.34%) (9.40%) ======= ======= ======== ======= Ratios and Supplemental Data Net Assets, End of Period (in thousands)........................ $82,615 $66,690 $ 35,373 $26,900 ======= ======= ======== ======= Ratio of Gross Expenses to Average Net Assets................... 1.02%(d) 1.15% 1.15% 1.25%(d) ======= ======= ======== ======= Ratio of Net Expenses to Average Net Assets(g).................. 1.02%(d) 1.10% 1.10% 1.10%(d) ======= ======= ======== ======= Ratio of Net Investment Income (Loss) to Average Net Assets..... 1.30%(d) 0.79% 0.62% 0.05%(d) ======= ======= ======== ======= Portfolio Turnover Rate......................................... 31.61% 58.09% 27.28% 18.45% ======= ======= ======== =======
(b)Portfolio commenced operations July 31, 2001. (d)Computed on an annualized basis. (e)Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for period less than one year. (g)Portfolio subject to expense waiver agreement. See Note 9 of accompanying notes. The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) 84 Financial Highlights Financial Highlights Northwestern Mutual Series Fund, Inc.
For the Six Months Ended For the Year Ended December 31, Franklin Templeton International Equity June 30, ------------------------------------------------ (For a share outstanding throughout the period) 2004 2003 2002 2001 2000 1999 - --------------------------------------------------------- ------------------------------------------------- Selected Per Share Data Net Asset Value, Beginning of Period................... $ 1.41 $ 1.02 $ 1.26 $ 1.63 $ 1.78 $ 1.68 Income from Investment Operations: Net Investment Income.............................. (0.03) 0.03 0.02 0.02 0.02 0.03 Net Realized and Unrealized Gains (Losses) on Investments....................................... 0.04 0.38 (0.24) (0.23) (0.04) 0.33 -------- -------- -------- -------- -------- -------- Total from Investment Operations.................. 0.01 0.41 (0.22) (0.21) (0.02) 0.36 -------- -------- -------- -------- -------- -------- Less Distributions: Distributions from Net Investment Income........... 0.03 (0.02) (0.02) (0.03) (0.04) (0.05) Distributions from Realized Gains on Investments... -- -- -- (0.13) (0.09) (0.21) -------- -------- -------- -------- -------- -------- Total Distributions............................... 0.03 (0.02) (0.02) (0.16) (0.13) (0.26) -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period......................... $ 1.45 $ 1.41 $ 1.02 $ 1.26 $ 1.63 $ 1.78 ======== ======== ======== ======== ======== ======== Total Return(e)........................................ 4.33% 40.46% (17.40%) (14.00%) (0.79%) 22.88% ======== ======== ======== ======== ======== ======== Ratios and Supplemental Data Net Assets, End of Period (in thousands)............... $847,927 $795,707 $563,102 $716,413 $809,617 $772,170 ======== ======== ======== ======== ======== ======== Ratio of Expenses to Average Net Assets................ 0.72%(d) 0.74% 0.74% 0.74% 0.73% 0.74% ======== ======== ======== ======== ======== ======== Ratio of Net Investment Income (Loss) to Average Net Assets................................................ 3.24%(d) 2.33% 1.72% 1.99% 1.77% 2.62% ======== ======== ======== ======== ======== ======== Portfolio Turnover Rate................................ 6.49% 24.87% 30.94% 34.52% 26.95% 38.37% ======== ======== ======== ======== ======== ========
For the For the Period Six Months May 1, 2003(c) Ended through AllianceBernstein Mid Cap Value Portfolio June 30, December 31, (For a share outstanding throughout the period) 2004 2003 - ------------------------------------------------------------------ Selected Per Share Data Net Asset Value, Beginning of Period............................ $ 1.32 $ 1.00 Income from Investment Operations: Net Investment Income....................................... -- 0.01 Net Realized and Unrealized Gains (Losses) on Investments... 0.07 0.32 ------- ------- Total from Investment Operations........................... 0.07 0.33 ------- ------- Less Distributions: Distributions from Net Investment Income.................... -- (0.00)(f) Distributions from Realized Gains on Investments............ -- (0.01) ------- ------- Total Distributions........................................ -- (0.01) ------- ------- Net Asset Value, End of Period.................................. $ 1.39 $ 1.32 ======= ======= Total Return(e)................................................. 6.11% 33.16% ======= ======= Ratios and Supplemental Data Net Assets, End of Period (in thousands)........................ $55,330 $44,091 ======= ======= Ratio of Expenses to Average Net Assets......................... 0.89%(d) 0.94%(d) ======= ======= Ratio of Net Investment Income (Loss) to Average Net Assets..... 0.42%(d) 0.70%(d) ======= ======= Portfolio Turnover Rate......................................... 19.81% 9.68% ======= =======
(c)Portfolio commenced operations on May 1, 2003. (d)Computed on an annualized basis. (e)Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for period less than one year. (f)Amount is less than $0.005 The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) Financial Highlights 85 Financial Highlights Northwestern Mutual Series Fund, Inc.
For the For the Period Six Months April 30, 1999(a) Ended For the Year Ended December 31, through Index 400 Stock Portfolio June 30, -------------------------------------- December 31, (For a share outstanding throughout the period) 2004 2003 2002 2001 2000 1999 - --------------------------------------------------------- ---------------------------------------- Selected Per Share Data Net Asset Value, Beginning of Period................... $ 1.28 $ 0.95 $ 1.12 $ 1.14 $ 1.11 $ 1.00 Income from Investment Operations: Net Investment Income (Loss)....................... (0.01) 0.01 0.01 -- 0.02 0.01 Net Realized and Unrealized Gains (Losses) on Investments....................................... 0.04 0.33 (0.17) (0.01) 0.16 0.12 -------- -------- -------- -------- -------- ------- Total from Investment Operations.................. 0.03 0.34 (0.16) (0.01) 0.18 0.13 -------- -------- -------- -------- -------- ------- Less Distributions: Distributions from Net Investment Income........... 0.01 (0.01) (0.01) -- (0.02) (0.01) Distributions from Realized Gains on Investments... 0.01 -- -- (0.01) (0.13) (0.01) -------- -------- -------- -------- -------- ------- Total Distributions............................... 0.02 (0.01) (0.01) (0.01) (0.15) (0.02) -------- -------- -------- -------- -------- ------- Net Asset Value, End of Period......................... $ 1.33 $ 1.28 $ 0.95 $ 1.12 $ 1.14 $ 1.11 ======== ======== ======== ======== ======== ======= Total Return(e)........................................ 5.93% 35.01% (14.54%) (0.65%) 17.21% 12.83% ======== ======== ======== ======== ======== ======= Ratios and Supplemental Data Net Assets, End of Period (in thousands)............... $385,352 $342,500 $225,410 $210,734 $137,616 $59,644 ======== ======== ======== ======== ======== ======= Ratio of Gross Expenses to Average Net Assets.......... 0.26%(d) 0.27% 0.28% 0.31% 0.32% 0.46%(d) ======== ======== ======== ======== ======== ======= Ratio of Net Expenses to Average Net Assets(g)......... 0.26%(d) 0.27% 0.28% 0.31% 0.32% 0.35%(d) ======== ======== ======== ======== ======== ======= Ratio of Net Investment Income to Average Net Assets... 0.92%(d) 0.92% 0.86% 1.06% 1.71% 1.69%(d) ======== ======== ======== ======== ======== ======= Portfolio Turnover Rate................................ 6.77% 9.74% 15.60% 19.06% 54.60% 26.51% ======== ======== ======== ======== ======== =======
For the For the Period Six Months May 1, 2003(c) Ended through Janus Capital Appreciation Portfolio June 30, December 31, (For a share outstanding throughout the period) 2004 2003 - ------------------------------------------------------------------ Selected Per Share Data Net Asset Value, Beginning of Period............................ $ 1.20 $ 1.00 Income from Investment Operations: Net Investment Income (Loss)................................ -- -- Net Realized and Unrealized Gains (Losses) on Investments... 0.06 0.20 ------- ------- Total from Investment Operations........................... 0.06 0.20 ------- ------- Less Distributions: Distributions from Net Investment Income.................... -- (0.00)(f) Distributions from Realized Gains on Investments............ -- (0.00)(f) ------- ------- Total Distributions........................................ -- -- ------- ------- Net Asset Value, End of Period.................................. $ 1.26 $ 1.20 ======= ======= Total Return(e)................................................. 5.43% 19.90% ======= ======= Ratios and Supplemental Data Net Assets, End of Period (in thousands)........................ $44,469 $36,730 ======= ======= Ratio of Expenses to Average Net Assets......................... 0.85%(d) 0.90%(d) ======= ======= Ratio of Net Investment Income to Average Net Assets............ (0.11%)(d) 0.07%(d) ======= ======= Portfolio Turnover Rate......................................... 8.42% 33.68% ======= =======
(a)Portfolio commenced operations on April 30, 1999. (c)Portfolio commenced operations on May 1, 2003. (d)Computed on an annualized basis. (e)Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for period less than one year. (f)Amount is less than $0.005 (g)Portfolio subject to expense waiver agreement. See Note 9 of accompanying notes. The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) 86 Financial Highlights Financial Highlights Northwestern Mutual Series Fund, Inc.
For the Six Months Ended For the Year Ended December 31, Growth Stock Portfolio June 30, ------------------------------------------------ (For a share outstanding throughout the period) 2004 2003 2002 2001 2000 1999 - --------------------------------------------------------- ------------------------------------------------- Selected Per Share Data Net Asset Value, Beginning of Period................... $ 1.87 $ 1.59 $ 2.03 $ 2.47 $ 2.66 $ 2.25 Income from Investment Operations: Net Investment Income (Loss)....................... (0.02) 0.01 0.01 0.02 0.03 0.03 Net Realized and Unrealized Gains (Losses) on Investments....................................... 0.02 0.28 (0.43) (0.36) (0.09) 0.47 -------- -------- -------- -------- -------- -------- Total from Investment Operations.................. -- 0.29 (0.42) (0.34) (0.06) 0.50 -------- -------- -------- -------- -------- -------- Less Distributions: Distributions from Net Investment Income........... 0.01 (0.01) (0.02) (0.02) (0.02) (0.03) Distributions from Realized Gains on Investments... -- -- -- (0.08) (0.11) (0.06) -------- -------- -------- -------- -------- -------- Total Distributions............................... 0.01 (0.01) (0.02) (0.10) (0.13) (0.09) -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period......................... $ 1.88 $ 1.87 $ 1.59 $ 2.03 $ 2.47 $ 2.66 ======== ======== ======== ======== ======== ======== Total Return(e)........................................ 1.08% 18.94% (20.83%) (14.22%) (2.49%) 22.50% ======== ======== ======== ======== ======== ======== Ratios and Supplemental Data Net Assets, End of Period (in thousands)............... $663,970 $665,871 $551,421 $696,578 $770,816 $676,134 ======== ======== ======== ======== ======== ======== Ratio of Expenses to Average Net Assets................ 0.43%(d) 0.43% 0.43% 0.43% 0.43% 0.43% ======== ======== ======== ======== ======== ======== Ratio of Net Investment Income to Average Net Assets... 0.65%(d) 0.77% 0.76% 1.01% 1.12% 1.22% ======== ======== ======== ======== ======== ======== Portfolio Turnover Rate................................ 22.26% 40.89% 28.06% 27.98% 28.01% 27.26% ======== ======== ======== ======== ======== ========
For the Six Months Ended For the Year Ended December 31, Large Cap Core Stock Portfolio June 30, ------------------------------------------------ (For a share outstanding throughout the period) 2004 2003 2002 2001 2000 1999 - --------------------------------------------------------- ------------------------------------------------- Selected Per Share Data Net Asset Value, Beginning of Period................... $ 1.07 $ 0.87 $ 1.22 $ 1.37 $ 1.56 $ 1.62 Income from Investment Operations: Net Investment Income (Loss)....................... (0.01) 0.01 0.01 0.01 0.01 0.01 Net Realized and Unrealized Gains (Losses) on Investments....................................... -- 0.20 (0.35) (0.11) (0.11) 0.12 -------- -------- -------- -------- -------- -------- Total from Investment Operations.................. (0.01) 0.21 (0.34) (0.10) (0.10) 0.13 -------- -------- -------- -------- -------- -------- Less Distributions: Distributions from Net Investment Income........... 0.01 (0.01) (0.01) (0.01) (0.01) -- Distributions from Realized Gains on Investments... -- -- -- (0.04) (0.08) (0.19) -------- -------- -------- -------- -------- -------- Total Distributions............................... 0.01 (0.01) (0.01) (0.05) (0.09) (0.19) -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period......................... $ 1.07 $ 1.07 $ 0.87 $ 1.22 $ 1.37 $ 1.56 ======== ======== ======== ======== ======== ======== Total Return(e)........................................ 1.53% 24.05% (28.20%) (7.77%) (6.97%) 7.47% ======== ======== ======== ======== ======== ======== Ratios and Supplemental Data Net Assets, End of Period (in thousands)............... $449,245 $447,554 $365,944 $548,672 $579,981 $661,552 ======== ======== ======== ======== ======== ======== Ratio of Expenses to Average Net Assets................ 0.44%(d) 0.46% 0.58% 0.58% 0.57% 0.57% ======== ======== ======== ======== ======== ======== Ratio of Net Investment Income to Average Net Assets... 1.04%(d) 1.07% 0.85% 0.75% 0.68% 0.80% ======== ======== ======== ======== ======== ======== Portfolio Turnover Rate................................ 21.98% 58.90% 29.20% 44.37% 47.67% 106.93% ======== ======== ======== ======== ======== ========
(d)Computed on an annualized basis. (e)Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for period less than one year. The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) Financial Highlights 87 Financial Highlights Northwestern Mutual Series Fund, Inc.
For the For the Period Six Months For the Year Ended July 31, 2001(b) Ended December 31, through Capital Guardian Domestic Equity Portfolio June 30, ------------------ December 31, (For a share outstanding throughout the period) 2004 2003 2002 2001 - ------------------------------------------------------------------ -------------------- Selected Per Share Data Net Asset Value, Beginning of Period............................ $ 1.00 $ 0.76 $ 0.97 $ 1.00 Income from Investment Operations: Net Investment Income....................................... 0.01 0.01 0.01 -- Net Realized and Unrealized Gains (Losses) on Investments... 0.04 0.24 (0.21) (0.03) -------- -------- -------- ------- Total from Investment Operations........................... 0.05 0.25 (0.20) (0.03) -------- -------- -------- ------- Less Distributions: Distributions from Net Investment Income.................... -- (0.01) (0.01) -- Distributions from Realized Gains on Investments............ -- -- -- -- -------- -------- -------- ------- Total Distributions........................................ -- (0.01) (0.01) -- -------- -------- -------- ------- Net Asset Value, End of Period.................................. $ 1.05 $ 1.00 $ 0.76 $ 0.97 ======== ======== ======== ======= Total Return(e)................................................. 4.89% 34.41% (21.24%) (2.19%) ======== ======== ======== ======= Ratios and Supplemental Data Net Assets, End of Period (in thousands)........................ $166,016 $136,099 $ 74,274 $40,722 ======== ======== ======== ======= Ratio of Gross Expenses to Average Net Assets................... 0.63%(d) 0.67% 0.70% 0.90%(d) ======== ======== ======== ======= Ratio of Net Expenses to Average Net Assets(g).................. 0.63%(d) 0.67% 0.70% 0.75%(d) ======== ======== ======== ======= Ratio of Net Investment Income to Average Net Assets............ 1.61%(d) 1.84% 1.54% 1.32%(d) ======== ======== ======== ======= Portfolio Turnover Rate......................................... 14.84% 29.20% 22.42% 18.98% ======== ======== ======== =======
For the For the Period Six Months May 1, 2003(c) Ended through T. Rowe Price Equity Income Portfolio June 30, December 31, (For a share outstanding throughout the period) 2004 2003 - ------------------------------------------------------------------ Selected Per Share Data Net Asset Value, Beginning of Period............................ $ 1.22 $ 1.00 Income from Investment Operations: Net Investment Income....................................... 0.01 0.01 Net Realized and Unrealized Gains (Losses) on Investments... 0.04 0.23 ------- ------- Total from Investment Operations........................... 0.05 0.24 ------- ------- Less Distributions: Distributions from Net Investment Income.................... -- (0.01) Distributions from Realized Gains on Investments............ -- (0.01) ------- ------- Total Distributions........................................ -- (0.02) ------- ------- Net Asset Value, End of Period.................................. $ 1.27 $ 1.22 ======= ======= Total Return(e)................................................. 4.52% 23.64% ======= ======= Ratios and Supplemental Data Net Assets, End of Period (in thousands)........................ $65,668 $47,664 ======= ======= Ratio of Gross Expenses to Average Net Assets................... 0.70%(d) 0.77%(d) ======= ======= Ratio of Net Expenses to Average Net Assets(g).................. 0.70%(d) 0.75%(d) ======= ======= Ratio of Net Investment Income to Average Net Assets............ 1.48%(d) 1.88%(d) ======= ======= Portfolio Turnover Rate......................................... 6.43% 27.27% ======= =======
(b)Portfolio commenced operations July 31, 2001. (c)Portfolio commenced operations on May 1, 2003. (d)Computed on an annualized basis. (e)Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for period less than one year. (g)Portfolio subject to expense waiver agreement. See Note 9 of accompanying notes. The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) 88 Financial Highlights Financial Highlights Northwestern Mutual Series Fund, Inc.
For the Six Months Ended For the Year Ended December 31, Index 500 Stock Portfolio June 30, ---------------------------------------------------------- (For a share outstanding throughout the period) 2004 2003 2002 2001 2000 1999 - ------------------------------------------------------ ----------------------------------------------------------- Selected Per Share Data Net Asset Value, Beginning of Period................ $ 2.72 $ 2.17 $ 2.87 $ 3.41 $ 3.89 $ 3.29 Income from Investment Operations: Net Investment Income (Loss).................... (0.05) 0.04 0.03 0.03 0.04 0.04 Net Realized and Unrealized Gains (Losses) on Investments.................................... 0.01 0.56 (0.64) (0.43) (0.37) 0.64 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............... (0.04) 0.60 (0.61) (0.40) (0.33) 0.68 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions: Distributions from Net Investment Income........ 0.04 (0.04) (0.03) (0.04) (0.04) (0.03) Distributions from Realized Gains on Investments.................................... 0.03 (0.01) (0.06) (0.10) (0.11) (0.05) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............................ 0.07 (0.05) (0.09) (0.14) (0.15) (0.08) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period...................... $ 2.75 $ 2.72 $ 2.17 $ 2.87 $ 3.41 $ 3.89 ========== ========== ========== ========== ========== ========== Total Return(e)..................................... 3.33% 28.43% (22.07%) (11.88%) (8.75%) 20.91% ========== ========== ========== ========== ========== ========== Ratios and Supplemental Data Net Assets, End of Period (in thousands)............ $1,804,201 $1,756,120 $1,362,881 $1,821,875 $2,072,937 $2,271,956 ========== ========== ========== ========== ========== ========== Ratio of Expenses to Average Net Assets............. 0.20%(d) 0.20% 0.21% 0.21% 0.20% 0.20% ========== ========== ========== ========== ========== ========== Ratio of Net Investment Income to Average Net Assets............................................. 1.43%(d) 1.59% 1.40% 1.13% 1.08% 1.16% ========== ========== ========== ========== ========== ========== Portfolio Turnover Rate............................. 1.62% 2.44% 6.55% 2.92% 6.47% 5.65% ========== ========== ========== ========== ========== ==========
For the For the Period Six Months For the Year Ended July 31, 2001(b) Ended December 31, through Asset Allocation Portfolio June 30, ------------------ December 31, (For a share outstanding throughout the period) 2004 2003 2002 2001 - ------------------------------------------------------------------ -------------------- Selected Per Share Data Net Asset Value, Beginning of Period............................ $ 1.02 $ 0.86 $ 0.97 $ 1.00 Income from Investment Operations: Net Investment Income....................................... 0.01 0.02 0.01 0.01 Net Realized and Unrealized Gains (Losses) on Investments... 0.01 0.16 (0.11) (0.03) -------- -------- -------- ------- Total from Investment Operations........................... 0.02 0.18 (0.10) (0.02) -------- -------- -------- ------- Less Distributions: Distributions from Net Investment Income.................... -- (0.02) (0.01) (0.01) Distributions from Realized Gains on Investments............ -- -- -- -- -------- -------- -------- ------- Total Distributions........................................ -- (0.02) (0.01) (0.01) -------- -------- -------- ------- Net Asset Value, End of Period.................................. $ 1.04 $ 1.02 $ 0.86 $ 0.97 ======== ======== ======== ======= Total Return(e)................................................. 2.06% 20.63% (10.26%) (2.10%) ======== ======== ======== ======= Ratios and Supplemental Data Net Assets, End of Period (in thousands)........................ $165,734 $130,478 $ 87,260 $40,116 ======== ======== ======== ======= Ratio of Gross Expenses to Average Net Assets................... 0.64%(d) 0.73% 0.87% 0.92%(d) ======== ======== ======== ======= Ratio of Net Expenses to Average Net Assets(g).................. 0.64%(d) 0.73% 0.75% 0.75%(d) ======== ======== ======== ======= Ratio of Net Investment Income to Average Net Assets............ 1.80%(d) 1.83% 2.18% 2.19%(d) ======== ======== ======== ======= Portfolio Turnover Rate......................................... 40.79% 103.77% 112.73% 55.88% ======== ======== ======== =======
(b)Portfolio commenced operations July 31, 2001. (d)Computed on an annualized basis. (e)Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for period less than one year. (g)Portfolio subject to expense waiver agreement. See Note 9 of accompanying notes. The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) Financial Highlights 89 Financial Highlights Northwestern Mutual Series Fund, Inc.
For the Six Months Ended For the Year Ended December 31, Balanced Portfolio June 30, ---------------------------------------------------------- (For a share outstanding throughout the period) 2004 2003 2002 2001 2000 1999 - ------------------------------------------------------ ----------------------------------------------------------- Selected Per Share Data Net Asset Value, Beginning of Period................ $ 1.85 $ 1.62 $ 1.82 $ 2.03 $ 2.22 $ 2.22 Income from Investment Operations: Net Investment Income (Loss).................... (0.08) 0.05 0.06 0.08 0.08 0.07 Net Realized and Unrealized Gains (Losses) on Investments.................................... (0.12) 0.24 (0.20) (0.13) (0.09) 0.17 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............... (0.20) 0.29 (0.14) (0.05) (0.01) 0.24 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions: Distributions from Net Investment Income........ 0.05 (0.06) (0.06) (0.08) (0.07) (0.07) Distributions from Realized Gains on Investments.................................... 0.07 -- -- (0.08) (0.11) (0.17) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............................ 0.12 (0.06) (0.06) (0.16) (0.18) (0.24) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period...................... $ 1.77 $ 1.85 $ 1.62 $ 1.82 $ 2.03 $ 2.22 ========== ========== ========== ========== ========== ========== Total Return(e)..................................... 1.79% 17.99% (7.54%) (3.15%) (0.17%) 11.18% ========== ========== ========== ========== ========== ========== Ratios and Supplemental Data Net Assets, End of Period (in thousands)............ $2,888,456 $2,891,488 $2,561,529 $3,011,137 $3,253,199 $3,557,900 ========== ========== ========== ========== ========== ========== Ratio of Expenses to Average Net Assets............. 0.30%(d) 0.30% 0.30% 0.30% 0.30% 0.30% ========== ========== ========== ========== ========== ========== Ratio of Net Investment Income to Average Net Assets............................................. 2.44%(d) 2.74% 3.08% 3.75% 3.47% 3.36% ========== ========== ========== ========== ========== ========== Portfolio Turnover Rate............................. 34.99% 69.56% 53.12% 50.37% 24.36% 27.16% ========== ========== ========== ========== ========== ==========
For the Six Months Ended For the Year Ended December 31, High Yield Bond Portfolio June 30, --------------------------------------------------- (For a share outstanding throughout the period) 2004 2003 2002 2001 2000 1999 - --------------------------------------------------------- ---------------------------------------------------- Selected Per Share Data Net Asset Value, Beginning of Period................... $ 0.73 $ 0.56 $ 0.65 $ 0.69 $ 0.82 $ 0.94 Income from Investment Operations: Net Investment Income.............................. (0.08) 0.05 0.07 0.08 0.09 0.11 Net Realized and Unrealized Gains (Losses) on Investments....................................... (0.01) 0.12 (0.09) (0.04) (0.13) (0.12) -------- -------- -------- -------- -------- -------- Total from Investment Operations.................. (0.09) 0.17 (0.02) 0.04 (0.04) (0.01) -------- -------- -------- -------- -------- -------- Less Distributions: Distributions from Net Investment Income........... 0.05 (0.00)(f) (0.07) (0.08) (0.09) (0.11) Distributions from Realized Gains on Investments... -- -- -- -- -- -- -------- -------- -------- -------- -------- -------- Total Distributions............................... 0.05 (0.00) (0.07) (0.08) (0.09) (0.11) -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period......................... $ 0.69 $ 0.73 $ 0.56 $ 0.65 $ 0.69 $ 0.82 ======== ======== ======== ======== ======== ======== Total Return(e)........................................ 2.81% 29.06% (2.89%) 5.03% (4.60%) (0.44%) ======== ======== ======== ======== ======== ======== Ratios and Supplemental Data Net Assets, End of Period (in thousands)............... $203,153 $199,371 $137,553 $147,670 $138,207 $161,424 ======== ======== ======== ======== ======== ======== Ratio of Gross Expenses to Average Net Assets.......... 0.50%(d) 0.52% 0.54% 0.53% 0.53% 0.50% ======== ======== ======== ======== ======== ======== Ratio of Net Expenses to Average Net Assets(g)......... 0.50%(d) 0.52% 0.54% 0.53% 0.52% 0.50% ======== ======== ======== ======== ======== ======== Ratio of Net Investment Income to Average Net Assets... 7.42%(d) 8.66% 10.37% 10.48% 10.90% 11.15% ======== ======== ======== ======== ======== ======== Portfolio Turnover Rate................................ 87.51% 182.10% 89.20% 96.41% 124.91% 139.87% ======== ======== ======== ======== ======== ========
(d)Computed on an annualized basis. (e)Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for period less than one year. (f)Amount is less than $0.005 (g)Portfolio subject to expense waiver agreement. See Note 9 of accompanying notes. The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) 90 Financial Highlights Financial Highlights Northwestern Mutual Series Fund, Inc.
For the Six Months Ended For the Year Ended December 31, Select Bond Portfolio June 30, ------------------------------------------------ (For a share outstanding throughout the period) 2004 2003 2002 2001 2000 1999 - --------------------------------------------------------- ------------------------------------------------- Selected Per Share Data Net Asset Value, Beginning of Period................... $ 1.26 $ 1.27 $ 1.20 $ 1.16 $ 1.13 $ 1.25 Income from Investment Operations: Net Investment Income.............................. (0.08) 0.05 0.05 0.06 0.08 0.08 Net Realized and Unrealized Gains (Losses) on Investments....................................... (0.10) 0.02 0.09 0.05 0.03 (0.09) -------- -------- -------- -------- -------- -------- Total from Investment Operations.................. (0.18) 0.07 0.14 0.11 0.11 (0.01) -------- -------- -------- -------- -------- -------- Less Distributions: Distributions from Net Investment Income........... 0.05 (0.05) (0.06) (0.07) (0.08) (0.08) Distributions from Realized Gains on Investments... 0.04 (0.03) (0.01) -- -- (0.03) -------- -------- -------- -------- -------- -------- Total Distributions............................... 0.09 (0.08) (0.07) (0.07) (0.08) (0.11) -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period......................... $ 1.17 $ 1.26 $ 1.27 $ 1.20 $ 1.16 $ 1.13 ======== ======== ======== ======== ======== ======== Total Return(e)........................................ 0.14% 5.49% 12.09% 10.37% 10.21% (1.00%) ======== ======== ======== ======== ======== ======== Ratios and Supplemental Data Net Assets, End of Period (in thousands)............... $614,523 $621,325 $584,018 $405,406 $291,678 $286,493 ======== ======== ======== ======== ======== ======== Ratio of Expenses to Average Net Assets................ 0.30%(d) 0.30% 0.30% 0.30% 0.30% 0.30% ======== ======== ======== ======== ======== ======== Ratio of Net Investment Income to Average Net Assets... 3.93%(d) 4.03% 5.01% 6.15% 6.84% 6.56% ======== ======== ======== ======== ======== ======== Portfolio Turnover Rate................................ 66.41% 137.05% 184.37% 151.27% 139.89% 76.65% ======== ======== ======== ======== ======== ========
For the Six Months Ended For the Year Ended December 31, Money Market Portfolio June 30, ------------------------------------------------ (For a share outstanding throughout the period) 2004 2003 2002 2001 2000 1999 - ------------------------------------------------------ ------------------------------------------------- Selected Per Share Data Net Asset Value, Beginning of Period................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 Income from Investment Operations: Net Investment Income........................... 0.01 0.01 0.02 0.04 0.06 0.05 -------- -------- -------- -------- -------- -------- Total from Investment Operations............... 0.01 0.01 0.02 0.04 0.06 0.05 -------- -------- -------- -------- -------- -------- Less Distributions: Distributions from Net Investment Income........ (0.01) (0.01) (0.02) (0.04) (0.06) (0.05) -------- -------- -------- -------- -------- -------- Total Distributions............................ (0.01) (0.01) (0.02) (0.04) (0.06) (0.05) -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period...................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ======== ======== ======== ======== ======== ======== Total Return(e)..................................... 0.56% 1.23% 1.65% 3.91% 6.28% 5.10% ======== ======== ======== ======== ======== ======== Ratios and Supplemental Data Net Assets, End of Period (in thousands)............ $364,175 $399,873 $501,313 $458,689 $384,455 $404,284 ======== ======== ======== ======== ======== ======== Ratio of Gross Expenses to Average Net Assets....... 0.30%(d) 0.30% 0.30% 0.30% 0.30% 0.30% ======== ======== ======== ======== ======== ======== Ratio of Net Expenses to Average Net Assets(g)...... 0.00%(d) 0.00% 0.27% 0.30% 0.30% 0.30% ======== ======== ======== ======== ======== ======== Ratio of Net Investment Income to Average Net Assets 1.12%(d) 1.23% 1.63% 3.76% 6.08% 4.99% ======== ======== ======== ======== ======== ========
(d)Computed on an annualized basis. (e)Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees, not annualized for period less than one year. (g)Portfolio subject to expense waiver agreement. See Note 9 of accompanying notes. The Accompanying Notes are an Integral Part of the Financial Statements. (Prepared from Unaudited Figures) Financial Highlights 91 Notes to Financial Statements Northwestern Mutual Series Fund, Inc. June 30, 2004 (Unaudited) 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, T. Rowe Price Small Cap Value Portfolio, Aggressive Growth Stock Portfolio, International Growth Portfolio, Franklin Templeton International Equity Portfolio, AllianceBernstein Mid Cap Value Portfolio, Index 400 Stock Portfolio, Janus Capital Appreciation Portfolio, Growth Stock Portfolio, Large Cap Core Stock Portfolio, Capital Guardian Domestic Equity Portfolio, T. Rowe Price Equity Income Portfolio, Index 500 Stock Portfolio, Asset Allocation Portfolio, Balanced Portfolio, High Yield Bond Portfolio, Select Bond Portfolio and the Money Market Portfolio (the "Portfolios"). Shares are presently offered only to The Northwestern Mutual Life Insurance Company ("Northwestern Mutual") and its segregated asset accounts. Note 2 -- The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America 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 -- Stocks listed on a national or foreign stock exchange are generally valued at the last sale price on the exchange on which the security is principally traded. Stocks listed on the NASDAQ Stock Market, Inc. ("NASDAQ") for which a NASDAQ Official Closing Price ("NOCP") is available are valued at the NOCP. If there has been no sale on such exchange or on NASDAQ, the security is valued at the prior day's price. Stocks traded only in the over-the-counter market and not on a securities exchange or NASDAQ are valued at the latest bid price. Bonds are valued on the basis of prices furnished by a service which determines prices for normal institutional-size trading units of bonds. Securities for which current market quotations are not readily available are valued at fair value determined by procedures approved by the Board of Directors. The fair value procedure is used if a significant event that is likely to have affected the value of the securities takes place after the time of the most recent market quotations or the market quotations for other reasons do not reflect information material to the value of those securities. Generally, money market investments, other than in the Money Market Portfolio, with maturities exceeding sixty days are valued by marking to market on the basis of an average of the most recent bid prices or yields. Generally, 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 -- Certain of the Portfolios may have securities and other assets and liabilities denominated in foreign currencies which 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 into U.S. dollar amounts on the respective dates of such transactions. When the Portfolios purchase or sell a foreign security they may enter into a foreign currency exchange contract to minimize market risk from the trade date to the settlement date of such transaction. Such foreign currency exchange 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 recorded. Risks may arise from changes in market value of the underlying instruments and from the possible inability of counterparties to meet the terms of their contracts. The Portfolios do not separately report the results of operations due to changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade date and the settlement date on security transactions, and 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, Asset Allocation, Balanced and Select Bond Portfolios invest in futures contracts as an alternative to investing in individual securities and 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. 92 Notes to Financial Statements Notes to Financial Statements When a 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. For federal income tax purposes, net unrealized appreciation (depreciation) on open futures contracts is generally required to be treated as realized gains (losses). Note 6 -- The Series Fund has a securities lending program that enables each Portfolio, except the Money Market Portfolio, to loan securities to approved broker-dealers. The Portfolio receives cash (U.S. currency), U.S. Government or U.S. Government agency obligations as collateral against the loaned securities. To the extent that a loan is collateralized by cash, such collateral shall be invested by the Portfolio to earn interest in accordance with the Portfolio's investment policies. The collateral received under the securities lending program is recorded on the Portfolio's statement of assets and liabilities along with the related obligation to return the collateral. Income generated from the investment of cash collateral, less negotiated rebate fees paid to participating brokers and transaction costs, is recorded as income for the Portfolio. All collateral received will be in an amount at least equal to 102% (for loans of U.S. securities) or 105% (for non-U.S. securities) of the market value of the loaned securities at the inception of each loan. Thereafter, each loan must be continuously secured by collateral at least equal at all times to the value of the securities lent. In addition, the Portfolio is entitled to terminate a securities loan at any time. The primary risks to the Fund of securities lending are that the borrower may not provide additional collateral when required or return the securities when due. As of June 30, 2004, the value of outstanding securities on loan and the value of collateral amounted to the following:
Value of Value of Portfolio Securities on Loan Collateral --------- ------------------ ------------ Balanced... $219,064,261 $226,347,000 Select Bond 54,694,283 56,231,375
As of June 30, 2004, collateral received for securities on loan is invested in money market instruments and included in Investments on the Portfolio's Statement of Assets and Liabilities. Note 7 -- The Asset Allocation, Balanced and Select Bond Portfolios have entered into mortgage dollar rolls. Dollar roll transactions consist of the sale by a portfolio to a bank or broker/dealer (the "counterparty") of mortgage-backed securities together with a commitment to purchase from the counterparty similar, but not identical, securities at a future date, at a similar price. As of June 30, 2004, the following mortgage dollar rolls were outstanding:
Obligation Portfolio Cost Value Liability --------- ----------- ----------- ----------- Asset Allocation $ 2,217,291 $ 2,229,352 $ 2,223,567 Balanced........ 78,528,962 79,537,735 78,751,223 Select Bond..... 56,428,095 57,152,942 56,587,804
The obligation liability is included in Due on Purchase of Securities and Securities Lending Collateral on the Portfolio's Statement of Assets and Liabilities. Securities subject to these agreements had a contractual maturity of July 1, 2034. The weighted average interest rate was 4.50% for the Asset Allocation Portfolio, 4.50% for the Balanced Portfolio, and 4.50% for the Select Bond Portfolio. Note 8 -- Interest income is 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 using the effective interest method. Securities transactions are accounted for on trade date. The basis for determining cost on sale of securities is identified cost. For the year ended June 30, 2004, transactions in securities other than money market investments were:
U.S. Total U.S. Govt. Total Govt. Security Security Security Security Sales/ Sales/ Portfolio Purchases Purchases Maturities Maturities - --------- ---------- --------- ---------- ---------- (Amounts in thousands) Small Cap Growth Stock................. $ 164,311 $ -- $151,537 $ -- T. Rowe Price Small Cap Value.......... 47,673 -- 28,390 -- Aggressive Growth Stock................ 465,022 -- 496,552 -- International Growth................... 37,225 -- 22,840 -- Franklin Templeton International Equity 88,145 -- 60,290 -- AllianceBernstein Mid Cap Value........ 17,716 -- 9,182 -- Index 400 Stock........................ 35,423 -- 23,101 -- Janus Capital Appreciation............. 3,049 -- 4,245 -- Growth Stock........................... 142,696 -- 144,243 -- Large Cap Core Stock................... 96,294 -- 102,823 -- Capital Guardian Domestic Equity....... 39,689 -- 20,883 -- T. Rowe Price Equity Income............ 26,025 -- 9,608 -- Index 500 Stock........................ 30,809 -- 28,459 -- Asset Allocation....................... 88,233 25,538 54,747 11,285 Balanced............................... 1,021,705 559,621 876,540 471,145 High Yield Bond........................ 171,502 -- 166,980 -- Select Bond............................ 413,979 109,264 395,064 130,483
Notes to Financial Statements 93 Notes to Financial Statements Note 9 -- 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. Certain Portfolios, listed below, pay at a fixed annual rate based on the average daily net asset values of the Portfolio.
Portfolio Fee --------- ---- T. Rowe Price Small Cap Value.. .85% AllianceBernstein Mid Cap Value .85% Index 400 Stock................ .25% Index 500 Stock................ .20% Balanced....................... .30% Select Bond.................... .30% Money Market................... .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 schedules:
First Next $50 $50 Portfolio Million Million Excess --------- ------- ------- ------ Small Cap Growth Stock................. .80% .65% .50% Aggressive Growth Stock................ .80% .65% .50% Franklin Templeton International Equity .85% .65% .65% Growth Stock........................... .60% .50% .40% Large Cap Core Stock................... .60% .50% .40% High Yield Bond........................ .60% .50% .40% First Next $100 $150 Portfolio Million Million Excess --------- ------- ------- ------ International Growth................... .75% .65% .55% Capital Guardian Domestic Equity....... .65% .55% .50% Asset Allocation....................... .60% .50% .40% First $500 Portfolio Million Excess --------- ------- ------- T. Rowe Price Equity Income............ 65% 60% First Next $100 $400 Portfolio Million Million Excess --------- ------- ------- ------ Janus Capital Appreciation............. .80% .75% .70%
The Series Fund's advisor, Mason Street Advisors, LLC ("MSA"), a wholly owned subsidiary of Northwestern Mutual, which is the manager and investment adviser of the Series Fund, contractually agreed to waive the management fee and absorb certain other operating expenses to the extent necessary so that Total Operating Expenses will not exceed the following amounts:
Portfolio Expiration --------- ----------------- T. Rowe Price Small Cap Value... 1.00% December 31, 2006 International Growth............ 1.10% December 31, 2006 AllianceBernstein Mid Cap Value. 1.00% December 31, 2008 Janus Capital Appreciation...... 0.90% December 31, 2008 Capital Guardian Domestic Equity 0.75% December 31, 2006 T. Rowe Price Equity Income..... 0.75% December 31, 2008 Asset Allocation................ 0.75% December 31, 2006
MSA has voluntarily waived its management fee since December 2, 2002 for the Money Market Portfolio. The investment advisory fee is paid to MSA. Other costs for each Portfolio are paid either by the Portfolios or MSA depending upon the applicable agreement in place. All of the Portfolios, except for the Balanced, Select Bond and Money Market Portfolios, pay their own custodian fees. Certain Portfolios, listed below, 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. These Portfolios could have invested the assets used to pay for the custodian fees, had the assets not been used in the expense offset arrangements. For the six months ended June 30, 2004, the amounts paid through expense offset arrangements were as follows:
Portfolio Amount --------- ------ Small Cap Growth Stock.......... $ 509 T. Rowe Price Small Cap Value... 254 Aggressive Growth Stock......... 1,979 AllianceBernstein Mid Cap Value. 260 Index 400 Stock................. 287 Janus Capital Appreciation...... 271 Growth Stock.................... 306 Large Cap Core Stock............ 249 Capital Guardian Domestic Equity 339 T. Rowe Price Equity Income..... 173 Index 500 Stock................. 328 Asset Allocation................ 421 High Yield Bond................. 96
T. Rowe Price Associates, Inc. ("T. Rowe Price"), Templeton Investment Counsel, LLC. ("Templeton Counsel"), Alliance Capital Management L.P., ("Alliance Capital Management"), Janus Capital Management, LLC ("Janus Capital") and Capital Guardian Trust Company ("Capital Guardian") have been retained under investment subadvisory agreements to provide investment advice and, in general, to conduct the management investment programs of the T. Rowe Price Small Cap Value and T. Rowe Price Equity Income Portfolios, the Franklin Templeton International Equity Portfolio, the AllianceBernstein Mid Cap Value Portfolio, the Janus Capital Appreciation Portfolio and the Capital Guardian Domestic Equity Portfolio, respectively. MSA pays T. Rowe Price an annual rate of .60% of the T. Rowe Price Small Cap Value Portfolio's average daily net assets. MSA pays Templeton Counsel .50% on the first $100 million of combined net assets for all funds managed for Northwestern Mutual by Templeton Counsel and .40% in excess of $100 million. MSA pays Alliance Capital Management .72% on the first $100 million of the Portfolio's assets, .54% on the next $400 million, and .50% in excess of $500 million, with a 94 Notes to Financial Statements Notes to Financial Statements minimum amount of $16,000. MSA pays Janus Capital .55% on the first $100 million of the Portfolio's assets, .50% on the next $400 million, and .45% on assets in excess of $500 million. MSA pays Capital Guardian a flat annual fee of $375,000 on the Portfolio's assets of $100 million or less and .275% on net assets in excess of $100 million. For the T. Rowe Price Equity Income Portfolio, MSA pays T. Rowe Price .40% of the Portfolio's assets, reduced to ..35% on assets in excess of $500 million. Commissions paid on Portfolio transactions to an affiliated broker for the six months ended June 30, 2004, were as follows:
Portfolio Amount --------- ------- Small Cap Growth Stock......... $19,510 T. Rowe Small Cap Value........ 165 Aggressive Growth Stock........ 61,610 AllianceBernstein Mid Cap Value 29,955 T. Rowe Equity Income.......... 440
Note 10 -- Each of the Portfolios of the Series Fund has elected to be taxed as a regulated investment company meeting certain requirements under the Internal Revenue Code. Since each expects to distribute all net investment income and net realized capital gains, the Portfolios anticipate incurring no federal income taxes. Taxable distributions from net investment income and realized capital gains in the Portfolios may differ from book amounts earned during the period due to differences in the timing of capital gains recognition and due to the reclassification of certain gains or losses between capital and income. The differences between cost amounts for book purposes and tax purposes are primarily due to treatment of deferred losses. It is the policy of the Portfolios to reclassify the net effect of permanent differences between book and taxable income to capital accounts on the Statements of Assets and Liabilities. Certain losses incurred by the Portfolios after October 31/st/ are deferred and deemed to have occurred in the next fiscal year for income tax purposes. Net realized capital losses for federal income tax purposes are carried forward to offset future net realized gains. A summary of the Portfolios' post-October losses and capital loss carryovers as of December 31, 2003 is provided below:
Post October Capital Loss Losses Carryovers ---------------- ------------------- Foreign Portfolio Capital Currency Amount Expiration --------- ------- -------- -------- ---------- (Amounts in Thousands) Small Cap Growth Stock................. $ -- $ -- $ 25,729 2009-2010 T. Rowe Price Small Cap Value.......... -- -- -- -- Aggressive Growth Stock................ -- -- 203,512 2010-2011 International Growth................... -- -- 5,314 2009-2011 Franklin Templeton International Equity -- 124 120,208 2009-2011 AllianceBernstein Mid Cap Value........ -- -- -- -- Index 400 Stock........................ 11 -- -- -- Janus Capital Appreciation............. 103 -- -- -- Growth Stock........................... -- -- 95,156 2009-2010 Large Cap Core Stock................... -- -- 165,024 2009-2011 Capital Guardian Domestic Equity....... -- -- 3,619 2009-2011 T. Rowe Price Equity Income............ -- -- -- -- Index 500 Stock........................ -- -- -- -- Asset Allocation....................... -- -- 556 2010 Balanced............................... -- -- -- -- High Yield Bond........................ -- -- 76,427 2006-2010 Select Bond............................ -- -- -- -- Money Market........................... -- -- -- --
Note 11 -- Dividends from net investment income and net realized capital gains are declared each business day for the Money Market Portfolio and at least annually for the remaining portfolios of the Series Fund when applicable. Note 12 -- Northwestern Mutual voluntarily reimburses the Franklin Templeton International Equity and International Growth Portfolios for the benefit Northwestern Mutual receives from foreign dividend taxes charged against the Portfolios. The amounts reimbursed represent approximately 65% of the foreign dividend taxes withheld from the Portfolios. Reimbursements are recorded when foreign dividend taxes are accrued. Voluntary reimbursements for the six months ended June 30, 2004 and the year ended December 31, 2003 are summarized below:
2004 2003 Portfolio Reimbursements Reimbursements --------- -------------- -------------- International Growth.. $ 63,323 $ 68,922 Franklin Templeton International Equity 1,245,312 $1,469,313
Notes to Financial Statements 95 Notes to Financial Statements Note 13 -- Distributions to Shareholders When applicable, each of the Portfolios made distributions during the year of ordinary income and long-term capital gains. The tax character of distributions paid for the periods ended June 30, 2004 and December 31, 2003 were as follows:
2004 Distributions Paid 2003 Distributions Paid From: From: ----------------------- ----------------------- Ordinary Long-term Ordinary Long-term Portfolio Income Capital Gain Income Capital Gain - --------- -------- ------------ -------- ------------ (Amounts in Thousands) Small Cap Growth Stock................. $ -- $ -- $ -- $ -- T. Rowe Price Small Cap Value.......... 902 1,353 -- -- Aggressive Growth Stock................ -- -- -- -- International Growth................... 7 -- 420 -- Franklin Templeton International Equity 14,574 -- 11,039 -- AllianceBernstein Mid Cap Value........ 81 4 541 -- Index 400 Stock........................ 2,523 2,268 1,934 -- Janus Capital Appreciation............. -- -- 91 -- Growth Stock........................... 4,542 -- 4,774 -- Large Cap Core Stock................... 4,200 -- 3,770 -- Capital Guardian Domestic Equity....... 19 -- 1,804 -- T. Rowe Price Equity Income............ 196 -- 651 -- Index 500 Stock........................ 27,017 16,060 21,914 8,037 Asset Allocation....................... -- -- 2,122 -- Balanced............................... 79,236 98,255 85,974 -- High Yield Bond........................ 14,552 -- 362 -- Select Bond............................ 39,008 4,298 38,274 -- Money Market........................... 2,073 -- 5,836 --
As of June 30 2004, the tax basis amounts were as follows:
Undistributed Undistributed Unrealized Ordinary Long-term Accumulated Appreciation Portfolio Income Gains Losses (Depreciation) - --------- ------------- ------------- ----------- -------------- (Amounts in Thousands) Small Cap Growth Stock................. $ (652) $ -- $ (513) $ 59,904 T. Rowe Price Small Cap Value.......... 2,624 673 -- 31,787 Aggressive Growth Stock................ 811 -- (163,036) 222,305 International Growth................... 430 -- (2,828) 15,924 Franklin Templeton International Equity 13,143 -- (100,966) 141,540 AllianceBernstein Mid Cap Value........ 1,660 941 -- 9,375 Index 400 Stock........................ (148) 5,134 -- 57,560 Janus Capital Appreciation............. (21) -- (126) 7,756 Growth Stock........................... 2,163 -- (75,412) 64,575 Large Cap Core Stock................... 2,331 -- (167,353) 43,602 Capital Guardian Domestic Equity....... (149) 1,615 -- 20,239 T. Rowe Price Equity Income............ 1,016 243 -- 7,917 Index 500 Stock........................ 9,251 15,655 -- 398,469 Asset Allocation....................... 1,146 1,030 -- 11,959 Balanced............................... 27,928 8,874 -- 579,212 High Yield Bond........................ 7,427 -- (71,030) 2,687 Select Bond............................ 2,698 -- (553) (3,961) Money Market........................... -- -- -- --
Note 14 -- Proxy Voting Guidelines A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll free 1-888-455-2232. It is also available on the Securities and Exchange Commission's website at http://www.sec.gov. 96 Notes to Financial Statements Fidelity(R) Variable Insurance Products: Mid Cap Portfolio [LOGO] Semiannual Report June 30, 2004 [LOGO Fidelity INVESTMENTS(R)] Contents Investment Summary 3 A summary of the fund's investments at period end. Investments 4 A complete list of the fund's investments with their market values. Financial Statements 18 Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. Notes 22 Notes to the financial statements. For a free copy of the fund's proxy voting guidelines call 800-221-5207 or visit the Securities and Exchange Commission (SEC)'s web site at www.sec.gov. Fidelity Variable Insurance Products are separate account options which are purchased through a variable insurance contract. Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation. Other third party marks appearing herein are the property of their respective owners. All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company. This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus. Mutual fund shares are not deposits or obligations of, or guaranteed by, any depository institution. Shares are not insured by the FDIC, Federal Reserve Board or any other agency, and are subject to investment risks, including possible loss of principal amount invested. Neither the fund nor Fidelity Distributors Corporation is a bank. - -------------------------------------------------------------------------------- Mid Cap Portfolio 2 - -------------------------------------------------------------------------------- Fidelity Variable Insurance Products: Mid Cap Portfolio Investment Summary - -------------------------------------------------------------------------------- Top Five Stocks as of June 30, 2004 - -------------------------------------------------------------------------------- % of fund's net assets ----------- Newmont Mining Corp. 3.5 Invitrogen Corp. 2.9 Nucor Corp. 2.6 Charles River Laboratories International, Inc. 2.0 Steel Dynamics, Inc. 1.9 ---- 12.9 ---- - -------------------------------------------------------------------------------- Top Five Market Sectors as of June 30, 2004 - -------------------------------------------------------------------------------- % of fund's net assets ----------- Materials 21.0 Health Care 19.1 Energy 15.6 Consumer Discretionary 12.1 Industrials 8.6 - -------------------------------------------------------------------------------- Asset Allocation as of June 30, 2004 - -------------------------------------------------------------------------------- [CHART APPEARS HERE] Pie Chart % of fund's net assets* Stocks 98.9% Short-Term Investments and Net Other Assets 1.1% * Foreign investments 26.8% - -------------------------------------------------------------------------------- 3 Semiannual Report - -------------------------------------------------------------------------------- Fidelity Variable Insurance Products: Mid Cap Portfolio Investments June 30, 2004 (Unaudited) Showing Percentage of Net Assets - -------------------------------------------------------------------------------- Common Stocks -- 98.9% - -------------------------------------------------------------------------------- Shares Value (Note 1) --------- -------------- CONSUMER DISCRETIONARY - 12.1% Auto Components - 1.5% Autoliv, Inc. ..................................... 192,500 $ 8,123,500 China Yuchai International Ltd. ................... 100 1,822 Gentex Corp. ...................................... 340,900 13,526,912 IMPCO Technologies, Inc. (a)(c) ................... 1,134,900 7,183,917 Johnson Controls, Inc. ............................ 200 10,676 Nokian Tyres Ltd. ................................. 158,750 15,502,473 Starcraft Corp. (a) ............................... 105 1,428 Superior Industries International, Inc. ........... 100 3,345 ----------- 44,354,073 ----------- Automobiles - 0.1% Bajaj Auto Ltd. ................................... 35,300 678,589 Denway Motors Ltd. ................................ 4,000 1,449 Fiat Spa sponsord ADR ............................. 100 845 Harley-Davidson, Inc. ............................. 100 6,194 Hero Honda Motors Ltd. ............................ 155,171 1,710,341 Mahindra & Mahindra Ltd. .......................... 100 962 Maruti Udyog Ltd. ................................. 100 877 Monaco Coach Corp. ................................ 200 5,634 Tata Motors Ltd. .................................. 100 827 Thor Industries, Inc. ............................. 200 6,692 ----------- 2,412,410 ----------- Distributors - 0.0% Advanced Marketing Services, Inc. ................. 100 1,291 Educational Development Corp. ..................... 100 1,103 Li & Fung Ltd. .................................... 2,000 2,923 ----------- 5,317 ----------- Hotels, Restaurants & Leisure - 2.4% Accor SA .......................................... 100 4,231 AFC Enterprises, Inc. (a) ......................... 100 2,150 Applebee's International, Inc. .................... 150 3,453 Buffalo Wild Wings, Inc. .......................... 91,400 2,527,210 Chicago Pizza & Brewery, Inc. (a) ................. 100 1,521 Greek Organization of Football Prognostics SA ..... 100 1,893 GTECH Holdings Corp. .............................. 22 998 Jurys Doyle Hotel Group PLC (Ireland) ............. 100 1,268 Krispy Kreme Doughnuts, Inc. (a) .................. 93,000 1,775,370 Kuoni Reisen Holding AG Class B (Reg.) ............ 100 43,141 Outback Steakhouse, Inc. .......................... 808,100 33,423,016 P.F. Chang's China Bistro, Inc. (a) ............... 100 4,115 Panera Bread Co. Class A (a) ...................... 100 3,588 Red Robin Gourmet Burgers, Inc. (a) ............... 8,800 240,856 Royal Caribbean Cruises Ltd. ...................... 120,800 5,243,928 Sonic Corp. (a) ................................... 1,298,025 29,530,069 Starbucks Corp. (a) ............................... 100 4,348 Total Entertainment Restaurant Corp. (a) .......... 100 1,353 ----------- 72,812,508 ----------- Household Durables - 1.7% Alba PLC .......................................... 756,464 11,113,708 CFM, Inc. (a) ..................................... 100 731 Fedders Corp. ..................................... 100 $ 435 Garmin Ltd. ....................................... 51 1,889 Harman International Industries, Inc. ............. 155,300 14,132,300 Hovnanian Enterprises, Inc. Class A (a) ........... 200 6,942 Lennar Corp.: Class A ........................................ 200 8,944 Class B ........................................ 20 829 LG Electronics, Inc. .............................. 167,270 7,939,712 Makita Corp. sponsored ADR ........................ 100 1,530 Mohawk Industries, Inc. (a) ....................... 100 7,333 Rational AG ....................................... 39,471 2,565,800 Sekisui House Ltd. ................................ 877,000 9,875,876 Skyworth Digital Holdings Ltd. .................... 2,000 526 Techtronic Industries Co. Ltd. .................... 4,000 6,385 The Stanley Works ................................. 100 4,558 Toll Brothers, Inc. (a) ........................... 94,300 3,990,776 William Lyon Homes, Inc. (a) ...................... 100 9,215 ----------- 49,667,489 ----------- Internet & Catalog Retail - 0.0% 1 -800-FLOWERS.com, Inc. Class A (a) . ............ 200 1,628 Alloy, Inc. (a) ................................... 100 615 Drugstore.com, Inc. (a) ........................... 100 349 eBay, Inc. (a) .................................... 100 9,195 GSI Commerce, Inc. (a) ............................ 100 963 InterActiveCorp (a) ............................... 487 14,678 J. Jill Group, Inc. (a) ........................... 100 2,359 Netflix, Inc. (a) ................................. 400 14,380 Overstock.com, Inc. (a) ........................... 100 3,908 Rakuten, Inc. ..................................... 1 7,746 Sportsmans Guide, Inc. (a) ........................ 100 2,340 ValueVision Media, Inc. Class A (a) ............... 100 1,302 ----------- 59,463 ----------- Leisure Equipment & Products - 0.0% Arctic Cat, Inc. .................................. 100 2,753 Asia Optical Co., Inc. ............................ 25,000 151,921 Leapfrog Enterprises, Inc. Class A (a) ............ 100 1,989 Mega Bloks, Inc. (a) .............................. 100 1,649 Oakley, Inc. ...................................... 100 1,294 Polaris Industries, Inc. .......................... 200 9,600 SCP Pool Corp. .................................... 150 6,750 SHIMANO, Inc. ..................................... 100 2,418 ----------- 178,374 ----------- Media - 0.7% Astral Media, Inc. Class A (non-vtg.) ............. 365,800 7,801,942 British Sky Broadcasting Group PLC (BSkyB) ........ 100 1,132 Chum Ltd. Class B (non-vtg.) ...................... 200 4,198 Clear Media Ltd. (a) .............................. 1,000 795 Cumulus Media, Inc. Class A (a) ................... 100 1,681 E.W. Scripps Co. Class A .......................... 100 10,500 EchoStar Communications Corp. Class A (a) ......... 100 3,075 See accompanying notes which are an integral part of the financial statements. - -------------------------------------------------------------------------------- Mid Cap Portfolio 4 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Common Stocks - continued - -------------------------------------------------------------------------------- Shares Value (Note 1) --------- -------------- CONSUMER DISCRETIONARY - continued Media - continued Entercom Communications Corp. Class A (a) ......... 100 $ 3,730 Entravision Communications Corp. Class A (a) ...... 100 768 Fox Entertainment Group, Inc. Class A (a) ......... 100 2,670 Gemstar-TV Guide International, Inc. (a) .......... 100 480 Getty Images, Inc. (a) ............................ 100 6,000 Grupo Televisa SA de CV sponsored ADR ............. 100 4,527 Harris Interactive, Inc. (a) ...................... 100 672 Insignia Systems, Inc. (a) ........................ 100 150 Modern Times Group AB (MTG) (B Shares) (a) ........ 100 1,943 News Corp. Ltd. sponsored ADR ..................... 9 296 Omnicom Group, Inc. ............................... 100 7,589 Padmalaya Telefilms Ltd. .......................... 100 115 Pixar (a) ......................................... 100 6,951 Radio One, Inc. Class A (a) ....................... 100 1,611 Saga Communications, Inc. Class A (a) ............. 100 1,825 Salem Communications Corp. Class A (a) ............ 36,900 1,001,097 SBS Broadcasting SA (a) ........................... 100 3,071 Scholastic Corp. (a) .............................. 100 2,995 SKY Perfect Communications, Inc. .................. 4,246 4,974,878 Sogecable SA (a) .................................. 129,200 5,223,522 Spanish Broadcasting System, Inc. Class A (a) ..... 100 931 Television Broadcasts Ltd. ........................ 1,000 4,282 The DIRECTV Group, Inc. (a) ....................... 82 1,402 The Reader's Digest Association, Inc. (non-vtg.) ..................................... 100 1,599 TiVo, Inc. (a) .................................... 195,200 1,383,968 Torstar Corp. Class B ............................. 100 2,023 Univision Communications, Inc. Class A (a) ........ 100 3,193 Washington Post Co. Class B ....................... 100 93,001 Westwood One, Inc. (a) ............................ 100 2,380 Yell Group PLC .................................... 100 627 Zee Telefilms Ltd. ................................ 695,914 1,907,993 ------------ 22,469,612 ------------ Multiline Retail - 0.2% 99 Cents Only Stores (a) .......................... 100 1,525 Big Lots, Inc. (a) ................................ 100 1,446 Dollar General Corp. .............................. 100 1,956 Dollar Tree Stores, Inc. (a) ...................... 100 2,743 Don Quijote Co. Ltd. .............................. 94,000 6,066,235 Family Dollar Stores, Inc. ........................ 100 3,042 Kohl's Corp. (a) .................................. 100 4,228 ------------ 6,081,175 ------------ Specialty Retail - 4.1% Abercrombie & Fitch Co. Class A ................... 100 3,875 AC Moore Arts & Crafts, Inc. (a) .................. 707,100 19,452,321 Advance Auto Parts, Inc. (a) ...................... 200 $ 8,836 AutoZone, Inc. (a) ................................ 100 8,010 Bed Bath & Beyond, Inc. (a) ....................... 100 3,845 Best Buy Co., Inc. ................................ 200 10,148 Cabela's, Inc. Class A ............................ 900 24,255 Cache, Inc. (a) ................................... 150 2,027 CarMax, Inc. (a) .................................. 1,313,800 28,732,806 Chico's FAS, Inc. (a) ............................. 42,700 1,928,332 Christopher & Banks Corp. ......................... 51 903 Cole National Corp. Class A (a) ................... 100 2,335 Cost Plus, Inc. (a) ............................... 100 3,245 Deb Shops, Inc. ................................... 100 2,406 Esprit Holdings Ltd. .............................. 500 2,237 Forzani Group Ltd. Class A (a) .................... 100 1,026 French Connection Group PLC ....................... 100 755 Genesco, Inc. (a) ................................. 100 2,363 Group 1 Automotive, Inc. (a) ...................... 100 3,321 Guitar Center, Inc. (a) ........................... 100 4,447 Hibbett Sporting Goods, Inc. (a) .................. 150 4,103 Hot Topic, Inc. (a) ............................... 181,983 3,728,832 Kirkland's, Inc. (a) .............................. 100 1,193 KOMERI Co. Ltd. ................................... 659,700 17,912,707 Michaels Stores, Inc. .............................. 100 5,500 Nitori Co. Ltd. ................................... 274,600 17,465,802 O'Reilly Automotive, Inc. (a) ..................... 100 4,520 Pacific Sunwear of California, Inc. (a) ........... 151,100 2,957,027 Peacock Group PLC ................................. 1,271,844 5,993,242 PETsMART, Inc. .................................... 100 3,245 Pier 1 Imports, Inc. .............................. 100 1,769 RONA, Inc. (a) .................................... 100,000 2,159,832 Ross Stores, Inc. ................................. 408,200 10,923,432 Sa Sa International Holdings Ltd. ................. 2,000 782 Select Comfort Corp. (a) .......................... 346,900 9,851,960 Sharper Image Corp. (a) ........................... 100 3,139 Shimamura Co. Ltd. ................................ 100 8,797 Signet Group PLC .................................. 100 208 Sports Authority, Inc. (a) ........................ 100 3,590 Staples, Inc. ..................................... 100 2,931 Talbots, Inc. ..................................... 100 3,915 TBC Corp. (a) ..................................... 100 2,380 The Bombay Company, Inc. (a) ...................... 100 613 Tiffany & Co., Inc. ............................... 100 3,685 TJX Companies, Inc. ............................... 100 2,414 Too, Inc. (a) ..................................... 100 1,670 Tractor Supply Co. (a) ............................ 100 4,182 Urban Outfitters, Inc. (a) ........................ 200 12,182 Weight Watchers International, Inc. (a) . ......... 100 3,914 Williams-Sonoma, Inc. (a) ......................... 200 6,592 ------------ 121,271,651 ------------ Textiles Apparel & Luxury Goods - 1.4% Adidas-Salomon AG ................................. 100 11,968 Brown Shoe Co., Inc. .............................. 100 4,093 Coach, Inc. (a) ................................... 200 9,038 See accompanying notes which are an integral part of the financial statements. - -------------------------------------------------------------------------------- 5 Semiannual Report - -------------------------------------------------------------------------------- Fidelity Variable Insurance Products: Mid Cap Portfolio Investments (Unaudited) - continued - -------------------------------------------------------------------------------- Common Stocks - continued - -------------------------------------------------------------------------------- Shares Value (Note 1) ---------- -------------- CONSUMER DISCRETIONARY - continued Textiles Apparel & Luxury Goods - continued Columbia Sportswear Co. (a) ...................... 579,600 $ 31,657,752 Compagnie Financiere Richemont unit .............. 100 2,617 DHB Industries, Inc. (a) ......................... 100 1,518 Fossil, Inc. (a) ................................. 258,600 7,046,850 Gildan Activewear, Inc. Class A (sub. vtg.) (a) ............................... 100 2,870 K-Swiss, Inc. Class A ............................ 200 4,042 Kenneth Cole Productions, Inc. Class A ........... 100 3,427 Liz Claiborne, Inc. .............................. 100 3,598 NIKE, Inc. Class B ............................... 100 7,575 Polo Ralph Lauren Corp. Class A .................. 100 3,445 Quiksilver, Inc. (a) ............................. 200 4,762 Ted Baker PLC .................................... 300,835 2,279,668 The Swatch Group AG (Bearer) ..................... 100 13,046 Timberland Co. Class A (a) ....................... 100 6,459 Weyco Group, Inc. ................................ 100 3,429 Wolverine World Wide, Inc. ....................... 100 2,625 ------------ 41,068,782 ------------ TOTAL CONSUMER DISCRETIONARY .................. 360,380,854 ------------ CONSUMER STAPLES - 5.4% Beverages - 0.0% Boston Beer Co., Inc. Class A (a) ................ 100 2,014 Companhia de Bebidas das Americas (AmBev) sponsored ADR ......................... 100 2,007 Fomento Economico Mexicano SA de CV sponsored ADR ........................................... 100 4,584 Grupo Modelo SA de CV Series C ................... 100 251 Hansen Natural Corp. (a) ......................... 100 2,533 Harbin Brewery Group Ltd. ........................ 2,000 1,436 MGP Ingredients, Inc. ............................ 100 3,869 Tsingtao Brewery Co. Ltd. (H Shares) ............. 1,000 885 ------------ 17,579 ------------ Food & Staples Retailing - 0.4% Central European Distribution Corp. (a) 150 3,887 Companhia Brasileira de Distribuicao Grupo Pao de Acucar sponsored ADR ............. 100 1,730 Costco Wholesale Corp. ........................... 100 4,107 Massmart Holdings Ltd. ........................... 622,969 3,311,026 Plant Co. Ltd. ................................... 113,700 1,733,949 United Natural Foods, Inc. (a) ................... 200 5,782 Whole Foods Market, Inc. ......................... 64,100 6,118,345 ------------ 11,178,826 ------------ Food Products - 4.7% Archer-Daniels-Midland Co. ....................... 316,500 5,310,870 Barry Callebaut AG ............................... 100 23,571 Bunge Ltd. ....................................... 293,900 11,444,466 Central Garden & Pet Co. Class A (a) ............. 100 3,577 Corn Products International, Inc. ................ 432,000 20,109,600 Delta & Pine Land Co. ............................ 74,316 1,631,236 Fresh Del Monte Produce, Inc. .................... 100 $ 2,527 Glanbia PLC ...................................... 784,887 2,536,708 Green Mountain Coffee Roasters, Inc. (a) ......... 248,711 4,618,563 Hershey Foods Corp. .............................. 504,300 23,333,961 Hormel Foods Corp. ............................... 100 3,110 IAWS Group PLC (Ireland) ......................... 50 598 Lindt & Spruengli AG (participation certificate) .................................. 2,770 2,915,439 McCormick & Co., Inc. (non-vtg.) ................. 496,000 16,864,000 Peet's Coffee & Tea, Inc. (a) .................... 100 2,499 People's Food Holdings Ltd. ...................... 8,370,665 5,506,055 PT Indofood Sukses Makmur Tbk .................... 78,659,500 5,857,624 Riviana Foods, Inc. .............................. 100 2,617 Smithfield Foods, Inc. (a) ....................... 1,357,300 39,904,620 SunOpta, Inc. (a) ................................ 92,100 789,882 Tootsie Roll Industries, Inc. .................... 103 3,348 Wimm-Bill-Dann Foods OJSC ADR (a) ................ 65,400 912,330 Wm. Wrigley Jr. Co. .............................. 100 6,305 Yakult Honsha Co. Ltd. ........................... 1,000 14,692 ------------ 141,798,198 ------------ Household Products - 0.0% Godrej Consumer Products Ltd. (a) ................ 178,876 776,199 Hindustan Lever Ltd. ............................. 104,300 288,796 Kao Corp. ........................................ 1,000 24,456 Reckitt Benckiser PLC ............................ 100 2,840 Uni-Charm Corp. .................................. 100 5,059 ------------ 1,097,350 ------------ Personal Products - 0.3% Alberto-Culver Co. ............................... 150 7,521 Clarins SA ....................................... 100 6,519 Hengan International Group Co. Ltd. .............. 11,594,000 7,432,242 Kose Corp. ....................................... 110 4,296 NBTY, Inc. (a) ................................... 100 2,939 USANA Health Sciences, Inc. (a) .................. 200 6,216 ------------ 7,459,733 ------------ TOTAL CONSUMER STAPLES ........................ 161,551,686 ------------ ENERGY-15.6% Energy Equipment & Services - 9.2% BJ Services Co. (a) .............................. 622,810 28,549,610 Cal Dive International, Inc. (a) ................. 258,600 7,840,752 Carbo Ceramics, Inc. ............................. 25,000 1,706,250 Cooper Cameron Corp. (a) ......................... 317,000 15,437,900 Core Laboratories NV (a) ......................... 100 2,300 FMC Technologies, Inc. (a) ....................... 226,600 6,526,080 Global Industries Ltd. (a) ....................... 1,355,189 7,751,681 GlobalSantaFe Corp. .............................. 651,750 17,271,375 Gulf Island Fabrication, Inc. .................... 168,300 3,640,329 Helmerich & Payne, Inc. .......................... 169,800 4,440,270 Hydril Co. (a) ................................... 239,600 7,547,400 Input/Output, Inc. (a) ........................... 1,239,000 10,271,310 Matrix Service Co. (a) ........................... 232,600 2,128,290 See accompanying notes which are an integral part of the financial statements. - -------------------------------------------------------------------------------- Mid Cap Portfolio 6 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Common Stocks - continued - -------------------------------------------------------------------------------- Shares Value (Note 1) ---------- -------------- ENERGY - continued Energy Equipment & Services - continued Nabors Industries Ltd. (a) ....................... 480,300 $ 21,719,166 National-Oilwell, Inc. (a) ....................... 235,300 7,409,597 Noble Corp. (a) .................................. 258,200 9,783,198 NS Group, Inc. (a) ............................... 100 1,644 Oceaneering International, Inc. (a) .............. 334,986 11,473,271 Parker Drilling Co. (a) .......................... 1,344,400 5,135,608 Pason Systems, Inc. .............................. 626,100 14,550,641 Pioneer Drilling Co. (a) ......................... 718,200 5,515,776 Precision Drilling Corp. (a) ..................... 115,900 5,537,377 Pride International, Inc. (a) .................... 519,500 8,888,645 Rowan Companies, Inc. (a) ........................ 549,900 13,379,067 Smith International, Inc. (a) .................... 233,890 13,041,706 Tidewater, Inc. .................................. 100 2,980 Transocean, Inc. (a) ............................. 272,800 7,894,832 Trico Marine Services, Inc. (a) .................. 686,600 308,970 Unit Corp. (a) ................................... 188,700 5,934,615 Varco International, Inc. (a) .................... 1,084,548 23,740,745 Weatherford International Ltd. (a) ............... 118,100 5,312,138 ------------ 272,743,523 ------------ Oil & Gas - 6.4% Apache Corp. ..................................... 100 4,355 Burlington Resources, Inc. ....................... 219,200 7,930,656 Caltex Australia Ltd. ............................ 1,004,943 6,483,197 China Petroleum & Chemical Corp. sponsored ADR ... 100 3,695 Comstock Resources, Inc. (a) ..................... 454,200 8,838,732 Enbridge Energy Partners LP ...................... 45,800 2,120,540 Golar LNG Ltd. (a) ............................... 312,000 4,818,289 Golar LNG Ltd. (Nasdaq) (a) ...................... 70 1,097 JKX Oil & Gas .................................... 91 202 KFX, Inc. (a) .................................... 65,600 499,872 Niko Resources Ltd. .............................. 138,000 3,993,403 Noble Energy, Inc. ............................... 214,700 10,949,700 OAO Gazprom sponsored ADR ........................ 100 2,870 Petro-Canada ..................................... 100 4,322 PetroChina Co. Ltd. sponsored ADR ................ 100 4,630 PetroKazakhstan, Inc. Class A .................... 1,292,100 35,094,672 Petroleo Brasileiro SA Petrobras sponsored: ADR ........................................... 100 2,807 ADR (non-vtg.) ................................ 100 2,520 Pioneer Natural Resources Co. .................... 309,500 10,857,260 Plains Exploration & Production Co. (a) .......... 510,438 9,366,537 Pogo Producing Co. ............................... 120,500 5,952,700 Premcor, Inc. (a) ................................ 304,600 11,422,500 Southwestern Energy Co. (a) ...................... 1,058,900 30,358,663 Suncor Energy, Inc. .............................. 100 2,550 Surgutneftegaz JSC sponsored ADR ................. 100 3,270 Talisman Energy, Inc. ............................ 457,200 9,974,151 Tesoro Petroleum Corp. (a) ....................... 436,500 12,047,400 Valero Energy Corp. .............................. 252,000 18,587,520 Vintage Petroleum, Inc. .......................... 70,700 $ 1,199,779 World Fuel Services Corp. ........................ 23,900 1,077,412 XTO Energy, Inc. ................................. 125 3,724 YUKOS Corp. sponsored ADR ........................ 100 3,180 ------------ 191,612,205 ------------ TOTAL ENERGY .................................. 464,355,728 ------------ FINANCIALS - 7.0% Capital Markets - 0.2% A.G. Edwards, Inc. ............................... 100 3,403 BlackRock, Inc. Class A .......................... 100 6,383 Charles Schwab Corp. ............................. 100 961 E*TRADE Financial Corp. (a) ...................... 100 1,115 Eaton Vance Corp. (non-vtg.) ..................... 100 3,821 Federated Investors, Inc. Class B (non-vtg.) ..... 100 3,034 Franklin Resources, Inc. ......................... 100 5,008 International Assets Holding Corp. (a) ........... 100 987 Investment Technology Group, Inc. (a) ............ 100 1,279 Investors Financial Services Corp. ............... 100 4,358 Mitsubishi Securities Co. Ltd. ................... 556,000 7,408,885 Nuveen Investments, Inc. Class A ................. 100 2,680 T. Rowe Price Group, Inc. ........................ 200 10,080 ------------ 7,451,994 ------------ Commercial Banks - 3.4% Capitalia Spa .................................... 9,229,479 28,951,133 Banco Itau Holding Financeira SA sponsored ADR ... 8,000 373,120 Bank Austria Creditanstalt AG .................... 170,570 10,026,910 Bank of Baroda ................................... 659,249 2,151,611 Bank of Fukuoka Ltd. ............................. 1,587,000 9,548,015 Bank of India .................................... 6,108,556 6,211,528 Bank of Yokohama Ltd. ............................ 2,431,000 15,417,048 BOK Financial Corp. .............................. 103 4,045 Boston Private Financial Holdings,Inc. ........... 142,900 3,309,564 Bryn Mawr Bank Corp. ............................. 20 455 Cathay General Bancorp ........................... 10 667 Charter One Financial, Inc. ...................... 100 4,419 City National Corp. .............................. 100 6,570 Commerce Bancorp, Inc., New Jersey ............... 183,800 10,110,838 CVB Financial Corp. .............................. 110 2,396 East West Bancorp, Inc. .......................... 200 6,140 First Horizon National Corp. ..................... 100 4,547 Fulton Financial Corp. ........................... 231 4,653 Great Southern Bancorp, Inc. ..................... 200 5,850 Hancock Holding Co. .............................. 300 8,718 Harleysville National Corp., Pennsylvania ........ 125 3,200 HDFC Bank Ltd. sponsored ADR ..................... 100 2,686 Hiroshima Bank Ltd. .............................. 327,000 1,778,834 Independent Bank Corp., Massachusetts ............ 100 2,895 International Bancshares Corp. ................... 125 5,069 Irwin Financial Corp. ............................ 100 2,640 Kookmin Bank sponsored ADR (a) ................... 100 3,138 See accompanying notes which are an integral part of the financial statements. - -------------------------------------------------------------------------------- 7 Semiannual Report - -------------------------------------------------------------------------------- Fidelity Variable Insurance Products: Mid Cap Portfolio Investments (Unaudited) - continued - -------------------------------------------------------------------------------- Common Stocks - continued - -------------------------------------------------------------------------------- Shares Value (Note 1) ------- -------------- FINANCIALS - continued Commercial Banks - continued Lakeland Financial Corp. ............................ 100 $ 3,350 M&T Bank Corp. ...................................... 100 8,730 Marshall & llsley Corp. ............................. 100 3,909 Nara Bancorp, Inc. .................................. 434,780 7,447,781 National Commerce Financial Corp. ................... 100 3,250 North Fork Bancorp, Inc., New York .................. 100 3,805 OTP Bank Rt. ........................................ 100 2,047 Pacific Capital Bancorp ............................. 133 3,741 Popular, Inc. ....................................... 100 4,277 PrivateBancorp, Inc. ................................ 200 5,492 SouthTrust Corp. .................................... 100 3,881 State Bancorp, Inc., New York ....................... 105 2,565 State Bank of India ................................. 326,976 3,208,454 Sterling Bancshares, Inc. ........................... 10 142 Sumitomo Trust & Banking Co. Ltd. ................... 1,000 7,225 Synovus Financial Corp. ............................. 100 2,532 TCF Financial Corp. ................................. 100 5,805 Texas Regional Bancshares, Inc. Class A ............. 100 4,591 Tompkins Trustco, Inc. .............................. 100 4,750 UCBH Holdings, Inc. ................................. 100 3,952 UnionBanCal Corp. ................................... 100 5,640 Valley National Bancorp ............................. 105 2,654 West Coast Bancorp, Oregon .......................... 100 2,144 Westcorp ............................................ 100 4,545 Wintrust Financial Corp. ............................ 42,200 2,131,522 Zions Bancorp ....................................... 100 6,145 ------------ 100,829,618 ------------ Consumer Finance - 0.0% American Express Co. ................................ 100 5,138 Capital One Financial Corp. ......................... 100 6,838 First Cash Financial Services, Inc.(a) .............. 150 3,192 Student Loan Corp. .................................. 100 13,650 ------------ 28,818 ------------ Diversified Financial Services - 0.1% Deutsche Boerse AG .................................. 100 5,094 eSpeed, Inc. Class A (a) ............................ 100 1,765 Moody's Corp. ....................................... 58,600 3,789,076 Power Financial Corp. ............................... 100 4,112 Principal Financial Group, Inc. ..................... 100 3,478 TSX Group, Inc. ..................................... 100 3,568 ------------ 3,807,093 ------------ Insurance - 2.6% ACE Ltd. ............................................ 100 4,228 AFLAC, Inc. ......................................... 2,800 114,268 Arthur J. Gallagher & Co. ........................... 100 3,045 Assurant, Inc. ...................................... 232,000 6,120,160 Brown & Brown, Inc. ................................. 38,000 1,637,800 Erie Indemnity Co. Class A .......................... 100 4,678 Genworth Financial, Inc. Class A .................... 100 2,295 Great-West Lifeco, Inc. ............................. 100 3,613 Hilb Rogal & Hobbs Co. .............................. 200 $ 7,136 Horace Mann Educators Corp. ......................... 100 1,748 MBIA, Inc. .......................................... 22,700 1,296,624 Mercury General Corp. ............................... 34,500 1,712,925 MetLife, Inc. ....................................... 100 3,585 Ohio Casualty Corp. (a) ............................. 281,300 5,662,569 Old Republic International Corp. .................... 150 3,558 PartnerRe Ltd. ...................................... 100 5,673 Progressive Corp. ................................... 67,100 5,723,630 Protective Life Corp. ............................... 100 3,867 Reinsurance Group of America, Inc. .................. 456,400 18,552,660 Scottish Re Group Ltd. .............................. 8,100 188,325 StanCorp Financial Group, Inc. ...................... 84,300 5,648,100 Triad Guaranty, Inc. (a) ............................ 100 5,820 UICI (a) ............................................ 33,400 795,254 UnumProvident Corp. ................................. 100 1,590 WR. Berkley Corp. ................................... 706,275 30,334,511 Zenith National Insurance Corp. ..................... 300 14,580 ------------ 77,852,242 ------------ Real Estate - 0.4% CBL & Associates Properties, Inc. ................... 43,400 2,387,000 Corporate Office Properties Trust (SBI) ............. 100 2,485 Equity Residential (SBI) ............................ 100 2,973 Kimco Realty Corp. .................................. 100 4,550 Pan Pacific Retail Properties, Inc. ................. 76,600 3,869,832 Plum Creek Timber Co., Inc. ......................... 132,400 4,313,592 ------------ 10,580,432 ------------ Thrifts & Mortgage Finance - 0.3% Doral Financial Corp. ............................... 146,600 5,057,700 Farmer Mac Class C (non-vtg.) (a) ................... 100 2,393 Golden West Financial Corp., Delaware ............... 30,770 3,272,390 MGIC Investment Corp. ............................... 100 7,586 NetBank, Inc. ....................................... 76,900 840,517 New York Community Bancorp, Inc. .................... 133 2,611 R&G Financial Corp. Class B ......................... 150 4,959 Radian Group, Inc. .................................. 100 4,790 Sterling Financial Corp., Washington (a) ............ 110 3,506 W Holding Co., Inc. ................................. 153 2,627 Washington Federal, Inc. ............................ 110 2,640 ------------ 9,201,719 ------------ TOTAL FINANCIALS ................................. 209,751,916 ------------ HEALTH CARE - 19.1% Biotechnology - 8.4% Actelion Ltd. (Reg.) (a) ............................ 100 11,526 Affymetrix, Inc. (a) ................................ 157,100 5,141,883 Alnylam Pharmaceuticals, Inc. ....................... 100 756 Bachem Holding AG (B Shares) ........................ 100 5,731 BioSource International, Inc. (a) ................... 100 706 Caliper Life Sciences, Inc. (a) ..................... 100 465 Celgene Corp. (a) ................................... 100 5,726 Cell Genesys, Inc. (a) .............................. 100 1,039 See accompanying notes which are an Integral part of the financial statements. - -------------------------------------------------------------------------------- Mid Cap Portfolio 8 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Common Stocks - continued - -------------------------------------------------------------------------------- Shares Value (Note 1) ---------- -------------- HEALTH CARE - continued Biotechnology - continued Celltech Group PLC sponsored ADR (a) ............. 100 $ 1,993 Charles River Laboratories International, Inc. (a) ...................................... 1,215,400 59,396,598 Ciphergen Biosystems, Inc. (a) ................... 100 732 Connetics Corp. (a) .............................. 100 2,020 CSL Ltd. ......................................... 19,303 300,868 CytRx Corp. (a) .................................. 100 112 Dendreon Corp. (a) ............................... 146,900 1,799,525 Digene Corp. (a) ................................. 100 3,653 Enzon Pharmaceuticals, Inc. (a) .................. 100 1,276 Exact Sciences Corp. (a) ......................... 100 615 Gen-Probe, Inc. (a) .............................. 200 9,464 Genencor International, Inc. (a) ................. 100 1,637 Genentech, Inc. (a) .............................. 32,400 1,820,880 Gilead Sciences, Inc. (a) ........................ 100 6,700 Global Bio-Chem Technology Group Co. Ltd. ........ 15,460,000 11,198,877 Global Bio-Chem Technology Group Co. Ltd. warrants 5/31/07 (a) .......................... 1,932,500 126,359 Harvard Bioscience, Inc. (a)(c) .................. 3,017,047 13,516,371 IDEXX Laboratories, Inc. (a) ..................... 100 6,294 Ilex Oncology, Inc. (a) .......................... 100 2,499 ImmunoGen, Inc. (a) .............................. 132,000 806,520 Invitrogen Corp. (a) ............................. 1,211,100 87,187,089 Kosan Biosciences, Inc. (a) ...................... 100 790 Lexicon Genetics, Inc. (a) ....................... 100 784 Luminex Corp. (a) ................................ 100 1,006 Martek Biosciences (a) ........................... 55,900 3,139,903 Medarex, Inc. (a) ................................ 100 729 Medlmmune, Inc. (a) .............................. 100 2,340 Myriad Genetics, Inc. (a) ........................ 100 1,492 Nabi Biopharmaceuticals (a) ...................... 1,900 27,018 Neogen Corp. (a) ................................. 47,063 810,006 ONYX Pharmaceuticals, Inc. (a) ................... 100 4,236 PRAECIS Pharmaceuticals, Inc. (a) ................ 100 380 QIAGEN NV(a) ..................................... 3,944,300 47,765,473 Renovis, Inc. .................................... 100 916 Seattle Genetics, Inc. (a) ....................... 81,000 569,430 Serologicals Corp. (a) ........................... 84,200 1,683,158 Sirna Therapeutics, Inc. (a) ..................... 100 294 Strategic Diagnostics, Inc. (a) .................. 626,000 2,629,200 Tanox, Inc. (a) .................................. 100 1,907 Techne Corp. (a) ................................. 265,600 11,540,320 Trimeris, Inc. (a) ............................... 100 1,443 United Therapeutics Corp. (a) .................... 100 2,565 ------------ 249,541,304 ------------ Health Care Equipment & Supplies - 1.4% Abaxis, Inc. (a) ................................. 100 1,898 Advanced Medical Optics, Inc. (a) ................ 100 4,257 Advanced Neuromodulation Systems, Inc. (a) ....... 150 4,920 Alcon, Inc. ...................................... 100 $ 7,865 Align Technology, Inc. (a) ....................... 100 1,900 Apogent Technologies, Inc. (a) ................... 100 3,200 Arthrocare Corp. (a) ............................. 100 2,908 Becton, Dickinson & Co. .......................... 100 5,180 Biacore International AB sponsored ADR ........... 100 2,263 Bio-Rad Laboratories, Inc. Class A (a) ........... 100 5,886 Biomet, Inc. ..................................... 100 4,444 Biosite, Inc. (a) ................................ 100 4,492 Bruker BioSciences Corp. (a) ..................... 163 794 C.R. Bard, Inc. .................................. 200 11,330 Cardiodynamics International Corp. (a) ........... 100 505 Cholestech Corp. (a) ............................. 291,900 2,378,985 Chromavision Medical Systems, Inc. (a) ........... 100 186 Closure Medical Corp. (a) ........................ 100 2,511 CNS., Inc. ....................................... 100 1,003 Cooper Companies, Inc. ........................... 100 6,317 CTI Molecular Imaging, Inc. (a) .................. 100 1,418 Cyberonics, Inc. (a) ............................. 100 3,336 Cytyc Corp. (a) .................................. 100 2,537 DENTSPLY International, Inc. ..................... 100 5,210 Diagnostic Products Corp. ........................ 100 4,394 Edwards Lifesciences Corp. (a) ................... 318,400 11,096,240 Epix Medical, Inc. (a) ........................... 228,600 4,823,460 Guidant Corp. .................................... 3,800 212,344 Illumina, Inc. (a) ............................... 200 1,270 INAMED Corp. (a) ................................. 150 9,428 Integra LifeSciences Holdings Corp. (a) .......... 98,400 3,470,568 Kensey Nash Corp. (a) ............................ 100 3,450 Kinetic Concepts, Inc. ........................... 100 4,990 Matthews International Corp. Class A ............. 100 3,294 Merit Medical Systems, Inc. (a) .................. 133 2,124 Millipore Corp. (a) .............................. 154,300 8,697,891 Mine Safely Appliances Co. ....................... 300 10,110 Molecular Devices Corp. (a) ...................... 100 1,778 Nobel Biocare Holding AG (Switzerland) ........... 100 15,688 Nutraceutical International Corp. (a) ............ 100 2,131 Ocular Sciences, Inc. (a) ........................ 54,400 2,067,200 Orthologic Corp. (a) ............................. 100,600 872,202 Osteotech, Inc. (a) .............................. 100 649 PolyMedica Corp. ................................. 200 6,208 Possis Medical, Inc. (a) ......................... 148,300 5,064,445 Schick Technologies, Inc. (a) .................... 100 1,345 Sola International, Inc. (a) ..................... 191,000 3,290,930 Sonic Innovations, Inc. (a) ...................... 164,700 935,496 SonoSight, Inc. (a) .............................. 100 2,391 St. Jude Medical, Inc. (a) ....................... 100 7,565 SurModics, Inc. (a) .............................. 100 2,464 Synovis Life Technologies, Inc. (a) .............. 100 1,075 Synthes, Inc. .................................... 1,000 114,255 Tecan Group AG ................................... 100 4,282 Thoratec Corp. (a) ............................... 100 1,073 TriPath Imaging, Inc. (a) ........................ 100 941 Varian Medical Systems, Inc. (a) ................. 100 7,935 See accompanying notes which are an Integral part of the financial statements. - -------------------------------------------------------------------------------- 9 Semiannual Report - -------------------------------------------------------------------------------- Fidelity Variable Insurance Products: Mid Cap Portfolio Investments (Unaudited) - continued - -------------------------------------------------------------------------------- Common Stocks - continued - -------------------------------------------------------------------------------- Shares Value (Note 1) --------- -------------- HEALTH CARE - continued Health Care Equipment & Supplies - continued Ventana Medical Systems, Inc. (a) ................. 100 $ 4,753 VSM MedTech Ltd. (a) .............................. 100 222 Wilson Greatbatch Technologies, Inc. (a) .......... 100 2,795 Wright Medical Group, Inc. (a) .................... 100 3,560 Young Innovations, Inc. ........................... 100 2,540 Zimmer Holdings, Inc. (a) ......................... 100 8,820 ------------ 43,225,651 ------------ Health Care Providers & Services - 8.6% Accredo Health, Inc. (a) .......................... 100 3,895 Advisory Board Co. (a) ............................ 100 3,560 Aetna, Inc. ....................................... 240,900 20,476,500 American Healthways, Inc. (a) ..................... 147,600 3,929,112 AMERIGROUP Corp. (a) .............................. 49,400 2,430,480 AmSurg Corp. (a) .................................. 150 3,770 Andrx Corp. (a) ................................... 100 2,793 Anthem, Inc. (a) .................................. 100 8,956 Caremark Rx, Inc. (a) ............................. 1,049,006 34,554,258 Centene Corp. (a) ................................. 30,000 1,156,500 Cerner Corp. (a) 388,700 17,328,246 CIGNA Corp. ....................................... 100 6,881 Computer Programs & Systems, Inc. ................. 100 2,038 Covance, Inc. (a) ................................. 626,500 24,170,370 Coventry Health Care, Inc. (a) .................... 269,350 13,171,215 Dendrite International, Inc. (a) .................. 100 1,858 Dynacq Healthcare, Inc. (a) ....................... 100 590 Eclipsys Corp. (a) ................................ 100 1,526 eResearchTechnology, Inc. (a) ..................... 73,200 2,049,600 Express Scripts, Inc. (a) ......................... 100 7,923 First Health Group Corp. (a) ...................... 9,800 152,978 Health Management Associates, Inc. Class A ........ 254,100 5,696,922 HealthExtras, Inc. (a) ............................ 131,900 2,185,583 ICON PLC sponsored ADR (a) ........................ 380,326 16,730,541 IDX Systems Corp. (a) ............................. 100 3,189 IMS Health, Inc. .................................. 1,757,800 41,202,832 Inveresk Research Group, Inc. (a) ................. 639,800 19,731,432 iSoft Group PLC ................................... 602,200 4,744,133 Laboratory Corp. of America Holdings (a) .......... 100 3,970 Lifeline Systems, Inc. (a) ........................ 200 4,732 Lincare Holdings, Inc. (a) ........................ 100 3,286 McKesson Corp. .................................... 3,500 120,155 MIM Corp. ......................................... 100 870 Molina Healthcare, Inc. ........................... 132,200 5,047,396 NDCHealth Corp. ................................... 100 2,320 Odyssey Healthcare, Inc. (a) ...................... 200 3,764 Omnicare, Inc. .................................... 100 4,281 Orthodontic Centers of America, Inc. (a) .......... 100 819 Oxford Health Plans, Inc. ......................... 100 5,504 PAREXEL International Corp. (a) ................... 267,500 5,296,500 Patterson Dental Co. (a) .......................... 100 7,649 Pediatrix Medical Group, Inc. (a) ................. 71,100 $ 4,966,335 Per-Se Technologies, Inc. (a) ..................... 100 1,454 Pharmaceutical Product Development, Inc. (a) ...... 451,700 14,350,509 ProxyMed, Inc. (a) ................................ 181,142 3,054,054 Quest Diagnostics, Inc. ........................... 200 16,990 Renal Care Group, Inc. (a) ........................ 150 4,970 ResCare, Inc. (a) ................................. 1,188,803 15,097,798 Tripos, Inc. (a) .................................. 100 500 TriZetto Group, Inc. (a) .......................... 100 670 Vital Images, Inc. (a) ............................ 100 1,240 WebMD Corp. (a) ................................... 100 932 Wellcare Group, Inc. .............................. 1,900 32,300 WellPoint Health Networks, Inc. (a) ............... 100 11,201 ------------ 257,797,880 ------------ Pharmaceuticals - 0.7% Able Laboratories, Inc. (a) ....................... 100 2,056 Allergan, Inc. .................................... 100 8,952 Alpharma, Inc. Class A ............................ 100 2,048 Altana AG sponsored ADR ........................... 100 6,038 American Pharmaceutical Partners, Inc. (a) ........ 150 4,557 Bentley Pharmaceuticals, Inc. (a) ................. 100 1,374 Caraco Pharmaceutical Laboratories Ltd. (a) ....... 100 964 Cipla Ltd. ........................................ 50,500 232,866 Dr. Reddy's Laboratories Ltd. ADR ................. 248,100 4,311,978 Endo Pharmaceuticals Holdings, Inc. (a) ........... 200 4,690 Flamel Technologies SA sponsored ADR (a) .......... 100 2,463 Forest Laboratories, Inc. (a) ..................... 200 11,326 Guilford Pharmaceuticals, Inc. (a) ................ 100 475 Hi-Tech Pharmacal Co., Inc. (a) ................... 100 1,634 Impax Laboratories, Inc. (a) ...................... 100 1,938 King Pharmaceuticals, Inc. (a) .................... 100 1,145 KV Pharmaceutical Co. Class A (a) ................. 150 3,464 Merck KGaA ........................................ 117,343 7,084,020 Nektar Therapeutics (a) ........................... 100 1,996 Novo Nordisk AS Series B .......................... 100 5,161 Pure World, Inc. (a) .............................. 100 199 Ranbaxy Laboratories Ltd. sponsored GDR ........... 270,300 5,346,534 Roche Holding AG (participation certificate) ...... 41,588 4,127,511 Salix Pharmaceuticals Ltd. (a) .................... 100 3,295 Stada Arzneimittel AG ............................. 24 1,003 SuperGen, Inc. (a) ................................ 100 645 Warner Chilcott PLC ADR ........................... 100 5,019 Watson Pharmaceuticals, Inc. (a) .................. 100 2,690 ------------ 21,176,041 ------------ TOTAL HEALTH CARE .............................. 571,740,876 ------------ See accompanying notes which are an integral part of the financial statements. - -------------------------------------------------------------------------------- Mid Cap Portfolio 10 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Common Stocks - continued - -------------------------------------------------------------------------------- Shares Value (Note 1) --------- -------------- INDUSTRIALS - 8.6% Aerospace & Defense - 1.3% Alliant Techsystems, Inc. (a) ....................... 100 $ 6,334 Applied Signal Technology, Inc. ..................... 100 3,505 Cubic Corp. ......................................... 100 2,093 DRS Technologies, Inc. (a) .......................... 204,900 6,536,310 Embraer - Empresa Brasileira de Aeronautica SA sponsored ADR .................................... 100 2,859 Engineered Support Systems, Inc. .................... 225 13,165 General Dynamics Corp. .............................. 100 9,930 Herley Industries, Inc. (a) ......................... 100 1,954 Invision Technologies, Inc. (a) ..................... 100 4,990 KVH Industries, Inc. (a) ............................ 100 1,273 L-3 Communications Holdings, Inc. ................... 478,800 31,983,840 Rockwell Collins, Inc. .............................. 100 3,332 VT Group PLC ........................................ 100 481 ----------- 38,570,066 ----------- Air Freight & Logistics - 0.2% Business Post Group PLC ............................. 100 893 C.H. Robinson Worldwide, Inc. ....................... 65,850 3,018,564 CNF, Inc. ........................................... 100 4,156 Expeditors International of Washington, Inc. ........ 54,900 2,712,609 FedEx Corp. ......................................... 100 8,169 Forward Air Corp. (a) ............................... 100 3,740 UTI Worldwide, Inc. ................................. 100 5,269 ----------- 5,753,400 ----------- Airlines - 0.0% Southwest Airlines Co. .............................. 100 1,677 ----------- Building Products - 0.0% American Woodmark Corp. ............................. 100 5,985 Quixote Corp. ....................................... 100 2,005 Simpson Manufacturing Co. Ltd. ...................... 100 5,612 Trex Co., Inc. (a) .................................. 100 3,775 Wienerberger AG ..................................... 100 3,489 ----------- 20,866 ----------- Commercial Services & Supplies - 3.3% Administaff, Inc. (a) ............................... 100 1,660 Apollo Group, Inc.: - University of Phoenix Online (a) ............... 100 8,759 Class A (a) ...................................... 200 17,658 Avery Dennison Corp. ................................ 100 6,401 Benesse Corp. ....................................... 100 3,329 Bennett Environmental, Inc. (a) ..................... 370,800 4,656,196 Bright Horizons Family Solutions, Inc. (a)(c) ....... 685,300 36,738,933 Bunzl PLC ........................................... 100 836 Career Education Corp. (a) .......................... 200 9,112 ChoicePoint, Inc. (a) ............................... 350,500 16,003,830 Cintas Corp. ........................................ 100 4,767 Coinstar, Inc. (a) .................................. 100 2,197 Concorde Career Colleges, Inc. (a) .................. 100 1,749 Corinthian Colleges, Inc. (a) ....................... 200 $ 4,948 Corporate Executive Board Co. ....................... 100 5,779 CoStar Group, Inc. (a) .............................. 100 4,593 Danka Business Systems PLC sponsored ADR (a) ........ 17,000 76,840 DeVry, Inc. (a) ..................................... 3,900 106,938 Education Management Corp. (a) ...................... 31,200 1,025,232 FTI Consulting, Inc. (a) ........................... 150 2,475 Fullcast Co. Ltd. ................................... 5,184 14,461,660 Gevity HR, Inc. ..................................... 100 2,619 GFK AG .............................................. 100 3,500 H&R Block, Inc. ..................................... 100 4,768 Herman Miller, Inc. ................................. 100 2,894 HNI Corp ............................................ 100 4,233 Intertek Group PLC .................................. 100 1,041 Ionics, Inc. (a) .................................... 359,900 10,167,175 ITE Group PLC ....................................... 100 119 ITT Educational Services, Inc. (a) .................. 100 3,802 Labor Ready, Inc. (a) ............................... 100 1,550 Manpower, Inc. ...................................... 38 1,929 National Research Corp. (a) ......................... 100 1,700 On Assignment, Inc. (a) ............................. 124,300 733,370 Princeton Review, Inc. (a) .......................... 578,377 4,378,314 Resources Connection, Inc. (a) ...................... 100 3,911 Ritchie Brothers Auctioneers, Inc. .................. 200 5,822 Robert Half International, Inc. ..................... 100 2,977 Stericycle, Inc. (a) ................................ 100 5,174 Strayer Education, Inc. ............................. 100 11,157 Tetra Tech, Inc. (a) ................................ 447,374 7,301,144 Trojan Technologies Corp. (a) ....................... 100 571 Universal Technical Institute, Inc. ................. 42,900 1,714,713 Vedior NV (Certificaten Van Aandelen) ............... 101 1,476 West Corp. (a) ...................................... 100 2,615 ----------- 97,500,466 ----------- Construction & Engineering - 1.3% Arcadis NV .......................................... 9,700 133,207 Chicago Bridge & Iron Co. NV ........................ 294,400 8,199,040 Dycom Industries, Inc. (a) .......................... 218,400 6,115,200 EMCOR Group, Inc. (a) ............................... 100 4,398 Fluor Corp. ......................................... 459,000 21,880,530 Granite Construction, Inc. .......................... 100 1,823 Jacobs Engineering Group, Inc. (a) .................. 55,000 2,165,900 Perini Corp. (a) .................................... 100 1,067 ----------- 38,501,165 ----------- Electrical Equipment - 0.3% AstroPower, Inc. (a) ................................ 100 2 BYD Co. Ltd. (H Shares) ............................. 184,500 545,235 Fujikura Ltd. ....................................... 1,000 5,710 II-VI, Inc. (a) ..................................... 100 3,066 Johnson Electric Holdings Ltd. ...................... 500 510 REPower Systems AG .................................. 100 2,229 See accompanying notes which are an integral part of the financial statements. - -------------------------------------------------------------------------------- 11 Semiannual Report - -------------------------------------------------------------------------------- Fidelity Variable Insurance Products: Mid Cap Portfolio Investments (Unaudited) - continued - -------------------------------------------------------------------------------- Common Stocks - continued - -------------------------------------------------------------------------------- Shares Value (Note 1) --------- -------------- INDUSTRIALS - continued Electrical Equipment - continued Rockwell Automation, Inc. ......................... 259,700 $ 9,741,347 Roper Industries, Inc. ............................ 100 5,690 ------------ 10,303,789 ------------ Industrial Conglomerates - 0.0% Teleflex, Inc. .................................... 18,000 902,700 ------------ Machinery - 2.0% AGCO Corp. (a) .................................... 1,402,200 28,562,814 Cascade Corp. ..................................... 200 6,250 Ceradyne, Inc. (a) ................................ 150 5,366 CNH Global NV ..................................... 100 2,064 CUNO, Inc. (a) .................................... 99,900 5,329,665 Donaldson Co., Inc. ............................... 200 5,860 ESCO Technologies, Inc. (a) ....................... 100 5,336 Graco, Inc. ....................................... 668,700 20,763,135 Husky Injection Molding Systems Ltd. (a) 100 401 Illinois Tool Works, Inc. ......................... 100 9,589 Joy Global, Inc. .................................. 100 2,994 Middleby Corp. .................................... 100 5,462 PACCAR, Inc. ...................................... 150 8,699 Pentair, Inc. ..................................... 200 6,728 Reliance Steel & Aluminum Co. ..................... 54,300 2,189,376 Toshiba Machine Co. Ltd. .......................... 1,000 4,389 Trinity Industries, Inc. .......................... 100 3,179 Wabash National Corp. (a) ......................... 100 2,755 Zenon Environmental, Inc. (a) ..................... 197,300 3,401,979 ------------ 60,316,041 ------------ Marine - 0.1% Alexander & Baldwin, Inc. ......................... 48,700 1,629,015 ------------ Road & Rail - 0.1% Canadian National Railway Co. ..................... 150 6,495 Guangshen Railway Co. Ltd. sponsored ADR .......... 100 1,422 Heartland Express, Inc. ........................... 100 2,736 Knight Transportation, Inc. (a) ................... 100 2,873 Landstar System, Inc. (a) ......................... 37,600 1,987,912 Old Dominion Freight Lines, Inc. (a) .............. 150 4,422 ------------ 2,005,860 ------------ Trading Companies & Distributors - 0.0% Fastenal Co. ...................................... 200 11,366 Richelieu Hardware Ltd. ........................... 100 1,421 ------------ 12,787 ------------ Transportation Infrastructure - 0.0% Sea Containers Ltd. Class B ....................... 7,900 139,672 ------------ TOTAL INDUSTRIALS .............................. 255,657,504 ------------ INFORMATION TECHNOLOGY - 7.8% Communications Equipment - 0.4% 3Com Corp. (a) .................................... 100 625 Arris Group, Inc. (a) ............................. 100 594 Avaya, Inc. (a) ................................... 43,400 $ 685,286 Avocent Corp. (a) ................................. 100 3,674 Black Box Corp. ................................... 100 4,726 Comtech Telecommunications Corp. (a) .............. 100 2,256 ECtel Ltd. (a) .................................... 100 289 Emulex Corp. (a) .................................. 100 1,431 F5 Networks, Inc. (a) ............................. 65,400 1,731,792 Harris Corp. ...................................... 100 5,075 InterDigital Communication Corp. (a) .............. 100 1,881 Juniper Networks, Inc. (a) ........................ 281 6,899 Loral Space & Communications Ltd. ................. 67,810 9,832 NETGEAR, Inc. ..................................... 283,600 3,045,864 Option NV (a) ..................................... 90 2,289 Packeteer, Inc. (a) ............................... 10 162 Plantronics, Inc. (a) ............................. 100 4,210 Polycom, Inc. (a) ................................. 200 4,482 QLogic Corp. (a) .................................. 81 2,154 QUALCOMM, Inc. .................................... 100 7,298 Research in Motion Ltd. (a) ....................... 110,600 7,565,972 Scientific-Atlanta, Inc. .......................... 100 3,450 SeaChange International, Inc. (a) ................. 100 1,688 SpectraLink Corp. ................................. 100 1,490 ViaSat, Inc. (a) .................................. 100 2,495 ------------ 13,095,914 ------------ Computers & Peripherals - 0.0% Applied Films Corp. (a) ........................... 100 2,902 Avid Technology, Inc. (a) ......................... 100 5,457 Compal Electronics, Inc. .......................... 1,000 1,087 Drexler Technology Corp. (a) ...................... 100 1,333 EMC Corp. (a) ..................................... 6,300 71,820 iCAD, Inc. (a) .................................... 100 370 Lexmark International, Inc. Class A (a) ........... 100 9,653 M-Systems Flash Disk Pioneers Ltd. (a) ............ 900 13,419 Moser-Baer India Ltd. ............................. 200 781 Network Appliance, Inc. (a) ....................... 100 2,153 Overland Storage, Inc. (a) ........................ 100 1,329 Psion PLC(a) ...................................... 100 113 SanDisk Corp. (a) ................................. 200 4,338 Stratasys, Inc. (a) ............................... 150 3,714 Synoptics, Inc. (a) ............................... 100 1,915 ------------ 120,384 ------------ Electronic Equipment & Instruments - 4.9% AU Optronics Corp. sponsored ADR .................. 17,850 291,669 Brightpoint, Inc. (a) ............................. 150 2,063 CDW Corp. ......................................... 90,892 5,795,274 CellStar Corp. (a) ................................ 100 736 Cognex Corp. ...................................... 100 3,848 Dionex Corp. (a) .................................. 100 5,517 Elec & Eltek International Co. Ltd. ............... 1,929,000 5,401,200 Excel Technology, Inc. (a) ........................ 100 3,325 Fargo Electronics, Inc. (a) ....................... 100 1,111 Flir Systems, Inc. (a) ............................ 136,745 7,507,301 Global Imaging Systems, Inc. (a) .................. 100 3,666 See accompanying notes which are an integral part of the financial statements. - -------------------------------------------------------------------------------- Mid Cap Portfolio 12 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Common Stocks - continued - -------------------------------------------------------------------------------- Shares Value (Note 1) --------- -------------- INFORMATION TECHNOLOGY - continued Electronic Equipment & Instruments - continued Hon Hai Precision Industries Co. Ltd. ............. 7,609,400 $ 28,334,078 l. D. Systems Inc. (a) ............................ 100 1,507 Identix, Inc. (a) ................................. 100 747 INFICON Holding AG (a) ............................ 100 8,724 Itron, Inc. (a) ................................... 100 2,294 Keyence Corp. ..................................... 19,700 4,559,561 Landauer, Inc. .................................... 100 4,466 Lexar Media, Inc. (a) ............................. 100 668 LoJack Corp. (a) .................................. 100 879 Metrologic Instruments, Inc. (a) .................. 200 3,988 Mettler-Toledo International, Inc. (a) ............ 186,700 9,174,438 MOCON, Inc. ....................................... 100 850 MTS Systems Corp. ................................. 100 2,345 Nam Tai Electronics, Inc. ......................... 30 646 National Instruments Corp. ........................ 150 4,598 ScanSource, Inc. (a) .............................. 100 5,942 Symbol Technologies, Inc. ......................... 2,608,600 38,450,764 Thermo Electron Corp. (a) ......................... 100 3,074 Trimble Navigation Ltd. (a) ....................... 150 4,169 Universal Display Corp. (a) ....................... 100 1,074 Varian, Inc. (a) .................................. 100 4,215 Viisage Technology, Inc. (a) ...................... 100 872 Waters Corp. (a) .................................. 978,720 46,763,242 Yageo Corp. sponsored GDR (a) ..................... 100 245 ------------ 146,349,096 ------------ Internet Software & Services - 0.4% Aquantive, Inc. (a) ............................... 190,200 1,879,176 Ariba, Inc. (a) ................................... 100 198 Asialnfo Holdings, Inc. (a) ....................... 100 528 Ask Jeeves, Inc. (a) .............................. 100 3,903 Autobytel, Inc. (a) ............................... 100 908 Blue Coat Systems, Inc. (a) ....................... 100 3,349 CNET Networks, Inc. (a) ........................... 100 1,107 Digital Impact, Inc. (a) .......................... 100 190 Digital Insight Corp. (a) ......................... 10 207 Digital River, Inc. (a) ........................... 100 3,263 DoubleClick, Inc. (a) ............................. 515,559 4,005,893 EarthLink, Inc. (a) ............................... 100 1,035 FindWhat.com (a) .................................. 100 2,314 FreeMarkets, Inc. (a) ............................. 100 652 Internet Commerce Corp. Class A (a) ............... 100 120 iPass, Inc. ....................................... 100 1,059 j2 Global Communications, Inc. (a) ................ 200 5,560 LookSmart Ltd. (a) ................................ 100 217 Neoforma, Inc. (a) ................................ 100 1,214 Netease.com, Inc. sponsored ADR (a) ............... 100 4,132 Netegrity, Inc. (a) ............................... 100 846 NetRatings, Inc. (a) .............................. 10 163 NIC, Inc. (a) ..................................... 10 72 Open Text Corp. (a) ............................... 100 3,201 PEC Solutions, Inc. (a) ........................... 100 1,193 Quovadx, Inc. (a) ................................. 10 $ 12 Raindance Communications, Inc. (a) ................ 10 21 RealNetworks, Inc. (a) ............................ 647,309 4,427,594 Retek, Inc. (a) ................................... 100 614 Sina Corp. (a) .................................... 100 3,299 Sohu.com, Inc. (a) ................................ 39,000 775,320 Supportsoft, Inc. (a) ............................. 10 87 United Online, Inc. (a) ........................... 150 2,642 ValueClick, Inc. (a) .............................. 100 1,198 VeriSign, Inc. (a) ................................ 100 1,990 WebEx Communications, Inc. (a) .................... 100 2,176 Websense, Inc. (a) ................................ 27,400 1,020,102 Yahoo!, Inc. (a) .................................. 200 7,266 ------------ 12,162,821 ------------ IT Services - 0.8% Affiliated Computer Services, Inc. Class A (a) .... 262,700 13,907,338 Alliance Data Systems Corp. (a) ................... 100 4,225 Anteon International Corp. (a) .................... 100 3,262 CACI International, Inc. Class A (a) .............. 300 12,132 CheckFree Corp. (a) ............................... 100 3,000 Cognizant Technology Solutions Corp. Class A (a) .................................... 600 15,246 DST Systems, Inc. (a) ............................. 150,800 7,251,972 First Data Corp. .................................. 36 1,603 Global Payments, Inc. ............................. 100 4,502 Hewitt Associates, Inc. Class A (a) ............... 100 2,750 iGate Corp. (a) ................................... 100 398 Indra Sistemas SA ................................. 90 1,150 Infocrossing, Inc. (a) ............................ 100 1,350 Infosys Technologies Ltd. sponsored ADR ........... 100 9,277 infoUSA, Inc. (a) ................................. 100 1,014 InteliData Technologies Corp. (a) ................. 100 66 Intrado, Inc. (a) ................................. 100 1,609 ManTech International Corp. Class A (a) ........... 141,100 2,648,447 Maximus, Inc. (a) ................................. 100 3,546 Paychex, Inc. ..................................... 100 3,388 Satyam Computer Services Ltd. ..................... 100 664 SRA International, Inc. Class A (a) ............... 200 8,464 StarTek, Inc. ..................................... 100 3,580 SunGard Data Systems, Inc. (a) .................... 200 5,200 Syntel, Inc. ...................................... 100 1,655 The BISYS Group, Inc. (a) ......................... 100 1,406 TietoEnator Oyj ................................... 100 3,043 Total System Services, Inc. ....................... 100 2,190 Tyler Technologies, Inc. (a) ...................... 100 946 ------------ 23,903,423 ------------ Office Electronics - 0.5% Neopost SA ........................................ 2,200 130,346 Zebra Technologies Corp. Class A (a) .............. 172,750 15,029,250 ------------ 15,159,596 ------------ Semiconductors & Semiconductor Equipment - 0.4% Agere Systems, Inc. Class A (a) ................... 100 230 See accompanying notes which are an integral part of the financial statements. - -------------------------------------------------------------------------------- 13 Semiannual Report - -------------------------------------------------------------------------------- Fidelity Variable Insurance Products: Mid Cap Portfolio Investments (Unaudited) - continued - -------------------------------------------------------------------------------- Common Stocks - continued - -------------------------------------------------------------------------------- Shares Value (Note 1) ------- -------------- INFORMATION TECHNOLOGY - continued Semiconductors & Semiconductor Equipment - continued Analog Devices, Inc. ................................ 100 $ 4,708 ARM Holdings PLC sponsored ADR ...................... 100 665 ASM Pacific Technology Ltd. ......................... 500 1,875 ATI Technologies, Inc. (a) .......................... 100 1,886 Broadcom Corp. Class A (a) .......................... 100 4,677 Cabot Microelectronics Corp. (a) .................... 100 3,061 Cree, Inc. (a) ...................................... 46,100 1,073,208 Hi/fn, Inc. (a) ..................................... 8 96 International Rectifier Corp. (a) ................... 77,600 3,214,192 Intersil Corp. Class A .............................. 57,000 1,234,620 KLA-Tencor Corp. (a) ................................ 100 4,938 Lam Research Corp. (a) .............................. 100 2,680 Linear Technology Corp. ............................. 100 3,947 Marvell Technology Group Ltd. (a) ................... 200 5,340 Micrel, Inc. (a) .................................... 100 1,215 Microchip Technology, Inc. .......................... 100 3,154 Novellus Systems, Inc. (a) .......................... 100 3,144 NVIDIA Corp. (a) .................................... 209,700 4,298,850 Omnivision Technologies, Inc. (a) ................... 400 6,380 Pixelworks, Inc. (a) ................................ 178,900 2,740,748 PLX Technology, Inc. (a) ............................ 100 1,726 Rambus, Inc. (a) .................................... 100 1,777 RF Micro Devices, Inc. (a) .......................... 100 750 Silicon Image, Inc. (a) ............................. 100 1,313 Standard Microsystems Corp. (a) ..................... 100 2,332 Tundra Semiconductor Corp. Ltd. (a) ................. 100 1,706 Zoran Corp. (a) ..................................... 100 1,835 ------------ 12,621,053 ------------ Software - 0.4% Activision, Inc. (a) ................................ 225 3,578 Adobe Systems, Inc. ................................. 100 4,650 Altiris, Inc. (a) ................................... 100 2,761 Ansys, Inc. (a) ..................................... 100 4,700 BEA Systems, Inc. (a) ............................... 100 822 Borland Software Corp. (a) .......................... 100 849 Bottomline Technologies, Inc. (a) ................... 11 116 Business Objects SA sponsored ADR (a) ............... 100 2,263 Cadence Design Systems, Inc. (a) .................... 100 1,463 Check Point Software Technologies Ltd. (a) .......... 100 2,699 Citrix Systems, Inc. (a) ............................ 100 2,036 Cognos, Inc. (a) .................................... 100 3,613 Concur Technologies, Inc. (a) ....................... 100 1,070 Creo, Inc. (a) ...................................... 100 877 Dassault Systemes SA sponsored ADR .................. 100 4,687 Digimarc Corp. (a) .................................. 100 1,335 Dwango Co. Ltd. ..................................... 1 34,499 Electronic Arts, Inc. (a) ........................... 100 5,455 EPIQ Systems, Inc. (a) .............................. 100 1,450 Evolving Systems, Inc. (a) .......................... 100 475 FactSet Research Systems, Inc. ...................... 100 4,727 FileNET Corp. (a) ................................... 100 $ 3,157 Hudson Soft Co. Ltd. ................................ 100 934 Hyperion Solutions Corp. (a) ........................ 100 4,372 Informatica Corp. (a) ............................... 100 763 Intuit, Inc. (a) .................................... 100 3,858 Kewill Systems PLC (a) .............................. 100 120 Kronos, Inc. (a) .................................... 100 6,180 Macrovision Corp. (a) ............................... 100 2,503 Magma Design Automation, Inc. (a) ................... 100 1,923 Manhattan Associates, Inc. (a) ...................... 100 3,088 Mercury Interactive Corp. (a) ....................... 100 4,983 Merge Technologies, Inc. (a) ........................ 100 1,463 MRO Software, Inc. (a) .............................. 100 1,361 NDS Group PLC sponsored ADR (a) ..................... 100 2,522 Network Associates, Inc. (a) ........................ 100 1,813 PeopleSoft, Inc. (a) ................................ 100 1,850 Plato Learning, Inc. (a) ............................ 94,100 932,531 Quality Systems, Inc. (a) ........................... 100 4,909 Quest Software, Inc. (a) ............................ 100 1,290 Red Hat, Inc. (a) ................................... 100 2,297 Renaissance Learning, Inc. .......................... 55,870 1,252,605 Roxio, Inc. (a) ..................................... 100 491 RSA Security, Inc. (a) .............................. 100 2,047 ScanSoft, Inc. (a) .................................. 100 495 SERENA Software, Inc. (a) ........................... 100 1,909 Symantec Corp. (a) .................................. 17,700 774,906 Synopsys, Inc. (a) .................................. 100 2,843 TALX Corp. .......................................... 83,200 2,032,576 Temenos Group AG (a) ................................ 100 916 THQ, Inc. (a) ....................................... 182,500 4,179,250 Trend Micro, Inc. sponsored ADR ..................... 100 4,497 Vastera, Inc. (a) ................................... 392,400 1,177,200 WatchGuard Technologies, Inc. (a) ................... 10 72 ------------ 10,495,849 ------------ TOTAL INFORMATION TECHNOLOGY ..................... 233,908,136 ------------ MATERIALS - 21.0% Chemicals - 1.2% American Vanguard Corp. ............................. 150 5,060 Asian Paints India Ltd. (a) ......................... 45,800 312,307 Balchem Corp. ....................................... 100 2,750 BOC Group PLC ....................................... 100 1,679 Cambrex Corp. ....................................... 100 2,523 Ecolab, Inc. ........................................ 500,300 15,859,510 Headwaters, Inc. (a) ................................ 100 2,593 IMC Global, Inc. .................................... 100 1,340 International Flavors & Fragrances, Inc. ............ 100 3,740 Minerals Technologies, Inc. ......................... 56,200 3,259,600 Nitto Denko Corp. ................................... 233,100 12,095,069 Novozymes AS Series B ............................... 18,800 849,946 Potash Corp. of Saskatchewan ........................ 100 9,626 Praxair, Inc. ....................................... 200 7,982 Quaker Chemical Corp. ............................... 100 2,762 See accompanying notes which are an integral part of the financial statements. - -------------------------------------------------------------------------------- Mid Cap Portfolio 14 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Common Stocks - continued - -------------------------------------------------------------------------------- Shares Value (Note 1) --------- -------------- MATERIALS - continued Chemicals - continued Sasa Dupont Sabanci Polyester Sanayi AS (a) ....... 1,000 $ 1 Sensient Technologies Corp. ....................... 100 2,148 Sigma Aldrich Corp. ............................... 100 5,961 Sinopec Beijing Yanhua Petrochemical Co. Ltd. sponsored ADR (a) .............................. 100 1,617 Sinopec Shanghai Petrochemical Co. Ltd.: (H Shares) ..................................... 2,000 667 sponsored ADR .................................. 134,900 4,477,331 Spartech Corp. .................................... 100 2,594 Terra Nitrogen Co. LP ............................. 100 1,200 Valspar Corp. ..................................... 100 5,039 ----------- 36,913,045 ----------- Construction Materials - 0.0% Anhui Conch Cement Co. Ltd. (H Shares) ............ 1,000,000 1,109,003 Cemex SA de CV sponsored ADR ...................... 104 3,026 Cheung Kong Infrastructure Holdings Ltd. .......... 1,000 2,410 Florida Rock Industries, Inc. ..................... 150 6,326 James Hardie Industries NV ........................ 100 419 Vulcan Materials Co. .............................. 100 4,755 ----------- 1,125,939 ----------- Containers & Packaging - 0.4% Aptargroup, Inc. .................................. 100 4,369 Essel Propack Ltd. ................................ 13,700 56,022 IPL, Inc. Class A ................................. 100 693 Packaging Corp. of America ........................ 443,600 10,602,040 ----------- 10,663,124 ----------- Metals & Mining - 19.0% Agnico-Eagle Mines Ltd. ........................... 1,180,230 15,722,833 Agnico-Eagle Mines Ltd. warrants 11/14/07 (a) ..... 23,350 65,380 AK Steel Holding Corp. (a) ........................ 380,000 2,002,600 Alumina Ltd. ...................................... 1,236,600 4,563,618 Alumina Ltd. sponsored ADR ........................ 131,100 1,959,945 Apex Silver Mines Ltd. (a) ........................ 100 1,705 Arch Coal, Inc. ................................... 340,200 12,447,918 AUR Resources, Inc. (a) ........................... 100 450 Barrick Gold Corp. ................................ 100 1,993 BHP Billiton Ltd. sponsored ADR ................... 100 1,752 BHP Steel Ltd. .................................... 1,037,200 4,886,169 Brush Engineered Materials, Inc. (a) .............. 100 1,890 Commercial Metals Co. ............................. 83,600 2,712,820 Compania de Minas Buenaventura SA sponsored ADR ... 1,405,000 31,050,500 CONSOL Energy, Inc. ............................... 681,900 24,548,400 Dofasco, Inc. ..................................... 100 2,969 Falconbridge Ltd. ................................. 352,900 8,664,424 Freeport-McMoRan Copper & Gold, Inc. Class B ...... 1,300,600 43,114,890 Glamis Gold Ltd. (a) .............................. 146,800 $ 2,580,748 Goldcorp, Inc. .................................... 50,000 583,627 Golden Star Resources Ltd. (a) .................... 250,000 1,167,629 Harmony Gold Mining Co. Ltd. ...................... 1,049,100 11,126,172 High River Gold Mines Ltd. (a) .................... 1,989,600 2,431,253 IMCO Recycling, Inc. (a) .......................... 100 1,322 Inco Ltd. (a) ..................................... 100 3,449 Inmet Mining Corp. (a) ............................ 658,400 9,131,419 International Steel Group, Inc. ................... 2,500 74,375 IPSCO, Inc. ....................................... 1,165,900 26,291,530 Kinross Gold Corp. (a) ............................ 3,984,866 22,166,359 Massey Energy Co. ................................. 562,800 15,876,588 Meridian Gold, Inc. (a) ........................... 100 1,294 Newmont Mining Corp. .............................. 2,665,980 103,333,371 Nippon Steel Corp. ................................ 3,401,000 7,242,258 Noranda, Inc. ..................................... 100 1,720 Nucor Corp. ....................................... 991,100 76,076,836 Peabody Energy Corp. .............................. 395,000 22,116,050 Phelps Dodge Corp. ................................ 160,700 12,455,857 Placer Dome, Inc. ................................. 100 1,679 POSCO sponsored ADR ............................... 100 3,351 Quanex Corp. ...................................... 100 4,870 Ryerson Tull, Inc. ................................ 100 1,588 Schnitzer Steel Industries, Inc. Class A .......... 150 5,094 Sons of Gwalia Ltd. ADR (a) ....................... 100 965 Steel Dynamics, Inc. (a) .......................... 1,977,210 56,607,522 Steel Technologies, Inc. .......................... 100 2,208 Stillwater Mining Co. (a) ......................... 100 1,501 Teck Cominco Ltd. Class B (sub. vtg.) ............. 1,118,800 20,129,845 United States Steel Corp. ......................... 460,700 16,179,784 Usinas Siderurgicas de Minas Gerais SA (Usiminas)(PN-A) ............................... 164,400 1,709,014 WMC Resources Ltd. ................................ 1,265,500 4,351,844 Xstrata PLC ....................................... 276,600 3,708,923 ------------ 567,120,301 ------------ Paper & Forest Products - 0.4% Aracruz Celulose SA sponsored ADR ................. 100 3,266 International Forest Products (Interfor) Class A (a) .................................... 9,100 46,390 Lee & Man Paper Manufacturing Ltd. ................ 6,292,000 5,646,811 MAXXAM, Inc. (a) .................................. 100 2,660 Sino-Forest Corp. Class A (sub. vtg.) (a) ......... 2,375,400 4,380,751 Votorantim Celulose e Papel SA sponsored ADR ...... 100 3,180 ------------ 10,083,058 ------------ TOTAL MATERIALS ................................ 625,905,467 ------------ TELECOMMUNICATION SERVICES - 2.3% Diversified Telecommunication Services - 0.9% BCE, Inc. ......................................... 100 2,002 Covad Communications Group, Inc. (a) .............. 387,261 929,426 General Communications, Inc. Class A (a) .......... 100 794 See accompanying notes which are an integral part of the financial statements. - -------------------------------------------------------------------------------- 15 Semiannual Report - -------------------------------------------------------------------------------- Fidelity Variable Insurance Products: Mid Cap Portfolio Investments (Unaudited) - continued - -------------------------------------------------------------------------------- Common Stocks - continued - -------------------------------------------------------------------------------- Shares Value (Note 1) ---------- -------------- TELECOMMUNICATION SERVICES - continued Diversified Telecommunication Services - continued Golden Telecom, Inc. ............................ 139,500 $ 3,925,530 Hungarian Telephone & Cable Corp. (a) ........... 100 970 Matav Rt. sponsored ADR ......................... 100 2,031 Philippine Long Distance Telephone Co. (a) ...... 100 2,052 Philippine Long Distance Telephone Co. sponsored ADR (a) ............................ 516,100 10,765,846 PT Indosat Tbk sponsored ADR .................... 100 2,120 PT Telkomunikasi Indonesia Tbk sponsored ADR .... 695,200 10,810,360 Rostelecom sponsored ADR ........................ 100 1,292 Telefonica del Peru SA sponsored ADR ............ 100 261 Teleglobe International Holdings Ltd. (a) ....... 5 25 Warwick Valley Telephone Co. .................... 300 6,375 -------------- 26,449,084 -------------- Wireless Telecommunication Services - 1.4% Advanced Info Service PCL (For. Reg.) ........... 100 217 America Movil SA de CV sponsored ADR ............ 224,300 8,157,791 At Road, Inc. (a) ............................... 211,427 1,617,417 Boston Communications Group, Inc. (a) ........... 100 1,025 Mobile TeleSystems OJSC sponsored ADR ........... 55,700 6,795,400 MTN Group Ltd. (a) .............................. 2,190,216 10,145,657 Nextel Communications, Inc. Class A (a) ......... 100 2,666 Nextel Partners, Inc. Class A (a) ............... 100 1,592 Nil Holdings, Inc. (a) .......................... 471,908 15,898,581 Telemig Celular Participacoes SA ADR ............ 100 2,950 Telephone & Data Systems, Inc. .................. 100 7,120 Vimpel Communications sponsored ADR (a) ......... 100 9,645 -------------- 42,640,061 -------------- TOTAL TELECOMMUNICATION SERVICES ............. 69,089,145 -------------- UTILITIES - 0.0% Electric Utilities - 0.0% Ameren Corp. .................................... 100 4,296 Black Hills Corp. ............................... 100 3,150 Cinergy Corp. ................................... 100 3,800 Empire District Electric Co. .................... 100 2,011 FPL Group, Inc. ................................. 100 6,395 Otter Tail Corp. ................................ 100 2,686 PPL Corp. ....................................... 100 4,590 Wisconsin Energy Corp. .......................... 100 3,261 -------------- 30,189 -------------- Gas Utilities - 0.0% KeySpan Corp. ................................... 100 3,670 -------------- Multi-Utilities & Unregulated Power - 0.0% Energy East Corp. ............................... 100 2,425 Equitable Resources, Inc. ....................... 1,100 56,881 Public Service Enterprise Group, Inc. ........... 100 $ 4,003 Questar Corp. ................................... 5,600 216,384 -------------- 279,693 -------------- TOTAL UTILITIES .............................. 313,552 -------------- TOTAL COMMON STOCKS (Cost $2,283,944,287) ........................ 2,952,654,864 -------------- - -------------------------------------------------------------------------------- Nonconvertible Preferred Stocks - 0.0% - -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 0.0% Automobiles - 0.0% Porsche AG (non-vtg.) ........................... 100 67,084 -------------- Household Durables - 0.0% Fedders Corp. Series A, 8.60% ................... 5 122 -------------- TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $58,459) ............................... 67,206 -------------- - -------------------------------------------------------------------------------- Money Market Fund - 3.0% - -------------------------------------------------------------------------------- Fidelity Cash Central Fund, 1.16% (b) ........... 19,807,160 19,807,160 Fidelity Securities Lending Cash Central Fund, 1.18% (b) .............................. 71,001,350 71,001,350 -------------- TOTAL MONEY MARKET FUNDS (Cost $90,808,510) ........................... 90,808,510 -------------- TOTAL INVESTMENT PORTFOLIO - 101.9% (Cost $2,374,811,256) ........................ 3,043,530,580 NET OTHER ASSETS - (1.9)% ....................... (58,193,567) -------------- NET ASSETS - 100% ............................... $2,985,337,013 ============== Legend (a) Non-income producing (b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent fiscal year end is available upon request. (c) Affiliated company Other Information Purchases and sales of securities, other than short-term securities, aggregated $1,314,182,787 and $878,592,003, respectively. The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $86,513 for the period. See accompanying notes which are an integral part of the financial statements. - -------------------------------------------------------------------------------- Mid Cap Portfolio 16 - -------------------------------------------------------------------------------- The fund participated in the interfund lending program as a borrower. The average daily loan balance during the period for which loans were outstanding amounted to $11,369,500. The weighted average interest rate was 1.12%. At period end there were no interfund loans outstanding. Distribution of investments by country of issue, as a percentage of total net assets, is as follows: United States of America .............................................. 73.2% Canada ................................................................ 6.9% Japan ................................................................. 4.4% Netherlands ........................................................... 1.9% Cayman Islands ........................................................ 1.1% Peru .................................................................. 1.0% Italy ................................................................. 1.0% India ................................................................. 1.0% Others (individually less than 1%) .................................... 9.5% ----- 100.0% ===== Companies which are affiliates of the fund at period end are noted in the fund's Schedule of Investments. Transactions during the period with companies which are or were affiliates are as follows:
Value, Value, beginning Sales Dividend end of Affiliate of period Purchases Proceeds Income period - ------------------------------------------ ----------- ---------- ---------- -------- ----------- Bright Horizons Family Solutions, Inc. ... $28,782,600 $ -- $ -- $-- $36,738,933 Harvard Bioscience, Inc. ................. 24,939,580 1,588,729 1,104,712 -- 13,516,371 IMPCO Technologies, Inc. ................. 1,771,032 6,691,612 791,283 -- 7,183,917 ----------- ---------- ---------- --- ----------- TOTALS ................................... $55,493,212 $8,280,341 $1,895,995 $-- $57,439,221 =========== ========== ========== === ===========
Income Tax Information At December 31, 2003, the fund had a capital loss carryforward of approximately $128,510,000 of which $28,092,000 and $100,418,000 will expire on December 31, 2009 and 2010, respectively. See accompanying notes which are an integral part of the financial statements. - -------------------------------------------------------------------------------- 17 Semiannual Report - -------------------------------------------------------------------------------- Fidelity Variable Insurance Products: Mid Cap Portfolio Financial Statements - ------------------------------------------------------------------------------- Statement of Assets and Liabilities - ------------------------------------------------------------------------------- June 30, 2004 (Unaudited) Assets Investment in securities, at value (including securities loaned of $68,587,070) (cost $2,374,811,256) - See accompanying schedule .................................... $3,043,530,580 Cash ........................................... 617,427 Foreign currency held at value (cost $9,038,195) ........................... 8,993,492 Receivable for investments sold ................ 4,201,220 Receivable for fund shares sold ................ 4,928,190 Dividends receivable ........................... 1,817,550 Interest receivable ............................ 27,940 Prepaid expenses ............................... 4,347 Other receivables .............................. 256,232 -------------- Total assets ................................ 3,064,376,978 Liabilities Payable for investments purchased .............. $ 5,321,531 Payable for fund shares redeemed ............... 653,409 Accrued management fee ......................... 1,371,554 Distribution fees payable ...................... 364,734 Other affiliated payables ...................... 236,506 Other payables and accrued expenses ............ 90,881 Collateral on securities loaned, at value ...... 71,001,350 ----------- Total liabilities ........................... 79,039,965 -------------- Net Assets ..................................... $2,985,337,013 ============== Net Assets consist of: Paid in capital ................................ $2,346,608,712 Accumulated net investment loss ................ (81,196) Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions ................................ (29,863,309) Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies .......................... 668,672,806 -------------- Net Assets ..................................... $2,985,337,013 ============== Initial Class: Net Asset Value, offering price and redemption price per share ($747,711,432 / 29,146,847 shares) ....... $ 25.65 ============== Service Class: Net Asset Value, offering price and redemption price per share ($666,339,889 / 26,053,220 shares) ....... $ 25.58 ============== Service Class 2: Net Asset Value, offering price and redemption price per share ($1,571,285,692 / 61,790,767 shares) ..... $ 25.43 ============== - -------------------------------------------------------------------------------- Statement of Operations - -------------------------------------------------------------------------------- Six months ended June 30, 2004 (Unaudited) Investment Income Dividends ....................................... $ 9,539,548 Interest ........................................ 184,569 Security lending ................................ 495,497 ------------ Total income ................................. 10,219,614 Expenses Management fee .................................. $ 7,805,781 Transfer agent fees ............................. 909,886 Distribution fees ............................... 2,028,967 Accounting and security lending fees ............ 433,156 Non-interested trustees' compensation ........... 6,198 Custodian fees and expenses ..................... 197,020 Audit ........................................... 25,377 Legal ........................................... 1,465 Interest ........................................ 709 Miscellaneous ................................... 61,611 ------------ Total expenses before reductions ............. 11,470,170 Expense reductions ........................... (422,281) 11,047,889 ------------ ------------ Net investment income (loss) .................... (828,275) ------------ Realized and Unrealized Gain (Loss) Net realized gain (loss) on: Investment securities (Including realized gain of $497,820 on sales of investments in affiliated issuers) ....................... 102,252,078 Foreign currency transactions ................ (90,332) ------------ Total net realized gain (loss) .................. 102,161,746 Change in net unrealized appreciation (depreciation) on: Investment securities (net of decrease in deferred foreign taxes of $336,495) ....... 55,881,976 Assets and liabilities in foreign currencies .... (49,956) ------------ Total change in net unrealized appreciation (depreciation) .................. 55,832,020 ------------ Net gain (loss) ................................. 157,993,766 ------------ Net increase (decrease) in net assets resulting from operations ............. $157,165,491 ============ See accompanying notes which are an integral part of the financial statements. - -------------------------------------------------------------------------------- Mid Cap Portfolio 18 - -------------------------------------------------------------------------------- - ------------------------------------------------------------------------------- Statement of Changes in Net Assets - ------------------------------------------------------------------------------- Six months ended Year ended June 30, 2004 December 31, (Unaudited) 2003/A/ ---------------- --------------- Increase (Decrease) in Net Assets Operations Net investment income (loss) ............ $ (828,275) $ (2,294,177) Net realized gain (loss) ................ 102,161,746 29,542,718 Change in net unrealized appreciation (depreciation) ....................... 55,832,020 575,223,419 -------------- -------------- Net increase (decrease) in net assets resulting from operations ............ 157,165,491 602,471,960 -------------- -------------- Distributions to shareholders from net investment income ....................... -- (5,082,393) -------------- -------------- Share transactions - net increase (decrease) .............................. 391,938,620 440,089,337 -------------- -------------- Total increase (decrease) in net assets ............................... 549,104,111 1,037,478,904 Net Assets Beginning of period ..................... 2,436,232,902 1,398,753,998 -------------- -------------- End of period (including accumulated net investment loss of $81,196 and undistributed net investment income of $76,412, respectively) ..... $2,985,337,013 $2,436,232,902 ============== ============== Other Information: Six months ended June 30, 2004 (Unaudited) ----------------------------------------------- Share Transactions Initial Class Service Class Service Class 2 - ------------------------------ ------------- ------------- --------------- Shares Sold ...................... 3,033,539 2,796,337 15,362,035 Redeemed .................. (1,972,466) (820,174) (2,686,035) ------------ ------------ ------------ Net increase (decrease) ... 1,061,073 1,976,163 12,676,000 ============ ============ ============ Dollars Sold ...................... $ 75,752,954 $ 69,585,537 $380,650,840 Redeemed .................. (48,337,345) (20,166,493) (65,546,873) ------------ ------------ ------------ Net increase (decrease) ... $ 27,415,609 $ 49,419,044 $315,103,967 ============ ============ ============ Year ended December 31, 2003 ----------------------------------------------- Share Transactions Initial Class Service Class Service Class 2 - ------------------------------ ------------- ------------- --------------- Shares Sold ...................... 4,434,612 4,691,539 24,537,608 Reinvested ................ 131,528 76,717 95,288 Redeemed .................. (5,011,471) (2,353,097) (5,472,778) ------------ ------------ ------------- Net increase (decrease) ...... (445,331) 2,415,159 19,160,118 ============ ============ ============= Dollars Sold ...................... $ 95,795,053 $ 94,175,028 $ 482,784,357 Reinvested ................ 2,207,036 1,285,007 1,590,350 Redeemed .................. (89,867,137) (43,168,976) (104,711,381) ------------ ------------ ------------- Net increase (decrease) ...... $ 8,134,952 $ 52,291,059 $ 379,663,326 ============ ============ ============= Year ended December 31, 2003 ----------------------------------------------- Distributions Initial Class Service Class Service Class 2 - ------------------------------ ------------- ------------- --------------- From net investment income ... $2,207,036 $1,285,007 $1,590,350 ========== ========== ========== /A/ Certain amounts have been reclassified. See Note 1 of Notes to Financial Statements. See accompanying notes which are an integral part of the financial statements - -------------------------------------------------------------------------------- 19 Semiannual Report - -------------------------------------------------------------------------------- Fidelity Variable Insurance Products: Mid Cap Portfolio - -------------------------------------------------------------------------------- Financial Highlights -- Initial Class - --------------------------------------------------------------------------------
Six months ended Years ended December 31, June 30, 2004 ------------------------------------------------------ (Unaudited) 2003/H/ 2002 2001 2000 1999 ---------------- -------- -------- -------- -------- ------ Selected Per-Share Data Net asset value, beginning of period ........... $ 24.16 $ 17.51 $ 19.60 $ 20.26 $ 15.25 $10.31 -------- -------- -------- -------- -------- ------ Income from Investment Operations Net investment income (loss)/E/ ............. .01 --/G/ .09 .20 .19 --/G/ Net realized and unrealized gain (loss) ..... 1.48 6.73 (2.00) (.86) 4.95 5.05 -------- -------- -------- -------- -------- ------ Total from investment operations ............... 1.49 6.73 (1.91) (.66) 5.14 5.05 -------- -------- -------- -------- -------- ------ Distributions from net investment income ....... -- (.08) (.18) -- (.08) -- Distributions from net realized gain ........... -- -- -- -- -- (.09) Distributions in excess of net realized gain ... -- -- -- -- (.05) (.02) -------- -------- -------- -------- -------- ------ Total distributions ......................... -- (.08) (.18) -- (.13) (.11) -------- -------- -------- -------- -------- ------ Net asset value, end of period ................. $ 25.65 $ 24.16 $ 17.51 $ 19.60 $ 20.26 $15.25 ======== ======== ======== ======== ======== ====== Total Return/B,C,D/ ............................ 6.17% 38.64% (9.82)% (3.26)% 33.78% 49.04% Ratios to Average Net Assets/F/ Expenses before expense reductions .......... .69%/A/ .70% .70% .69% .74% 3.34% Expenses net of voluntary waivers, if any ... .69%/A/ .70% .70% .69% .74% 1.00% Expenses net of all reductions .............. .66%* .68% .63% .62% .69% .97% Net investment income (loss) ................ .09%* --% .51% 1.06% 1.01% .01% Supplemental Data Net assets, end of period (000 omitted) ..... $747,711 $678,480 $499,557 $574,934 $589,026 $1,744 Portfolio turnover rate ..................... 66%/A/ 51% 135% 144% 245% 163%
/A/ Annualized /B/ Total returns for periods of less than one year are not annualized. /C/ Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. /D/ Total returns would have been lower had certain expenses not been reduced during the periods shown. /E/ Calculated based on average shares outstanding during the period. /F/ Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. /G/ Amount represents less than $.01 per share. /H/ As the result of a correction made in the classification of distributions received on securities representing realized gains for the year ended December 31, 2003, amounts previously reported have been reclassified. The impact of this correction was a decrease in net investment loss of $0.01 per share and a corresponding decrease in net realized and unrealized gain (loss). The ratio of net investment loss to average net assets decreased from (0.04)% to 0.00%. The classification had no impact on total net assets or total return of the class. - -------------------------------------------------------------------------------- Financial Highlights - Service Class - --------------------------------------------------------------------------------
Six months ended Years ended December 31, June 30, 2004 ------------------------------------------------------ (Unaudited) 2003/H/ 2002 2001 2000 1999 ---------------- -------- -------- -------- -------- ------- Selected Per-Share Data Net asset value, beginning of period ........... $ 24.10 $ 17.46 $ 19.54 $ 20.22 $ 15.24 $ 10.31 -------- -------- -------- -------- -------- ------- Income from Investment Operations Net investment income (loss)/E/ ............. --/G/ (.02) .08 .18 .17 (.01) Net realized and unrealized gain (loss) ..... 1.48 6.72 (2.00) (.86) 4.93 5.05 -------- -------- -------- -------- -------- ------- Total from investment operations ............... 1.48 6.70 (1.92) (.68) 5.10 5.04 -------- -------- -------- -------- -------- ------- Distributions from net investment income ....... -- (.06) (.16) -- (.07) -- Distributions from net realized gain ........... -- -- -- -- -- (.09) Distributions in excess of net realized gain ... -- -- -- -- (.05) (.02) -------- -------- -------- -------- -------- ------- Total distributions ......................... -- (.06) (.16) -- (.12) (.11) -------- -------- -------- -------- -------- ------- Net asset value, end of period ................. $ 25.58 $ 24.10 $ 17.46 $ 19.54 $ 20.22 $ 15.24 ======== ======== ======== ======== ======== ======= Total Return/B,C,D/ ............................ 6.14% 38.52% (9.90)% (3.36)% 33.54% 48.94% Ratios to Average Net Assets/F/ Expenses before expense reductions .......... .79%/A/ .80% .80% .79% .84% 3.41% Expenses net of voluntary waivers, if any ... .79%/A/ .80% .80% .79% .84% 1.10% Expenses net of all reductions .............. .76%/A/ .78% .73% .72% .79% 1.07% Net investment income (loss) ................ (.01)%/A/ (.10)% .41 % .96% .92% (.09)% Supplemental Data Net assets, end of period (000 omitted) ..... $666,340 $580,179 $378,264 $366,665 $282,941 $25,908 Portfolio turnover rate ..................... 66%/A/ 51% 135% 144% 245% 163%
/A/ Annualized /B/ Total returns for periods of less than one year are not annualized. /C/ Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. /D/ Total returns would have been lower had certain expenses not been reduced during the periods shown. /E/ Calculated based on average shares outstanding during the period. /F/ Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. /G/ Amount represents less than $.01 per share. /H/ As the result of a correction made in the classification of distributions received on securities representing realized gains for the year ended December 31, 2003, amounts previously reported have been reclassified. The impact of this correction was a decrease in net investment loss of $0.01 per share and a corresponding decrease in net realized and unrealized gain (loss). The ratio of net investment loss to average net assets decreased from (0.14)% to (0.10)%. The classification had no impact on total net assets or total return of the class. See accompanying notes which are an integral part of the financial statements. - -------------------------------------------------------------------------------- Mid Cap Portfolio 20 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Financial Highlights -- Service Class 2 - --------------------------------------------------------------------------------
Six months ended Years ended December 31, June 30, 2004 ------------------------------------------------- (Unaudited) 2003/H/ 2002 2001 2000/F/ ---------------- ---------- -------- -------- ----------- Selected Per-Share Data Net asset value, beginning of period ........... $ 23.98 $ 17.39 $ 19.49 $ 20.20 $ 14.82 ---------- ---------- -------- -------- ------- Income from Investment Operations Net investment income (loss)/E/ ............. (.02) (.05) .05 .15 .14 Net realized and unrealized gain (loss) ..... 1.47 6.69 (1.99) (.86) 5.35 ---------- ---------- -------- -------- ------- Total from investment operations ............... 1.45 6.64 (1.94) (.71) 5.49 ---------- ---------- -------- -------- ------- Distributions from net investment income ....... -- (.05) (.16) -- (.06) Distributions in excess of net realized gain ... -- -- -- -- (.05) ---------- ---------- -------- -------- ------- Total distributions ......................... -- (.05) (.16) -- (.11) ---------- ---------- -------- -------- ------- Net asset value, end of period ................. $ 25.43 $ 23.98 $ 17.39 $ 19.49 $ 20.20 ========== ========== ======== ======== ======= Total Return/B,C,D/ ............................ 6.05% 38.31% (10.02)% (3.51)% 37.12% Ratios to Average Net Assets/G/ Expenses before expense reductions .......... .95%/A/ .95% .95% .94% .99%/A/ Expenses net of voluntary waivers, if any ... .95%/A/ .95% .95% .94% .99%/A/ Expenses net of all reductions .............. .91%/A/ .93% .88% .88% .94%/A/ Net investment income (loss) ................ (.16)%/A/ (.25)% .25% .81% .76%/A/ Supplemental Data Net assets, end of period (000 omitted) ..... $1,571,286 $1,177,574 $520,933 $210,356 $73,039 Portfolio turnover rate ..................... 66%/A/ 51% 135% 144% 245%
/A/ Annualized /B/ Total returns for periods of less than one year are not annualized. /C/ Total returns do not reflect charges attributable to your insurance company's separate account. Inclusion of these charges would reduce the total returns shown. /D/ Total returns would have been lower had certain expenses not been reduced during the periods shown. /E/ Calculated based on average shares outstanding during the period. /F/ For the period January 12,2000 (commencement of operations) to December 31,2000. /G/ Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. /H/ As the result of a correction made in the classification of distributions received on securities representing realized gains for the year ended December 31, 2003, amounts previously reported have been reclassified. The impact of this correction was a decrease in net investment loss of $0.01 per share and a corresponding decrease in net realized and unrealized gain (loss). The ratio of net investment loss to average net assets decreased from (0.29)% to (0.25)%. The reclassification had no impact on total net assets or total return of the class. See accompanying notes which are an integral part of the financial statements. - -------------------------------------------------------------------------------- 21 Semiannual Report - -------------------------------------------------------------------------------- Notes to Financial Statements For the period ended June 30, 2004 (Unaudited) 1. Significant Accounting Policies. Mid Cap Portfolio (the fund) is a fund of Variable Insurance Products Fund III (the trust) (referred to in this report as Fidelity Variable Insurance Products: Mid Cap Portfolio) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares of the fund may only be purchased by insurance companies for the purpose of funding variable annuity or variable life insurance contracts. The fund offers the following classes of shares: Initial Class shares, Service Class shares and Service Class 2 shares. All classes have equal rights and voting privileges, except for matters affecting a single class. Investment income, realized and unrealized capital gains and losses, the common expenses of the fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the fund. Each class differs with respect to distribution and service plan fees incurred. Certain expense reductions also differ by class. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund: Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day. Foreign Currency. The fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately. Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions for income tax purposes. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Reclassification of Financial Information. As the result of a correction made in the classification of distributions received on securities representing realized gains for the year ended December 31, 2003, amounts previously reported have been reclassified. Net investment loss for the fund decreased by $669,090, with a corresponding decrease to net realized gain. The reclassification has no impact on total net assets or total return of the fund. Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among the funds in the trust. Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on each fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. Distributions are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or - -------------------------------------------------------------------------------- Mid Cap Portfolio 22 - -------------------------------------------------------------------------------- 1. Significant Accounting Policies - continued Income Tax Information and Distributions to Shareholders - continued the results of operations. Temporary book-tax differences will reverse in a subsequent period. Book-tax differences are primarily due to futures transactions, foreign currency transactions, passive foreign investment companies (PFIC), net operating losses, capital loss carryforwards and losses deferred due to wash sales. The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows: Unrealized appreciation ...................... $ 723,183,925 Unrealized depreciation ...................... (60,328,890) -------------- Net unrealized appreciation (depreciation) ... $ 662,855,035 ============== Cost for federal income tax purposes ......... $2,380,675,545 2. Operating Policies. Repurchase Agreements. Fidelity Management & Research Company (FMR) has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are collateralized by commercial paper obligations and corporate obligations. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Collateral is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest). 3. Purchases and Sales of Investments. Information regarding purchases and sales of securities is included under the caption "Other Information" at the end of the fund's Schedule of Investments. 4. Fees and Other Transactions with Affiliates. Management Fee. FMR and its affiliates provide the fund with investment management related services for which the fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .30% of the fund's average net assets and a group fee rate that averaged .28% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .57% of the fund's average net assets. Distribution and Service Plan. In accordance with Rule 12b-l of the 1940 Act, the Fund has adopted separate 12b-l Plans for each Service Class of shares. Each Service Class pays Fidelity Distributors Corporation (FDC), an affiliate of FMR, a service fee. For the period, the service fee is based on an annual rate of ..10% of Service Class' average net assets and .25% of Service Class 2's average net assets. For the period, each class paid FDC the following amounts, all of which were re-allowed to insurance companies for the distribution of shares and providing shareholder support services: Service Class ................................ $ 312,435 Service Class 2 .............................. 1,716,532 ---------- $2,028,967 ========== Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the fund's transfer, dividend disbursing, and shareholder servicing agent. FIIOC receives an asset-based fee with respect to each account. FIIOC pays a portion of the expenses related to the typesetting, printing and mailing of shareholder reports, except proxy statements. Each class pays a transfer agent fee, excluding out of pocket expenses, equal to an annual rate of .07% of their month end net assets. For the period, the total transfer agent fees paid by each class to FIIOC, including out of pocket expenses, were as follows: Initial Class ................................ $237,895 Service Class ................................ 208,428 Service Class 2 .............................. 463,563 -------- $909,886 ======== - -------------------------------------------------------------------------------- 23 Semiannual Report - -------------------------------------------------------------------------------- Notes to Financial Statements (Unaudited) - continued 4. Fees and Other Transactions with Affiliates - continued Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the fund's accounting records. The accounting fee is based on the level of average net assets for the month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions. Central Funds. The fund may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Central Funds seek preservation of capital and current income and do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $182,572 for the period. Brokerage Commissions. The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms are shown under the caption "Other Information" at the end of the fund's Schedule of Investments. Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the fund, along with other registered investment companies having management contracts with FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating funds. Information regarding the fund's participation in the program is included under the caption "Other Information" at the end of the fund's Schedule of Investments. 5. Committed Line of Credit. The fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating fund has agreed to pay commitment fees on its pro rata portion of the line of credit. During the period, there were no borrowings on this line of credit. 6. Security Lending. The fund lends portfolio securities from time to time in order to earn additional income. The fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the fund's Statement of Assets and Liabilities. 7. Expense Reductions. Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $421,598 for the period. In addition, through arrangements with the fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the fund's expenses. During the period, these credits reduced the fund's custody expenses by $683. 8. Other Information At the end of the period, FMR or its affiliates were the owners of record of 21% of the total outstanding shares of the fund and two otherwise unaffiliated shareholders were the owners of record of 44% of the total outstanding shares of the fund. 9. Transactions with Affiliated Companies. An affiliated company is a company which the fund has ownership of at least 5% of the voting securities. Information regarding transactions with affiliated companies is included in "Other Information" at the end of each applicable fund's Schedule of Investments. - -------------------------------------------------------------------------------- Mid Cap Portfolio 24 - -------------------------------------------------------------------------------- Investment Adviser Fidelity Management & Research Company Boston, MA Investment Sub-Advisers FMR Co., Inc. Fidelity Management & Research (U.K.) Inc. Fidelity Management & Research (Far East) Inc. Fidelity Investments Japan Limited Fidelity International Investment Advisors Fidelity International Investment Advisors (U.K.) Limited General Distributor Fidelity Distributors Corporation Boston, MA Transfer and Shareholder Servicing Agent Fidelity Investments Institutional Operations Company, Inc. Boston, MA Custodian Brown Brothers Harriman & Co. Boston, MA VIPMID-SANN-0804 1.723369.105 RUSSELL INVESTMENT FUNDS INVESTMENT FUNDS [GRAPHIC] 2004 Semiannual Report MULTI-STYLE EQUITY FUND AGGRESSIVE EQUITY FUND NON-U.S. FUND REAL ESTATE SECURITIES FUND CORE BOND FUND JUNE 30, 2004 [LOGO] Russell Russell Investment Funds Russell Investment Funds is a "series mutual fund" with five different investment portfolios. These financial statements report on the Funds, each of which has distinct investment objectives and strategies. Frank Russell Investment Management Company Responsible for overall management and administration of the Funds. Frank Russell Company Consultant to Frank Russell Investment Management Company. Russell Investment Funds Semiannual Report June 30, 2004 (Unaudited) Table of Contents Page ---- Multi-Style Equity Fund ................................................. 3 Aggressive Equity Fund .................................................. 9 Non-U.S. Fund ........................................................... 20 Real Estate Securities Fund ............................................. 32 Core Bond Fund .......................................................... 34 Notes to Schedules of Investments ....................................... 44 Statement of Assets and Liabilities ..................................... 46 Statement of Operations ................................................. 50 Statement of Changes in Net Assets ...................................... 52 Financial Highlights .................................................... 54 Notes to Financial Highlights ........................................... 56 Notes to Financial Statements ........................................... 57 Disclosure of Information about Fund Directors .......................... 67 Manager, Money Managers and Service Providers ........................... 71 Russell Investment Funds Copyright (C) Frank Russell Company 2004. All rights reserved. This material is proprietary and may not be reproduced, transferred, or distributed in any form without prior written permission from Frank Russell Company. It is delivered on an "as is" basis without warranty. The Russell logo is a trademark and service mark of Frank Russell Company. Frank Russell Company is the owner of the trademarks, service marks, and copyrights related to their respective indexes. This material must be accompanied or preceded by a current Russell Investment Funds' Prospectus containing complete information concerning the investment objectives and operations of the Funds, charges and expenses, and the applicable variable insurance policy Prospectus. The Prospectus should be read carefully before an investment is made. The performance quoted represents past performance and the investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. International markets entail different risks than those typically associated with domestic markets, including currency fluctuations, political and economic instability, accounting changes and foreign taxation. Securities may be less liquid and more volatile. Please see the Prospectus for further detail. Russell Fund Distributors, Inc., is the distributor of Russell Investment Funds. Russell Investment Funds Multi-Style Equity Fund Schedule of Investments -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Common Stocks - 96.6% Auto and Transportation - 2.4% BorgWarner, Inc. 2,600 114 Burlington Northern Santa Fe Corp. 3,300 116 Cooper Tire & Rubber Co. 2,600 60 CSX Corp. 21,200 695 Dana Corp. 3,000 59 Delphi Corp. 27,700 296 Ford Motor Co. 11,600 182 General Motors Corp. (L) 8,000 373 Gentex Corp. 8,200 325 Lear Corp. 3,500 206 Magna International, Inc. Class A 600 51 Norfolk Southern Corp. 7,800 207 Skywest, Inc. 3,800 66 Southwest Airlines Co. 89,700 1,504 Tidewater, Inc. 10,950 326 Toyota Motor Corp. - ADR 5,850 477 Union Pacific Corp. 600 36 United Parcel Service, Inc. Class B 32,900 2,473 ----- 7,566 ----- Consumer Discretionary - 17.1% Abercrombie & Fitch Co. Class A 12,300 477 Activision, Inc. (AE) 20,150 320 Advance Auto Parts (AE) 14,900 658 Aeropostale, Inc. (AE) 1,500 40 Apollo Group, Inc. Class A (AE) 9,600 848 Autonation, Inc. (AE) 6,700 115 Autozone, Inc. (AE) 4,800 384 Avon Products, Inc. 8,880 410 BearingPoint, Inc. (AE) 18,300 162 Bed Bath & Beyond, Inc. (AE) 21,300 819 Best Buy Co., Inc. 11,800 599 Brink's Co. (The) 2,100 72 Carnival Corp. 5,900 277 CDW Corp. 8,600 548 Cendant Corp. 102,900 2,519 Charming Shoppes 4,700 42 Chico's FAS, Inc. (AE) 9,500 429 Christopher & Banks Corp. 10,700 189 Circuit City Stores, Inc. 28,900 374 Claire's Stores, Inc. 4,800 104 Clear Channel Communications, Inc. 37,450 1,384 Coach, Inc. (AE) 23,400 1,057 Corinthian Colleges, Inc. (AE) 4,100 101 Darden Restaurants, Inc. 8,000 164 DeVry, Inc. (AE) 9,400 258 Dillard's, Inc. Class A 2,600 58 DIRECTV Group, Inc. (The) 25,822 442 Eastman Kodak Co. 14,000 378 eBay, Inc. (AE) 20,680 1,902 Education Management Corp. (AE) 3,200 105 Electronic Arts, Inc. (AE) 21,100 1,151 Estee Lauder Cos., Inc. (The) Class A 11,300 551 Federated Department Stores 2,200 108 Fisher Scientific International 12,600 728 Fossil, Inc. (AE) 1,800 49 Fox Entertainment Group, Inc. Class A (AE) 33,410 892 Gannett Co., Inc. 10,600 899 Gap, Inc. (The) 14,600 354 Gillette Co. (The) 41,600 1,764 GTECH Holdings Corp. 2,000 93 Home Depot, Inc. 73,200 2,577 InterActiveCorp (AE) 16,570 499 International Game Technology 11,900 459 Interpublic Group of Cos., Inc. 23,100 317 Jack in the Box, Inc. (AE) 2,500 74 JC Penney Co., Inc. Holding Co. 15,600 589 Jones Apparel Group, Inc. 2,100 83 Kimberly-Clark Corp. 26,100 1,719 Knight-Ridder, Inc. 6,600 475 Kohl's Corp. (AE) 17,700 748 Leggett & Platt, Inc. 1,700 45 Liberty Media Corp. Class A (AE) 45,220 407 Marriott International, Inc. Class A 33,350 1,663 Mattel, Inc. 32,100 586 May Department Stores Co. (The) 17,200 473 Maytag Corp. 2,000 49 McDonald's Corp. 89,700 2,332 Mohawk Industries, Inc. (AE) 500 37 Newell Rubbermaid, Inc. 29,900 703 Nike, Inc. Class B 7,090 537 Nordstrom, Inc. 1,500 64 Office Depot, Inc. (AE) 7,400 133 Omnicom Group 22,150 1,681 Reader's Digest Association, Inc. (The) 2,600 42 RR Donnelley & Sons Co. 15,000 495 Sabre Holdings Corp. Class A 5,700 158 SCP Pool Corp. 1,000 45 Sears Roebuck and Co. 5,800 219 Snap-On, Inc. Class C 1,500 50 Stanley Works (The) 1,000 46 Staples, Inc. 28,100 822 Starbucks Corp. (AE) 9,850 428 Multi-Style Equity Fund 3 Russell Investment Funds Multi-Style Equity Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Starwood Hotels & Resorts Worldwide, Inc. 20,500 919 Strayer Education, Inc. 500 56 Target Corp. 36,300 1,542 Tech Data Corp. (AE) 3,000 117 Time Warner, Inc. 135,800 2,387 Toro Co. 1,000 70 United Auto Group, Inc. 1,600 49 VeriSign, Inc. (AE) 23,500 468 VF Corp. 3,400 166 Viacom, Inc. Class B 16,100 575 Viad Corp. 1,300 35 Wal-Mart Stores, Inc. 26,900 1,419 Walt Disney Co. 54,650 1,393 Waste Management, Inc. 64,500 1,977 Whirlpool Corp. 800 55 Wynn Resorts, Ltd. (AE)(L) 6,000 232 XM Satellite Radio Holdings, Inc. Class A (AE) 9,700 265 Yahoo!, Inc. (AE) 30,920 1,123 ------ 53,227 ------ Consumer Staples - 7.2% Altria Group, Inc. 16,150 808 Anheuser-Busch Cos., Inc. 30,000 1,620 Clorox Co. 24,700 1,328 Coca-Cola Co. (The) 38,800 1,959 Colgate-Palmolive Co. 28,300 1,654 Del Monte Foods Co. (AE) 33,600 341 General Mills, Inc. 14,100 670 HJ Heinz Co. 19,400 760 Kraft Foods, Inc. Class A 19,900 630 Kroger Co. 15,200 277 PepsiCo, Inc. 64,500 3,476 Pilgrim's Pride Corp. (L) 1,200 35 Procter & Gamble Co. 86,420 4,706 RJ Reynolds Tobacco Holdings, Inc. (L) 2,750 186 Safeway, Inc. (AE) 9,200 233 Sanderson Farms, Inc. 1,200 64 Sara Lee Corp. 48,300 1,110 Supervalu, Inc. 5,000 153 Systemco Corp. 18,870 677 Unilever NV 8,900 610 UST, Inc. 4,800 173 Walgreen Co. 18,750 679 WM Wrigley Jr Co. 3,900 246 ------ 22,395 ------ Financial Services - 19.8% ACE, Ltd. 2,200 93 Alliance Data Systems Corp. (AE) 2,400 101 Allstate Corp. (The) 14,700 684 American Express Co. 34,670 1,781 American International Group, Inc. 66,609 4,749 AmeriCredit Corp. (AE) 15,200 297 Ameritrade Holding Corp. (AE) 18,400 209 Archstone-Smith Trust (o) 5,700 167 Astoria Financial Corp. 3,700 135 Automatic Data Processing, Inc. 11,400 477 Axis Capital Holdings, Ltd. 7,800 218 Bank of America Corp. 80,398 6,804 Bank of New York Co., Inc. (The) 37,400 1,103 Bank One Corp. 14,550 742 BB&T Corp. 1,000 37 Capital One Financial Corp. 16,800 1,149 Checkfree Corp. (AE) 17,300 519 Chubb Corp. 3,800 259 Cigna Corp. 17,070 1,175 Citigroup, Inc. 153,889 7,157 CNA Financial Corp. (AE) 2,100 62 Comerica, Inc. 14,100 774 Commerce Bancorp, Inc. 3,400 187 Commerce Bancshares, Inc. 12,300 565 Conseco, Inc. (AE) 21,300 424 Deluxe Corp. 2,700 117 Dow Jones & Co., Inc. 12,000 541 E*Trade Financial Corp. (AE) 22,800 254 Endurance Specialty Holdings, Ltd. 6,100 212 Equity Office Properties Trust (o) 16,900 460 Equity Residential (o) 6,800 202 Fannie Mae 44,250 3,159 Fidelity National Financial, Inc. 4,180 156 First American Corp. 3,200 83 First Data Corp. 24,000 1,068 Fiserv, Inc. (AE) 13,400 521 Freddie Mac 15,600 987 Goldman Sachs Group, Inc. 19,960 1,879 Hartford Financial Services Group, Inc. 4,000 275 Health Care REIT, Inc. (o) 1,600 52 Hibernia Corp. Class A 2,500 61 Huntington Bancshares, Inc. 17,400 398 IMPAC Mortgage Holdings, Inc. (o) 2,600 59 Instinet Group, Inc. 36,800 194 Jefferson-Pilot Corp. 2,300 117 JP Morgan Chase & Co. 77,770 3,015 Keycorp 26,400 789 Lehman Brothers Holdings, Inc. 6,500 489 4 Multi-Style Equity Fund Russell Investment Funds Multi-Style Equity Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Lincoln National Corp. 3,500 165 Manulife Financial Corp. 2,619 106 Marsh & McLennan Cos., Inc. 12,350 560 MBIA, Inc. 1,500 86 MBNA Corp. 26,100 673 Merrill Lynch & Co., Inc. 20,900 1,128 Metlife, Inc. 3,200 115 MGIC Investment Corp. (L) 2,550 193 Morgan Stanley 44,250 2,335 National City Corp. 14,700 515 National Commerce Financial Corp. 18,300 595 Northern Trust Corp. 6,300 266 Paychex, Inc. 44,550 1,509 Platinum Underwriters Holdings, Ltd. 9,700 295 PNC Financial Services Group, Inc. 13,000 690 Prentiss Properties Trust (o) 1,200 40 Progressive Corp. (The) 2,400 205 R&G Financial Corp. Class B 900 30 Radian Group, Inc. 8,200 393 Redwood Trust, Inc. (o)(L) 1,400 78 Regions Financial Corp. 2,500 91 St Paul Travelers Cos., Inc. (The) 47,254 1,916 SunTrust Banks, Inc. 4,500 292 T Rowe Price Group, Inc. 8,600 433 Torchmark Corp. 2,400 129 Union Planters Corp. 1,500 45 US Bancorp 26,596 733 Wachovia Corp. 17,200 765 Waddell & Reed Financial, Inc. Class A 12,800 283 Washington Mutual, Inc. 13,200 510 Wells Fargo & Co. 12,400 710 XL Capital, Ltd. Class A 1,000 75 Zions BanCorp. 9,300 571 ------ 61,486 ------ Health Care - 13.1% Abbott Laboratories 16,600 677 Aetna, Inc. 4,000 340 AmerisourceBergen Corp. 4,700 281 Amgen, Inc. 32,990 1,800 Amylin Pharmaceuticals, Inc. (AE)(L) 9,800 223 Anthem, Inc. (AE) 6,100 546 Aventis SA - ADR 9,650 734 Barr Pharmaceuticals, Inc. (AE) 600 20 Baxter International, Inc. 49,750 1,717 Biogen Idec, Inc. (AE) 10,170 643 Boston Scientific Corp. (AE) 57,770 2,473 Bristol-Myers Squibb Co. 13,400 328 Cardinal Health, Inc. 4,000 280 Caremark Rx, Inc. (AE) 25,200 830 Community Health Systems, Inc. (AE) 2,200 59 Coventry Health Care, Inc. (AE) 3,000 147 Dade Behring Holdings, Inc. (AE) 1,100 52 DaVita, Inc. (AE) 2,700 83 Eli Lilly & Co. 30,500 2,132 Forest Laboratories, Inc. (AE) 9,650 546 Genentech, Inc. (AE) 54,450 3,061 Gilead Sciences, Inc. (AE) 9,050 606 GlaxoSmithKline PLC - ADR 16,150 670 Guidant Corp. 7,100 397 HCA, Inc. 2,000 83 Humana, Inc. 7,000 118 IMS Health, Inc. 4,400 103 Invitrogen Corp. (AE) 6,100 439 IVAX Corp. 18,200 437 Johnson & Johnson 44,100 2,456 Kinetic Concepts, Inc. (AE) 5,800 289 King Pharmaceuticals, Inc. (AE) 3,200 37 McKesson Corp. 27,490 944 Medco Health Solutions, Inc. (AE) 13,400 503 Medtronic, Inc. 24,200 1,179 Merck & Co., Inc. 26,700 1,268 Mylan Laboratories 8,100 164 Omnicare, Inc. 12,500 535 Oxford Health Plans, Inc. 1,800 99 Pacificare Health Systems (AE) 1,400 54 Pfizer, Inc. 251,520 8,623 Province Healthcare Co. (AE) 2,800 48 Quest Diagnostics 2,400 204 Select Medical Corp. 3,300 44 St Jude Medical, Inc. 11,200 847 Stryker Corp. 800 44 Tenet Healthcare Corp. 33,700 452 Teva Pharmaceutical Industries, Ltd. - ADR (L) 11,830 796 UnitedHealth Group, Inc. 9,300 579 Watson Pharmaceuticals, Inc. (AE) 1,400 38 Wyeth 18,200 658 Zimmer Holdings, Inc. (AE) 11,760 1,037 ------ 40,723 ------ Integrated Oils - 3.8% BP PLC - ADR 9,850 528 ChevronTexaco Corp. 21,211 1,996 ConocoPhillips 34,652 2,644 Multi-Style Equity Fund 5 Russell Investment Funds Multi-Style Equity Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Exxon Mobil Corp. 83,710 3,719 Marathon Oil Corp. 45,352 1,716 Occidental Petroleum Corp. 22,700 1,099 Unocal Corp. 7,700 293 ------ 11,995 ------ Materials and Processing - 4.7% Acuity Brands, Inc. 1,200 32 Alcoa, Inc. 59,000 1,949 American Standard Cos., Inc. (AE) 10,000 403 Archer-Daniels-Midland Co. 97,696 1,639 Avery Dennison Corp. 4,700 301 Bemis Co. 15,700 444 Bowater, Inc. 14,500 603 Commercial Metals Co. 1,100 36 Dow Chemical Co. (The) 30,400 1,237 Eastman Chemical Co. 3,000 139 Ecolab, Inc. 10,100 320 EI Du Pont de Nemours & Co. 19,334 859 Florida Rock Industries, Inc. 1,100 46 FMC Corp. 2,300 99 Georgia-Pacific Corp. 3,100 115 Hercules, Inc. 6,800 83 International Paper Co. 37,300 1,667 Lennar Corp. Class B 900 37 Louisiana-Pacific Corp. 1,500 35 Lubrizol Corp. 4,000 146 Lyondell Chemical Co. 19,300 336 Martin Marietta Materials, Inc. 2,100 93 Masco Corp. 19,800 617 MeadWestvaco Corp. 27,100 796 Monsanto Co. 14,700 566 PPG Industries, Inc. 1,900 119 Reliance Steel & Aluminum Co. 1,400 56 Rohm & Haas Co. 16,200 674 RPM International, Inc. 24,400 371 Sherwin-Williams Co. (The) 3,600 150 Smurfit-Stone Container Corp. (AE) 8,900 178 Sonoco Products Co. 1,500 38 Temple-Inland, Inc. 1,100 76 Texas Industries, Inc. 700 29 United States Steel Corp. 4,200 148 Vulcan Materials Co. 2,400 114 ------ 14,551 ------ Miscellaneous - 4.2% 3M Co. 18,200 1,638 Eaton Corp. 2,000 129 Fortune Brands, Inc. 1,600 121 General Electric Co. 201,270 6,522 Honeywell International, Inc. 44,900 1,645 ITT Industries, Inc. 4,100 340 Johnson Controls, Inc. 6,600 352 Teleflex, Inc. 5,000 251 Textron, Inc. 3,400 202 Tyco International, Ltd. 53,370 1,769 ------ 12,969 ------ Other Energy - 1.8% Apache Corp. 8,250 359 Calpine Corp. (AE) 53,700 232 El Paso Corp. 19,900 157 EOG Resources, Inc. 10,100 603 Kerr-McGee Corp. 4,100 220 National-Oilwell, Inc. Class C (AE) 8,300 261 NRG Energy, Inc. 5,900 146 Reliant Energy, Inc. (AE) 78,300 848 Schlumberger, Ltd. 32,700 2,077 Williams Cos., Inc. 64,800 771 ------ 5,674 ------ Producer Durables - 3.7% Agilent Technologies, Inc. (AE) 9,100 266 Applied Materials, Inc. (AE) 38,500 755 Boeing Co. (The) 20,800 1,063 Caterpillar, Inc. 18,410 1,462 Centex Corp. 4,200 192 Cooper Industries, Ltd. Class A 1,500 89 Crane Co. 1,400 44 Danaher Corp. 7,300 376 Deere & Co. 9,800 687 DR Horton, Inc. 8,100 230 Emerson Electric Co. 11,300 718 Engineered Support Systems, Inc. 1,050 61 Goodrich Corp. 4,750 154 Hovnanian Enterprises, Inc. Class A (AE) 900 31 Hubbell, Inc. Class B 1,300 61 Illinois Tool Works, Inc. 9,000 863 KB Home 1,000 69 Koninklijke Philips Electronics NV 36,600 996 Lockheed Martin Corp. 17,400 906 Molex, Inc. 4,300 138 Northrop Grumman Corp. 16,354 878 Parker Hannifin Corp. 700 42 Pitney Bowes, Inc. 2,400 106 6 Multi-Style Equity Fund Russell Investment Funds Multi-Style Equity Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Polycom, Inc. (AE) 23,000 515 Pulte Homes, Inc. 4,100 213 United Defense Industries, Inc. (AE) 1,200 42 United Technologies Corp. 5,030 460 ------ 11,417 ------ Technology - 12.5% 3Com Corp. (AE) 31,100 194 ADC Telecommunications, Inc. (AE) 34,600 98 Advanced Micro Devices, Inc. (L) 3,000 48 Agere Systems, Inc. Class A (AE) 114,550 263 Altera Corp. (AE) 5,100 113 Amdocs, Ltd. (AE) 11,400 267 Amphenol Corp. Class A (AE) 3,800 127 Analog Devices, Inc. 20,710 975 Arrow Electronics, Inc. 1,300 35 Autodesk, Inc. 9,300 398 Avaya, Inc. (AE) 24,300 384 Avnet, Inc. 2,500 57 BEA Systems, Inc. (AE) 25,600 210 Broadcom Corp. Class A (AE) 18,870 883 Celestica, Inc. (AE)(L) 2,200 44 Cisco Systems, Inc. (AE) 228,230 5,410 Computer Associates International, Inc. 11,380 319 Computer Sciences Corp. 5,000 232 Comverse Technology, Inc. (AE) 12,100 241 Corning, Inc. 44,960 587 CSG Systems International (AE) 2,400 50 Dell, Inc. (AE) 85,110 3,050 Electronic Data Systems Corp. 4,100 79 EMC Corp. 34,200 390 Flextronics International, Ltd. (AE) 3,300 53 General Dynamics Corp. 600 60 Hewlett-Packard Co. 55,776 1,177 Ingram Micro, Inc. Class A (AE) 5,600 81 Intel Corp. 157,500 4,348 International Business Machines Corp. 24,750 2,182 Juniper Networks, Inc. (AE)(L) 22,300 548 Lucent Technologies, Inc. (L) 40,600 153 Macromedia, Inc. (AE) 8,200 201 Maxim Integrated Products 29,700 1,557 Micron Technology, Inc. 6,300 96 Microsoft Corp. 183,220 5,234 Motorola, Inc. 25,500 465 National Semiconductor Corp. (AE) 5,300 117 Nortel Networks Corp. 59,500 297 Nvidia Corp. (AE) 21,100 433 Peoplesoft, Inc. (AE) 8,100 150 PMC - Sierra, Inc. (AE) 30,100 432 Qualcomm, Inc. 37,330 2,724 Raytheon Co. 8,600 308 Red Hat, Inc. (AE) 19,500 448 Sanmina-SCI Corp. (AE) 77,700 707 SAP AG - ADR 9,190 384 Siebel Systems, Inc. (AE) 5,500 59 Silicon Laboratories, Inc. (AE) 9,200 426 Solectron Corp. (AE) 26,500 171 Tellabs, Inc. (AE) 4,000 35 Texas Instruments, Inc. 36,000 870 Vishay Intertechnology, Inc. (AE) 2,900 54 Xilinx, Inc. 13,830 461 ------ 38,685 ------ Utilities - 6.3% Allegheny Energy, Inc. 44,900 692 Alliant Energy Corp. (L) 1,900 50 Alltel Corp. 13,800 699 America Movil SA de CV Series L - ADR 15,140 551 American Electric Power Co., Inc. 8,100 259 AT&T Corp. 3,640 53 BellSouth Corp. 77,250 2,025 Black Hills Corp. 6,300 198 Centerpoint Energy, Inc. (L) 14,100 162 CMS Energy Corp. (L) 11,400 104 Comcast Corp. Class A 29,617 830 Comcast Corp. Special Class A 5,000 138 COX Communications, Inc. Class A (AE) 2,700 75 Dominion Resources, Inc. 9,900 624 DTE Energy Co. 2,200 89 Edison International 7,100 182 Entergy Corp. 34,350 1,924 Exelon Corp. 19,400 646 FirstEnergy Corp. 6,400 239 FPL Group, Inc. 8,900 569 Liberty Media International, Inc. Class A (AE) 2,011 75 MDU Resources Group, Inc. 1,900 46 NII Holdings, Inc. (AE) 1,700 57 NiSource, Inc. 21,600 445 Northeast Utilities 7,200 140 Oneok, Inc. 15,400 339 Pepco Holdings, Inc. 22,400 409 PG&E Corp. 2,000 56 Multi-Style Equity Fund 7 Russell Investment Funds Multi-Style Equity Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Pinnacle West Capital Corp. 1,100 44 PPL Corp. 16,400 753 Progress Energy, Inc. - CVO (AE)(Y) 1,300 -- Public Service Enterprise Group, Inc. 35,550 1,423 Puget Energy, Inc. 14,300 313 Qwest Communications International 38,400 138 SBC Communications, Inc. 75,200 1,824 Sempra Energy 1,800 62 Sprint Corp. 10,000 176 TXU Corp. 5,600 227 UnitedGlobalCom, Inc. Class A (AE) 65,280 474 Verizon Communications, Inc. 62,000 2,244 Wisconsin Energy Corp. 1,400 46 Xcel Energy, Inc. 5,000 84 ------- 19,484 ------- Total Common Stocks (cost $268,515) 300,172 ------- Short-Term Investments - 4.2% Frank Russell Investment Company Money Market Fund 9,796,000 9,796 State Street Securities Lending Quality Trust (M) 2,110,220 2,110 United States Treasury Bill (y)(s) 1.596% due 09/09/04 1,000 997 ------- Total Short-Term Investments (cost $12,903) 12,903 ------- Total Investments - 100.8% (identified cost $281,418) 313,075 Other Assets and Liabilities, Net - (0.8%) (2,442) ------- Net Assets - 100.0% 310,633 ======= Unrealized Notional Appreciation Futures Contracts Amount (Depreciation) (Number of Contracts) $ $ - -------------------------------------------------------------------------------- Long Positions Russell 1000 Index expiration date 09/04 (7) 2,132 4 S&P 500 E-Mini Index expiration date 09/04 (8) 456 -- S&P 500 Index expiration date 09/04 (4) 1,140 6 S&P Midcap 400 Index expiration date 09/04 (24) 7,299 114 --- Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 124 === See accompanying notes which are an integral part of the financial statements. 8 Multi-Style Equity Fund Russell Investment Funds Aggressive Equity Fund Schedule of Investments -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Common Stocks - 94.6% Auto and Transportation - 3.6% AAR Corp. 30,400 345 Airtran Holdings, Inc. (AE)(L) 12,200 173 Alaska Air Group, Inc. 7,100 169 Arctic Cat, Inc. 2,109 58 ArvinMeritor, Inc. 4,300 84 Autoliv, Inc. 12,700 536 Aviall, Inc. 2,700 51 Collins & Aikman Corp. 7,200 40 Dana Corp. 15,100 296 Dura Automotive Systems, Inc. Class A (AE) 2,300 21 EGL, Inc. (AE) 11,600 309 Forward Air Corp. (AE) 4,600 172 Genesee & Wyoming, Inc. Class A (AE) 19,850 470 Gentex Corp. 4,600 183 Grupo TMM SA - ADR 20,300 50 Heartland Express, Inc. 8,339 228 HUB Group, Inc. Class A (AE) 1,400 48 JB Hunt Transport Services, Inc. 5,600 216 Kansas City Southern 8,700 135 Marten Transport, Ltd. (AE) 1,500 28 Navistar International Corp. 6,000 233 Nordic American Tanker Shipping (L) 3,000 99 Old Dominion Freight Line (AE) 10,700 315 Oshkosh Truck Corp. 6,000 344 Overnite Corp. 3,500 103 Overseas Shipholding Group 3,500 154 Pacer International, Inc. (AE) 18,800 348 Pinnacle Airlines Corp. (AE) 1,700 19 Quantum Fuel Systems Technologies Worldwide, Inc. (AE) 3,600 22 SCS Transportation, Inc. (AE) 1,500 40 Skywest, Inc. 10,500 183 Stoneridge, Inc. (AE) 1,200 20 TBC Corp. (AE) 1,500 36 Tenneco Automotive, Inc. 9,400 124 Visteon Corp. 26,300 307 Wabash National Corp. 5,900 163 Wabtec Corp. 12,800 231 ----- 6,353 ----- Consumer Discretionary - 20.8% 4Kids Entertainment, Inc. (AE) 10,600 254 Aaron Rents, Inc. 12,000 398 Abercrombie & Fitch Co. Class A 3,200 124 Activision, Inc. (AE) 35,600 566 Advance Auto Parts (AE) 9,600 424 Advo, Inc. 17,250 568 Aeropostale, Inc. (AE) 18,650 502 Alderwoods Group, Inc. (AE) 10,800 132 Alliance Gaming Corp. (AE) 7,500 129 AMC Entertainment, Inc. 3,000 46 America's Car Mart, Inc. (AE) 3,100 93 Ameristar Casinos, Inc. 3,000 101 AnnTaylor Stores Corp. (AE) 3,450 100 Applebees International, Inc. 1,500 35 Applica, Inc. 9,100 81 Arbitron, Inc. 13,300 486 Asbury Automotive Group, Inc. (AE) 3,500 53 Ask Jeeves (AE) 1,600 62 Big 5 Sporting Goods Corp. (AE) 5,100 134 Blockbuster, Inc. Class A (L) 3,100 47 Boca Resorts, Inc. Class A (AE) 2,600 52 Borders Group, Inc. 10,000 234 Boyd Gaming Corp. 5,500 146 Bright Horizons Family Solutions, Inc. (AE) 900 48 Brink's Co. (The) 36,000 1,232 Brookstone, Inc. (AE) 12,550 252 Career Education Corp. (AE) 2,400 109 Carmike Cinemas, Inc. 6,200 245 Carter's, Inc. (AE) 800 23 CEC Entertainment, Inc. (AE) 2,000 59 Central European Distribution Corp. (AE)(L) 1,650 43 Charlotte Russe Holding, Inc. (AE) 16,600 355 Charming Shoppes 23,000 205 Choice Hotels International, Inc. 8,400 421 ChoicePoint, Inc. (AE) 11,833 540 Claire's Stores, Inc. 7,900 171 Coldwater Creek, Inc. (AE) 1,500 40 Concorde Career Colleges, Inc. (AE)(L) 6,083 106 Consolidated Graphics, Inc. (AE) 4,400 194 Copart, Inc. (AE) 9,400 251 Corinthian Colleges, Inc. (AE) 5,200 129 Corporate Executive Board Co. 8,900 514 Corrections Corp. of America 5,400 213 Cox Radio, Inc. Class A (AE) 10,000 174 Dave & Buster's, Inc. (AE) 3,900 73 Deckers Outdoor Corp. (AE)(L) 1,400 41 Dick's Sporting Goods, Inc. (AE) 3,400 113 Digital Theater Systems, Inc. (AE) 7,800 204 Dillard's, Inc. Class A 13,400 299 Dollar Thrifty Automotive Group (AE) 25,100 689 Dollar Tree Stores, Inc. (AE) 2,300 63 Aggressive Equity Fund 9 Russell Investment Funds Aggressive Equity Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Dress Barn, Inc. (AE) 2,000 34 Earthlink, Inc. (AE) 11,600 120 Education Management Corp. (AE) 16,500 542 Electronics Boutique Holdings Corp. (AE) 7,100 187 Entercom Communications Corp. (AE) 5,900 220 Exponent, Inc. (AE) 1,600 43 Finish Line Class A (AE) 3,200 97 Fisher Scientific International 2,600 150 Gaylord Entertainment Co. 3,300 104 Genesco, Inc. (AE) 4,200 99 Geo Group, Inc. (The) (AE) 1,000 20 Getty Images, Inc. (AE) 10,400 624 Gevity HR, Inc. 14,398 377 Gold Spot US Dollars Per Troy Ounce 2003 Warrants (AE) 12,300 266 Goody's Family Clothing, Inc. 2,800 29 Gray Television, Inc. 14,600 203 GTECH Holdings Corp. 13,700 634 Guess ?, Inc. (AE) 3,200 52 Guitar Center, Inc. (AE) 4,000 178 Handleman Co. 12,200 283 Harman International Industries, Inc. 800 73 Harte-Hanks, Inc. 5,100 124 Hasbro, Inc. 18,700 355 Haverty Furniture Cos., Inc. 13,900 243 Hearst-Argyle Television, Inc. 36,400 938 Helen of Troy, Ltd. (AE) 4,300 159 Hewitt Associates, Inc. Class A (AE) 16,900 465 Hibbett Sporting Goods, Inc. (AE) 1,500 41 Hilton Hotels Corp. 9,000 168 Hollinger International, Inc. Class A 4,800 81 Hooker Furniture Corp. 1,700 34 IKON Office Solutions, Inc. 2,700 31 Insight Enterprises, Inc. (AE) 11,200 199 International Speedway Corp. Class A 2,700 131 ITT Educational Services, Inc. 1,500 57 Jack in the Box, Inc. (AE) 6,700 199 Jarden Corp. (AE) 5,100 184 Jo-Ann Stores, Inc. (AE) 5,400 159 Jones Apparel Group, Inc. 6,600 261 Journal Register Co. (AE) 4,000 80 Kellwood Co. 11,800 514 Korn/Ferry International (AE)(L) 2,900 56 Labor Ready, Inc. (AE) 13,400 208 Lamar Advertising Co. Class A (AE) 5,900 256 Landry's Restaurants, Inc. 2,600 78 Laureate Education, Inc. (AE) 4,500 172 La-Z-Boy, Inc. Class C 4,300 77 Leapfrog Enterprises, Inc. (AE)(L) 7,700 153 Lee Enterprises, Inc. 4,200 202 Lithia Motors, Inc. Class A 9,000 223 LKQ Corp. (AE) 3,000 56 Lone Star Steakhouse & Saloon 5,400 147 MTR Gaming Group, Inc. (AE) 2,000 22 Magellan Health Services, Inc. (AE) 7,500 251 Marcus Corp. 10,000 173 MarineMax, Inc. (AE) 3,300 95 Marvel Enterprises, Inc. (AE) 6,150 120 Media General, Inc. Class A 2,800 180 Monro Muffler, Inc. (AE) 1,900 46 Movado Group, Inc. 7,800 135 Movie Gallery, Inc. 4,600 90 MPS Group, Inc. (AE) 45,300 549 MSC Industrial Direct Co. Class A 3,900 128 Nautilus Group, Inc. (L) 16,600 324 Neiman-Marcus Group, Inc. Class A 3,200 178 Nu Skin Enterprises, Inc. (L) 1,500 38 O'Reilly Automotive, Inc. (AE) 1,500 68 Oxford Industries, Inc. (L) 2,500 109 Papa John's International, Inc. (AE)(L) 1,100 32 Payless Shoesource, Inc. (AE) 4,000 60 PEP Boys-Manny Moe & Jack 5,900 150 Petco Animal Supplies, Inc. (AE) 6,100 196 Petsmart, Inc. 4,500 146 Pier 1 Imports, Inc. 7,000 124 Playtex Products, Inc. (AE) 8,900 70 Polo Ralph Lauren Corp. 14,900 513 Pre-Paid Legal Services, Inc. (AE)(L) 4,700 112 Pulitzer, Inc. 3,900 191 Radio One, Inc. Class D (AE) 25,500 408 Red Robin Gourmet Burgers, Inc. (AE)(L) 1,400 38 Regal Entertainment Group Class A 15,400 279 Regis Corp. 5,900 263 Rent-A-Center, Inc. (AE) 12,800 383 Rent-Way, Inc. (AE)(L) 2,700 24 Republic Services, Inc. 6,700 194 Retail Ventures, Inc. (AE) 1,500 12 RR Donnelley & Sons Co. 8,518 281 Ruby Tuesday, Inc. 4,500 124 Sabre Holdings Corp. Class A 5,900 163 Saks, Inc. 44,900 674 Scholastic Corp. (AE) 4,100 123 Scientific Games Corp. Class A (AE) 27,200 521 SCP Pool Corp. 14,400 648 Service Corp. International 21,900 161 10 Aggressive Equity Fund Russell Investment Funds Aggressive Equity Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- ShopKo Stores, Inc. (L) 16,100 228 Shuffle Master, Inc. (AE)(L) 3,300 120 Skechers U.S.A., Inc. Class A (AE) 5,400 70 Snap-On, Inc. Class C 7,000 235 Sonic Automotive, Inc. 7,800 173 Source Interlink Cos., Inc. (AE) 2,100 23 Sourcecorp (AE) 14,300 394 Speedway Motorsports, Inc. (L) 15,000 502 Spherion Corp. (AE) 9,200 93 Stage Stores, Inc. (AE)(L) 12,700 478 Steak N Shake Co. (The) 4,700 86 Stein Mart, Inc. (AE) 4,800 78 Steinway Musical Instruments (AE) 600 21 Stewart Enterprises, Inc. Class A 30,400 247 Strayer Education, Inc. 800 89 Tech Data Corp. (AE) 8,200 321 Tele2 AB Class A - ADR (AE)(L) 13,200 410 TeleTech Holdings, Inc. (AE) 10,000 88 Tetra Tech, Inc. (AE) 6,825 111 Thomas Nelson, Inc. 2,000 45 Tiffany & Co. 2,700 99 Toro Co. 9,600 673 Trans World Entertainment (AE)(L) 8,200 82 Unifirst Corp. 3,100 90 United Auto Group, Inc. 5,300 162 United Stationers, Inc. 4,000 159 Universal Technical Institute, Inc. (AE) 1,900 76 Vail Resorts, Inc. (AE) 3,400 65 Valassis Communications, Inc. 3,800 116 Valueclick, Inc. (AE) 13,400 161 Ventiv Health, Inc. (AE) 4,500 70 VeriSign, Inc. (AE) 13,800 275 Warnaco Group, Inc. (The) (AE) 2,700 57 Watson Wyatt & Co. Holdings 3,200 85 Weight Watchers International, Inc. (AE) 2,900 114 WESCO International, Inc. (AE) 5,600 103 West Corp. (AE) 8,200 214 Wolverine World Wide, Inc. 600 16 Zale Corp. (AE) 1,200 33 ------ 36,817 ------ Consumer Staples - 2.3% 7-Eleven, Inc. Class C (AE) 6,100 109 Adolph Coors Co. Class B 2,700 195 Chiquita Brands International, Inc. (AE) 700 15 Church & Dwight, Inc. 1,700 78 Constellation Brands, Inc. Class A (AE) 13,200 490 Del Monte Foods Co. (AE) 7,500 76 DIMON, Inc. 2,500 14 Duane Reade, Inc. (AE) 3,700 60 Great Atlantic & Pacific Tea Co. (L) 10,500 80 Lance, Inc. 2,500 39 Longs Drug Stores Corp. 7,100 169 M&F Worldwide Corp. (AE) 7,300 100 Nash Finch Co. (L) 13,400 335 Natures Sunshine Prods, Inc. 3,700 53 NBTY, Inc. (AE) 11,600 341 Nutraceutical International Corp. (AE) 5,600 119 Pathmark Stores, Inc. (AE) 25,600 195 PepsiAmericas, Inc. 7,100 151 Pilgrim's Pride Corp. (L) 12,400 359 Robert Mondavi Class A (AE) 1,800 67 Ruddick Corp. 4,000 90 Sanderson Farms, Inc. (L) 12,900 692 Smart & Final, Inc. 2,900 35 Standard Commercial Corp. 1,200 22 Tyson Foods, Inc. Class A 4,500 94 Universal Corp. 3,200 163 ------ 4,141 ------ Financial Services - 17.5% Advent Software, Inc. (AE) 8,600 155 AG Edwards, Inc. 9,900 337 Alleghany Corp. 153 44 Alliance Data Systems Corp. (AE) 21,500 908 Allmerica Financial Corp. 2,500 85 AMB Property Corp. (o) 8,400 291 American Financial Group, Inc. 6,300 193 American Home Mortgage Investment Corp. (o)(L) 5,900 153 AmeriCredit Corp. (AE)(L) 25,900 506 AmerUs Group Co. (L) 1,800 75 AMLI Residential Properties Trust (o) 1,600 47 Anthracite Capital, Inc. (o) 17,200 206 Arden Realty, Inc. (o) 3,800 112 Ashford Hospitality Trust, Inc. (AE)(o) 15,200 127 Associated Banc-Corp 15,315 454 Associated Estates Realty Corp. (o)(L) 2,600 21 Assured Guaranty, Ltd. (AE) 10,800 183 Asta Funding, Inc. (L) 5,200 90 Astoria Financial Corp. 7,700 282 AvalonBay Communities, Inc. (o) 5,200 294 Bancorpsouth, Inc. (L) 900 20 Bank Mutual Corp. 18,200 198 Bank of Hawaii Corp. 19,300 873 Bankunited Financial Corp. Class A 3,000 77 Aggressive Equity Fund 11 Russell Investment Funds Aggressive Equity Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- BOK Financial Corp. (AE) 1,030 40 Boykin Lodging Co. (o) 2,200 17 Brookline Bancorp, Inc. 13,500 198 Capital Automotive REIT (o) 8,500 249 Capital Trust Class A (L) 2,600 69 CapitalSource, Inc. (AE) 11,500 281 Capstead Mortgage Corp. (o)(L) 3,400 46 Cash America International, Inc. 5,100 117 CBL & Associates Properties, Inc. (o) 3,700 204 CCC Information Services Group (AE) 600 10 Central Pacific Financial Corp. 700 19 Certegy, Inc. 5,500 213 Charter Municipal Mortgage Acceptance Co. 4,800 94 Chemical Financial Corp. 700 26 CIT Group, Inc. 5,000 191 City Holding Co. 600 19 City National Corp. 2,900 191 Colonial BancGroup, Inc. (The) 12,200 222 Commerce Group, Inc. 2,000 99 Commercial Federal Corp. 5,000 136 Commercial Net Lease Realty (o)(L) 13,500 232 Community Bank System, Inc. 12,600 287 CompuCredit Corp. (AE) 19,700 341 Cornerstone Realty Income Trust, Inc. (o)(L) 700 6 Corus Bankshares, Inc. 2,600 107 Credit Acceptance Corp. (AE)(L) 3,200 48 CVB Financial Corp. 1,100 24 Cybersource Corp. (AE) 6,600 55 Diamond Rock Hospitality Co. (o) 20,800 209 Doral Financial Corp. 4,650 160 Downey Financial Corp. 3,700 197 Eastgroup Properties (o) 2,000 67 eFunds Corp. (AE) 7,000 123 Encore Capital Group, Inc. (AE) 3,500 46 Entertainment Properties Trust (o) 2,100 75 Equifax, Inc. 12,400 307 Equity Inns, Inc. (o) 3,800 35 Equity One, Inc. (o)(L) 13,200 239 Euronet Worldwide, Inc. (AE) 4,800 111 Fair Isaac Corp. 5,037 168 Falck SPA (AE) 6,400 211 FBL Financial Group, Inc. Class A 1,200 34 Fidelity Bankshares, Inc. 800 28 Fieldstone Investment Corp. (AE)(Y) 13,100 206 First American Corp. 19,300 500 First Bancorp Puerto Rico 600 24 First Commonwealth Financial Corp. (L) 4,900 64 First Midwest Bancorp, Inc. 1,900 67 First Niagara Financial Group, Inc. 27,100 325 FirstFed Financial Corp. 3,600 150 Flagstar Bancorp, Inc. 1,500 30 Flushing Financial Corp. 1,200 21 Fremont General Corp. (L) 5,300 94 Friedman Billings Ramsey Group, Inc. Class A (o)(L) 12,600 249 Fulton Financial Corp. 1,681 34 Gabelli Asset Management, Inc. Class A (L) 6,500 276 GATX Corp. 5,700 155 Getty Realty Corp. (o) 1,900 48 Global Payments, Inc. (L) 15,100 680 Greater Bay Bancorp (L) 6,600 191 Hancock Holding Co. 800 23 Health Care Property Investors, Inc. (o) 900 22 Health Care REIT, Inc. (o)(L) 8,500 276 HealthExtras, Inc. (AE) 14,800 245 Heritage Property Investment Trust (o) 4,000 108 Hospitality Properties Trust (o) 1,800 76 HRPT Properties Trust (o) 40,500 405 Hudson United Bancorp 2,700 101 IberiaBank Corp. (L) 500 30 IMPAC Mortgage Holdings, Inc. (o) 9,500 214 Independent Bank Corp. 990 25 IndyMac Bancorp, Inc. 700 22 Innkeepers USA Trust (o) 3,800 39 Instinet Group, Inc. 17,000 90 Investors Financial Services Corp. 8,800 384 iPayment, Inc. (AE) 8,889 364 iShares Russell 2000 Value Index Fund (L) 5,600 964 Jack Henry & Associates, Inc. 10,600 213 Jefferies Group, Inc. 6,300 195 Jermyn Investments (AE)(Y) 19,400 291 Jones Lang LaSalle, Inc. (AE) 1,400 38 Kilroy Realty Corp. (o) 500 17 Koger Equity, Inc. (o) 8,400 194 La Quinta Corp. 35,600 299 LandAmerica Financial Group, Inc. 14,600 568 LaSalle Hotel Properties (o) 1,800 44 Legg Mason, Inc. 2,000 182 LTC Properties, Inc. (o)(L) 3,500 58 Luminent Mortgage Capital, Inc. (o) 16,800 202 Macatawa Bank Corp. 5,200 143 Mack-Cali Realty Corp. (o) 3,900 161 12 Aggressive Equity Fund Russell Investment Funds Aggressive Equity Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Manufactured Home Communities, Inc. (o) 4,900 163 Markel Corp. (AE) 1,450 402 Marlin Business Services, Inc. (AE) 2,300 35 MB Financial Corp. 750 28 Meadowbrook Insurance Group, Inc. 41,100 218 Meristar Hospitality Corp. (o) 16,600 114 Mid-America Apartment Communities, Inc. (o) 1,400 53 Moody's Corp. 1,200 78 National Health Investors, Inc. (o) 9,400 256 National Penn Bancshares, Inc. (L) 630 19 National Processing, Inc. (AE) 2,500 72 Nationwide Health Properties, Inc. (o) 1,700 32 NDCHealth Corp. 5,700 132 New Century Financial Corp. (L) 11,800 552 Newcastle Investment Corp. (o) 4,000 120 Novastar Financial, Inc. (o)(L) 600 23 Nuveen Investments, Inc. Class A 7,400 198 OceanFirst Financial Corp. 1,703 41 Ohio Casualty Corp. 6,800 137 Pacific Capital Bancorp 1,466 41 Parkvale Financial Corp. 3,757 99 People's Bank 6,700 209 PFF Bancorp, Inc. 5,320 198 Philadelphia Consolidated Holding Co. (AE) 1,500 90 Phoenix Cos., Inc. (The) (L) 2,700 33 Popular, Inc. 1,200 51 Prentiss Properties Trust (o) 6,400 215 PrivateBancorp, Inc. (L) 4,000 110 Protective Life Corp. 7,300 282 Provident Bancorp, Inc. 3,000 34 Provident Bankshares Corp. 1,500 43 Provident Financial Group, Inc. (L) 5,100 201 Providian Financial Corp. 23,200 340 PS Business Parks, Inc. (o) 4,700 189 PXRE Group, Ltd. 7,600 192 Quanta Capital Holdings, Ltd. (AE) 20,800 223 R&G Financial Corp. Class B 3,400 112 Radian Group, Inc. 3,700 177 Raymond James Financial, Inc. 9,600 254 Reckson Associates Realty Corp. (o) 4,800 132 Redwood Trust, Inc. (o)(L) 5,100 284 Regency Centers Corp. (o) 800 34 Republic Bancorp, Inc. 3,700 51 Ryder System, Inc. 7,900 317 Selective Insurance Group 7,200 287 Senior Housing Properties Trust (o) 21,800 366 Silicon Valley Bancshares 12,600 500 SL Green Realty Corp. (o)(L) 1,400 66 Sotheby's Holdings Class A 330 5 Sovran Self Storage, Inc. (o) 1,100 42 Stancorp Financial Group, Inc. 2,800 188 Sterling Bancorp 2,090 58 Stewart Information Services Corp. 13,100 442 Summit Properties, Inc. (o) 2,400 62 Susquehanna Bancshares, Inc. 1,200 30 TCF Financial Corp. 2,400 139 Texas Regional Bancshares, Inc. Class A 825 38 UCBH Holdings, Inc. 4,500 178 UMB Financial Corp. 500 26 United Bankshares, Inc. 2,000 65 United Community Banks, Inc. 900 23 Universal Health Realty Income Trust (o) 900 26 Washington Mutual, Inc. 2005 Warrants (AE) 44,300 5 Washington Real Estate Investment Trust (o) 5,500 162 Webster Financial Corp. 3,000 141 Weingarten Realty Investors (o) 10,200 319 WellChoice, Inc. (AE) 6,800 282 WesBanco, Inc. 600 17 WFS Financial, Inc. (AE) 1,100 54 Whitney Holding Corp. 2,200 98 World Acceptance Corp. (AE) 10,700 196 WR Berkley Corp. 1,100 47 WSFS Financial Corp. 3,500 170 ------ 31,005 ------ Health Care - 13.6% Abaxis, Inc. (AE) 800 15 Abgenix, Inc. (AE) 14,300 168 Able Laboratories, Inc. (AE)(L) 7,800 160 Accelrys, Inc. (AE) 14,500 143 Accredo Health, Inc. (AE) 4,700 183 Advanced Medical Optics, Inc. (AE) 1,800 77 Align Technology, Inc. (AE) 13,382 254 Alpharma, Inc. Class A 6,600 135 American Medical Security Group, Inc. 1,300 35 American Medical Systems Holdings, Inc. (AE) 10,070 339 Analogic Corp. 3,700 157 Apogent Technologies, Inc. (AE) 1,900 61 Aggressive Equity Fund 13 Russell Investment Funds Aggressive Equity Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Applera Corp. - Celera Genomics Group (AE) 19,800 228 Arthrocare Corp. (AE)(L) 7,800 227 Atherogenics, Inc. (AE)(L) 1,500 29 Atrix Labs, Inc. (AE) 4,300 147 Axcan Pharma, Inc. (AE)(L) 6,600 139 Beckman Coulter, Inc. 4,600 281 Beverly Enterprises, Inc. (AE) 4,800 41 Bio-Rad Laboratories, Inc. Class A (AE) 2,800 165 Candela Corp. (AE) 19,900 195 Cephalon, Inc. (AE)(L) 5,400 292 Charles River Laboratories International, Inc. (AE) 1,400 68 Chattem, Inc. 1,200 35 Community Health Systems, Inc. (AE) 14,700 394 Cooper Cos., Inc. 2,200 139 Covance, Inc. (AE) 3,300 127 CR Bard, Inc. 1,000 57 Cytyc Corp. (AE) 7,600 193 Dade Behring Holdings, Inc. (AE) 25,900 1,230 Datascope Corp. 900 36 DaVita, Inc. (AE) 33,051 1,018 Digene Corp. (AE) 800 29 DJ Orthopedics, Inc. (AE) 2,600 60 Edwards Lifesciences Corp. (AE) 7,200 251 Elan Corp. PLC - ADR (AE)(L) 7,700 190 Endo Pharmaceuticals Holdings, Inc. (AE) 8,600 202 Eon Labs, Inc. (AE)(L) 1,100 45 eResearch Technology, Inc. (AE)(L) 21,800 610 Genencor International, Inc. (AE) 9,000 147 Gen-Probe, Inc. (AE) 21,300 1,007 Gentiva Health Services, Inc. 3,900 63 Given Imaging, Ltd. (AE) 6,807 241 Health Net, Inc. (AE) 14,100 374 Healthsouth Corp. (AE)(L) 27,600 166 Henry Schein, Inc. (AE) 1,300 82 Humana, Inc. 41,500 701 Idexx Laboratories, Inc. (AE) 600 38 Impax Laboratories, Inc. (AE) 1,500 29 Inamed Corp. (AE) 3,700 233 Intuitive Surgical, Inc. (AE) 8,900 169 Inveresk Research Group, Inc. (AE) 13,051 402 Invitrogen Corp. (AE) 3,000 216 Kindred Healthcare, Inc. (AE)(L) 13,600 358 Kos Pharmaceuticals, Inc. (AE) 10,900 359 Kosan Biosciences, Inc. (AE) 13,700 108 Kyphon, Inc. (AE) 1,600 45 LabOne, Inc. 2,200 70 LifePoint Hospitals, Inc. (AE) 11,700 435 Ligand Pharmaceuticals, Inc. Class B (AE) 12,100 210 Lincare Holdings, Inc. (AE) 10,000 329 Manor Care, Inc. 10,600 346 Martek Biosciences Corp. (AE)(L) 5,500 309 Matria Healthcare, Inc. (AE)(L) 1,000 25 Maxygen, Inc. (AE) 1,500 16 Medarex, Inc. (AE)(L) 42,600 311 Medcath Corp. (AE)(L) 1,100 22 Medicis Pharmaceutical Class A 5,500 220 MGI Pharma, Inc. (AE) 5,800 157 Microtek Medical Holdings, Inc. (AE)(L) 6,100 31 Millennium Pharmaceuticals, Inc. (AE) 7,000 97 Millipore Corp. 2,300 130 Myriad Genetics, Inc. (AE)(L) 6,100 91 Nabi Biopharmaceuticals (AE) 10,544 150 NeighborCare, Inc. (AE) 4,100 128 Noven Pharmaceuticals, Inc. (AE) 5,600 123 Ocular Sciences, Inc. (AE) 3,800 144 Omnicare, Inc. 8,700 372 Orthofix International NV (AE) 4,100 175 Pacificare Health Systems (AE)(L) 11,600 448 Par Pharmaceutical Cos., Inc. 5,700 201 Parexel International Corp. (AE)(L) 5,900 117 Pediatrix Medical Group, Inc. (AE) 9,300 650 Perrigo Co. 4,300 82 Pharmacopeia Drug Discovery, Inc. (AE) 9,650 55 Protein Design Labs, Inc. (AE) 8,400 161 Province Healthcare Co. (AE) 18,300 314 QLT, Inc. (AE) 9,400 188 Renal Care Group, Inc. (AE) 12,200 404 Respironics, Inc. (AE) 13,400 787 Salix Pharmaceuticals, Ltd. (AE) 19,321 637 Select Medical Corp. 8,500 114 Sepracor, Inc. (AE) 3,600 190 Serologicals Corp. (AE)(L) 6,100 122 SFBC International, Inc. (AE) 6,500 204 Sierra Health Services (AE)(L) 4,300 192 Stericycle, Inc. (AE) 6,500 336 Sybron Dental Specialties, Inc. (AE) 9,466 283 Telik, Inc. (AE)(L) 2,200 53 Thoratec Corp. (AE) 13,300 143 TLC Vision Corp. (AE) 4,700 55 Triad Hospitals, Inc. (AE) 8,400 313 Universal Health Services, Inc. Class B 5,600 257 VCA Antech, Inc. (AE) 9,500 426 Ventana Medical Systems (AE) 6,500 309 Vicuron Pharmaceuticals, Inc. (AE) 1,500 19 14 Aggressive Equity Fund Russell Investment Funds Aggressive Equity Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- West Pharmaceutical Services, Inc. 500 21 Wright Medical Group, Inc. (AE) 2,300 82 Zymogenetics, Inc. (AE) 5,000 95 ------ 24,042 ------ Integrated Oils - 0.1% KCS Energy, Inc. 11,700 156 ------ Materials and Processing - 7.8% Albany International Corp. Class A 4,200 141 Aptargroup, Inc. 2,700 118 Arch Chemicals, Inc. 1,800 52 Armor Holdings, Inc. (AE) 5,100 173 Ashland, Inc. 8,600 454 Ball Corp. 5,900 425 Barnes Group, Inc. 1,400 41 Bluegreen Corp. (L) 2,900 40 Brady Corp. Class A 1,000 46 Brookfield Homes Corp. 16,600 435 Brush Engineered Materials, Inc. 2,200 42 Building Material Holding Corp. 1,300 25 Cabot Corp. 9,400 383 Calgon Carbon Corp. (L) 29,800 200 Carpenter Technology 17,000 579 CB Richard Ellis Group, Inc. Class A (AE) 4,900 94 Century Aluminum Co. 8,500 211 Chesapeake Corp. 1,400 37 CIRCOR International, Inc. 3,200 65 Comfort Systems USA, Inc. (AE) 5,100 33 Constar International, Inc. (AE) 9,400 44 Crown Holdings, Inc. 19,600 195 Cytec Industries, Inc. 19,500 886 Delta & Pine Land Co. 9,500 209 Drew Industries, Inc. (AE) 1,100 45 Dycom Industries, Inc. (AE) 8,900 249 Encore Wire Corp. (AE) 4,800 132 Energizer Holdings, Inc. (AE) 4,400 198 Florida Rock Industries, Inc. 9,700 409 GrafTech International, Ltd. (AE) 2,700 28 Greif, Inc. Class A 100 4 Hercules, Inc. 12,300 150 Hughes Supply, Inc. 4,700 277 IMC Global, Inc. 5,700 76 IMCO Recycling, Inc. 5,000 66 Integrated Electrical Services, Inc. (AE) 22,200 179 Jacuzzi Brands, Inc. (AE) 26,000 210 Lafarge North America, Inc. 3,700 160 Lennox International, Inc. 5,700 103 LNR Property Corp. (L) 8,600 467 Longview Fibre Co. 1,300 19 Louisiana-Pacific Corp. 12,900 305 Lubrizol Corp. 5,700 209 MacDermid, Inc. 800 27 Martin Marietta Materials, Inc. 5,100 226 Maverick Tube Corp. (AE) 4,900 129 Metals USA, Inc. (AE) 2,100 38 Millennium Chemicals, Inc. 13,400 232 Mueller Industries, Inc. 4,000 143 Myers Industries, Inc. 250 4 NCI Building Systems, Inc. (AE) 1,600 52 NewMarket Corp. 12,300 264 Octel Corp. 3,100 82 Oregon Steel Mills, Inc. (AE) 3,600 53 Pactiv Corp. (AE) 11,500 287 Quanex Corp. 5,100 248 Quanta Services, Inc. (AE)(L) 33,600 209 Reliance Steel & Aluminum Co. 7,300 294 Rogers Corp. 7,500 524 RPM International, Inc. 2,900 44 Ryerson Tull, Inc. (L) 12,900 205 Schulman A, Inc. 10,200 219 Sealed Air Corp. (AE) 5,200 277 Silgan Holdings, Inc. 1,600 64 Smurfit-Stone Container Corp. (AE) 14,600 291 Sonoco Products Co. 10,700 273 Southern Peru Copper Corp. 4,100 169 Spartech Corp. 8,600 223 Texas Industries, Inc. 2,800 115 Timken Co. 1,800 48 Titanium Metals Corp. 400 37 Trammell Crow Co. (AE)(L) 200 3 Tredegar Corp. 14,300 231 Unifi, Inc. 10,900 32 URS Corp. 3,100 85 USEC, Inc. 4,500 39 USG Corp. (L) 2,700 47 Valspar Corp. 600 30 Washington Group International, Inc. (AE) 3,200 115 Watsco, Inc. 6,000 168 WCI Communities, Inc. (AE) 1,600 36 York International Corp. 2,700 111 ------ 13,888 ------ Aggressive Equity Fund 15 Russell Investment Funds Aggressive Equity Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Miscellaneous - 0.7% Allete, Inc. 7,200 240 Brunswick Corp. 9,000 367 Carlisle Cos., Inc. 6,200 386 Trinity Industries, Inc. (L) 10,200 324 ----- 1,317 ----- Other Energy - 3.9% Berry Petroleum Co. Class A 2,500 74 Cal Dive International, Inc. (AE) 9,500 288 Capstone Turbine Corp. (AE)(L) 7,400 16 CARBO Ceramics, Inc. 1,300 89 Clayton Williams Energy, Inc. (AE) 2,400 57 Consol Energy, Inc. (L) 1,400 50 Cooper Cameron Corp. (AE) 2,300 112 Encore Acquisition Co. (AE) 3,400 95 Evergreen Resources, Inc. (AE) 3,100 125 Global Power Equipment Group, Inc. (AE) 4,700 38 Grant Prideco, Inc. (AE) 19,500 360 Harvest Natural Resources, Inc. (AE) 11,800 176 Houston Exploration Co. (AE) 5,300 275 Magnum Hunter Resources, Inc. (AE)(L) 6,700 70 Massey Energy Co. 7,300 206 Nabors Industries, Ltd. (AE) 4,000 181 National-Oilwell, Inc. Class C (AE) 16,100 507 Newfield Exploration Co. (AE) 1,400 78 NRG Energy, Inc. 8,300 206 Patina Oil & Gas Corp. 20,312 607 Patterson-UTI Energy, Inc. 10,000 334 Petroleum Development Corp. (AE) 14,600 400 Petroquest Energy, Inc. (AE) 7,400 32 Plains Exploration & Production Co. (AE) 3,182 58 Smith International, Inc. 3,600 201 Stone Energy Corp. (AE) 4,900 224 Superior Energy Services (AE) 14,400 145 Swift Energy Co. (AE) 7,583 167 Tesoro Petroleum Corp. 21,700 599 Texas Genco Holdings, Inc. (L) 2,700 122 Universal Compression Holdings, Inc. (AE) 9,600 295 Veritas DGC, Inc. (AE) 23,800 551 Whiting Petroleum Corp. (AE) 6,300 158 ----- 6,896 ----- Producer Durables - 7.8% Actuant Corp. Class A 5,600 218 Advanced Energy Industries, Inc. (AE) 1,300 20 American Power Conversion Corp. 10,700 210 American Tower Corp. Class A 15,000 228 Applied Industrial Technologies, Inc. 1,800 54 Arris Group, Inc. (AE) 15,500 92 Artesyn Technologies, Inc. (AE) 44,600 401 Audiovox Corp. Class A (AE) 2,100 35 Axcelis Technologies, Inc. (AE) 9,200 114 Briggs & Stratton Corp. 8,300 733 Cascade Corp. 900 28 Centex Corp. 900 41 CNH Global NV 10,740 222 Crown Castle International Corp. (AE) 2,600 38 CTS Corp. 3,400 41 Curtiss-Wright Corp. 2,200 124 Cymer, Inc. (AE) 5,800 217 Dionex Corp. (AE) 2,700 149 Dominion Homes, Inc. (AE) 700 16 Donaldson Co., Inc. 3,600 105 Duratek, Inc. (AE) 13,073 198 Electroglas, Inc. (AE)(L) 4,500 24 Engineered Support Systems, Inc. 800 47 EnPro Industries, Inc. (AE) 2,800 64 ESCO Technologies, Inc. 4,600 245 Esterline Technologies Corp. 1,200 35 FSI International, Inc. (AE) 3,900 30 Gardner Denver, Inc. (AE) 8,800 246 Genlyte Group, Inc. (AE) 2,200 138 Goodrich Corp. 11,100 359 Graco, Inc. 4,050 126 Hovnanian Enterprises, Inc. Class A (AE)(L) 5,100 177 Hubbell, Inc. Class B 4,100 192 IDEX Corp. 4,950 170 Imagistics International, Inc. (AE) 12,400 439 JLG Industries, Inc. 4,200 58 Joy Global, Inc. 8,800 263 Kadant, Inc. (AE) 800 19 KB Home 800 55 Littelfuse, Inc. (AE) 4,500 191 Manitowoc Co. 3,900 132 Mattson Technology, Inc. (AE) 13,700 165 MDC Holdings, Inc. 4,520 288 Measurement Specialties, Inc. (AE) 6,284 136 Meritage Corp. 300 21 Metrologic Instruments, Inc. (AE)(L) 3,400 68 Mettler Toledo International, Inc. (AE) 5,900 290 16 Aggressive Equity Fund Russell Investment Funds Aggressive Equity Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Middleby Corp. (L) 4,200 229 Milacron, Inc. (L) 22,000 88 Mine Safety Appliances Co. 1,100 37 MKS Instruments, Inc. (AE) 4,700 107 Molex, Inc. 7,300 234 Moog, Inc. Class A 3,400 126 MTS Systems Corp. 13,100 307 Mykrolis Corp. (AE) 9,800 171 NACCO Industries, Inc. Class A 3,800 361 NMS Communications Corp. (AE) 5,000 37 Nordson Corp. 2,500 108 Orbital Sciences Corp. (AE)(L) 20,900 289 Orleans Homebuilders, Inc. (L) 1,700 33 Pall Corp. 10,500 275 Pentair, Inc. 3,000 101 Photon Dynamics, Inc. (AE) 7,900 277 Photronics, Inc. (AE) 18,300 347 Plantronics, Inc. (AE) 10,400 438 Polycom, Inc. (AE) 9,400 211 Pulte Homes, Inc. 2,000 104 Rayovac Corp. (AE) 1,700 48 Rofin-Sinar Technologies, Inc. (AE) 6,500 165 Sonic Solutions, Inc. (AE)(L) 11,400 242 Spatialight, Inc. (AE)(L) 16,047 97 Standard-Pacific Corp. 7,800 385 Steelcase, Inc. Class A 3,500 49 Symmetricom, Inc. (AE) 7,613 68 Tecumseh Products Co. Class A 2,700 111 Tektronix, Inc. 9,400 320 Teledyne Technologies, Inc. (AE) 11,300 226 Terex Corp. 8,100 276 Thomas Industries, Inc. 900 30 Toll Brothers, Inc. (AE) 1,300 55 Transact Technologies, Inc. (L) 3,054 97 Triumph Group, Inc. (AE) 1,400 45 United Defense Industries, Inc. (AE) 4,000 140 United Industrial Corp. 4,100 96 Varian Semiconductor Equipment Associates, Inc. (AE) 5,700 220 Woodward Governor Co. 800 58 ------ 13,870 ------ Technology - 13.0% 3Com Corp. (AE) 81,500 509 ADC Telecommunications, Inc. (AE) 57,600 164 Aeroflex, Inc. (AE) 32,000 459 Agile Software Corp. (AE) 29,300 256 AgilySystem, Inc. 2,300 32 Aladdin Knowledge Systems 9,000 148 Alliance Semiconductor Corp. (AE) 13,200 79 Amphenol Corp. Class A (AE) 1,000 33 Anixter International, Inc. 9,900 337 Anteon International Corp. (AE) 3,600 117 Arrow Electronics, Inc. 800 21 Artisan Components, Inc. (AE) 4,800 124 Ascential Software Corp. (AE) 12,700 203 ASE Test, Ltd. (AE) 17,200 127 Aspect Communications Corp. (AE) 18,600 264 Aspen Technology, Inc. (AE) 12,300 89 ATI Technologies, Inc. (AE) 20,900 394 Atmel Corp. (AE) 87,900 520 Autodesk, Inc. 2,100 90 Avaya, Inc. (AE) 16,200 256 Avid Technology, Inc. (AE) 3,300 180 Avnet, Inc. 40,500 919 Avocent Corp. (AE) 900 33 AVX Corp. (L) 7,300 105 BearingPoint, Inc. (AE) 32,700 290 BEI Technologies, Inc. 5,900 167 Benchmark Electronics, Inc. (AE) 4,600 134 Borland Software Corp. (AE) 18,700 159 Catapult Communications Corp. (AE) 4,100 94 Ceridian Corp. (AE) 11,600 261 Chordiant Software, Inc. (AE) 3,100 14 Ciena Corp. (AE) 28,300 105 Cognos, Inc. (AE) 7,000 253 Coherent, Inc. (AE) 2,300 69 CommScope, Inc. (AE) 1,900 41 Compuware Corp. (AE) 42,200 279 Comtech Telecommunications (AE) 9,500 214 Comverse Technology, Inc. (AE) 16,100 321 Conexant Systems, Inc. (AE) 13,000 56 CovanSystem Corp. (AE) 3,300 34 CSG Systems International (AE) 5,100 106 Cypress Semiconductor Corp. (AE)(L) 5,300 75 Digital River, Inc. (AE) 9,800 320 Diodes, Inc. (AE) 1,600 38 Ditech Communications Corp. (AE) 15,900 371 DRS Technologies, Inc. (AE) 5,600 179 E.piphany, Inc. (AE) 10,900 53 EDO Corp. 13,800 333 Embarcadero Technologies, Inc. (AE) 4,000 49 Emulex Corp. (AE) 9,800 140 Epicor Software Corp. (AE) 5,000 70 Equinix, Inc. (AE)(L) 7,800 265 ESS Technology (AE) 5,100 55 Aggressive Equity Fund 17 Russell Investment Funds Aggressive Equity Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Fairchild Semiconductor International, Inc. (AE) 25,000 409 Filenet Corp. (AE) 4,200 133 FormFactor, Inc. 400 9 Harris Corp. 2,600 132 ID Systems, Inc. (AE)(L) 8,800 133 Imation Corp. 7,200 307 InFocus Corp. (AE) 41,500 353 Informatica Corp. (AE) 20,500 156 Innovative Solutions & Support, Inc. (AE) 11,753 229 Integrated Circuit Systems, Inc. (AE) 10,800 293 Integrated Device Technology, Inc. (AE) 33,200 459 Integrated Silicon Solutions, Inc. (AE) 6,000 73 Intergraph Corp. (AE) 1,700 44 International Rectifier Corp. (AE) 4,800 199 Internet Security Systems (AE) 13,400 206 Intersil Corp. Class A 7,100 154 Interwoven, Inc. (AE) 3,200 32 Iomega Corp. 7,000 39 JDA Software Group, Inc. (AE) 4,600 61 Kemet Corp. (AE) 16,400 200 Keynote Systems, Inc. (AE) 10,500 144 Komag, Inc. (AE)(L) 3,400 47 Lawson Software, Inc. (AE) 3,500 25 Leadis Technology, Inc. (AE) 1,700 23 Lions Gate Entertainment Corp. (AE) 36,100 252 LSI Logic Corp. (AE) 58,300 444 Macromedia, Inc. (AE) 6,900 169 Macrovision Corp. (AE) 5,400 135 MatrixOne, Inc. (AE) 22,800 158 Maxtor Corp. (AE) 27,400 182 MEMC Electronic Materials, Inc. (AE) 7,500 74 Mercury Interactive Corp. (AE) 2,700 135 Merix Corp. (AE)(L) 1,400 16 Methode Electronics, Inc. 17,100 222 Microsemi Corp. 16,300 232 MicroStrategy, Inc. Class A (AE)(L) 700 30 Mindspeed Technologies, Inc. (AE) 12,200 61 MSC.Software Corp. 11,700 105 M-Systems Flash Disk Pioneers (AE)(L) 1,600 24 National Instruments Corp. 8,550 262 NetIQ Corp. (AE) 12,100 160 Newport Corp. 9,800 158 Norske Skogindustrier ASA (L) 5,200 12 Omnivision Technologies, Inc. (AE)(L) 4,000 64 ON Semiconductor Corp. (AE) 35,800 180 Open Solutions, Inc. (AE) 1,100 27 Packeteer, Inc. (AE) 8,700 141 Park Electrochemical Corp. 2,100 53 PerkinElmer, Inc. 4,600 92 Pixelworks, Inc. (AE)(L) 14,300 219 Plexus Corp. (AE) 3,700 50 PMC - Sierra, Inc. (AE) 17,200 247 Pomeroy IT Solutions, Inc. 1,600 19 Quantum Corp. (AE)(L) 68,500 212 Quest Software, Inc. (AE) 20,600 266 RadiSystem Corp. (AE) 7,600 141 RADWARE, Ltd. (AE) 5,600 95 Sandisk Corp. (AE)(L) 2,900 63 Sanmina-SCI Corp. (AE) 34,200 311 Scansource, Inc. (AE) 4,300 256 Seachange International, Inc. (AE)(L) 2,200 37 Semtech Corp. (AE) 6,800 160 Serena Software, Inc. (AE) 7,300 139 Sigmatel, Inc. (AE) 3,300 96 Silicon Storage Technology, Inc. (AE) 10,100 104 Skyworks Solutions, Inc. 19,400 169 SoftBrands, Inc. (AE) 9 -- SonicWALL, Inc. (AE) 18,600 160 Spectrasite, Inc. (AE) 5,200 225 SRA International, Inc. Class A (AE) 200 8 SS&C Technologies, Inc. 9,900 185 Standard MicroSystems Corp. (AE) 1,300 30 SYKES Enterprises, Inc. (AE) 2,200 17 Symbol Technologies, Inc. 16,300 240 Synaptics, Inc. (AE) 1,600 31 SYNNEX Corp. (AE) 2,100 33 Tekelec (AE) 7,400 134 TIBCO Software, Inc. (AE) 29,400 248 Transaction Systems Architects, Inc. Class A (AE) 4,500 97 Triquint Semiconductor, Inc. (AE) 10,400 57 TTM Technologies, Inc. (AE) 5,500 65 Tyler Technologies, Inc. 4,100 39 UniSystem Corp. 18,000 250 UNOVA, Inc. (AE) 2,600 53 Utstarcom, Inc. (AE)(L) 1,800 54 Viasat, Inc. (AE) 4,851 121 Vishay Intertechnology, Inc. (AE) 27,600 513 Wavecom SA - ADR (AE)(L) 11,500 86 Websense, Inc. (AE) 6,700 249 Zoran Corp. (AE) 12,300 226 ------ 22,957 ------ 18 Aggressive Equity Fund Russell Investment Funds Aggressive Equity Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - ------------------------------------------------------------------------------- Utilities - 3.5% AGL Resources, Inc. 8,200 238 Alliant Energy Corp. 2,000 52 Arch Wireless, Inc. Class A (AE) 1,700 48 Avista Corp. 3,700 68 Centerpoint Energy, Inc. (L) 33,800 389 CMS Energy Corp. (L) 10,900 100 Dobson Communications Corp. Class A (AE) 1,000 3 Energen Corp. 11,500 552 Laclede Group, Inc. (The) 1,000 27 MDU Resources Group, Inc. 8,200 197 New Jersey Resources Corp. 2,100 87 Nextel Partners, Inc. Class A (AE)(L) 25,600 408 NII Holdings, Inc. (AE)(L) 5,800 195 Northeast Utilities 39,600 771 Northwest Natural Gas Co. 1,700 52 NSTAR 4,700 225 OGE Energy Corp. 8,700 222 Pinnacle West Capital Corp. 2,800 113 Primus Telecommunications GP (AE) 18,000 91 PTEK Holdings, Inc. (AE) 40,800 470 South Jersey Industries, Inc. 1,100 48 Southern Union Co. 17,200 363 Southwest Gas Corp. 3,100 75 Southwestern Energy Co. 5,300 152 Telephone & Data Systems, Inc. 1,700 121 UGI Corp. 13,800 443 UnitedGlobalCom, Inc. Class A (AE) 27,200 197 US Cellular Corp. (AE) 9,400 362 WGL Holdings, Inc. (L) 2,800 80 WPS Resources Corp. 100 4 ------- 6,153 ------- Total Common Stocks (cost $145,839) 167,595 ------- Short-Term Investments - 14.2% Frank Russell Investment Company Money Market Fund 8,573,000 8,573 State Street Securities Lending Quality Trust (M) 15,889,638 15,890 United States Treasury Bill (y)(s)1.245% due 09/09/04 700 698 ------- Total Short-Term Investments (cost $25,161) 25,161 ------- Total Investments - 108.8% (identified cost $171,000) 192,756 Other Assets and Liabilities, Net - (8.8%) (15,546) ------- Net Assets - 100.0% 177,210 ======= Unrealized Notional Appreciation Futures Contracts Amount (Depreciation) (Number of Contracts) $ $ - -------------------------------------------------------------------------------- Long Positions Russell 2000 E-Mini Index expiration date 09/04 (62) 3,673 135 Russell 2000 Index expiration date 09/04 (14) 4,146 121 S&P 500 E-Mini Index expiration date 09/04 (10) 570 5 S&P 500 Index expiration date 09/04 (3) 855 3 --- Total Unrealized Appreciation(Depreciation) on Open Futures Contracts 264 === See accompanying notes which are an integral part of the financial statements. Aggressive Equity Fund 19 Russell Investment Funds Non-U.S. Fund Schedule of Investments -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Common Stocks - 90.5% Australia - 2.6% Alinta, Ltd. 11,400 48 Alumina, Ltd. 1,600 6 Amcor, Ltd. 48,900 237 AMP, Ltd. 8,300 36 Ansell, Ltd. 1,900 10 Australia & New Zealand Banking Group, Ltd. 27,463 349 Australian Gas Light Co., Ltd. 1,500 13 Australian Stock Exchange, Ltd. 4,500 49 BHP Billiton, Ltd. 57,864 504 Billabong International, Ltd. (L) 19,500 112 BlueScope Steel, Ltd. 9,800 46 Boral, Ltd. 8,000 36 CFS Gandel Retail Trust (L) 23,400 23 Coca-Cola Amatil, Ltd. 2,300 11 Coles Myer, Ltd. 6,100 36 Commonwealth Bank of Australia 6,600 149 Commonwealth Property Office Fund 18,200 15 CSL, Ltd. 12,702 197 CSR, Ltd. 22,100 34 David Jones, Ltd. (L) 16,300 19 Deutsche Office Trust 12,500 10 Foster's Group, Ltd. 81,300 266 Futuris Corp., Ltd. (L) 6,700 7 General Property Trust 12,700 31 Iluka Resources, Ltd. 1,800 6 Insurance Australia Group, Ltd. 16,000 56 James Hardie Industries NV 18,100 75 John Fairfax Holdings, Ltd. 19,100 49 Lend Lease Corp., Ltd. (L) 13,000 93 Lion Nathan, Ltd. 2,000 9 Macquarie Bank, Ltd. 7,300 172 Macquarie Goodman Industrial Trust 1,400 2 Macquarie Infrastructure Group 6,700 15 Mayne Group, Ltd. 7,000 17 National Australia Bank, Ltd. 40,927 848 Newcrest Mining, Ltd. 500 5 News Corp., Ltd. (L) 42,326 373 OneSteel, Ltd. 19,000 33 Orica, Ltd. 3,600 38 Origin Energy, Ltd. 5,600 22 PaperlinX, Ltd. (L) 22,700 76 Promina Group, Ltd. 48,688 135 Publishing & Broadcasting, Ltd. 10,120 90 QBE Insurance Group, Ltd. (L) 28,835 256 Rinker Group, Ltd. 25,536 143 Rio Tinto, Ltd. (L) 800 20 Santos, Ltd. 53,300 257 Sons of Gwalia, Ltd. (AE)(L) 7,700 15 Stockland Trust Group (L) 6,200 22 Suncorp-Metway, Ltd. 3,800 37 TABCORP Holdings, Ltd. 2,100 21 Telstra Corp., Ltd. 5,300 19 Wesfarmers, Ltd. 1,900 39 Westfield Holdings, Ltd. (L) 19,100 204 Westfield Trust (L) 10,200 31 Westpac Banking Corp. 17,362 212 WMC Resources, Ltd. 12,100 41 Woodside Petroleum, Ltd. 1,300 15 Woolworths, Ltd. 11,600 92 ----- 5,782 ----- Belgium - 1.0% AGFA-Gevaert NV 7,990 198 Colruyt SA 2,433 300 Delhaize Group 800 41 Dexia (AE) 20,500 -- Dexia (L) 27,810 461 Electrabel (L) 107 34 Fortis (L) 41,120 907 Fortis (L) 3,400 75 KBC Bancassurance Holding 900 52 Solvay SA 500 41 Umicore 200 13 ----- 2,122 ----- Brazil - 0.2% Petroleo Brasileiro SA - ADR 12,820 360 ----- Denmark - 0.9% Coloplast A/S Class B 100 9 Danske Bank A/S 40,290 955 DSV DE Sammenslut Vogn A/S (L) 400 19 East Asiatic Co., Ltd. A/S (L) 600 28 FLS Industries A/S Class B (AE)(L) 900 13 GN Store Nord 2,500 22 ISS A/S 7,500 371 Novo-Nordisk A/S Class B 8,484 437 TDC A/S (L) 1,700 55 William Demant Holding (AE) 400 15 ----- 1,924 ----- 20 Non-U.S. Fund Russell Investment Funds Non-U.S. Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Finland - 1.1% Elisa OYJ Class S (AE) 2,500 33 Fortum OYJ 43,800 559 Nokia OYJ 28,000 404 Nokia OYJ - ADR 22,508 327 Nokian Renkaat OYJ 200 19 Sampo OYJ 41,950 407 Stora Enso OYJ Class R 2,600 35 UPM-Kymmene OYJ 31,100 592 ------ 2,376 ------ France - 9.1% Air France 3,200 55 Alcatel SA (L) 24,900 384 Aventis SA (L) 12,250 925 AXA (L) 32,289 711 BNP Paribas (L) 23,684 1,456 Caisse Nationale du Credit Agricole 15,363 374 Cap Gemini SA (L) 1,100 44 Carrefour SA (L) 13,200 640 Casino Guichard Perrachon SA (L) 500 45 Christian Dior SA 3,300 213 Cie de Saint-Gobain (L) 4,700 234 CNP Assurances (L) 5,010 291 France Telecom (L) 29,800 777 Groupe Danone (L) 1,412 123 Klepierre (L) 100 7 Lafarge SA (L) 16,792 1,497 Lagardere S.C.A. (L) 11,479 717 L'Oreal SA 12,464 995 Pernod-Ricard (L) 15,867 2,029 Peugeot SA (L) 4,100 228 Pinault-Printemps-Redoute (L) 300 31 Renault SA 800 61 Sanofi-Synthelabo SA (L) 10,000 634 Schneider Electric SA (L) 6,190 422 SNECMA 17,200 337 Societe Assurances Generales de France 1,734 105 Societe BIC SA (L) 400 18 Societe Generale (L) 5,100 433 Suez SA (L) 9,800 204 Thomson (L) 42,000 828 Total SA (L) 14,150 2,697 Total SA - ADR 8,716 837 Unibail (L) 500 52 Valeo SA (L) 2,000 83 Vivendi Universal SA 61,665 1,710 ------ 20,197 ------ Germany - 7.2% Adidas-Salomon AG (L) 10,651 1,272 Allianz AG 7,900 856 Altana AG (L) 2,700 162 AMB Generali Holding AG 300 23 BASF AG (L) 2,600 139 Bayer AG (L) 30,013 865 Bayerische Hypo-und Vereinsbank AG 8,500 151 Celesio AG 1,300 78 Commerzbank AG 3,300 58 Continental AG 10,000 482 DaimlerChrysler AG 42,409 1,981 Deutsche Bank AG (L) 5,950 467 Deutsche Boerse AG 3,547 180 Deutsche Genossenschafts-Hypothekenbank (AE) 3,700 230 Deutsche Lufthansa AG 35,267 480 Deutsche Post AG 40,440 873 Deutsche Postbank AG (AE) 7,100 255 Deutsche Telekom AG (AE) 50,600 889 E.ON AG 38,007 2,742 Heidelberger Druckmaschinen 6,800 225 Infineon Technologies AG (AE) 3,200 43 KarstadtQuelle AG (L) 28,800 627 Linde AG 800 44 MAN AG 5,800 212 Medion AG (L) 6,000 242 Merck KGaA 3,800 229 Metro AG (L) 400 19 MG Technologies AG (L) 3,400 43 Muenchener Rueckversicherungs AG 940 102 Puma AG Rudolf Dassler Sport (L) 977 248 SAP AG (L) 192 32 Schering AG 4,600 271 Siemens AG 7,200 518 ThyssenKrupp AG 3,000 51 TUI AG (L) 2,500 48 Volkswagen AG 16,960 716 ------ 15,853 ------ Greece - 0.5% Cosmote Mobile Telecommunications SA 17,100 266 EFG Eurobank Ergasias SA 11,700 253 Non-U.S. Fund 21 Russell Investment Funds Non-U.S. Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Hellenic Telecommunications Organization SA 35,552 460 OPAP SA 12,950 243 ----- 1,222 ----- Hong Kong - 1.1% Bank of East Asia, Ltd. 53,036 152 BOC Hong Kong Holdings, Ltd. (L) 22,000 38 Cathay Pacific Airways, Ltd. 13,000 24 Cheung Kong Holdings, Ltd. 32,000 236 China Mobile Hong Kong, Ltd. 137,000 415 CLP Holdings, Ltd. 30,000 164 Dah Sing Banking Group, Ltd. (AE) 3,080 5 DAH Sing Financial (L) 7,700 45 Esprit Holdings, Ltd. 37,500 168 Hang Seng Bank, Ltd. 3,300 42 Henderson Land Development (L) 3,000 13 Hong Kong & China Gas 1,000 2 Hong Kong Exchanges and Clearing, Ltd. 2,000 4 HongKong Electric Holdings 2,000 8 Hopewell Holdings 15,000 30 Hutchison Whampoa, Ltd. 6,000 41 Hysan Development Co., Ltd. 6,000 9 MTR Corp. (L) 166,195 251 New World Development, Ltd. 40,000 29 PCCW, Ltd. (AE)(L) 230,000 156 Shangri-La Asia, Ltd. (L) 4,000 4 Sun Hung Kai Properties, Ltd. 5,000 41 Swire Pacific, Ltd. 64,300 416 Techtronic Industries Co. 71,500 114 Wharf Holdings, Ltd. 43,000 122 Yue Yuen Industrial Holdings 6,500 16 ----- 2,545 ----- Ireland - 0.6% Bank of Ireland 70,588 941 CRH PLC 17,900 379 ----- 1,320 ----- Italy - 4.0% Arnoldo Mondadori Editore SpA 6,200 59 Autostrade SpA (L) 18,200 358 Banca Intesa SpA (L) 80,303 314 Banca Popolare di Milano SCRL 7,600 49 Banche Popolari Unite SCRL 10,703 177 Banco Popolare di Verona e Novara SCRL 29,370 505 Benetton Group SpA 27,600 316 Capitalia SpA (AE)(L) 58,100 182 e.Biscom (AE)(L) 900 49 Enel SpA (L) 15,300 123 Ente Nazionale Idrocarburi SpA (L) 140,612 2,791 Finmeccanica SpA (L) 730,940 581 Fondiaria-Sai SpA 2,000 45 Gruppo Editoriale L'Espresso SpA (L) 14,300 86 Italcementi SpA (L) 8,700 116 Mediaset SpA (L) 18,300 209 Parmalat Finanziaria SpA (L) 12,500 2 Riunione Adriatica di Sicurta SpA 10,362 188 Sanpaolo IMI SpA (L) 12,005 145 Snam Rete Gas SpA 61,600 265 Telecom Italia 255,422 794 Telecom Italia Media SpA (AE)(L) 47,500 20 Telecom Italia SpA 265,549 586 UniCredito Italiano SpA (L) 175,600 867 ----- 8,827 ----- Japan - 22.4% 77 Bank, Ltd. (The) 74,000 503 Acom Co., Ltd. 430 28 Advantest Corp. 200 13 Aeon Co., Ltd. 1,900 76 Aiful Corp. 5,400 562 Aioi Insurance Co., Ltd. 7,000 31 Aisin Seiki Co., Ltd. 7,000 146 All Nippon Airways Co., Ltd. 9,000 29 Alps Electric Co., Ltd. 31,000 440 Amano Corp. 2,000 18 Anritsu Corp. (L) 15,000 98 Aoyama Trading Co., Ltd. 300 8 Asahi Glass Co., Ltd. (L) 33,000 342 Asahi Kasei Corp. 12,000 62 Autobacs Seven Co., Ltd. (L) 600 20 Bank of Yokohama, Ltd. (The) 6,000 37 Benesse Corp. 800 26 Bridgestone Corp. (L) 14,000 262 Brother Industries, Ltd. 1,000 10 Canon, Inc. 27,700 1,456 Central Glass Co., Ltd. 4,000 34 Central Japan Railway Co. 6 51 Chiba Bank, Ltd. (The) 6,000 37 Chubu Electric Power Co., Inc. 5,000 105 Citizen Watch Co., Ltd. 8,000 90 22 Non-U.S. Fund Russell Investment Funds Non-U.S. Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Credit Saison Co., Ltd. 25,700 771 CSK Corp. 100 5 D&M Holdings, Inc. (AE) 18,000 64 Dai Nippon Printing Co., Ltd. 4,000 64 Daiei, Inc. (The) (AE)(L) 1,000 3 Daiichi Pharmaceutical Co., Ltd. 400 7 Daikin Industries, Ltd. 6,000 161 Daimaru, Inc. 6,000 54 Dainippon Ink and Chemicals, Inc. 2,000 5 Daito Trust Construction Co., Ltd. 3,000 115 Daiwa House Industry Co., Ltd. 4,000 46 Daiwa Securities Group, Inc. 40,000 287 Denso Corp. 7,400 172 Dentsu, Inc. 86 221 Don Quijote Co., Ltd. (L) 2,900 184 Dowa Mining Co., Ltd. 21,000 124 East Japan Railway Co. 346 1,936 Eisai Co., Ltd. 18,000 517 FamilyMart Co., Ltd. 1,000 33 Fast Retailing Co., Ltd. 2,300 186 FCC Co., Ltd. 2,100 90 Fukuoka City Bank, Ltd. (The) (L) 26,000 83 Fuji Electric Holdings Co., Ltd. 4,000 11 Fuji Heavy Industries, Ltd. 66,900 374 Fuji Machine Manufacturing Co., Ltd. 8,300 96 Fuji Photo Film Co., Ltd. 29,000 907 Fuji Soft ABC, Inc. 200 8 Fujikura, Ltd. 5,000 28 Fujisawa Pharmaceutical Co., Ltd. 500 12 Fujitsu, Ltd. (L) 34,000 239 Funai Electric Co., Ltd. 2,300 346 Gunze, Ltd. 2,000 10 Hankyu Department Stores 3,000 26 HIS Co., Ltd. 3,400 103 Hitachi Cable, Ltd. 16,000 76 Hitachi Chemical Co., Ltd. 1,100 18 Hitachi Construction Machinery Co., Ltd. 1,000 12 Hitachi Zosen Corp. (AE) 17,000 28 Hitachi, Ltd. 37,000 254 Hokkaido Electric Power Co., Inc. 1,300 23 Hokugin Financial Group, Inc. 38,000 97 Hokuriku Electric Power Co. 1,000 17 Honda Motor Co., Ltd. 44,600 2,144 Hoya Corp. 2,100 219 Isuzu Motors, Ltd. (AE)(L) 21,000 60 Itochu Corp. 15,000 67 Itochu Techno-Science Corp. 800 34 Ito-Yokado Co., Ltd. 23,000 982 Japan Radio Co., Ltd. (AE)(L) 12,000 56 Japan Tobacco, Inc. 8 62 JFE Holdings, Inc. 1,300 32 JGC Corp. 1,000 10 Joyo Bank 8,000 35 Kadokawa Holdings, Inc. (L) 2,000 71 Kaken Pharmaceutical Co., Ltd. 4,000 23 Kamigumi Co., Ltd. 14,000 101 Kaneka Corp. 15,000 142 Kansai Electric Power Co., Inc. (The) 4,800 87 Kao Corp. 56,000 1,346 Kawasaki Heavy Industries, Ltd. 14,000 23 Kawasaki Kisen Kaisha, Ltd. 9,000 45 KDDI Corp. 86 491 Keio Teito Electric Railway 12,000 68 Keyence Corp. 700 159 Kobe Steel, Ltd. 5,000 7 Kokuyo Co., Ltd. 300 4 Konica Minolta Holdings, Inc. 36,000 496 Koyo Seiko Co., Ltd. (L) 7,000 83 Kubota Corp. 33,000 175 Kuraray Co., Ltd. 8,100 66 Kuraya Sanseido, Inc. (L) 500 8 Kyocera Corp. 2,600 220 Kyorin Pharmaceutical Co., Ltd. 1,000 15 Kyushu Electric Power Co., Inc. 4,000 74 Lawson, Inc. 14,800 609 Mabuchi Motor Co., Ltd. (L) 8,300 614 Makita Corp. 4,000 60 Marubeni Corp. 27,000 66 Matsumotokiyoshi Co., Ltd. 16,700 504 Matsushita Electric Industrial Co., Ltd. 32,000 453 Meiji Dairies Corp. 2,000 11 Meiji Seika Kaisha, Ltd (L) 3,000 13 Meitec Corp. 2,500 99 Millea Holdings, Inc. 22 326 Minebea Co., Ltd. 91,000 423 Mitsubishi Chemical Corp. 21,000 56 Mitsubishi Electric Corp. 12,000 59 Mitsubishi Estate Co., Ltd. 5,000 62 Mitsubishi Gas Chemical Co., Inc. 4,000 17 Mitsubishi Heavy Industries, Ltd. 22,000 60 Mitsubishi Material 7,000 16 Mitsubishi Rayon Co., Ltd. 38,000 147 Mitsubishi Securities Co., Ltd. (L) 16,000 210 Mitsubishi Tokyo Financial Group, Inc. 144 1,329 Mitsui & Co., Ltd. 34,000 254 Mitsui Chemicals, Inc. 8,000 40 Non-U.S. Fund 23 Russell Investment Funds Non-U.S. Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Mitsui Engineering & Shipbuilding Co., Ltd. 21,000 37 Mitsui Fudosan Co., Ltd. 25,000 299 Mitsui OSK Lines, Ltd. 11,000 58 Mitsui Sumitomo Insurance Co., Ltd. 4,000 37 Mitsui Trust Holdings, Inc. 8,000 59 Mitsumi Electric Co., Ltd. (L) 1,200 14 Mizuho Financial Group, Inc. 97 439 Murata Manufacturing Co., Ltd. 8,500 483 Namco, Ltd. 1,000 28 NEC Corp. 14,000 98 NEC Electronics Corp. (L) 1,300 80 NEC System Intergration & Construction, Ltd. 4,300 43 Nichicon Corp. 5,700 77 Nichirei Corp. 1,000 4 Nidec Copal Corp. 3,300 53 Nikko Cordial Corp. 8,000 39 Nintendo Co., Ltd. 200 23 Nippon Electric Glass Co., Ltd. 7,000 147 Nippon Express Co., Ltd. 132,000 772 Nippon Kayaku Co., Ltd. 1,000 5 Nippon Light Metal Co. 24,000 57 Nippon Oil Corp. 27,000 170 Nippon Sanso Corp. 7,000 37 Nippon Shokubai Co., Ltd. 4,000 32 Nippon Steel Corp. 89,000 186 Nippon Telegraph & Telephone Corp. 179 954 Nippon Yusen Kabushiki Kaisha 6,000 28 Nishimatsu Construction Co., Ltd. (L) 4,000 14 Nishi-Nippon Bank, Ltd. (The) 21,000 96 Nissan Motor Co., Ltd. 13,300 147 Nissen Co., Ltd. 3,800 82 Nisshin Steel Co., Ltd. 26,000 53 Nisshinbo Industries, Inc. 1,000 8 Nitto Denko Corp. 6,100 311 NOK Corp. 5,300 196 Nomura Holdings, Inc. 10,000 148 Nomura Research Institute, Ltd. 1,200 128 NS Solutions Corp. (AE) 1,400 39 NS Solutions Corp. (L) 1,400 40 NSK, Ltd. 4,000 20 NTN Corp. 1,000 5 NTT DoCoMo, Inc. 34 61 OJI Paper Co., Ltd. 3,000 19 Olympus Corp. 3,000 56 Ono Pharmaceutical Co., Ltd. 400 19 ORIX Corp. 11,500 1,314 Pal Co., Ltd. 1,100 40 Pioneer Corp. (L) 200 5 Promise Co., Ltd. 150 10 Resona Holdings, Inc. (L) 14,000 25 Ricoh Co., Ltd. 16,000 339 Rinnai Corp. 16,500 501 Rohm Co., Ltd. 4,500 537 Sammy Corp. 1,800 86 Sanken Electric Co., Ltd. (L) 9,000 117 Sankyo Co., Ltd. 3,100 67 Sanyo Electric Co., Ltd. 23,000 94 Sega Corp. (AE)(L) 300 4 Seino Transportation Co., Ltd. 7,000 72 Sekisui House, Ltd. 44,800 496 Senshukai Co., Ltd. 4,000 43 SFCG Co., Ltd. (L) 2,920 585 Sharp Corp. 2,000 32 Shimachu Co., Ltd. 900 24 Shin-Etsu Chemical Co., Ltd. 18,900 674 Shinko Electric Industries 4,800 165 Shiseido Co., Ltd. 32,000 402 Showa Shell Sekiyu KK (L) 4,300 39 Skylark Co., Ltd. (L) 29,700 595 SMC Corp. 1,300 140 Snow Brand Milk Products Co., Ltd. (AE) 3,000 10 Softbank Corp. (AE)(L) 400 18 Sohgo Security Services Co., Ltd. (L) 18,100 236 Sompo Japan Insurance, Inc. 5,000 51 Sony Corp. 17,100 642 Stanley Electric Co., Ltd. 9,900 165 STB Leasing Co., Ltd. 1,900 44 Sumisho Lease Co., Ltd. 5,500 215 Sumitomo Bakelite Co., Ltd. 57,100 399 Sumitomo Chemical Co., Ltd. 107,100 498 Sumitomo Corp. 24,000 174 Sumitomo Electric Industries, Ltd. 15,000 153 Sumitomo Forestry Co., Ltd. 12,000 138 Sumitomo Heavy Industries, Ltd. (AE) 22,000 69 Sumitomo Metal Industries, Ltd. 19,000 22 Sumitomo Mitsui Financial Group, Inc. (L) 100 684 Sumitomo Osaka Cement Co., Ltd. 61,000 167 Sumitomo Realty & Development Co., Ltd. 2,000 25 Sumitomo Trust & Banking Co., Ltd. (The) 140,000 994 Suruga Bank, Ltd. (The) 2,000 15 Suzuken Co., Ltd. 1,600 50 Taiheiyo Cement Corp. 16,000 40 24 Non-U.S. Fund Russell Investment Funds Non-U.S. Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Taisei Corp. 4,000 15 Takashimaya Co., Ltd. 1,000 12 Takeda Chemical Industries, Ltd. 25,400 1,112 Takefuji Corp. (L) 1,620 117 Tanabe Seiyaku Co., Ltd. 1,000 9 TDK Corp. 3,200 242 Telewave, Inc. 11 131 TIS, Inc. 400 17 Tobu Railway Co. 4,000 17 Toda Corp. 1,000 4 Tohoku Electric Power Co., Inc. 2,400 40 Tokyo Electric Power Co., Inc. (The) 14,800 335 Tokyo Gas Co., Ltd. 2,000 7 Tokyo Steel Manufacturing Co., Ltd. (L) 600 10 Tokyu Corp. 6,000 31 Tomen Corp. (AE) 11,000 19 Toppan Printing Co., Ltd. 6,000 68 Toshiba Corp. 18,000 72 Tostem Inax Holding Corp. 1,000 22 Toyo Seikan Kaisha, Ltd. 3,000 51 Toyota Motor Corp. 73,000 2,948 Toyota Tsusho Corp. 1,000 10 Ube Industries, Ltd. 15,000 23 UFJ Holdings, Inc. 146 643 UFJ Tsubasa Securities Co., Ltd. 9,000 38 Uniden Corp. 5,000 108 UNY Co., Ltd. 4,000 51 USS Co., Ltd. 1,170 100 Victor Co. of Japan, Ltd. 1,000 11 West Japan Railway Co. 16 64 World Co., Ltd. 600 18 Yamaha Corp. 1,200 20 Yamaha Motor Co., Ltd. 44,000 683 Yamanouchi Pharmaceutical Co., Ltd. 3,800 127 Yamato Transport Co., Ltd. 2,000 33 Yamazaki Baking Co., Ltd. 2,000 20 Yokogawa Electric Corp. 8,000 106 York-Benimaru Co., Ltd. 3,100 92 Zexel Corp. 5,000 23 ------ 49,495 ------ Luxembourg - 0.2% Arcelor (L) 16,472 277 Millicom International Cellular SA (AE)(L) 4,700 103 ------ 380 ------ Mexico - 0.3% Coca-Cola Femsa SA de CV - ADR 15,100 335 Telefonos de Mexico SA de CV - ADR 10,550 351 ------ 686 ------ Netherlands - 3.2% ABN AMRO Holding NV 27,949 611 Aegon NV 2,600 31 Akzo Nobel NV 18,603 684 ASML Holding NV (AE) 4,000 68 Buhrmann NV 11,300 112 DSM NV 7,900 388 Euronext NV 1,400 39 Euronext NV (L) 6,730 187 European Aeronautic Defense and Space Co. (L) 9,500 264 Heineken NV (L) 8,250 271 ING Groep NV 33,520 791 Koninklijke Ahold NV 9,700 76 Koninklijke Philips Electronics NV 16,940 456 Koninklijke Philips Electronics NV 14,400 392 OCE NV 3,100 50 Royal Dutch Petroleum Co. 19,800 1,016 Royal KPN NV 8,700 66 Royal Numico NV (AE) 31,500 1,012 Vedior NV 1,100 16 Wolters Kluwer NV 30,236 549 ------ 7,079 ------ New Zealand - 0.2% Carter Holt Harvey, Ltd. 85,200 111 Telecom Corp. of New Zealand, Ltd. 74,894 278 ------ 389 ------ Norway - 0.6% DNB NOR ASA 35,192 240 Norsk Hydro ASA 5,600 363 Statoil ASA (L) 16,680 211 Telenor ASA 47,400 329 Yara International ASA (AE) 13,632 110 ------ 1,253 ------ Portugal - 0.1% Electricidade de Portugal SA 87,580 245 ------ Non-U.S. Fund 25 Russell Investment Funds Non-U.S. Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Singapore - 0.9% CapitaLand, Ltd. 8,000 6 Chartered Semiconductor Manufacturing, Ltd. (AE)(L) 15,000 12 City Developments, Ltd. 32,000 100 City Developments, Ltd. 2006 Warrants (AE) 3,000 5 Creative Technology, Ltd. 1,350 14 DBS Group Holdings, Ltd. 106,000 887 Fraser and Neave, Ltd. 4,000 33 Jardine Cycle & Carriage, Ltd. 6,000 22 Keppel Corp., Ltd. (L) 61,000 250 Keppel Land, Ltd. 7,000 7 MobileOne, Ltd. 147,800 129 NatSteel, Ltd. 11,000 14 Neptune Orient Lines, Ltd. 29,000 40 Oversea-Chinese Banking Corp. 12,000 84 SembCorp Industries, Ltd. 23,000 18 Singapore Airlines, Ltd. 4,000 26 Singapore Exchange, Ltd. 3,000 3 Singapore Technologies Engineering, Ltd. 170,300 206 Singapore Telecommunications, Ltd. 17,000 22 United Overseas Bank, Ltd. 2,000 16 United Overseas Land, Ltd. 4,000 5 ------ 1,899 ------ South Africa - 0.2% Nedcor, Ltd. 39,883 395 ------ South Korea - 1.1% Korea Electric Power Corp. - ADR 42,100 386 KT Corp. - ADR 22,100 399 Nextel, Inc. 15,770 766 POSCO - ADR 10,150 340 Samsung Electronics Co., Ltd. - GDR 2,364 486 ------ 2,377 ------ Spain - 3.9% Acerinox SA 3,900 222 ACS Actividades Cons y Serv 15,513 261 Altadis SA (L) 56,427 1,744 Amadeus Global Travel Distribution SA Class A (AE)(L) 6,300 41 Banco de Sabadell SA 10,000 217 Banco Popular Espanol SA (L) 6,700 378 Banco Santander Central Hispano SA 14,500 150 Corp Mapfre SA 22,930 281 Endesa SA (L) 51,702 996 Fomento de Construcciones y Contratas SA (L) 1,200 44 Gamesa Corp. Tecnologica SA 1,100 16 Iberia Lineas Aereas de Espana 48,400 139 Indra Sistemas SA (AE)(L) 10,800 138 Red Electrica de Espana (L) 1,100 19 Repsol YPF SA (L) 15,000 328 Repsol YPF SA - ADR 28,739 628 Sogecable SA (AE)(L) 9,400 379 Telefonica SA 174,662 2,582 Union Fenosa SA (L) 4,400 94 ------ 8,657 ------ Sweden - 2.8% Ainax AB (L) 1 -- Atlas Copco AB Class A 1,200 45 Atlas Copco AB Class B 1,100 38 Electrolux AB Series B 25,400 487 Hennes & Mauritz AB Class B (L) 36,022 930 Investor AB Class B (L) 19,420 198 Modern Times Group AB Class B (AE)(L) 900 17 Nordea Bank AB (L) 12,000 86 OMHEX AB (L) 2,400 29 Sandvik AB 1,800 61 Skandia Forsakrings AB 60,076 249 Skandinaviska Enskilda Banken AB Class A 2,200 32 Skanska AB Class B 5,100 45 Svenska Cellulosa AB Class B 1,300 49 Svenska Handelsbanken Class A (L) 63,815 1,279 Tele2 AB Class B (L) 900 39 Telefonaktiebolaget LM Ericsson Class B (AE) 806,932 2,377 TeliaSonera AB 4,000 17 Volvo AB Series A 1,500 50 Volvo AB Series B (L) 2,000 70 WM-data AB Class B (L) 6,000 13 ------ 6,111 ------ Switzerland - 6.5% ABB, Ltd. 24,654 135 Adecco SA (L) 6,918 345 Ciba Specialty Chemicals AG 300 22 Clariant AG (L) 28,605 418 Compagnie Financiere Richemont AG Class A 35,076 915 26 Non-U.S. Fund Russell Investment Funds Non-U.S. Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Converium Holding AG 900 47 Credit Suisse Group 19,855 705 Georg Fischer AG 170 39 Givaudan 374 216 Julius Baer Holding AG Class B 330 92 Lonza Group AG 10,310 522 Nestle SA 7,210 1,922 Novartis AG 58,017 2,558 PubliGroupe SA 77 24 Roche Holding AG 24,104 2,385 Straumann Holding AG 180 36 Sulzer AG 449 128 Swatch Group AG Class B (L) 300 39 Swiss Life Holding (AE)(L) 3,859 538 Swiss Reinsurance 6,450 419 Synthes, Inc. 3,940 449 UBS AG 27,058 1,906 Valora Holding AG 166 38 Zurich Financial Services AG (AE) 2,713 428 ------ 14,326 ------ Taiwan - 0.1% United Microelectronics Corp. - ADR (AE) 78,576 339 ------ United Kingdom - 19.7% 3i Group PLC 73,580 818 Abbey National PLC 7,600 71 Alliance & Leicester PLC 4,000 61 Alliance Unichem PLC 4,900 58 Allied Domecq PLC 26,450 226 Amvescap PLC 1,500 10 Anglo American PLC 27,756 568 ARM Holdings PLC 6,900 15 Associated British Foods PLC 8,400 96 AstraZeneca PLC 13,325 605 AstraZeneca PLC 26,633 1,196 Aviva PLC 17,000 176 AWG PLC (AE) 8,200 87 AWG PLC (AE) 2,722,400 5 BAA PLC 40,100 403 BAE Systems PLC 145,677 580 Barclays PLC 161,908 1,380 Barratt Developments PLC 7,000 75 BG Group PLC 101,700 627 BHP Billiton PLC 16,300 142 BOC Group PLC 25,881 433 Boots Group PLC 10,100 126 BP PLC 289,500 2,558 Bradford & Bingley PLC 16,000 81 Brambles Industries PLC 22,600 87 British Airways PLC (AE) 13,400 67 British American Tobacco PLC 74,574 1,156 British Land Co. PLC 32,700 411 British Sky Broadcasting PLC 97,189 1,097 BT Group PLC 211,500 762 Bunzl PLC 70,034 584 Cable & Wireless PLC 44,500 105 Cadbury Schweppes PLC 83,787 723 Centrica PLC 214,300 873 Colt Telecom Group PLC (AE) 2,600 4 Compass Group PLC 7,300 45 Corus Group PLC (AE) 132,308 95 Davis Service Group PLC 3,500 24 Diageo PLC 193,049 2,604 Dixons Group PLC 3,000 9 easyJet PLC (AE) 27,000 78 EMI Group PLC 24,700 109 Firstgroup PLC 500 3 GKN PLC 164,250 747 GlaxoSmithKline PLC 111,578 2,259 HBOS PLC 121,574 1,506 HHG PLC (AE)(L) 3,500 3 HMV Group PLC (AE) 20,700 91 HSBC Holdings PLC 115,440 1,718 HSBC Holdings PLC (L) 11,626 175 Imperial Chemical Industries PLC 17,700 74 Imperial Tobacco Group PLC 66,041 1,424 Inchcape PLC 3,600 115 International Power PLC (AE) 26,000 66 InvenSystem PLC (AE) 110,600 36 ITV PLC 97,678 205 J Sainsbury PLC 124,676 644 Johnston Press PLC 600 6 Kelda Group PLC 6,900 63 Kesa Electricals PLC 38,804 204 Kingfisher PLC 137,801 716 Land Securities Group PLC 2,300 48 Legal & General Group PLC 17,500 30 Lloyds TSB Group PLC 82,700 648 LogicaCMG PLC 12,200 41 Man Group PLC 19,260 499 Marks & Spencer Group PLC 41,700 274 MFI Furniture PLC 11,700 32 Mitchells & Butlers PLC 18,258 92 mmO2 PLC (AE) 45,800 77 Morrison WM Supermarkets 9,071 38 Non-U.S. Fund 27 Russell Investment Funds Non-U.S. Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - ------------------------------------------------------------------------------- MyTravel Group PLC (AE) 53,200 8 Northern Foods PLC 35,900 110 Old Mutual PLC 29,200 56 Pennon Group PLC 4,100 59 Persimmon PLC 4,500 52 Prudential PLC 37,000 319 Punch Taverns PLC 1,300 12 Reckitt Benckiser PLC 100 3 Reed Elsevier PLC 4,000 39 Reuters Group PLC 79,500 534 Rexam PLC 41,391 337 Rio Tinto PLC 40,924 985 RMC Group PLC 4,500 50 Rolls-Royce Group PLC 38,957 178 Royal & Sun Alliance Insurance Group 70,400 105 Royal Bank of Scotland Group PLC 42,659 1,229 SABMiller PLC 2,100 27 Scottish & Newcastle PLC 5,800 46 Scottish & Southern Energy PLC 66,005 816 Scottish Power PLC 15,500 112 Shell Transport & Trading Co. PLC 329,806 2,421 Shire Pharmaceuticals PLC (AE) 8,100 71 SSL International PLC 3,100 16 Stagecoach Group PLC 38,900 63 Standard Chartered PLC 18,500 301 Tate & Lyle PLC 20,300 122 Taylor Woodrow PLC 5,700 27 Tesco PLC 23,100 112 Trinity Mirror PLC 7,600 90 Unilever PLC 8,400 82 United Business Media PLC 27,961 257 United Utilities PLC 5,200 49 Vodafone Group PLC 1,692,207 3,707 Warner Chilcott PLC 1,600 20 Whitbread PLC 2,500 37 Wimpey George PLC 15,900 106 WPP Group PLC 4,000 41 ------- 43,663 ------- Total Common Stocks (cost $169,257) 199,822 ------- Options Purchased - 0.3% Belgium - 0.3% Bel 20 Index Futures Jul 2004 2,449.85 (EUR) Call (54) 3,219 687 Switzerland - 0.0% Swiss Market Index Futures Sep 2004 5,625.31 (EUR) Put (9) 404 36 Sep 2004 5,631.50 (EUR) Put (17) 764 69 ------- 105 ------- Total Options Purchased (cost $756) 792 ------- Preferred Stocks - 1.2% Australia - 0.0% News Corp., Ltd. (L) 11,900 97 Brazil - 0.2% Telecomunicacoes Brasileiras SA - ADR 12,000 350 Germany - 1.0% Fresenius AG (L) 4,100 311 Fresenius Medical Care AG (L) 1,100 59 Porsche AG (AE) 1,793 1,200 ProSieben SAT.1 Media AG 14,223 257 Wella AG 4,080 382 ------- 2,209 ------- Total Preferred Stocks (cost $2,277) 2,656 ------- Short-Term Investments - 21.1% United States - 21.1% Frank Russell Investment Company Money Market Fund 12,536,000 12,536 State Street Securities Lending Quality Trust (M) 31,101,318 31,101 United States Treasury Bill (y)(s) 0.920% due 08/12/04 (c) 1,000 999 0.950% due 08/12/04 (c) 500 499 1.599% due 09/09/04 1,500 1,495 ------- Total Short-Term Investments (cost $46,630) 46,630 ------- Total Investments - 113.1% (identified cost $218,920) 249,900 Other Assets and Liabilities, Net - (13.1%) (29,013) ------- Net Assets - 100.0% 220,887 ======= See accompanying notes which are an integral part of the financial statements. 28 Non-U.S. Fund Russell Investment Funds Non-U.S. Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Unrealized Notional Appreciation Futures Contracts Amount (Depreciation) (Number of Contracts) $ $ - -------------------------------------------------------------------------------- Long Positions AEX Index (Germany) expiration date 07/04 (26) 2,185 23 CAC-40 Index (France) expiration date 07/04 (5) 228 (1) expiration date 09/04 (24) 1,096 (4) DAX Index (Germany) expiration date 09/04 (14) 1,740 35 DJ STOXX 50 Index (EMU) expiration date 09/04 (84) 2,879 36 FTSE-100 Index (UK) expiration date 09/04 (41) 3,324 4 Hang Seng Index (Hong Kong) expiration date 07/04 (34) 2,679 28 IBEX Plus Index (Spain) expiration date 07/04 (1) 98 1 TOPIX Index (Japan) expiration date 09/04 (72) 7,856 282 Short Positions CAC-40 Index (France) expiration date 07/04 (30) 1,366 8 FTSE-100 Index (UK) expiration date 09/04 (27) 2,189 7 MIB-30 (Italy) expiration date 09/04 (9) 1,551 (30) SPI 200 Index (Australia) expiration date 09/04 (28) 1,724 (27) --- Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 362 === Notional Market Options Written Amount Value (Number of Contracts) $ $ - ------------------------------------------------------------------------------- Belgium Bel20 Index Futures Jul 2004 2,449.85 (EUR) Put (54) 3,219 (657) Switzerland Swiss Market Index Futures Sep 2004 5,625.31 (EUR) Call (9) 404 (36) Sep 2004 5,631.50 (EUR) Call (17) 764 (68) ---- Total Liability for Options Written (premiums received $755) (761) ==== See accompanying notes which are an integral part of the financial statements. Non-U.S. Fund 29 Russell Investment Funds Non-U.S. Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Foreign Currency Exchange Contracts - -------------------------------------------------------------------------------- Unrealized Appreciation Amount Amount Settlement (Depreciation) Sold Bought Date $ - ------------- ------------- ---------- -------------- USD 336 CHF 423 09/15/04 2 USD 5 EUR 4 07/01/04 -- USD 8 EUR 6 07/02/04 -- USD 36 EUR 30 07/02/04 -- USD 54 EUR 45 07/02/04 -- USD 603 EUR 500 09/15/04 5 USD 5,544 EUR 4,600 09/15/04 45 USD 2,058 EUR 1,700 09/15/04 7 USD 19 GBP 10 07/01/04 -- USD 23 GBP 13 07/02/04 -- USD 33 GBP 18 07/02/04 -- USD 37 GBP 20 07/02/04 -- USD 95 GBP 52 09/15/04 (1) USD 1,460 GBP 800 09/15/04 (18) USD 904 GBP 500 09/15/04 (3) USD 2,699 GBP 1,500 09/15/04 4 USD 2,768 GBP 1,535 09/15/04 (1) USD 70 HKD 541 09/15/04 -- USD 2 JPY 257 07/01/04 -- USD 2 JPY 254 07/02/04 -- USD 2 JPY 256 07/02/04 -- USD 3 JPY 360 07/02/04 -- USD 4 JPY 393 07/02/04 -- USD 5 JPY 546 07/02/04 -- USD 22 JPY 2,405 07/02/04 -- USD 26 JPY 2,831 07/02/04 -- USD 451 JPY 50,000 09/15/04 7 USD 465 JPY 50,979 09/15/04 2 USD 932 JPY 100,000 09/15/04 (15) USD 1,384 JPY 150,000 09/15/04 (8) USD 3,158 JPY 350,000 09/15/04 51 USD 6,438 JPY 701,500 09/15/04 (4) USD 1 SEK 10 07/01/04 -- USD 123 SGD 210 09/15/04 (1) AUD 980 USD 673 09/15/04 (2) AUD 1,630 USD 1,126 09/15/04 4 CHF 26 USD 21 07/01/04 -- CHF 10 USD 8 09/15/04 -- DKK 20 USD 3 09/15/04 -- DKK 86 USD 14 09/15/04 -- EUR 51 USD 61 07/01/04 (1) EUR 73 USD 88 07/01/04 -- EUR 500 USD 602 09/15/04 (6) EUR 1,266 USD 1,518 09/15/04 (20) EUR 1,667 USD 2,022 09/15/04 (3) EUR 2,600 USD 3,143 09/15/04 (15) GBP 40 USD 72 07/01/04 1 GBP 600 USD 1,091 09/15/04 10 GBP 700 USD 1,264 09/15/04 2 HKD 9 USD 1 07/02/04 -- HKD 80 USD 10 09/15/04 -- JPY 543 USD 5 07/01/04 -- JPY 2,375 USD 22 07/01/04 -- JPY 2,538 USD 23 07/01/04 -- JPY 558 USD 5 07/02/04 -- JPY 580 USD 5 07/02/04 -- JPY 649 USD 6 07/02/04 -- JPY 817 USD 7 07/06/04 -- JPY 1,157 USD 11 07/06/04 -- JPY 2,002 USD 18 07/06/04 -- JPY 446 USD 4 07/06/04 -- JPY 100,000 USD 924 09/15/04 7 JPY 200,000 USD 1,846 09/15/04 12 SEK 155 USD 21 07/01/04 -- SEK 230 USD 31 09/15/04 -- SEK 6,559 USD 860 09/15/04 (9) SGD 214 USD 125 09/15/04 -- --- 52 === See accompanying notes which are an integral part of the financial statements. 30 Non-U.S. Fund Russell Investment Funds Non-U.S. Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) % of Market Industry Diversification Net Value (Unaudited) Assets $ - ------------------------------------------------------------------------------- Auto and Transportation 8.3 18,236 Consumer Discretionary 12.0 26,404 Consumer Staples 8.1 17,960 Financial Services 19.4 42,804 Health Care 7.0 15,325 Integrated Oils 4.7 10,344 Materials and Processing 8.7 19,291 Miscellaneous 1.5 3,330 Options 0.3 792 Other Energy 2.8 6,195 Producer Durables 4.8 10,686 Technology 3.6 8,048 Telecommunication Services 0.1 156 Utilities 10.7 23,699 Short-Term Investments 21.1 46,630 ----- ------- Total Investments 113.1 249,900 Other Assets and Liabilities, Net (13.1) (29,013) ----- ------- Net Assets 100.0 220,887 ===== ======= % of Market Geographic Diversification Net Value (Unaudited) Assets $ - ------------------------------------------------------------------------------- Africa 0.2 395 Asia 6.3 13,425 Europe 42.4 94,104 Japan 22.4 49,495 Latin America 0.7 1,396 United Kingdom 19.7 43,663 Options 0.3 792 Short-Term Investments 21.1 46,630 ----- ------- Total Investments 113.1 249,900 Other Assets and Liabilities, Net (13.1) (29,013) ----- ------- Net Assets 100.0 220,887 ===== ======= See accompanying notes which are an integral part of the financial statements. Non-U.S. Fund 31 Russell Investment Funds Real Estate Securities Fund Schedule of Investments -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Common Stocks - 97.1% Apartment - 17.4% Affordable Residential Communities (AE)(o)(L) 23,000 382 Apartment Investment & Management Co. Class A (o) 43,100 1,341 Archstone-Smith Trust (o) 330,517 9,694 AvalonBay Communities, Inc. (o) 162,700 9,196 BRE Properties Class A (o) 72,800 2,530 Camden Property Trust (o) 51,500 2,359 Equity Residential (o) 476,700 14,172 Essex Property Trust, Inc. (o) 38,000 2,597 Pennsylvania Real Estate Investment Trust (o)(L) 65,947 2,259 Summit Properties, Inc. (o)(L) 76,100 1,951 Sun Communities, Inc. (o) 15,000 565 United Dominion Realty Trust, Inc. (o) 111,800 2,211 ------ 49,257 ------ Health Care - 3.0% Health Care REIT, Inc. (o) 24,500 796 Healthcare Realty Trust, Inc. (o) 34,500 1,293 LTC Properties, Inc. (o)(L) 1,300 22 National Health Investors, Inc. (o)(L) 37,000 1,006 Omega Healthcare Investors, Inc. (o)(L) 55,000 552 Senior Housing Properties Trust (o)(L) 113,800 1,911 Ventas, Inc. (o)(L) 127,400 2,975 ------ 8,555 ------ Hotels/Leisure - 9.1% Fairmont Hotels & Resorts, Inc. 33,300 897 Hilton Hotels Corp. (L) 409,600 7,643 Hospitality Properties Trust (o) 13,000 550 Host Marriott Corp. (o) 608,900 7,526 La Quinta Corp. 128,600 1,080 LaSalle Hotel Properties (o) 46,900 1,144 Starwood Hotels & Resorts Worldwide, Inc. 152,232 6,828 Strategic Hotel Capital, Inc. (AE)(o) 16,900 248 ------ 25,916 ------ Leasing - 0.7% Glenborough Realty Trust, Inc. (o)(L) 52,100 956 iStar Financial, Inc. (o) 26,500 1,060 ------ 2,016 ------ Office/Industrial - 33.5% Alexandria Real Estate Equities, Inc. (o) 29,800 1,692 AMB Property Corp. (o) 95,800 3,318 American Financial Realty Trust (o)(L) 243,800 3,484 Arden Realty, Inc. (o) 97,100 2,856 Boston Properties, Inc. (o) 182,000 9,115 Brandywine Realty Trust (o) 8,400 228 Brookfield Properties Co. 184,700 5,310 CarrAmerica Realty Corp. (o) 65,700 1,986 Catellus Development Corp. (o) 332,066 8,185 Centerpoint Properties Trust (o) 34,700 2,663 Corporate Office Properties Trust (o) 20,000 497 Crescent Real Estate Equities Co. (o)(L) 88,000 1,419 Duke Realty Corp. (o) 32,000 1,018 Equity Office Properties Trust (o) 211,900 5,764 First Potomac Realty Trust (o) 6,100 117 Highwoods Properties, Inc. (o) 128,200 3,013 HRPT Properties Trust (o)(L) 150,710 1,509 Kilroy Realty Corp. (o) 76,100 2,595 Liberty Property Trust (o)(L) 189,100 7,604 Mack-Cali Realty Corp. (o) 168,300 6,964 Plum Creek Timber Co., Inc. (o) 102,700 3,346 Prentiss Properties Trust (o) 51,500 1,726 Prologis (o) 485,400 15,978 PS Business Parks, Inc. (o) 29,000 1,167 SL Green Realty Corp. (o) 74,000 3,463 ------ 95,017 ------ Outlet Centers - 2.8% Chelsea Property Group, Inc. (o) 121,000 7,892 ------ Regional Malls - 17.5% General Growth Properties, Inc. (o) 478,000 14,134 Macerich Co. (The) (o) 122,700 5,874 Mills Corp. (The) (o) 22,200 1,037 Rouse Co. (The) (o)(L) 176,700 8,393 Simon Property Group, Inc. (o) 367,300 18,886 Taubman Centers, Inc. (o) 55,000 1,259 ------ 49,583 ------ Self Storage - 1.9% Public Storage, Inc. (o) 68,300 3,142 Shurgard Storage Centers, Inc. Class A (o) 56,900 2,128 ------ 5,270 ------ 32 Real Estate Securities Fund Russell Investment Funds Real Estate Securities Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - ------------------------------------------------------------------------------- Shopping Center - 11.2% Developers Diversified Realty Corp. (o) 188,900 6,681 Federal Realty Investment Trust (o) 111,800 4,650 Inland Real Estate Corp. (o) 14,200 185 Kimco Realty Corp. (o) 39,000 1,775 Pan Pacific Retail Properties, Inc. (o) 108,800 5,497 Realty Income Corp. (o)(L) 7,300 305 Regency Centers Corp. (o) 149,500 6,414 Urstadt Biddle Properties, Inc. Class A (o)(L) 6,100 90 Vornado Realty Trust (o) 107,700 6,151 ------- 31,748 ------- Total Common Stocks (cost $211,613) 275,254 ------- Short-Term Investments - 9.2% Frank Russell Investment Company Money Market Fund 7,125,000 7,125 State Street Secuities Lending Quality Trust (M) 19,145,392 19,145 ------- Total Short-Term Investments (cost $26,270) 26,270 ------- Total Investments - 106.3% (identified cost $237,883) 301,524 Other Assets and Liabilities, Net - (6.3%) (17,953) ------- Net Assets - 100.0% 283,571 ------- See accompanying notes which are an integral part of the financial statements. Real Estate Securities Fund 33 Russell Investment Funds Core Bond Fund Schedule of Investments -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Long-Term Investments - 60.5% Asset-Backed Securities - 2.1% American Airlines, Inc. 7.858% due 10/01/11 140 139 Citibank Credit Card Issuance Trust Series 2001-A6 Class A6 5.650% due 06/16/08 475 498 Countrywide Asset-Backed Certificates (E) Series 2004-6 Class 2A1 1.530% due 10/25/21 500 500 Fleet Credit Card Master Trust II Series 2001-C Class A 3.860% due 03/15/07 375 377 GSAMP Trust (E) Series 2004-SEA2 Class A2A 1.620% due 03/25/34 400 400 Niagara Mohawk Power Corp. 7.625% due 10/01/05 132 139 Parker Hannifin Employee Stock Ownership Trust (I) 6.340% due 07/15/08 243 259 Renaissance Home Equity Loan Trust (E) Series 2004-2 Class AF1 1.530% due 07/25/34 800 800 Small Business Administration 7.449% due 08/01/10 52 57 Tenaska Alabama II Partners, LP (I) 6.125% due 03/30/23 113 113 ----- 3,282 ----- Corporate Bonds and Notes - 11.3% Amerada Hess Corp. 7.300% due 08/15/31 90 91 American Electric Power Co., Inc. Series C 5.375% due 03/15/10 35 36 American RE Corp. Series B 7.450% due 12/15/26 245 260 Arrow Electronics, Inc. 6.875% due 07/01/13 140 146 AT&T Corp. 8.050% due 11/15/11 20 21 8.750% due 11/15/31 40 39 BAE Systems Holdings, Inc. (I) 6.400% due 12/15/11 350 373 Bank of America Corp. 7.800% due 02/15/10 15 17 BankBoston Corp. Series B 8.250% due 12/15/26 80 89 BCI US Funding Trust (I)(p) 8.010% due 12/29/49 250 280 Boeing Capital Corp. 6.100% due 03/01/11 65 69 Burlington Northern Santa Fe Corp. 6.875% due 12/01/27 25 26 6.750% due 03/15/29 10 10 Campbell Soup Co. 5.875% due 10/01/08 70 74 CenterPoint Energy Houston Electric LLC Series J2 5.700% due 03/15/13 80 82 CenterPoint Energy Resources Corp. 7.875% due 04/01/13 170 190 CIT Group, Inc. 5.750% due 09/25/07 75 79 6.875% due 11/01/09 45 49 Citigroup, Inc. 3.500% due 02/01/08 560 552 7.250% due 10/01/10 195 220 Columbus Southern Power Co. Series C 5.500% due 03/01/13 55 55 Comcast Cable Communications 8.375% due 05/01/07 195 218 Comcast Corp. 5.850% due 01/15/10 60 63 Countrywide Home Loans, Inc. Series MTNK 5.500% due 02/01/07 50 52 Credit Suisse First Boston USA, Inc. 4.625% due 01/15/08 65 66 5.500% due 08/15/13 45 45 Detroit Edison Co. 6.350% due 10/15/32 90 91 Devon Financing Corp. ULC 6.875% due 09/30/11 95 103 Dominion Resources, Inc. Series B 6.250% due 06/30/12 40 42 DPL, Inc. 8.250% due 03/01/07 115 122 34 Core Bond Fund Russell Investment Funds Core Bond Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Dresdner Funding Trust I 8.151% due 06/30/31 160 178 Duke Capital Corp. 4.302% due 05/18/06 70 71 Duke Energy Field Services LLC 5.750% due 11/15/06 30 31 6.875% due 02/01/11 20 22 El Paso Corp. 8.050% due 10/15/30 400 326 Eli Lilly & Co. 6.770% due 01/01/36 245 269 FedEx Corp. 7.600% due 07/01/97 65 71 Fifth Third Bank 7.750% due 08/15/10 155 162 Financing Corp. Fico Series 15P Zero Coupon due 03/07/19 70 30 FirstEnergy Corp. Series A 5.500% due 11/15/06 40 41 Series B 6.450% due 11/15/11 195 202 Series C 7.375% due 11/15/31 115 120 Ford Motor Co. 6.375% due 02/01/29 70 59 Ford Motor Credit Co. 7.875% due 06/15/10 245 267 7.375% due 02/01/11 370 390 General Electric Capital Corp. Series MTNA 6.000% due 06/15/12 20 21 General Electric Co. 5.000% due 02/01/13 315 310 General Motors Acceptance Corp. 7.250% due 03/02/11 80 84 6.875% due 09/15/11 405 415 7.000% due 02/01/12 70 72 Glencore Funding LLC 6.000% due 04/15/14 60 56 Golden West Financial Corp. 4.125% due 08/15/07 110 111 Goldman Sachs Group, Inc. 6.875% due 01/15/11 245 269 HCA, Inc. 5.250% due 11/06/08 70 70 7.500% due 11/06/33 45 44 Historic TW, Inc. 9.125% due 01/15/13 85 104 8.050% due 01/15/16 410 466 HJ Heinz Co. 6.375% due 07/15/28 20 21 HJ Heinz Finance Co. 6.750% due 03/15/32 55 60 Household Finance Corp. 4.750% due 05/15/09 260 261 6.375% due 11/27/12 125 133 HVB Funding Trust I (I) 8.741% due 06/30/31 150 173 International Lease Finance Corp. 6.375% due 03/15/09 125 134 International Paper Co. 5.500% due 01/15/14 140 137 ITT Industries, Inc. 7.400% due 11/15/25 100 111 JP Morgan & Co., Inc. Series MTNA 6.000% due 01/15/09 120 127 Kellogg Co. Series B 6.600% due 04/01/11 375 411 KeySpan Corp. 7.250% due 11/15/05 50 53 7.625% due 11/15/10 150 173 Kraft Foods, Inc. 5.250% due 06/01/07 60 62 5.625% due 11/01/11 185 188 5.250% due 10/01/13 205 200 Kroger Co. 8.000% due 09/15/29 15 17 7.500% due 04/01/31 15 17 Lehman Brothers Holdings, Inc. 6.625% due 01/18/12 155 168 Liberty Media Corp. 3.500% due 09/25/06 500 499 5.700% due 05/15/13 50 49 Lockheed Martin Corp. 8.200% due 12/01/09 520 609 Manufacturers & Traders Trust Co. 8.000% due 10/01/10 75 88 Midland Funding II Series B 13.250% due 07/23/06 45 52 Miller Brewing Co. (I) 5.500% due 08/15/13 130 130 Core Bond Fund 35 Russell Investment Funds Core Bond Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Mizuho Preferred Capital Co. LLC (I)(p) 8.790% due 12/29/49 315 345 Monumental Global Funding II (I) 3.850% due 03/03/08 155 155 Morgan Stanley 6.750% due 04/15/11 180 197 Natexis Ambs Co. LLC (I)(p) 8.440% due 12/29/49 120 137 National Rural Utilities Cooperative Finance 5.750% due 08/28/09 70 74 NB Capital Trust IV 8.250% due 04/15/27 90 100 News America Holdings 9.250% due 02/01/13 40 50 7.750% due 12/01/45 95 108 7.900% due 12/01/95 90 100 8.250% due 10/17/96 30 35 News America, Inc. 6.750% due 01/09/38 20 22 Nisource Finance Corp. 7.875% due 11/15/10 190 218 Norfolk Southern Corp. 7.700% due 05/15/17 20 23 7.900% due 05/15/97 185 212 Occidental Petroleum Corp. 9.250% due 08/01/19 95 126 Ohio Power Co. Series F 5.500% due 02/15/13 20 20 Oncor Electric Delivery Co. 7.250% due 01/15/33 90 100 Pacific Gas & Electric Co. 3.600% due 03/01/09 50 48 4.200% due 03/01/11 65 62 6.050% due 03/01/34 65 61 Progress Energy, Inc. 7.100% due 03/01/11 45 49 7.000% due 10/30/31 120 123 Qwest Capital Funding, Inc. 7.000% due 08/03/09 25 22 Qwest Services Corp. Step Up Bond (I) 14.000% due 12/15/10 40 47 RBS Capital Trust I (p) 4.709% due 12/29/49 235 217 RC Trust 1 Equity Preferred 3.500% due 05/15/06 290 155 Safeway, Inc. 7.250% due 02/01/31 25 26 Sovereign Bancorp, Inc. 10.500% due 11/15/06 460 527 Sprint Capital Corp. 6.125% due 11/15/08 50 53 8.375% due 03/15/12 60 69 6.875% due 11/15/28 170 163 8.750% due 03/15/32 115 134 Tele-Communications-TCI Group 9.800% due 02/01/12 140 176 7.875% due 08/01/13 285 325 Time Warner, Inc. 6.750% due 04/15/11 95 102 Travelers Property Casualty Corp. 5.000% due 03/15/13 80 77 Tyson Foods, Inc. 8.250% due 10/01/11 60 69 Union Pacific Corp. 5.750% due 10/15/07 55 58 6.125% due 01/15/12 120 126 Union Planters Corp. 7.750% due 03/01/11 50 58 Univision Communications, Inc. 7.850% due 07/15/11 90 104 Verizon Florida, Inc. Series F 6.125% due 01/15/13 85 87 Wachovia Corp. 7.550% due 08/18/05 50 53 Wells Fargo & Co. 4.950% due 10/16/13 65 63 Wells Fargo Bank NA 7.550% due 06/21/10 50 58 Weyerhaeuser Co. 6.750% due 03/15/12 55 60 Wisconsin Central Transport 6.625% due 04/15/08 325 351 Wyeth 5.500% due 03/15/13 35 34 5.500% due 02/01/14 155 148 Yum! Brands, Inc. 8.875% due 04/15/11 120 145 Zurich Capital Trust I (I) 8.376% due 06/01/37 245 271 ------ 17,837 ------ 36 Core Bond Fund Russell Investment Funds Core Bond Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Emerging Markets Debt - 1.0% Argentina Government International Bond 11.375% due 03/15/10 65 19 11.375% due 01/30/17 200 58 Brazilian Government International Bond 2.063% due 04/15/06 64 63 2.125% due 04/15/09 18 16 9.250% due 10/22/10 60 57 11.000% due 01/11/12 540 543 2.125% due 04/15/12 38 31 OAO Gazprom 10.500% due 10/21/09 70 80 9.625% due 03/01/13 (I) 100 103 Panama Government International Bond 9.375% due 07/23/12 100 109 Peru Government International Bond 9.125% due 02/21/12 200 205 9.875% due 02/06/15 200 209 Russia Government International Bond 5.000% due 03/31/30 350 320 ----- 1,813 ----- International Debt - 4.7% Abbey National PLC Step Up Bond (p) 6.700% due 06/29/49 150 161 AXA 8.600% due 12/15/30 85 104 Bombardier, Inc. (I) 6.300% due 05/01/14 85 72 British Sky Broadcasting PLC 8.200% due 07/15/09 230 265 British Telecommunications PLC 8.375% due 12/15/10 90 105 8.875% due 12/15/30 5 6 Conoco Funding Co. 6.350% due 10/15/11 400 435 DBS Capital Funding Corp. (I)(p) 7.657% due 03/15/49 135 151 Deutsche Telekom International Finance BV 8.500% due 06/15/10 130 152 8.750% due 06/15/30 175 213 Dresdner Bank AG for Kyivstar GSM (I) 12.750% due 11/21/05 140 152 Export Import Bank of Korea 4.125% due 02/10/09 120 116 France Telecom Step Up Bond 8.200% due 03/01/06 440 472 8.750% due 03/01/11 485 562 9.500% due 03/01/31 75 94 Intelsat, Ltd. 6.500% due 11/01/13 205 181 Korea Development Bank 4.250% due 11/13/07 50 50 Korea Electric Power Corp. (I) 5.125% due 04/23/34 60 57 Mexico Government International Bond 8.375% due 01/14/11 100 113 6.375% due 01/16/13 130 130 8.300% due 08/15/31 235 246 Mizuho Financial Group Cayman, Ltd. (I) 5.790% due 04/15/14 130 128 Petroleos Mexicanos 9.500% due 09/15/27 35 39 Poland Government International Bond 4.750% due 10/27/24 200 178 Province of Quebec 5.000% due 07/17/09 35 36 7.500% due 07/15/23 200 240 PTC International Finance II SA 11.250% due 12/01/09 160 174 Royal Bank of Scotland Group PLC (p) Series 1 9.118% due 03/31/49 550 663 Royal KPN NV 8.000% due 10/01/10 305 353 Santander Financial Issuances 6.800% due 07/15/05 45 47 6.375% due 02/15/11 110 119 Sanwa Finance Aruba AEC 8.350% due 07/15/09 135 154 Shaw Communications, Inc. 8.250% due 04/11/10 115 125 7.200% due 12/15/11 50 52 Stora Enso OYJ 7.375% due 05/15/11 85 94 Systems 2001 AT LLC (I) 7.156% due 12/15/11 145 154 Telecom Italia Capital SA (I) 5.250% due 11/15/13 230 223 6.375% due 11/15/33 80 77 Core Bond Fund 37 Russell Investment Funds Core Bond Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- TELUS Corp. 7.500% due 06/01/07 185 201 8.000% due 06/01/11 330 375 TPSA Finance BV (I) 7.750% due 12/10/08 85 94 ----- 7,363 ----- Mortgage-Backed Securities - 28.9% Bank of America Mortgage Securities Series 2004-1 Class 5A1 6.500% due 09/25/33 60 62 Bear Stearns Adjustable Rate Mortgage Trust Series 2002-8 Class 3A 6.053% due 08/25/32 14 14 Series 2003-1 Class 6A1 5.134% due 04/25/33 181 181 Series 2003-8 Class 4A1 4.802% due 01/25/34 395 393 Citicorp Mortgage Securities, Inc. Series 2001-12 Class M 6.394% due 08/25/31 93 92 CS First Boston Mortgage Securities Corp Series 2001-AR24 Class 3A 6.263% due 12/25/31 101 104 Series 2002-18 Class 1AIO 7.500% due 06/25/32 400 10 Series 2002-22 Class 1AIO 8.000% due 07/25/32 550 14 Federal Home Loan Mortgage Corp. 15 Year Gold TBA (d) 6.500% 495 522 30 Year Gold TBA (d) 6.000% 380 386 Federal Home Loan Mortgage Corp. 30 Year Gold TBA (d) 5.500% 2,855 2,843 6.000% due 2016 79 82 5.000% due 2018 417 419 7.813% due 2030 6 6 6.500% due 2032 102 106 5.000% due 2033 534 517 Series 2000-2266 Class F 1.689% due 11/15/30 72 73 Series 2002-2504 Class L 5.500% due 03/15/15 8 8 Federal Home Loan Mortgage Corp. Structured Pass Through Securities Series 2003-54 Class 2AIO 0.245% due 02/25/43 8,496 59 Series 2003-54 Class 3AIO 0.760% due 02/25/43 3,370 119 Federal National Mortgage Association 15 Year TBA (d) 5.000% 1,740 1,742 5.500% 3,660 3,743 6.000% 2,180 2,270 30 Year TBA (d) 5.000% 5,610 5,418 5.500% 2,120 2,109 6.000% 4,680 4,769 6.500% 1,460 1,520 7.000% 465 490 6.000% due 2016 34 35 2.969% due 2017 121 122 5.000% due 2017 1,023 1,028 5.500% due 2017 1,370 1,405 6.000% due 2017 297 310 4.500% due 2018 769 754 5.000% due 2018 2,430 2,440 5.500% due 2018 383 393 7.000% due 2032 629 664 5.000% due 2033 656 635 5.500% due 2033 613 612 6.000% due 2033 88 90 6.500% due 2033 368 383 5.000% due 2034 1,921 1,861 5.500% due 2034 548 546 3.966% due 2036 922 948 Series 1992-10 Class ZD 8.000% due 11/25/21 996 1,036 Federal National Mortgage Association Zero Coupon due 2019 530 528 Federal National Mortgage Association Whole Loan Series 2002-W1 Class 2AIO 0.585% due 04/25/42 3,084 121 Series 2002-W6 Class 2AIO 0.321% due 06/25/42 3,014 29 Series 2003-W1 Class 1A1 6.500% due 12/25/42 128 133 First Nationwide Trust (E) Series 2001-4 Class 3A5 1.900% due 09/25/31 25 25 38 Core Bond Fund Russell Investment Funds Core Bond Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- Freddie Mac 15 Year Gold TBA (d) 5.000% 330 330 Government National Mortgage Association (E) Series 2000-29 Class F 1.780% due 09/20/30 94 94 Government National Mortgage Association I 30 Year TBA (d) 5.500% 530 529 6.000% due 2029 35 36 6.500% due 2032 360 376 5.500% due 2033 132 132 Government National Mortgage Association II (E) 4.375% due 2026 564 564 4.750% due 2027 40 40 2.750% due 2032 451 437 MASTR Alternative Loans Trust Series 2003-2 Class 7A1 7.000% due 12/25/32 14 14 Mellon Residential Funding Corp. (E) Series 2000-TBC2 Class A1 1.479% due 06/15/30 459 456 Prime Mortgage Trust (E) Series 2004-CL1 Class 1A2 1.700% due 02/25/34 141 141 Sequoia Mortgage Trust (E) Series 2001-5 Class A 1.630% due 10/19/26 339 338 ------ 45,656 ------ Municipal Bonds - 1.8% County of Clark Nevada General Obligation Limited, weekly demand (U) 5.000% due 06/01/32 600 589 Energy Northwest Revenue Bonds 5.500% due 07/01/13 100 110 Florida State Board Education General Obligation Unlimited, weekly demand 5.000% due 06/01/33 300 295 Golden State Tobacco Securitization Corp. Revenue Bonds, weekly demand 6.750% due 06/01/39 400 359 Los Angeles Unified School District General Obligation Unlimited, weekly demand 5.000% due 01/01/28 200 198 Lower Colorado River Authority Revenue Bonds, weekly demand (U) 5.000% due 05/15/31 300 293 New York City Transitional Finance Authority Revenue Bonds, weekly demand 5.000% due 02/01/33 300 291 South Carolina Transportation Infrastructure Bank Revenue Bonds, weekly demand 5.000% due 10/01/33 600 588 Tobacco Settlement Financing Corp. Revenue Bonds, weekly demand 4.375% due 06/01/19 100 97 University of Texas Revenue Bonds, weekly demand 5.000% due 08/15/33 100 97 ------ 2,917 ------ Non-US Bonds - 0.8% Deutsche Bundesrepublik 5.250% due 01/04/11 EUR 100 131 4.500% due 01/04/13 EUR 900 1,119 ------ 1,250 ------ United States Government Agencies - 0.7% Federal Home Loan Mortgage Corp. 2.750% due 03/15/08 210 203 Federal National Mortgage Association 4.375% due 03/15/13 345 329 Financing Corp. Principal Only STRIP 0.000% due 09/26/19 290 120 0.000% due 04/05/19 380 162 0.000% due 05/11/18 95 43 Residual Funding Principal Only STRIP 0.000% due 10/15/20 600 238 ------ 1,095 ------ United States Government Treasuries - 9.2% United States Treasury Inflation Indexed Bonds 3.375% due 01/15/07 (s) 119 127 3.875% due 01/15/09 1,032 1,150 Core Bond Fund 39 Russell Investment Funds Core Bond Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - -------------------------------------------------------------------------------- 4.250% due 01/15/10 670 767 3.500% due 01/15/11 918 1,019 3.000% due 07/15/12 836 904 3.875% due 04/15/29 229 292 United States Treasury Note 4.625% due 05/15/06 3,540 3,666 7.000% due 07/15/06 85 92 4.375% due 05/15/07 75 78 3.375% due 12/15/08 405 400 6.000% due 08/15/09 1,665 1,830 5.000% due 02/15/11 15 16 4.250% due 08/15/13 1,885 1,840 4.750% due 05/15/14 95 96 8.750% due 05/15/17 735 996 6.000% due 02/15/26 1,120 1,207 ------ 14,480 ------ Total Long-Term Investments (cost $94,384) 95,693 ------ Preferred Stocks - 0.5% Financial Services - 0.5% Centaur Funding Corp. (I) 165,000 206 DG Funding Trust (I) 49 527 ------ Total Preferred Stocks (cost $693) 733 ------ Short-Term Investments - 55.0% ABN Amro North America Discount Note (c)(y) 1.040% due 07/06/04 2,100 2,100 1.090% due 07/29/04 200 200 ANZ Delaware, Inc. (c)(y) 1.050% due 07/06/04 1,300 1,300 1.045% due 07/07/04 400 400 Barclays US Funding, LLC (y) 1.110% due 08/25/04 (c) 300 299 1.280% due 09/21/04 1,700 1,693 1.305% due 09/27/04 300 299 Bank of America Corp. Series MTNI 1.430% due 10/22/04 250 250 Bundesschatzanweisungen 3.000% due 12/10/04 2,440 2,980 CBA Del Finance, Inc. Years 3 & 4 Commercial Paper (y) 1.050% due 07/02/04 (c) 1,200 1,200 1.070% due 07/15/04 (c) 100 100 1.300% due 09/07/04 599 598 Danske Corp. Commercial Paper 1.070% due 07/26/04 (c)(y) 100 100 DNB Nor Bank ASA Commercial Paper 1.260% due 09/20/04 (y) 1,600 1,593 European Investment Bank 1.050% due 07/16/04 (y) 1,200 1,199 0.875% due 11/08/04 JPY 10,000 92 Federal Home Loan Bank Discount Note (y) 1.165% due 07/16/04 (c) 600 600 1.170% due 07/16/04 800 799 Federal Home Loan Bank System 4.125% due 01/14/05 185 187 Federal Home Loan Mortgage Corp. Discount Note (y) 1.150% due 08/17/04 800 799 Zero Coupon due 08/24/04 1,300 1,298 1.440% due 09/14/04 800 797 1.445% due 09/14/04 900 897 1.437% due 09/30/04 800 797 1.560% due 10/20/04 600 597 Federal National Mortgage Association Discount Note (y) 1.005% due 07/01/04 (c) 2,700 2,700 1.010% due 07/01/04 (c) 700 700 1.040% due 07/14/04 (c) 800 800 1.045% due 07/14/04 1,300 1,299 1.150% due 08/18/04 1,300 1,298 1.105% due 09/01/04 500 498 1.225% due 09/01/04 1,300 1,297 1.230% due 09/01/04 800 798 1.380% due 09/01/04 800 797 1.200% due 09/08/04 1,000 996 1.415% due 09/08/04 100 100 1.426% due 09/22/04 300 299 1.435% due 09/22/04 1,000 996 Frank Russell Investment Company Money Market Fund 33,486,000 33,486 General Electric Capital Corp. Commercial Paper (y) 1.060% due 07/12/04 (c) 200 200 1.460% due 09/14/04 1,300 1,295 1.480% due 09/15/04 800 797 40 Core Bond Fund Russell Investment Funds Core Bond Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands (except share amounts) Principal Market Amount ($) Value or Shares $ - ------------------------------------------------------------------------------- General Motors Acceptance Corp. 1.580% due 07/20/04 700 700 1.570% due 07/30/04 (E) 400 400 HBOS Treasury Services PLC (y) 1.055% due 07/16/04 (c) 100 100 1.345% due 09/07/04 300 299 1.475% due 09/13/04 100 100 1.580% due 10/21/04 1,200 1,193 ING US Funding LLC Commercial Paper (y) 1.040% due 07/02/04 (c) 900 900 1.345% due 09/09/04 1,400 1,395 Italy Government International Bond 5.000% due 12/15/04 JPY 6,000 56 KFW International Finance 1.000% due 12/20/04 JPY 29,000 266 Lloyds Bank PLC 1.185% due 07/21/04 (y) 1,700 1,699 National Australia Funding, Inc. 1.050% due 07/02/04 (c)(y) 2,000 2,000 Residential Asset Mortgage Products, Inc Series 2002-RZ4 Class AIO 5.750% due 04/25/05 523 16 Royal Bank of Scotland PLC 1.135% due 09/04/04 (y) 1,900 1,893 Svenska Handlesbanken, Inc. (y) 1.065% due 07/14/04 (c) 1,500 1,500 1.075% due 07/28/04 800 799 Swedbank Forenings 1.285% due 09/21/04 600 597 Toyota Motor Credit Corp. 1.000% due 12/20/04 JPY 5,000 46 UBS Finance, Inc. (y) 1.060% due 07/21/04 (c) 700 700 1.270% due 09/20/04 100 100 Unicredit Delaware Commercial Paper 1.470% due 09/14/04 (y) 1,000 996 United States Treasury Bill (y)(s) 1.135% due 09/02/04 255 254 1.230% due 09/16/04 20 20 1.391% due 09/16/04 500 498 0.098% due 09/30/04 125 124 United States Treasury Note 7.875% due 11/15/04 220 225 US Bancorp Series MTNJ 6.875% due 12/01/04 275 280 Westpac Capital Corp. (c)(y) 1.030% due 07/09/04 100 100 1.090% due 08/12/04 100 100 ------- Total Short-Term Investments (cost $86,903) 86,886 ------- Warrants & Rights - 0.1% Miscellaneous - 0.1% Mexico Government International Bond Value Recovery Rights (AE) Series B 2,500,000 13 Series C 2,500,000 50 Series D 1,900,000 38 Series E 1,900,000 31 ------- 132 ------- Utilities - 0.0% GT Group Telecom, Inc. 2010 Warrants (AE) 175 -- ------- Total Warrants (cost $41) 132 ------- Total Investments - 116.1% (identified cost $182,021) 183,444 Other Assets and Liabilities, Net - (16.1%) (25,499) ------- Net Assets - 100.0% 157,945 ======= See accompanying notes which are an integral part of the financial statements. Core Bond Fund 41 Russell Investment Funds Core Bond Fund Schedule of Investments, continued--June 30, 2004 (Unaudited) Amounts in thousands Unrealized Notional Appreciation Futures Contracts Amount (Depreciation) (Number of Contracts) $ $ - ------------------------------------------------------------------------------- Long Positions Eurodollar Futures expiration date 12/04 (9) 2,193 (4) expiration date 03/05 (17) 4,124 (26) expiration date 06/05 (19) 4,590 (31) expiration date 09/05 (15) 3,611 (28) expiration date 12/05 (15) 3,600 (27) expiration date 03/06 (2) 479 (4) Germany, Federal Republic 5 Year Bonds expiration date 09/04 (27) 3,623 8 United States Treasury Bonds expiration date 09/04 (15) 1,596 28 United States Treasury 2 Year Notes expiration date 09/04 (57) 12,001 22 United States Treasury 5 Year Notes expiration date 09/04 (64) 6,956 43 United States Treasury 10 Year Notes expiration date 09/04 (218) 23,834 278 Short Positions United States Treasury Bonds expiration date 09/04 (25) 2,659 (49) United States Treasury 5 Year Notes expiration date 09/04 (38) 4,130 (29) United States Treasury 10 Year Notes expiration date 09/04 (13) 1,421 (14) --- Total Unrealized Appreciation (Depreciation) on Open Futures Contracts 167 === Notional Market Options Written Amount Value (Number of Contracts) $ $ - ------------------------------------------------------------------------------- Euribor Futures Dec 2004 97.00 Put (3) -- -- Swap Option Three Month LIBOR Oct 2004 3.80 Call (1) 1,140 -- United States Treasury Notes 5 Year Futures Aug 2004 111.50 Call (2) 223 -- Aug 2004 107.50 Put (3) 323 (2) United States Treasury Notes 10 Year Futures Aug 2004 110.00 Call (10) 1,100 (9) Aug 2004 111.00 Call (4) 444 (2) Aug 2004 114.00 Call (1) 114 -- Aug 2004 115.00 Call (11) 1,265 -- Aug 2004 105.00 Put (10) 1,050 (1) Aug 2004 108.00 Put (6) 648 (4) --- Total Liability for Options Written (premiums received $41) (18) === Foreign Currency Exchange Contracts - ------------------------------------------------------- Unrealized Appreciation Amount Amount Settlement (Depreciation) Sold Bought Date $ - ----------- ----------- ---------- -------------- USD 2,120 EUR 1,750 07/26/04 7 EUR 66 USD 81 07/20/04 1 EUR 1,750 USD 2,072 07/26/04 (56) EUR 1,870 USD 2,263 12/10/04 (8) --- (56) === See accompanying notes which are an integral part of the financial statements. 42 Core Bond Fund Russell Investment Funds Core Bond Fund Schedule of Investments, continued -- June 30, 2004 (Unaudited) Amounts in thousands
Index Swaps - --------------------------------------------------------------------------------------------------------- Unrealized Notional Appreciation Fund Receives Counter Amount Fund Pays Termination (Depreciation) Underlying Security Party $ Floating Rate Date $ - ----------------------- --------------- -------- ------------------- ----------- -------------- Lehman Brothers CMBS 1 Month USD LIBOR- ERISA Eligible Index Lehman Brothers 910 BBA minus 0.450% 07/31/04 (2) Lehman Brothers CMBS 1 Month USD LIBOR- ERISA Eligible Index Lehman Brothers 320 BBA minus 0.300% 11/30/04 4 --- 2 ===
Interest Rate Swaps - --------------------------------------------------------------------------------------- Notional Market Counter Amount Termination Value Party $ Fund Receives Fund Pays Date $ - ------------------ ----------- ----------------- --------- ----------- ------ Bank of America USD 6,900 Three Month LIBOR 4.000% 12/15/09 (187) Barclay's Bank PLC EUR 200 Six Month LIBOR 4.000% 06/17/10 (2) Barclay's Bank PLC GBP 50 Six Month LIBOR 5.000% 06/16/11 (2) Barclay's Bank PLC USD 900 Three Month LIBOR 4.000% 12/15/06 6 Goldman Sachs EUR 1,000 Six Month LIBOR 4.000% 06/17/08 5 Merrill Lynch EUR 900 Six Month LIBOR 4.000% 03/15/07 12 Merrill Lynch EUR 3,800 Six Month LIBOR 4.000% 06/17/10 (44) UBS USD 400 Three Month LIBOR 4.000% 12/15/06 3 UBS USD 1,000 Three Month LIBOR 4.000% 12/15/09 (27) ---- Total Market Value of Interest Rate Swaps premiums paid (received) - ($232) (236) ====
See accompanying notes which are an integral part of the financial statements. Core Bond Fund 43 Russell Investment Funds Notes to Schedules of Investments -- June 30, 2004 (Unaudited) - -------------------------------------------------------------------------------- Footnotes: (AE) Nonincome-producing security. (o) Real Estate Investment Trust (REIT). (s) Held as collateral in connection with futures contracts purchased (sold), options written, or swaps entered into by the Fund. (y) Rate noted is yield-to-maturity from date of acquisition. (c) At amortized cost, which approximates market. (E) Adjustable or floating rate security. Rate shown reflects rate in effect at period end. (d) Forward commitment. (p) Perpetual floating rate security. Rate shown reflects rate in effect at period end. (U) Bond is insured by a guarantor or backed by a letter of credit. (L) All or a portion of the shares of this security are on loan. (I) Restricted security. Security may have contractual restrictions on resale, may have been offered in a private placement transaction, and may not be registered under the Securities Act of 1933. (Y) This security has been valued by the Security Valuation Committee. It is possible that the estimated value may differ significantly from the amount that might ultimately be realized. (ae) Pre-refunded: These bonds are collateralized by US Treasury securities, which are held in escrow by a trustee and used to pay principal and interest in the tax-exempt issue and to retire the bonds in full at the earliest refunding date. The rate noted is for descriptive purposes; effective yield may vary. (O) In default. (M) The security is purchased with the cash collateral from the securities loaned. (B) Illiquid Security. Abbreviations: ADR - American Depositary Receipt GDR - Global Depositary Receipt ADS - American Depositary Share CMO - Collateralized Mortgage Obligation CVO - Contingent Value Obligation 144A - Represents private placement security for qualified buyers according to rule 144A of the Securities Act of 1933. GDS - Global Depositary Share LIBOR - London Interbank Offered Rate PIK - Payment in Kind FDIC - Federal Deposit Insurance Company REMIC - Real Estate Mortgage Investment Conduit STRIP - Separate Trading of Registered Interest and Principal of Securities TBA - To Be Announced Security Foreign Currency Abbreviations: ARS - Argentine peso HKD - Hong Kong dollar PLN - Polish zloty AUD - Australian dollar HUF - Hungarian forint RUB - Russian ruble BRL - Brazilian real IDR - Indonesian rupiah SEK - Swedish krona CAD - Canadian dollar ILS - Israeli shekel SGD - Singapore dollar CHF - Swiss franc INR - Indian rupee SKK - Slovakian koruna CLP - Chilean peso ITL - Italian lira THB - Thai baht CNY - Chinese renminbi yuan JPY - Japanese yen TRL - Turkish lira COP - Colombian peso KES - Kenyan schilling TWD - Taiwanese dollar CRC - Costa Rica colon KRW - South Korean won USD - United States dollar CZK - Czech koruna MXN - Mexican peso VEB - Venezuelan bolivar DKK - Danish krone MYR - Malaysian ringgit VND - Vietnamese dong EGP - Egyptian pound NZD - New Zealand dollar ZAR - South African rand EUR - Euro PEN - Peruvian nouveau sol GBP - British pound sterling PHP - Philippine peso
44 Notes to Schedules of Investments Russell Investment Funds Statement of Assets and Liabilities -- June 30, 2004 (Unaudited)
Multi-Style Equity Amounts in thousands Fund - ----------------------------------------------------------------------------------- Assets Investments, at identified cost $281,418 - ----------------------------------------------------------------------------------- Investments, at market*** 313,075 Cash -- Foreign currency holdings* -- Unrealized appreciation on foreign currency exchange contracts -- Receivables: Dividends and interest 308 Investments sold 4,336 Fund shares sold 85 Foreign taxes recoverable -- From Advisor 4 Daily variation margin on futures contracts 80 Prepaid expenses 1 Unrealized appreciation on index swap contracts -- Interest rate swap contracts, at market value**** -- -------- Total assets 317,889 -------- Liabilities Payables: Investments purchased 4,836 Fund shares redeemed 59 Accrued fees to affiliates 213 Other accrued expenses 38 Daily variation margin on futures contracts -- Unrealized depreciation on foreign currency exchange contracts -- Options written, at market value** -- Payable upon return of securities loaned 2,110 Unrealized depreciation on index swap contracts -- Interest rate swap contracts, at market value**** -- -------- Total liabilities 7,256 -------- Net Assets $310,633 ======== Net Assets Consist of: Undistributed (overdistributed) net investment income $ 553 Accumulated net realized gain (loss) (87,518) Unrealized appreciation (depreciation) on: Investments 31,657 Futures contracts 124 Options written -- Index swap contracts -- Interest rate swap contracts -- Foreign currency-related transactions -- Shares of beneficial interest 262 Additional paid-in capital 365,555 -------- Net Assets $310,633 ========
See accompanying notes which are an integral part of the financial statements. 46 Statement of Assets and Liabilities Aggressive Equity Non-U.S. Real Estate Securities Core Bond Fund Fund Fund Fund - ----------------------------------------------------------------- $171,000 $218,920 $237,883 $182,021 - ----------------------------------------------------------------- 192,756 249,900 301,524 183,444 -- -- -- 2,811 -- 1,916 -- 172 -- 159 -- 8 136 489 1,358 1,024 2,208 705 953 14,330 154 117 114 12 -- 85 -- -- 13 35 -- 3 56 86 -- 213 1 1 1 1 -- -- -- 4 -- -- -- 26 -------- -------- -------- -------- 195,324 253,493 303,950 202,048 -------- -------- -------- -------- 2,045 399 983 43,632 21 6 28 13 144 183 207 79 14 12 16 33 -- 37 -- -- -- 107 -- 64 -- 761 -- 18 15,890 31,101 19,145 -- -- -- -- 2 -- -- -- 262 -------- -------- -------- -------- 18,114 32,606 20,379 44,103 -------- -------- -------- -------- $177,210 $220,887 $283,571 $157,945 ======== ======== ======== ======== $ 183 $ 612 $ 968 $ 1,054 4,882 (50,612) 6,902 686 21,756 30,980 63,641 1,423 264 362 -- 167 -- (6) -- 23 -- -- -- 2 -- -- -- (4) -- 49 -- (67) 126 218 195 152 149,999 239,284 211,865 154,509 -------- -------- -------- -------- $177,210 $220,887 $283,571 $157,945 ======== ======== ======== ======== See accompanying notes which are an integral part of the financial statements. Statement of Assets and Liabilities 47 Russell Investment Funds Statement of Assets and Liabilities, continued -- June 30, 2004 (Unaudited)
Multi-Style Equity Fund - ---------------------------------------------------------------------------------- Net Asset Value, offering and redemption price per share: Net asset value per share***** $ 11.87 Net assets $310,633,217 Shares outstanding ($.01 par value) 26,175,498 - ---------------------------------------------------------------------------------- Amounts in thousands * Foreign currency holdings - cost $ -- ** Premiums received on options written $ -- *** Securities on loan included in investments $ 2,054 **** Interest rate swap contracts - premiums paid (received) $ -- ***** Net asset value per share equals net assets divided by shares of beneficial interest outstanding.
See accompanying notes which are an integral part of the financial statements. 48 Statement of Assets and Liabilities Aggressive Equity Non-U.S. Real Estate Securities Core Bond Fund Fund Fund Fund - ------------------------------------------------------------------------ $ 14.05 $ 10.15 $ 14.53 $ 10.39 $177,209,510 $220,887,258 $283,570,764 $157,944,556 12,611,622 21,761,089 19,510,556 15,202,355 - ------------------------------------------------------------------------ $ -- $ 1,923 $ -- $ 172 $ -- $ 755 $ -- $ 41 $ 15,509 $ 29,576 $ 18,822 $ -- $ -- $ -- $ -- $ (232) See accompanying notes which are an integral part of the financial statements. Statement of Assets and Liabilities 49 Russell Investment Funds Statement of Operations -- For the Period Ended June 30, 2004 (Unaudited) Multi-Style Amounts in thousands Equity Fund - -------------------------------------------------------------------------------- Investment Income Dividends $ 2,271 Dividends from affiliated money market fund 85 Interest 6 Securities lending income 5 Less foreign taxes withheld -- ------- Total investment income 2,367 ------- Expenses Management fees 1,198 Custodian fees 125 Transfer agent fees 4 Professional fees 22 Trustees' fees 4 Printing fees 7 Miscellaneous 15 ------- Expenses before reductions 1,375 Expense reductions (39) ------- Net expenses 1,336 ------- Net investment income (loss) 1,031 ------- Net Realized and Unrealized Gain (Loss) Net realized gain (loss) on: Investments 13,497 Futures contracts 1,182 Options written -- Index swap contracts -- Interest rate swap contracts -- Foreign currency-related transactions -- ------- Net realized gain (loss) 14,679 ------- Net change in unrealized appreciation (depreciation) on: Investments (6,056) Futures contracts (594) Options written -- Index swap contracts -- Interest rate swap contracts -- Foreign currency-related transactions -- ------- Net change in unrealized appreciation (depreciation) (6,650) ------- Net realized and unrealized gain (loss) 8,029 ------- Net Increase (Decrease) in Net Assets from Operations $ 9,060 ======= See accompanying notes which are an integral part of the financial statements. 50 Statement of Operations Aggressive Equity Non-U.S. Real Estate Securities Core Bond Fund Fund Fund Fund - ----------------------------------------------------------------- $ 1,016 $ 3,633 $ 5,560 $ 29 49 81 41 168 4 16 -- 2,167 37 73 8 -- -- (435) -- -- ------- ------- ------- ------- 1,106 3,368 5,609 2,364 ------- ------- ------- ------- 835 1,037 1,171 455 130 270 48 74 3 3 3 2 20 28 21 18 2 3 4 2 4 5 6 4 15 10 3 1 ------- ------- ------- ------- 1,009 1,356 1,256 556 (86) (101) -- (26) ------- ------- ------- ------- 923 1,255 1,256 530 ------- ------- ------- ------- 183 2,113 4,353 1,834 ------- ------- ------- ------- 11,887 10,878 9,843 849 575 1,038 -- 199 -- (378) -- 154 -- -- -- 53 -- -- -- (116) -- (354) -- (233) ------- ------- ------- ------- 12,462 11,184 9,843 906 ------- ------- ------- ------- (5,689) (3,795) 3,201 (2,196) (69) 95 -- (49) -- 10 -- (45) -- -- -- (65) -- -- -- (45) -- (283) -- 144 ------- ------- ------- ------- (5,758) (3,973) 3,201 (2,256) ------- ------- ------- ------- 6,704 7,211 13,044 (1,350) ------- ------- ------- ------- $ 6,887 $ 9,324 $17,397 $ 484 ======= ======= ======= ======= See accompanying notes which are an integral part of the financial statements. Statement of Operations 51 Russell Investment Funds Statement of Changes in Net Assets
Multi-Style Equity Fund ---------------------------- Six Months Year Ended Ended June 30, 2004 December 31, Amounts in thousands (Unaudited) 2003 - -------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Operations Net investment income (loss) $ 1,031 $ 1,977 Net realized gain (loss) 14,679 13,702 Net change in unrealized appreciation (depreciation) (6,650) 47,424 -------- -------- Net increase (decrease) in net assets from operations 9,060 63,103 -------- -------- Distributions From net investment income (1,127) (1,743) From net realized gain -- -- Tax return of capital -- -- -------- -------- Net decrease in net assets from distributions (1,127) (1,743) -------- -------- Share Transactions Net increase (decrease) in net assets from share transactions 5,933 28,613 -------- -------- Total Net Increase (Decrease) in Net Assets 13,866 89,973 Net Assets Beginning of period 296,767 206,794 -------- -------- End of period $310,633 $296,767 ======== ======== Undistributed (overdistributed) net investment income included in net assets $ 553 $ 649
See accompanying notes which are an integral part of the financial statements. 52 Statement of Changes in Net Assets
Aggressive Equity Non-U.S. Real Estate Securities Core Bond Fund Fund Fund Fund - ---------------------------- ---------------------------- ---------------------------- ---------------------------- Six Months Year Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended Ended Ended June 30, 2004 December 31, June 30, 2004 December 31, June 30, 2004 December 31, June 30, 2004 December 31, (Unaudited) 2003 (Unaudited) 2003 (Unaudited) 2003 (Unaudited) 2003 - ------------------------------------------------------------------------------------------------------------------------- $ 183 $ 117 $ 2,113 $ 1,801 $ 4,353 $ 9,111 $ 1,834 $ 4,208 12,462 16,388 11,184 579 9,843 (511) 906 4,198 (5,758) 31,170 (3,973) 53,362 3,201 55,264 (2,256) 243 -------- -------- -------- -------- -------- -------- -------- -------- 6,887 47,675 9,324 55,742 17,397 63,864 484 8,649 -------- -------- -------- -------- -------- -------- -------- -------- -- (138) (811) (4,573) (2,223) (10,273) (1,214) (5,257) -- -- -- -- -- -- (487) (2,755) -- -- -- -- -- (341) -- -- -------- -------- -------- -------- -------- -------- -------- -------- -- (138) (811) (4,573) (2,223) (10,614) (1,701) (8,012) -------- -------- -------- -------- -------- -------- -------- -------- 3,938 21,054 5,755 17,610 13,706 41,265 11,960 6,285 -------- -------- -------- -------- -------- -------- -------- -------- 10,825 68,591 14,268 68,779 28,880 94,515 10,743 6,922 166,385 97,794 206,619 137,840 254,691 160,176 147,202 140,280 -------- -------- -------- -------- -------- -------- -------- -------- $177,210 $166,385 $220,887 $206,619 $283,571 $254,691 $157,945 $147,202 ======== ======== ======== ======== ======== ======== ======== ======== $ 183 $ -- $ 612 $ (690) $ 968 $ (1,162) $ 1,054 $ 434
See accompanying notes which are an integral part of the financial statements. Statement of Changes in Net Assets 53 Russell Investment Funds Financial Highlights -- For the Periods Ended For a Share Outstanding Throughout Each Period.
$ $ $ $ Net Asset Value, Net Net Realized Total Income Beginning of Investment and Unrealized from Period Income Loss)(a) Gain (Loss) Operations - ------------------------------------------------------------------------------------------------ Multi-Style Equity Fund June 30, 2004* 11.56 .04 .31 .35 December 31, 2003 9.04 .08 2.51 2.59 December 31, 2002 11.84 .06 (2.80) (2.74) December 31, 2001 14.13 .07 (2.06) (1.99) December 31, 2000 16.79 .08 (2.10) (2.02) December 31, 1999 16.02 .12 2.41 2.53 - ------------------------------------------------------------------------------------------------ Aggressive Equity Fund June 30, 2004* 13.47 .01 .57 .58 December 31, 2003 9.26 .01 4.21 4.22 December 31, 2002 11.44 (.02) (2.16) (2.18) December 31, 2001 11.73 --(d) (.28) (.28) December 31, 2000 13.36 .04 (.16) (.12) December 31, 1999 12.70 .05 .71 .76 - ------------------------------------------------------------------------------------------------ Non-U.S. Fund June 30, 2004* 9.76 .10 .33 .43 December 31, 2003 7.20 .09 2.69 2.78 December 31, 2002 8.64 .06 (1.37) (1.31) December 31, 2001 11.15 .06 (2.52) (2.46) December 31, 2000 14.19 .10 (2.11) (2.01) December 31, 1999 11.09 .10 3.53 3.63 - ------------------------------------------------------------------------------------------------ Real Estate Securities Fund June 30, 2004* 13.71 .22 .71 .93 December 31, 2003 10.51 .55 3.28 3.83 December 31, 2002 10.75 .54 (.13) .41 December 31, 2001 10.67 .57 .24 .81 December 31, 2000 8.81 .54 1.81 2.35 December 31, 1999 (1) 10.00 .35 (1.08) (.73) - ------------------------------------------------------------------------------------------------ Core Bond Fund June 30, 2004* 10.47 .13 (.10) .03 December 31, 2003 10.43 .31 .31 .62 December 31, 2002 10.13 .36 .52 .88 December 31, 2001 10.07 .54 .18 .72 December 31, 2000 9.64 .61 .33 .94 December 31, 1999 10.68 .59 (.65) (.06) - ------------------------------------------------------------------------------------------------ $ $ Distributions Distributions $ from Net from Net Return of Investment Income Realized Gain Capital - --------------------------------------------------------------------------- Multi-Style Equity Fund June 30, 2004* (.04) -- -- December 31, 2003 (.07) -- -- December 31, 2002 (.06) -- -- December 31, 2001 (.06) (.24) -- December 31, 2000 (.08) (.56) -- December 31, 1999 (.12) (1.64) -- - --------------------------------------------------------------------------- Aggressive Equity Fund June 30, 2004* -- -- -- December 31, 2003 (.01) -- -- December 31, 2002 -- -- -- December 31, 2001 --(d) -- (.01) December 31, 2000 (.05) (1.46) -- December 31, 1999 (.04) (.06) -- - --------------------------------------------------------------------------- Non-U.S. Fund June 30, 2004* (.04) -- -- December 31, 2003 (.22) -- -- December 31, 2002 (.13) -- -- December 31, 2001 (.04) -- (.01) December 31, 2000 -- (1.00) (.03) December 31, 1999 (.23) (.30) -- - --------------------------------------------------------------------------- Real Estate Securities Fund June 30, 2004* (.11) -- -- December 31, 2003 (.61) -- (.02) December 31, 2002 (.57) (.08) -- December 31, 2001 (.55) (.18) -- December 31, 2000 (.49) -- -- December 31, 1999 (1) (.34) -- (.12) - --------------------------------------------------------------------------- Core Bond Fund June 30, 2004* (.08) (.03) -- December 31, 2003 (.38) (.20) -- December 31, 2002 (.30) (.28) -- December 31, 2001 (.60) (.06) -- December 31, 2000 (.51) -- -- December 31, 1999 (.61) (.16) (.21) - ---------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. 54 Financial Highlights
% % % $ $ Ratio of Expenses Ratio of Expenses Ratio of Net $ Net Asset Value, % Net Assets, to Average to Average Investment Income % Total End of Total End of Period Net Assets, Net Assets, to Average Portfolio Distributions Period Return(b) (000) Net(c)(e) Gross(c) Net Assets(c) Turnover Rate(b) - ------------------------------------------------------------------------------------------------------------------------------------ (.04) 11.87 3.05 310,633 .87 .90 .67 63.61 (.07) 11.56 28.86 296,767 .87 .95 .82 107.67 (.06) 9.04 (23.19) 206,794 .92 .99 .61 145.90 (.30) 11.84 (14.21) 251,730 .92 .99 .57 131.67 (.64) 14.13 (12.26) 262,664 .92 .93 .51 161.09 (1.76) 16.79 17.17 285,877 .92 .96 .74 67.67 - ------------------------------------------------------------------------------------------------------------------------------------ -- 14.05 4.31 177,210 1.05 1.15 .21 83.10 (.01) 13.47 45.60 166,385 1.06 1.26 .10 138.95 -- 9.26 (19.06) 97,794 1.25 1.36 (.17) 139.24 (.01) 11.44 (2.36) 111,693 1.25 1.38 .01 180.38 (1.51) 11.73 (.66) 106,665 1.25 1.28 .27 203.48 (.10) 13.36 6.08 99,150 1.25 1.34 .37 111.46 - ------------------------------------------------------------------------------------------------------------------------------------ (.04) 10.15 4.38 220,887 1.15 1.24 1.94 45.03 (.22) 9.76 38.78 206,619 1.16 1.41 1.14 50.29 (.13) 7.20 (15.15) 137,840 1.30 1.48 .77 60.98 (.05) 8.64 (22.03) 154,494 1.30 1.43 .64 79.79 (1.03) 11.15 (14.43) 185,644 1.30 1.37 .78 86.06 (.53) 14.19 33.36 195,519 1.30 1.50 .80 83.45 - ------------------------------------------------------------------------------------------------------------------------------------ (.11) 14.53 6.75 283,571 .91 .91 3.16 26.71 (.63) 13.71 37.21 254,691 .95 .95 4.66 38.84 (.65) 10.51 3.80 160,176 .99 .99 5.01 55.43 (.73) 10.75 7.84 111,982 1.06 1.06 5.35 55.13 (.49) 10.67 27.24 88,713 1.08 1.08 5.58 45.79 (.46) 8.81 (7.26) 55,318 1.15 1.15 5.84 23.98 - ------------------------------------------------------------------------------------------------------------------------------------ (.11) 10.39 .35 157,945 .70 .73 2.42 84.52 (.58) 10.47 6.15 147,202 .71 .78 2.86 232.64 (.58) 10.43 8.84 140,280 .80 .80 3.52 207.60 (.66) 10.13 7.41 109,971 .80 .88 5.25 205.62 (.51) 10.07 10.00 88,514 .80 .84 6.20 171.48 (.98) 9.64 (.61) 83,620 .80 .86 5.77 139.06 - ------------------------------------------------------------------------------------------------------------------------------------
See accompanying notes which are an integral part of the financial statements. Financial Highlights 55 Russell Investment Funds Notes To Financial Highlights -- June 30, 2004 (Unaudited) - -------------------------------------------------------------------------------- * For the six months ended June 30, 2004 (Unaudited). (1) For the period April 30, 1999 (commencement of operations) to December 31, 1999. (a) Average month-end shares outstanding were used for this calculation. (b) Periods less than one year are not annualized. (c) The ratios for periods less than one year are annualized. (d) Less than $.01 per share. (e) May include amounts waived and/or reimbursed by the investment advisor and for certain funds, custody credit arrangements. The custody credit arrangements had an impact of less than .005%. See accompanying notes which are an integral part of the financial statements. 56 Notes to Financial Highlights Russell Investment Funds Notes to Financial Statements -- June 30, 2004 (Unaudited) - -------------------------------------------------------------------------------- 1. Organization Russell Investment Funds (the "Investment Company") is a series mutual fund with five investment portfolios, referred to as "Funds." These financial statements report on the Funds, each of which has distinct investment objectives and strategies. These Funds are offered at net asset value to qualified insurance company separate accounts offering variable insurance products. The Investment Company is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company. It is organized and operates as a Massachusetts business trust under a master trust agreement dated July 11, 1996. The Investment Company's master trust agreement permits the Board of Trustees to issue an unlimited number of full and fractional shares of beneficial interest at a $.01 par value. 2. Significant Accounting Policies The Funds' financial statements are prepared in accordance with accounting principles generally accepted in the United States of America ("GAAP") which require the use of management estimates. The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of these financial statements. Security valuation United States equity securities listed and traded principally on any national securities exchange are valued on the basis of the last sale price or, if there were no sales on that day, at the last reported price, on the primary exchange on which the security is traded. Equity securities traded on NASDAQ or in a U.S. OTC market will be valued at the official closing price (NOCP) as of the close of the market's regular trading hours. Fixed-income securities listed and traded principally on any national securities exchange are valued at the evaluated bid price or, if there were no sales on that day, at the last reported bid price, on the primary exchange on which the security is traded. Over-the-counter fixed-income securities and options are valued on the basis of the last sale price. Many fixed-income securities do not trade each day, and thus last sale or bid prices are frequently not available. Accordingly, fixed-income securities may be valued using prices provided by a pricing service approved by the Board of Trustees when such prices are believed to reflect the market value of such securities. Futures contracts are valued on the basis of the last sales price. Exchange listed futures contracts are valued on a basis of the last quoted daily settlement prices established by the exchange on which they trade. If there were no sales, futures are valued at the last reported bid price. Investments in other mutual funds are valued at their net asset value per share, calculated at the close of business. The value of swap agreements are equal to the Funds' obligation (or rights) under swap contracts which will generally be equal to the net amounts to be paid or received under the contracts based upon the relative values of the positions held by each party to the contracts. International equity securities traded on a foreign national securities exchange or an over-the-counter market (foreign or domestic) are valued on the basis of the official closing price, or, lacking the official closing price, at the last sale price on the primary exchange on which the security is traded. Short-term investments purchased by the Funds and maturing within 60 days at the time of purchase are valued at "amortized cost" unless the Board of Trustees determines that amortized cost does not represent fair value. The Funds may value certain securities for which market quotations are not readily available at "fair value," as determined in good faith pursuant to procedures established by the Board of Trustees. Generally, trading in non-U.S. securities is substantially completed each day at various times prior to the close of trading on the U.S. markets. The values of such securities used in computing the net asset value of a portfolio's shares are generally determined as of such times. Occasionally, significant events that affect the values of such securities may occur between the times at which they are generally determined and the close of the U.S. markets and would therefore not be reflected in the computation of a portfolio's net asset value. In such event, these securities will then be valued at their fair value as determined in good faith under consistently applied procedures established by and under the general supervision of the Board of Trustees. Investment transactions Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the basis of specific identified cost incurred by each money manager within a particular Fund. Notes to Financial Statements 57 Russell Investment Funds Notes to Financial Statements, continued -- June 30, 2004 (Unaudited) - -------------------------------------------------------------------------------- Investment income Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. The Core Bond Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as part of interest income. All premiums and discounts, including original issue discounts, are amortized/accreted using the interest method. Federal income taxes Since the Investment Company is a Massachusetts business trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to each Fund's shareholders without regard to the income and capital gains (or losses) of the other Funds. It is each Fund's intention to qualify as a regulated investment company and distribute all of its taxable income and capital gains. Therefore, no federal income tax provision was required for the Funds. Dividends and distributions to shareholders For all Funds, income dividends and capital gain distributions, if any, are recorded on the ex-dividend date. Dividends are generally declared and paid quarterly, except for the Non-U.S. Fund, which generally declares and pays dividends annually. Capital gain distributions are generally declared and paid annually. An additional distribution may be paid by the Funds to avoid imposition of federal income and excise tax on any remaining undistributed capital gains and net investment income. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations which may differ from GAAP. As a result, net investment income and net realized gain (or loss) on investment and foreign currency-related transactions for a reporting period may differ significantly from distributions during such period. The differences between tax regulations and GAAP primarily relate to investments in options, futures, forward contracts, swaps, passive foreign investment companies, foreign-denominated investments, mortgage-backed securities, certain securities sold at a loss, capital loss carryforwards and by recording gains and losses from securities transactions on the basis of specific identified cost incurred by each money manager for financial reporting purposes and on the basis of specific identified cost incurred by each Fund for tax purposes. Permanent differences between book and tax accounting are reclassified to paid in capital. Accordingly, the Funds may periodically make reclassifications among certain of its capital accounts without impacting its net asset value. Expenses The Funds will pay their own expenses other than those expressly assumed by Frank Russell Investment Management Company ("FRIMCo" or "Advisor"). Most expenses can be directly attributed to the individual Funds. Expenses which cannot be directly attributed to a specific Fund are allocated among all Funds principally based on their relative net assets. Foreign currency translations The books and records of the Funds are maintained in US dollars. Foreign currency amounts and transactions of the Funds are translated into US dollars on the following basis: (a) Market value of investment securities, other assets and liabilities at the closing rate of exchange on the valuation date. (b) Purchases and sales of investment securities and income at the closing rate of exchange prevailing on the respective trade dates of such transactions. Reported net realized gains or losses from foreign currency-related transactions arise from: sales and maturities of short-term securities; sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Non-U.S. Fund's books and the US dollar equivalent of the amounts actually received or paid. Net unrealized gains or losses from foreign currency-related transactions arise from changes in the value of assets and liabilities, other than investments in securities, at year end, as a result of changes in the exchange rates. The Funds do not isolate that portion of the results of operations of the Fund that arises as a result of changes in exchange rates from that portion that arises from changes in market prices of investments during the year. Such fluctuations are included with the net realized and unrealized gain or loss from investments. However, for federal income tax purposes the Funds do isolate the effects of changes in foreign exchange rates from the fluctuations arising from changes in market prices for realized gain (or loss) on debt obligations. 58 Notes to Financial Statements Russell Investment Funds Notes to Financial Statements, continued -- June 30, 2004 (Unaudited) - -------------------------------------------------------------------------------- Derivatives To the extent permitted by the investment objectives, restrictions and policies set forth in the Funds' Prospectus and Statement of Additional Information, the Funds may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. They include options, futures, swaps, forwards, structured notes and stripped securities. These instruments offer unique characteristics and risks that assist the Funds in meeting their investment strategies. The Funds typically use derivatives in three ways: cash equitization, hedging, and return enhancement. Cash equitization is a technique that may be used by certain Funds through the use of options and futures to earn "market-like" returns with their excess and liquidity reserve cash balances. Hedging is used by some Funds to limit or control risks, such as adverse movements in exchange rates and interest rates. Return enhancement can be accomplished through the use of derivatives in a Fund. By purchasing certain instruments, Funds may more effectively achieve the desired portfolio characteristics that assist them in meeting their investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk. Foreign currency exchange contracts In connection with portfolio purchases and sales of securities denominated in a foreign currency, the Non-U.S. and Core Bond Funds may enter into foreign currency exchange spot contracts and forward foreign currency exchange contracts ("contracts"). Contracts are recorded at market value. Certain risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and are generally limited to the amount of unrealized gain on the contracts, if any, that is recognized in the Statement of Assets and Liabilities. Realized gains or losses arising from such transactions are included in net realized gain (or loss) from foreign currency-related transactions. Open contracts at June 30, 2004 are presented on the Schedule of Investments for the Non-U.S. and Core Bond Funds. Forward commitments The Funds may contract to purchase securities for a fixed price at a future date beyond customary settlement time (not to exceed 120 days) (i.e., a "forward commitment," "delayed settlement" or "when issued" transaction, e.g., to be announced ("TBA")) consistent with a Fund's ability to manage its investment portfolio and meet redemption requests. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The Funds may dispose of a forward commitment transaction prior to settlement if it is appropriate to do so and realize short-term gains (or losses) upon such sale. When effecting such transactions, cash or liquid high-grade debt obligations of the Fund in a dollar amount sufficient to make payment for the portfolio securities to be purchased will be segregated on the Fund's records at the trade date and maintained until the transaction is settled. A forward commitment transaction involves a risk of loss if the value of the security to be purchased declines prior to the settlement date or the other party to the transaction fails to complete the transaction. Options The Funds will not enter into any such transactions unless it owns (1) an offsetting ("covered") position in securities, currencies or other options, futures contracts or forward contracts or (2) cash or liquid assets with a value, marked to market daily, sufficient to cover their obligations to the extent not covered as provided in (1) above. The Funds will comply with SEC guidelines regarding cover for these instruments and will, if the guidelines so require, designate the prescribed amount of cash or liquid assets as segregated. The Funds may purchase and sell (write) call and put options on securities and securities indices, provided such options are traded on a national securities exchange or in an over-the-counter market. These Funds may also purchase and sell call and put options on foreign currencies. The domestic equity Funds may utilize options to equitize liquidity reserve balances. When a Fund writes a covered call or a put option, an amount equal to the premium received by the Fund is included in the Fund's Statement of Assets and Liabilities as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. The Fund receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in stock value above the exercise price of the option, and when the Fund writes a put option it is exposed to a decline in the price of the underlying security. If an option which the Fund has written either expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss, if the cost of a closing purchase transaction exceeds the premium Notes to Financial Statements 59 Russell Investment Funds Notes to Financial Statements, continued -- June 30, 2004 (Unaudited) - -------------------------------------------------------------------------------- received when the option was sold) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a call option which the Fund has written is exercised, the Fund realizes a capital gain or loss from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. When a put option which a Fund has written is exercised, the amount of the premium originally received will reduce the cost of the security which a Fund purchases upon exercise of the option. Realized gains (losses) on purchased options are included in net realized gain (loss) from investments. The Funds' use of written options involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statement of Assets and Liabilities. The face or contract amounts of these instruments reflect the extent of the Funds' exposure to market risk. The risks may be caused by an imperfect correlation between movements in the price of the instrument and the price of the underlying securities and interest rates. Futures contracts The Funds utilize futures to equitize uninvested cash balances. The face or contract amounts of these instruments reflect the extent of the Funds' exposure to off balance sheet risk. The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Fund and the prices of futures contracts, and the possibility of an illiquid market. Upon entering into a futures contract, the Funds are required to deposit with a broker an amount, termed the initial margin, which typically represents 5% of the purchase price indicated in the futures contract. Payments to and from the broker, known as variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in the initial settlement values of futures contracts are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. Investment in international markets Investing in international markets may involve special risks and considerations not typically associated with investing in the United States markets. These risks include revaluation of currencies, high rates of inflation, repatriation, restrictions on income and capital, and future adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls, delayed settlements, and their prices more volatile than those of comparable securities in the United States. Swap agreements The Funds may enter into swap agreements as an additional equitization vehicle for uninvested cash balances held by the Funds or to effect investment transactions consistent with the Funds' investment objectives and strategies. Swap agreements are two party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than one year. In a standard swap transaction, the two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular investments or instruments. The returns to be exchanged between the parties are calculated with respect to a "notional amount" (i.e. a specified dollar amount that is hypothetically invested in a "basket" of securities representing a particular index). Amounts paid to and received from the swap counterparties representing capital appreciation and depreciation on the underlying securities and accrued interest expense and interest income are recorded as net realized gain (loss). The Fund is exposed to credit risk in the event of non-performance by the swap counterparties; however, the Fund does not anticipate non-performance by the counterparties. Guarantees In the normal course of business the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote. 60 Notes to Financial Statements Russell Investment Funds Notes to Financial Statements, continued -- June 30, 2004 (Unaudited) - -------------------------------------------------------------------------------- 3. Investment Transactions Securities For the period ended June 30, 2004, purchases and sales of investment securities (excluding US Government and Agency obligations, short-term investments, options, futures and repurchase agreements) were as follows:
Funds Purchases Sales Funds Purchases Sales - ----------------------------------------------------------------------------------------------------- Multi-Style Equity $199,870,755 $182,449,612 Real Estate Securities $87,913,965 $72,350,307 Aggressive Equity 143,330,035 138,896,396 Core Bond 38,193,365 33,507,035 Non-U.S. 99,956,592 90,137,928
Purchases and sales of US Government and Agency obligations (excluding short-term investments, options, futures and repurchase agreements) were as follows: Fund Purchases Sales - ------------------------------------- Core Bond $48,836,676 $53,566,090 Written Options Contracts Fund transactions in written options for the period ended June 30, 2004 were as follows: Non-U.S. Core Bond -------------------- -------------------- Number of Premiums Number of Premiums Contracts Received Contracts Received - -------------------------------------------------------------------------------- Outstanding December 31, 2003 101 $ 846 47 $ 89 Opened 1,131 13,633 186 105 Closed (1,152) (13,724) (21) (18) Expired -- -- (161) (135) ------ -------- ---- ----- Outstanding June 30, 2004 80 $ 755 51 $ 41 ====== ======== ==== ===== Securities Lending The Investment Company has a securities lending program whereby each Fund can loan securities with a value up to 33 1/3% of its total assets to certain brokers. The Fund receives cash (US currency), US Government or US Government agency obligations as collateral against the loaned securities. To the extent that a loan is collateralized by cash, such collateral shall be invested by the securities lending agent, State Street Bank and Trust Company ("State Street"), in money market mutual funds and such other short-term investments, provided the investments meet certain quality and diversification requirements. The collateral received is recorded on the Fund's statement of assets and liabilities along with the related obligation to return the collateral. Income generated from the investment of cash collateral, less negotiated rebate fees paid to participating brokers and transaction costs, is divided between the Fund and State Street and is recorded as income for the Fund. To the extent that a loan is secured by non-cash collateral, brokers pay the Fund negotiated lenders' fees, which are divided between the Fund and State Street and are recorded as securities lending income for the Fund. All collateral received will be in an amount at least equal to 102% (for loans of US securities) or 105% (for non-US securities) of the market value of the loaned securities at the inception of each loan. Should the borrower of the securities fail financially, there is a risk of delay in recovery of the securities or loss of rights in the collateral. Consequently, loans are made only to borrowers which are deemed to be of good financial standing. As of June 30, 2004, the value of outstanding securities on loan and the value of collateral amounted to as follows:
Value of Value of Value of Value of Funds Securities on Loan Collateral Funds Securities on Loan Collateral - ----------------------------------------------------------------------------------------------------------------- Multi-Style Equity $ 2,053,643 $ 2,110,220 Non-U.S. $29,576,420 $31,176,254 Aggressive Equity 15,509,224 15,901,638 Real Estate Securities 18,821,676 19,145,392
Notes to Financial Statements 61 Russell Investment Funds Notes to Financial Statements, continued -- June 30, 2004 (Unaudited) - -------------------------------------------------------------------------------- As of June 30, 2004, the cash collateral received for the securities on loan are invested as follows: State Street Securities Lending Funds Quality Trust - ------------------------------------------- Multi-Style Equity $ 2,110,220 Aggressive Equity 15,889,638 Non-U.S. 31,101,318 Real Estate Securities 19,145,392 As of June 30, 2004, the non-cash collateral received for the securities on loan in the following funds was: Non-Cash Collateral Funds Value Non-Cash Collateral Holding - -------------------------------------------------------------------------- Aggressive Equity $12,000 Pool of US Government Securities Non-U.S. 74,936 Pool of US Government Securities 4. Related Party Transactions, Fees and Expenses Manager FRIMCo advises and administers all of the Funds which comprise the Investment Company. FRIMCo is a wholly-owned subsidiary of Frank Russell Company, a wholly-owned subsidiary of The Northwestern Mutual Life Insurance Company. Frank Russell Company researches and recommends to FRIMCo, and to the Investment Company, one or more investment management organizations to manage the portfolio of each Fund. The Funds are permitted to invest their cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Funds' objectives), and a portion of the collateral received from the Investment Company's securities lending program in the Frank Russell Investment Company Money Market Fund. As of June 30, 2004, $71,516,000 of the Money Market Fund's net assets represents investments by the Funds. For the period ended June 30, 2004, the management fee paid to FRIMCo, for the Funds listed below, in accordance with the Investment Company's Management Agreement with that firm, amounted to $4,695,725 before waivers and/or reimbursements. Such fee is payable monthly and is equal to the annual rate, by Fund, shown in the following table, of the average daily net assets of the applicable Fund. Funds Annual Rate - ------------------------------------ Multi-Style Equity 0.78% Aggressive Equity 0.95 Non-U.S. 0.95 Real Estate Securities 0.85 Core Bond 0.60 FRIMCo has contractually agreed to waive a portion of its management fee for each Fund, up to the full amount of its fee, to the extent the Fund's operating expenses exceed specified limits imposed by FRIMCo on an annual basis. Additionally, FRIMCo has contractually agreed to reimburse each Fund for all remaining expenses, after fee waivers, that still exceed their respective expense caps. There were no reimbursements for the period ended June 30, 2004. The advisor does not have the ability to recover amounts waived or reimbursed from previous periods. The expense caps and waivers were as follows: Funds Expense Cap Manager Fees Waived - ---------------------------------------------------------- Multi-Style Equity 0.87% $ 39,039 Aggressive Equity 1.05 85,786 Non-U.S 1.15 100,589 Real Estate Securities 1.10 -- Core Bond 0.70 25,890 62 Notes to Financial Statements Russell Investment Funds Notes to Financial Statements, continued -- June 30, 2004 (Unaudited) - -------------------------------------------------------------------------------- Custodian The Funds have entered into arrangements with their Custodian whereby custody credits realized as a result of uninvested cash balances were used to reduce a portion of the Funds' expenses. For the period ended June 30, 2004, the Funds' custodian fees were reduced by the following amounts under these arrangements: Custody Credit Funds Amount - --------------------------------------- Multi-Style Equity $ 87 Aggressive Equity 236 Non-U.S. 260 Real Estate Securities 124 Core Bond 400 Analytic services Fees for analytic services provided to the Funds are paid or accrued to Russell/Mellon Analytical Services, an affiliate of the Investment Company. Russell/Mellon Analytical Services provides TruVP System to the Funds, pursuant to a written Service Agreement. The TruVP System provides analytics used by the investment department. Total fees for the Funds reported herein for the period ended June 30, 2004 were $36,957. Since June 1, 2004, these fees were borne by FRIMCo and will no longer be charged to the Funds. Transfer agent The Investment Company has a contract with FRIMCo to provide transfer agent services to the Funds. Total fees for the period ended June 30, 2004 were $15,119. Distributor Russell Fund Distributors, Inc. (the "Distributor"), a wholly-owned subsidiary of FRIMCo, is the principal Distributor for Investment Company shares. The Distributor receives no compensation from the Investment Company for its services. Brokerage commissions The Funds may effect portfolio transactions through Frank Russell Securities, Inc., an affiliate of the Manager, when a money manager determines that the Fund will receive competitive execution, price and commissions. Amounts retained by Frank Russell Securities, Inc. for the period ended June 30, 2004 were as follows: Funds Amount Funds Amount - ------------------------------------------------------------- Multi-Style Equity $5,529 Non-U.S. $9,869 Aggressive Equity 5,147 Real Estate Securities 525 Additionally, the Funds paid brokerage commissions to non-affiliated brokers who provided brokerage and research services to the Manager. Board of Trustees The Russell Fund Complex consists of Frank Russell Investment Company ("FRIC"), which has 30 funds, and Russell Investment Funds ("RIF"), which has five funds. Each of the trustees is a trustee of both FRIC and RIF. The Russell Fund Complex pays each of its Trustees not affiliated with FRIMCo a retainer of $52,000 per year, $5,000 for each regular quarterly meeting attended in person, $2,000 for each special meeting attended in person, and $2,000 for each Joint Audit Committee meeting or Nominating and Governance Committee meeting attended in person. The Trustee will receive a $500 fee for attending the meetings by phone instead of receiving the full fee had the member attended in person. Out of pocket expenses are also paid by the Russell Fund Complex. The Lead Trustee is paid a fee of $10,000 per year, and each Committee Chair is paid a fee of $6,000 per year. Notes to Financial Statements 63 Russell Investment Funds Notes to Financial Statements, continued -- June 30, 2004 (Unaudited) - -------------------------------------------------------------------------------- 5. Federal Income Taxes At December 31, 2003, the following Funds had net tax basis capital loss carryforwards which may be applied against any net realized taxable gains in each succeeding year or until their respective expiration dates, whichever occurs first. Available capital loss carryforwards and expiration dates are as follows: Capital loss carryforward 12/31/09 12/31/10 12/31/11 Totals - -------------------------------------------------------------------------------- Multi-Style Equity $45,480,975 $42,288,325 $3,419,554 $91,188,854 Aggressive Equity -- 7,535,681 -- 7,535,681 Non-U.S. 26,643,305 25,579,757 5,516,762 57,739,824 Real Estate Securities -- -- 3,692,826 3,692,826 At June 30, 2004, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:
Real Estate Multi-Style Equity Aggressive Equity Non-U.S. Securities Core Bond - -------------------------------------------------------------------------------------------------------------------------------- Cost of Investments $282,874,792 $171,854,691 $220,782,742 $238,588,090 $182,067,821 ============ ============ ============ ============ ============ Unrealized Appreciation 34,761,943 24,484,098 32,236,978 63,671,455 2,213,975 Unrealized Depreciation (4,561,859) (3,582,512) (3,119,513) (735,120) (837,327) ------------ ------------ ------------ ------------ ------------ Net Unrealized Appreciation (Depreciation) $ 30,200,084 $ 20,901,586 $ 29,117,465 $ 62,936,335 $ 1,376,648 ============ ============ ============ ============ ============
64 Notes to Financial Statements Russell Investment Funds Notes to Financial Statements, continued -- June 30, 2004 (Unaudited) - -------------------------------------------------------------------------------- 6. Fund Share Transactions (amounts in thousands) Share transactions for the period ended June 30, 2004 and the year ended December 31, 2003 were as follows:
Shares Dollars --------------- ------------------- 2004 2003 2004 2003 ------ ------ -------- -------- Multi-Style Equity Proceeds from shares sold 2,145 3,987 $ 25,138 $ 40,534 Proceeds from reinvestment of distributions 95 181 1,127 1,744 Payments for shares redeemed (1,736) (1,381) (20,332) (13,665) ------ ------ -------- -------- Total net increase (decrease) 504 2,787 $ 5,933 $ 28,613 ====== ====== ======== ======== Aggressive Equity Proceeds from shares sold 1,427 3,825 $ 19,956 $ 43,296 Proceeds from reinvestment of distributions -- 11 -- 138 Payments for shares redeemed (1,164) (2,043) (16,018) (22,380) ------ ------ -------- -------- Total net increase (decrease) 263 1,793 $ 3,938 $ 21,054 ====== ====== ======== ======== Non-U.S. Proceeds from shares sold 1,938 2,604 $ 19,367 $ 21,233 Proceeds from reinvestment of distributions 80 489 811 4,572 Payments for shares redeemed (1,434) (1,048) (14,423) (8,195) ------ ------ -------- -------- Total net increase (decrease) 584 2,045 $ 5,755 $ 17,610 ====== ====== ======== ======== Real Estate Securities Proceeds from shares sold 2,381 3,284 $ 34,024 $ 39,761 Proceeds from reinvestment of distributions 145 856 2,224 10,614 Payments for shares redeemed (1,593) (806) (22,542) (9,110) ------ ------ -------- -------- Total net increase (decrease) 933 3,334 $ 13,706 $ 41,265 ====== ====== ======== ======== Core Bond Proceeds from shares sold 1,761 2,229 $ 18,451 $ 23,733 Proceeds from reinvestment of distributions 162 760 1,700 8,011 Payments for shares redeemed (781) (2,383) (8,191) (25,459) ------ ------ -------- -------- Total net increase (decrease) 1,142 606 $ 11,960 $ 6,285 ====== ====== ======== ========
7. Beneficial Interest As of June 30, 2004, the following table includes shareholders with shares of beneficial interest greater than 10% of the total outstanding shares of each respective Fund. Northwestern Mutual Life Insurance Company was the largest shareholder in each Fund. Funds # of Shareholders % - ------------------------------------------------- Multi-Style Equity 3 82.5 Aggressive Equity 3 82.7 Non-U.S. 3 87.0 Real Estate Securities 3 89.1 Core Bond 3 91.3 8. Illiquid or Restricted Securities A Fund may invest a portion of its net assets not to exceed 15% in securities that are illiquid. Illiquid securities are securities that may not be readily marketable, and that cannot be sold within seven days in the ordinary course of business at the approximate amount at which the Fund has valued the securities. Illiquid and restricted securities may be priced by the Funds using fair value procedures approved by the Board of Trustees. Restricted securities are subject to contractual limitations on Notes to Financial Statements 65 Russell Investment Funds Notes to Financial Statements, continued -- June 30, 2004 (Unaudited) - -------------------------------------------------------------------------------- resale, are often issued in private placement transactions, and are not registered under the Securities Act of 1933 (the "Act"). The most common types of restricted securities are those sold under Rule 144A of the Act and commercial paper sold under Section 4(2) of the Act. Such restricted securities are not subject to the 15% limitation if the Adviser, under supervision of the Board of Trustees, determines that a liquid trading market exists. Pursuant to guidelines established by the Board of Trustees, the Adviser has determined that a liquid trading market exists for the following restricted securities held as of June 30, 2004:
Cost Market Value Fund - % of Net Assets Acquisition Shares Cost per Unit (000) (000) Securities Date Outstanding $ $ $ - ------------------------------------------------------------------------------------------------------ Core Bond Fund -- 2.7% BAE Systems Holdings, Inc. 12/28/01 350,000 100.10 350 373 BCI US Funding Trust 01/07/03 250,000 108.08 270 280 Bombardier, Inc. 04/14/04 85,000 90.82 77 72 Centaur Funding Corp. 03/07/02 165,000 1.07 177 206 DBS Capital Funding Corp. 10/17/03 135,000 112.65 152 151 DG Funding Trust 11/04/03 49 10,537.12 516 527 Dresdner Bank AG for Kyivstar GSM 11/05/02 140,000 100.73 141 152 HVB Funding Trust I 05/01/03 150,000 96.70 145 173 Korea Electric Power Corp. 04/20/04 60,000 98.44 59 57 Miller Brewing Co. 08/06/03 130,000 99.28 129 130 Mizuho Financial Group Cayman, Ltd. 02/27/04 130,000 99.95 130 128 Mizuho Preferred Capital Co. LLC 08/20/99 315,000 90.81 286 345 Monumental Global Funding II 02/04/03 155,000 100.00 155 155 Natexis Ambs Co. LLC 06/24/98 120,000 106.14 127 137 OAO Gazprom 02/21/03 100,000 107.52 108 103 Parker Hannifin Employee Stock Ownership Trust 03/09/99 243,211 100.00 243 259 Qwest Services Corp. Step Up Bond 03/02/04 40,000 116.53 47 47 Systems 2001 AT LLC 03/08/02 145,055 102.09 148 154 Telecom Italia Capital SA 10/22/03 230,000 99.76 229 223 Telecom Italia Capital SA 10/22/03 80,000 99.56 80 77 Tenaska Alabama II Partners, LP 10/09/03 113,092 100.00 113 113 TPSA Finance BV 08/20/02 85,000 95.72 81 94 Zurich Capital Trust I 01/10/03 245,000 93.92 230 271 ----- 4,227 =====
9. Shareholder Requests for Other Information A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling the Fund at (800) 787-7354, (ii) on the Fund's website at www.russell.com, and (iii) on the Securities and Exchange Commission's website at www.sec.gov. 66 Notes to Financial Statements Russell Investment Funds Disclosure of Information about Fund Directors -- June 30, 2004 (Unaudited) - -------------------------------------------------------------------------------- The following tables provide information for each officer and trustee of the Russell Fund Complex. The Russell Fund Complex consists of Frank Russell Investment Company ("FRIC"), which has 30 funds, and Russell Investment Funds ("RIF"), which has 5 funds. Each of the trustees is a trustee of both FRIC and RIF. The first table provides information for trustees who are interested trustees. The second table provides information for the independent trustees. The third table provides information for the officers.
- ------------------------------------------------------------------------------------------------------------------------------------ No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Address Time Served Office Past 5 Years by Trustee Held by Trustee - ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEES and INTERESTED TRUSTEE EMERITUS - ------------------------------------------------------------------------------------------------------------------------------------ *George F. Russell, Jr., Trustee Emeritus Five year term . Director Emeritus, FRC 35 None Born July 3, 1932 and Chairman . Chairman Emeritus, FRIC and RIF Emeritus since 1999 . Chairman Emeritus, Frank 909 A Street Russell Securities, Inc. Tacoma, Washington . Chairman Emeritus, Russell 98402-1616 20/20 Association . Chairman Emeritus, Frank Russell Trust Company . Director Emeritus FRIMCo . Chairman of Sunshine Management Services, LLC - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ *Lynn L. Anderson, Trustee since 1987 Appointed until . Vice Chairman, FRC 35 . Trustee, Born April 22, 1939 successor is duly . Chairman of the Board, Trustee, The SsgA elected and FRIC and RIF Funds 909 A Street qualified . CEO and Chairman of the Board, (investment Tacoma, Washington Russell Fund Distributors, Inc. company) 98402-1616 Chairman of the Until successor is FRIMCo Board since 1999 chosen and . Trustee, President and Chairman qualified by of the Board, SsgA Funds trustees (investment company) . Director and Chairman of the Board, Frank Russell Trust Company . Director, Frank Russell Investments (Ireland) Limited and Frank Russell Investments (Cayman) Ltd. . Until October, 2002, President and CEO, FRIC and RIF - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ *Michael J.A. Phillips, Trustee Since 2002 Appointed until . 1990 to 2003, President, FRC, 35 None Born January 20, 1948 successor is duly . 1993 to 2003, CEO, FRC elected and . Chairman of the Board and 909 A Street qualified. Director, FRC Tacoma, Washington . Trustee, FRIC and RIF 98402-1616 . Director, FRTC and Frank Russell Capital Inc. . Director/Chairman, Frank Russell Investments (Delaware), Inc. . Director, Chairman of The Board and President, Russell 20/20 Association . Director, Frank Russell Company Pty. Limited, Frank Russell Japan Co., Ltd., Frank Russell Investments (Suisse), S.A., and Frank Russell Company Limited - ------------------------------------------------------------------------------------------------------------------------------------
* Each of Messrs. Russell, Anderson and Phillips is also an officer of an affiliate of FRIC and RIF and is therefore an interested trustee. Disclosure of Information about Fund Directors 67 Russell Investment Funds Disclosure of Information about Fund Directors, continued -- June 30, 2004 (Unaudited) - --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------ No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Address Time Served Office Past 5 Years by Trustee Held by Trustee - ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES and INDEPENDENT TRUSTEES EMERITUS - ------------------------------------------------------------------------------------------------------------------------------------ Paul E. Anderson, Trustee since 1984 Appointed until . President, Anderson Management 35 None Born October 15, 1931 successor is duly Group LLC (private investments elected and consulting) 909 A Street qualified Tacoma, Washington 98402-1616 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Paul Anton, Ph.D., Trustee Emeritus Five year term . Retired since 1997 35 None Born December 1, 1919 since 2003 . Trustee of FRIC and RIF Until 2002 909 A Street Tacoma, Washington 98402-1616 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ William E. Baxter, Trustee Emeritus Five year term . Retired since 1986 35 None Born June 8, 1925 since 2004 . Trustee of FRIC and RIF Until 2004 909 A Street Tacoma, Washington 98402-1616 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Kristianne Blake, Trustee since 2000 Appointed until . President, Kristianne Gates 35 . Trustee WM Born January 22, 1954 successor is duly Blake, P.S. (accounting Group of elected and services) Funds 909 A Street qualified (investment Tacoma, Washington company); 98402-1616 . Director, Avista Corp - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Daniel P. Connealy, Trustee since 2003 Appointed until . 2004, Chief Financial Officer, 35 . Director, Born June 6, 1946 successor is duly Waddell & Reed Gold Banc elected and . 2001 to 2003, Vice President Corporation, 909 A Street qualified and Chief Financial Officer, Inc. Tacoma, Washington Janus Capital Group Inc. 98402-1616 . 1979 to 2001, Audit and Accounting Partner, PricewaterhouseCoopers LLP - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Jonathan Fine Trustee since 2004 Appointed until . President and Chief Executive 35 None Born July 8, 1954 successor is duly Officer, United Way of King elected and County, WA 909 A Street qualified . 1996 to 2000, Chief Executive Tacoma, Washington Officer, Seattle/King County 98402-1616 Chapter of the American Red Cross - ------------------------------------------------------------------------------------------------------------------------------------
68 Disclosure of Information about Fund Directors Russell Investment Funds Disclosure of Information about Fund Directors, continued -- June 30, 2004 (Unaudited) - --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------ No. of Portfolios in Russell Position(s) Held Fund Name, with Fund and Term Principal Occupation(s) Complex Other Age, Length of of During the Overseen Directorships Address Time Served Office Past 5 Years by Trustee Held by Trustee - ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES and INDEPENDENT TRUSTEES EMERITUS (continued) - ------------------------------------------------------------------------------------------------------------------------------------ Lee C. Gingrich, Trustee since 1984 Appointed until . Retired since 1995 35 None Born October 6, 1930 successor is duly elected and 909 A Street qualified Tacoma, Washington 98402-1616 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Eleanor W. Palmer, Trustee Emeritus Five year term . Retired since 1981 35 None Born May 5, 1926 since 2004 . Trustee of FRIC and RIF Until 2004 909 A Street Tacoma, Washington 98402-1616 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Raymond P. Tennison, Jr. Trustee since 2000 Appointed until . President, Simpson Investment 35 None Born December 21, 1955 successor is duly Company and several additional elected and subsidiary companies, including 909 A Street qualified Simpson Timber Company, Simpson Tacoma, Washington Paper Company and Simpson 98402-1616 Tacoma Kraft Company - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Julie W. Weston, Trustee since 2002 Appointed until . Retired since 2000 35 None Born October 2, 1943 successor is duly . 1987 to 2000, Arbitrator, The elected and American Arbitration 909 A Street qualified Association Commercial Panel Tacoma, Washington . 1995 to 1999, Hearing Officer, 98402-1616 University of Washington . 1987 to 2002, Director, Smith Barney Fundamental Value Fund - ------------------------------------------------------------------------------------------------------------------------------------
Disclosure of Information about Fund Directors 69 Russell Investment Funds Disclosure of Information about Fund Directors, continued -- June 30, 2004 (Unaudited) - --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------ Position(s) Held Name, with Fund and Term Principal Occupation(s) Age, Length of of During the Address Time Served Office Past 5 Years - ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS - ------------------------------------------------------------------------------------------------------------------------------------ Leonard P. Brennan, President and Chief Until successor is . President and CEO, FRIC Born October 11, 1959 Executive Officer chosen and . President and CEO, RIF since 2002 qualified by . Director, Russell Fund Distributors, Inc., Frank Russell 909 A Street Trustees Company, S.A., Frank Russell Investments (Singapore) Private Tacoma, Washington Limited and Frank Russell Investments (UK) Limited 98402-1616 . Director, President and CEO, FRIM Co . Director and COO, Frank Russell Company Limited and Russell Systems Limited . President, Russell Insurance Agency, Inc. . 1999 to present, Managing Director of Individual Investor Services of FRC - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Mark E. Swanson, Treasurer and Chief Until successor is . Treasurer and Chief Accounting Officer, FRIC and RIF 1998 to Born November 26, 1963 Accounting Officer chosen and present, since 1998 qualified by . Director, Funds Administration, FRIM Co and Frank Russell 909 A Street Trustees Trust Company Tacoma, Washington . Treasurer, SSgA Funds (investment company); 98402-1616 . Manager, Funds Accounting and Taxes, Russell Fund Distributors, Inc. - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Randall P. Lert, Chief Portfolio Until removed by . Director of Investments, FRIC and RIF Born October 3, 1953 Strategist since Trustees . Chief Portfolio Strategist, FRIMCo January 2004 . Chief Investment Officer, Frank Russell Trust Company 909 A Street . Director, FRIMCo and Frank Russell Fund Distributors, Inc. Tacoma, Washington 98402-1616 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Karl J. Ege, Secretary and Until removed by . Secretary and General Counsel, FRIC, RIF, FRIMCo, Born October 8, 1941 General Counsel Trustees . Frank Russell Trust Company and Russell Fund Distributors, since 1994 Inc. 909 A Street . Director, Secretary and General Counsel, Frank Russell Tacoma, Washington Capital Inc. 98402-1616 . Director and Secretary, Russell 20-20 Association - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Mark D. Amberson, Director of Until removed by . Director of Short-Term Investment Funds, FRIC, RIF, FRIMCo Born July 20, 1960 Short-Term Trustees and Frank Russell Trust Company Investment Funds . From 1991 to 2001, Portfolio Manager, FRIC, RIF, FRIMCo and since 2001 Frank Russell Trust Company 909 A Street Tacoma, Washington 98402-1616 - ------------------------------------------------------------------------------------------------------------------------------------
70 Disclosure of Information about Fund Directors Russell Investment Funds Frank Russell Investment Company 909 A Street, Tacoma, Washington 98402 (800) 832-6688 In Washington (253) 627-7001 - -------------------------------------------------------------------------------- Trustees Lynn L. Anderson, Chairman Paul E. Anderson Kristianne Blake Daniel P. Connealy Jonathan Fine Lee C. Gingrich Michael J.A. Phillips Raymond P. Tennison, Jr. Julie W. Weston Trustees Emeritus George F. Russell, Jr. Paul Anton, PhD William E. Baxter Eleanor W. Palmer Officers Lynn L. Anderson, Chairman of the Board Leonard P. Brennan, President and Chief Executive Officer Karl J. Ege, Secretary and General Counsel Mark E. Swanson, Treasurer and Chief Accounting Officer Tom F. Hanly, Chief Investment Officer Randall P. Lert, Director of Investments Mark D. Amberson, Director of Short Term Investment Funds Gregory J. Lyons, Assistant Secretary and Associate General Counsel Mary Beth Rhoden, Assistant Secretary Margaret A. Foster, Assistant Secretary Greg S. Korte, Assistant Treasurer David J. Craig, Assistant Treasurer Bruce S. C. Dunn, Assistant Treasurer Manager, Transfer and Dividend Paying Agent Frank Russell Investment Management Company 909 A Street Tacoma, WA 98402 Consultant Frank Russell Company 909 A Street Tacoma, WA 98402 Custodian State Street Bank and Trust Company Allan Forbes Building 150 Newport Avenue AFB35 North Quincy, MA 02171 Office of Shareholder Inquiries 909 A Street Tacoma, WA 98402 (800)787-7354 Russell Investment Funds 909 A Street, Tacoma, Washington 98402 (800) 832-6688 In Washington (253) 627-7001 Legal Counsel Stradley, Ronon, Stevens & Young, LLP 2600 One Commerce Square Philadelphia, PA 19103-7098 Distributor Russell Fund Distributors, Inc. 909 A Street Tacoma, WA 98402 Money Managers Multi-Style Equity Fund Alliance Capital Management L.P., which acts as money manager to the Fund through its Bernstein Investment Research and Management Unit, New York, NY Ark Asset Management Co., Inc., New York, NY Brandywine Asset Management, LLC, Wilmington, DE DePrince, Race & Zollo, Inc., Orlando, FL Institutional Capital Corporation, Chicago, IL Jacobs Levy Equity Management, Inc., Florham Park, NJ Montag & Caldwell, Inc., Atlanta, GA Turner Investment Partners, Inc., Berwyn, PA Aggressive Equity Fund CapitalWorks Investment Partners, LLC, San Diego, CA David J. Greene and Company, LLC, New York, NY Geewax, Terker & Company, Chadds Ford, PA Goldman Sachs Asset Management, L.P., New York, NY Gould Investment Partners LLC, Berwyn, PA Jacobs Levy Equity Management, Inc., Florham Park, NJ Nicholas-Applegate Capital Management LLC, San Diego, CA TimesSquare Capital Management, Inc., New York, NY Non-U.S. Fund AQR Capital Management, LLC, New York, NY Fidelity Management & Research Company, Boston, MA Oechsle International Advisors, LLC, Boston, MA The Boston Company Asset Management, LLC, Boston, MA Real Estate Securities Fund AEW Management and Advisors, L.P., Boston, MA INVESCO Institutional (N.A.), Inc., which acts as money manager to the Fund through its INVESCO Real Estate Division, Dallas, TX RREEF America L.L.C., Chicago, IL Manager, Money Managers and Service Providers 71 Russell Investment Funds Frank Russell Investment Company 909 A Street, Tacoma, Washington 98402 (800) 832-6688 In Washington (253) 627-7001 - -------------------------------------------------------------------------------- Core Bond Fund Pacific Investment Management Company LLC, Newport Beach, CA TimesSquare Capital Management, Inc., New York, NY This report is prepared from the books and records of the Funds and is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless accompanied or preceded by an effective Prospectus. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of Frank Russell Investment Company. Such offering is made only by Prospectus, which includes details as to offering price and other material information. 72 Manager, Money Managers and Service Providers [LOGO] Russell Russell Investment Funds 909 A Street Tacoma, Washington 98402 253-627-7001 800-787-7354 Fax: 253-591-3495 www.russell.com 36-08-072 (06/04) [GRAPHIC] Semi-Annual Report June 30, 2004 Northwestern Mutual Variable Life Account Financial Statements Northwestern Mutual Variable Life Account Financial Statements Table of Contents Northwestern Mutual Variable Life Account Statements of Assets and Liabilities.. 1 Statements of Operations.............. 4 Statements of Changes in Equity....... 6 Financial Highlights.................. 8 Notes to Financial Statements......... 10
Financial Statements Northwestern Mutual Variable Life Account Statements of Assets and Liabilities June 30, 2004 (unaudited) (in thousands) Assets Investments at Market Value: Northwestern Mutual Series Fund, Inc. Small Cap Growth Stock 75,373 shares (cost $134,121)............ $158,962 T. Rowe Price Small Cap Value 45,283 shares (cost $49,913)............. 63,804 Aggressive Growth Stock 123,559 shares (cost $390,325)........... 358,814 International Growth 16,525 shares (cost $16,051)............. 18,955 Franklin Templeton International Equity 196,542 shares (cost $279,556)........... 284,396 AllianceBernstein Mid Cap Value 4,381 shares (cost $5,609)............... 6,102 Index 400 Stock 102,449 shares (cost $113,587)........... 136,565 Janus Capital Appreciation 3,583 shares (cost $4,187)............... 4,518 Growth Stock 136,844 shares (cost $273,918)........... 257,267 Large Cap Core Stock 148,025 shares (cost $186,867)........... 158,683 Capital Guardian Domestic Equity 48,273 shares (cost $42,656)............. 50,880 T. Rowe Price Equity Income 8,669 shares (cost $10,331).............. 11,009 Index 500 Stock 221,374 shares (cost $609,977)........... 608,115
Northwestern Mutual Series Fund, Inc. (continued): Asset Allocation 19,994 shares (cost $18,863)...................... $ 20,773 Balanced 153,030 shares (cost $268,649).................... 270,404 High Yield Bond 75,278 shares (cost $52,617)...................... 52,092 Select Bond 80,038 shares (cost $97,718)...................... 93,964 Money Market 121,454 shares (cost $121,454).................... 121,454 Fidelity Variable Insurance Products Fund III VIP Mid Cap 415 shares (cost $9,748)......................... 10,556 Russell Investment Funds Multi-Style Equity 9,437 shares (cost $113,459)...................... 112,013 Aggressive Equity 4,406 shares (cost $50,174)....................... 61,910 Non-U.S. 7,036 shares (cost $64,385)....................... 71,415 Core Bond 3,496 shares (cost $36,353 )...................... 36,327 Real Estate Securities 4,181 shares (cost $48,554 )...................... 60,746 --------
Total Investments at Market Value. $3,029,724
Due from Northwestern Mutual Life Insurance Company: Small Cap Growth Stock Division................... $ 6 T. Rowe Price Small Cap Value Division............ -- Aggressive Growth Stock Division.................. 4 International Growth Division..................... 2 Franklin Templeton International Equity Division.. 4 AllianceBernstein Mid Cap Value Division.......... 2 Index 400 Stock Division.......................... 7 Janus Capital Appreciation Division............... -- Growth Stock Division............................. 47 Large Cap Core Stock Division..................... 40 Capital Guardian Domestic Equity Division......... 1 T. Rowe Price Equity Income Division.............. --
Due from Northwestern Mutual Life Insurance Company (continued): Index 500 Stock Division........................ $ 2 Asset Allocation Division....................... 6 Balanced Division............................... 1 High Yield Bond Division........................ 1 Select Bond Division............................ 30 Money Market Division........................... 10 Fidelity VIP Mid Cap Division................... 1 Russell Multi-Style Equity Division............. -- Russell Aggressive Equity Division.............. 2 Russell Non-U.S. Division....................... -- Russell Core Bond Division...................... 4 Russell Real Estate Securities Division......... -- ----------
Total Due From Northwestern Mutual Life Company. 170 ---------- Total Assets...................................... $3,029,894
The Accompanying Notes are an Integral Part of the Financial Statements Northwestern Mutual Variable Life Account 1 Financial Statements Northwestern Mutual Variable Life Account, continued Statements of Assets and Liabilities June 30, 2004 (unaudited) (in thousands) Liabilities Due to Northwestern Division Mutual Life Insurance Company - -------- ----------------------------------- Small Cap Growth Stock................................................ $ -- T. Rowe Price Small Cap Value......................................... 9 Aggressive Growth Stock............................................... 4 International Growth.................................................. -- Franklin Templeton International Equity............................... 39 AllianceBernstein Mid Cap Value....................................... -- Index 400 Stock....................................................... 13 Janus Capital Appreciation............................................ -- Growth Stock.......................................................... 100 Large Cap Core Stock.................................................. -- Capital Guardian Domestic Equity...................................... 6 T. Rowe Price Equity Income........................................... 2 Index 500 Stock....................................................... 13 Asset Allocation...................................................... -- Balanced.............................................................. 50 High Yield Bond....................................................... 4 Select Bond........................................................... -- Money Market.......................................................... 4 Fidelity VIP Mid Cap.................................................. 2 Russell Multi-Style Equity............................................ 7 Russell Aggressive Equity............................................. 9 Russell Non-U.S....................................................... 6 Russell Core Bond..................................................... -- Russell Real Estate Securities........................................ 9 ---------- $ 277 ---------- Total Liabilities................................................................................... 277 Equity Variable Life Policies Variable Complife Policies Division Issued Before October 11, 1995 Issued On or After October 11, 1995 - -------- ------------------------------ ----------------------------------- Small Cap Growth Stock................. $ 11,072 $ 138,035 T. Rowe Price Small Cap Value.......... 6,841 50,031 Aggressive Growth Stock................ 57,256 290,689 International Growth................... 1,141 14,846 Franklin Templeton International Equity 48,580 222,907 AllianceBernstein Mid Cap Value........ 816 4,642 Index 400 Stock........................ 9,565 115,150 Janus Capital Appreciation............. 349 3,596 Growth Stock........................... 27,150 215,099 Large Cap Core Stock................... 21,483 129,266 Capital Guardian Domestic Equity....... 5,392 38,970 T. Rowe Price Equity Income............ 2,091 8,374 Index 500 Stock........................ 108,229 461,775 Asset Allocation....................... 3,306 15,615 Balanced............................... 143,041 117,564 High Yield Bond........................ 5,578 42,334 Select Bond............................ 12,911 62,952 Money Market........................... 8,381 100,356 Fidelity VIP Mid Cap................... 1,157 8,407 Russell Multi-Style Equity............. 5,326 88,257 Russell Aggressive Equity.............. 4,263 49,643 Russell Non-U.S........................ 3,938 54,151 Russell Core Bond...................... 1,529 17,705 Russell Real Estate Securities......... 4,826 49,554 -------- ---------- $494,221 $2,299,918 2,794,139 -------- ----------
2 Northwestern Mutual Variable Life Account The Accompanying Notes are an Integral Part of the Financial Statements Financial Statements Northwestern Mutual Variable Life Account, continued Statements of Assets and Liabilities June 30, 2004 (unaudited) (in thousands) Equity (continued) Variable Executive Life Policies Variable Joint Life Policies Division Issued On or After March 2, 1998 Issued On or After December 10, 1998 - -------- -------------------------------- ------------------------------------ Small Cap Growth Stock................. $ 3,421 $ 6,440 T. Rowe Price Small Cap Value.......... 2,735 4,188 Aggressive Growth Stock................ 4,782 6,088 International Growth................... 1,548 1,422 Franklin Templeton International Equity 5,128 7,746 AllianceBernstein Mid Cap Value........ 171 475 Index 400 Stock........................ 4,574 7,269 Janus Capital Appreciation............. 357 216 Growth Stock........................... 7,450 7,515 Large Cap Core Stock................... 3,727 4,247 Capital Guardian Domestic Equity....... 1,997 4,516 T. Rowe Price Equity Income............ 107 435 Index 500 Stock........................ 10,225 27,874 Asset Allocation....................... 686 1,172 Balanced............................... 2,652 7,097 High Yield Bond........................ 2,651 1,526 Select Bond............................ 12,961 5,170 Money Market........................... 6,583 6,141 Fidelity VIP Mid Cap................... 213 778 Russell Multi-Style Equity............. 12,012 6,411 Russell Aggressive Equity.............. 5,271 2,726 Russell Non-U.S........................ 9,027 4,293 Russell Core Bond...................... 16,165 933 Russell Real Estate Securities......... 2,863 3,494 -------- -------- $117,306 $118,172 235,478 -------- -------- ---------- Total Equity........................................................................................... 3,029,617 ---------- Total Liabilities and Equity........................................................................... $3,029,894 ==========
Northwestern Mutual Variable Life Account 3 The Accompanying Notes are an Integral Part of the Financial Statements Financial Statements Northwestern Mutual Variable Life Account Statements of Operations (in thousands)
Investment Income ----------------------------------------- Mortality Dividend and Expense Net Investment Income Risks Taxes Income (Loss) - ------------------------------------------------------------------------------------------- Six Months Ended June 30, 2004 (unaudited) Small Cap Growth Stock Division................. $ -- $ (408) $ (10) $ (418) T. Rowe Price Small Cap Value Division.......... 134 (145) (6) (17) Aggressive Growth Stock Division................ -- (960) (55) (1,015) International Growth Division................... 1 (41) (1) (41) Franklin Templeton International Equity Division 4,853 (755) (47) 4,051 AllianceBernstein Mid Cap Value Division........ -- (11) (1) (12) Index 400 Stock Division........................ 887 (346) (9) 532 Janus Capital Appreciation Division............. -- (9) -- (9) Growth Stock Division........................... 1,743 (698) (27) 1,018 Large Cap Core Stock Division................... 1,461 (428) (21) 1,012 Capital Guardian Domestic Equity Division....... 5 (116) (5) (116) T. Rowe Price Equity Income Division............ 1 (22) (2) (23) Index 500 Stock Division........................ 7,916 (1,596) (108) 6,212 Asset Allocation Division....................... -- (50) (3) (53) Balanced Division............................... 6,805 (694) (142) 5,969 High Yield Bond Division........................ 3,762 (140) (6) 3,616 Select Bond Division............................ 3,996 (219) (13) 3,764 Money Market Division........................... 677 (315) (8) 354 Fidelity VIP Mid Cap Division................... -- (19) (1) (20) Russell Multi-Style Equity Division............. 384 (259) (5) 120 Russell Aggressive Equity Division.............. -- (153) (4) (157) Russell Non-U.S. Division....................... 243 (160) (4) 79 Russell Core Bond Division...................... 280 (52) (2) 226 Russell Real Estate Securities Division......... 451 (148) (5) 298 Year Ended December 31, 2003 Small Cap Growth Stock Division................. $ -- $ (606) $ (17) $ (623) T. Rowe Price Small Cap Value Division.......... -- (180) (8) (188) Aggressive Growth Stock Division................ -- (1,584) (96) (1,680) International Growth Division................... 84 (39) (1) 44 Franklin Templeton International Equity Division 3,268 (1,096) (73) 2,099 AllianceBernstein Mid Cap Value Division #...... 11 (5) -- 6 Index 400 Stock Division........................ 658 (492) (14) 152 Janus Capital Appreciation Division #........... 1 (5) -- (4) Growth Stock Division........................... 1,701 (1,176) (50) 475 Large Cap Core Stock Division................... 1,205 (706) (37) 462 Capital Guardian Domestic Equity Division....... 545 (143) (9) 393 T. Rowe Price Equity Income Division #.......... 44 (8) -- 36 Index 500 Stock Division........................ 6,704 (2,525) (182) 3,997 Asset Allocation Division....................... 282 (65) (5) 212 Balanced Division............................... 7,375 (1,208) (260) 5,907 High Yield Bond Division........................ 91 (230) (11) (150) Select Bond Division............................ 3,350 (414) (29) 2,907 Money Market Division........................... 1,516 (644) (17) 855 Fidelity VIP Mid Cap Division #................. -- (7) (1) (8) Russell Multi-Style Equity Division............. 554 (373) (7) 174 Russell Aggressive Equity Division.............. 46 (202) (5) (161) Russell Non-U.S. Division....................... 1,335 (207) (5) 1,123 Russell Core Bond Division...................... 1,291 (87) (4) 1,200 Russell Real Estate Securities Division......... 2,110 (201) (6) 1,903
# The initial investment in this Division was made on May 1, 2003. The Accompanying Notes are an Integral Part of the Financial Statements 4 Northwestern Mutual Variable Life Account ----------------------------------------------------------------------------- ----------------------------------------------------------------------------- -----------------------------------------------------------------------------
Realized and Unrealized Gain (Loss) on Investments ------------------------------------------------------- ---------------------- Realized Gain Unrealized Appreciation Net Gain Increase (Decrease) (Loss) on (Depreciation) of Investments (Loss) on in Equity Derived from Investments During the Period Investments Investment Activity ------------------------------------------------------------------------------ $ 204 $ 12,556 $ 12,760 $ 12,342 1,149 4,702 5,851 5,834 (1,699) 24,013 22,314 21,299 506 226 732 691 (366) 6,978 6,612 10,663 112 174 286 274 1,133 5,321 6,454 6,986 41 125 166 157 (1,138) 2,096 958 1,976 (926) 1,809 883 1,895 190 2,017 2,207 2,091 64 286 350 327 5,450 5,828 11,278 17,490 100 282 382 329 9,925 (12,028) (2,103) 3,866 (870) (1,464) (2,334) 1,282 3,045 (7,019) (3,974) (210) -- -- -- 354 157 261 418 398 (553) 3,355 2,802 2,922 560 1,828 2,388 2,231 (200) 2,739 2,539 2,618 172 (341) (169) 57 654 2,436 3,090 3,388 $ (891) $ 33,526 $ 32,635 $ 32,012 201 10,725 10,926 10,738 (5,832) 69,733 63,901 62,221 (22) 2,841 2,819 2,863 (1,700) 70,906 69,206 71,305 43 319 362 368 (235) 28,826 28,591 28,743 32 207 239 235 (4,730) 41,613 36,883 37,358 (2,807) 30,073 27,266 27,728 (111) 8,718 8,607 9,000 39 393 432 468 61 114,875 114,936 118,933 (25) 2,223 2,198 2,410 (501) 32,210 31,709 37,616 (1,078) 11,836 10,758 10,608 2,745 (1,552) 1,193 4,100 -- -- -- 855 41 548 589 581 (1,818) 21,714 19,896 20,070 (1,673) 17,264 15,591 15,430 (1,188) 15,804 14,616 15,739 1,353 (425) 928 2,128 267 10,286 10,553 12,456
Northwestern Mutual Variable Life Account 5 Financial Statements Northwestern Mutual Variable Life Account Statements of Changes in Equity (in thousands)
Operations ------------------------------------------------------- Net Increase Change in (Decrease) in Net Net Unrealized Equity Derived Investment Realized Appreciation from Investment Income (Loss) Gain (Loss) (Depreciation) Activity - --------------------------------------------------------------------------------------------------------- Six Months Ended June 30, 2004 (unaudited) Small Cap Growth Stock Division................. $ (418) $ 204 $ 12,556 $ 12,342 T. Rowe Price Small Cap Value Division.......... (17) 1,149 4,702 5,834 Aggressive Growth Stock Division................ (1,015) (1,699) 24,013 21,299 International Growth Division................... (41) 506 226 691 Franklin Templeton International Equity Division 4,051 (366) 6,978 10,663 AllianceBernstein Mid Cap Value Division........ (12) 112 174 274 Index 400 Stock Division........................ 532 1,133 5,321 6,986 Janus Capital Appreciation Division............. (9) 41 125 157 Growth Stock Division........................... 1,018 (1,138) 2,096 1,976 Large Cap Core Stock Division................... 1,012 (926) 1,809 1,895 Capital Guardian Domestic Equity Division....... (116) 190 2,017 2,091 T. Rowe Price Equity Income Division............ (23) 64 286 327 Index 500 Stock Division........................ 6,212 5,450 5,828 17,490 Asset Allocation Division....................... (53) 100 282 329 Balanced Division............................... 5,969 9,925 (12,028) 3,866 High Yield Bond Division ....................... 3,616 (870) (1,464) 1,282 Select Bond Division............................ 3,764 3,045 (7,019) (210) Money Market Division........................... 354 -- -- 354 Fidelity VIP Mid Cap Division................... (20) 157 261 398 Russell Multi-Style Equity Division............. 120 (553) 3,355 2,922 Russell Aggressive Equity Division.............. (157) 560 1,828 2,231 Russell Non-U.S. Division....................... 79 (200) 2,739 2,618 Russell Core Bond Division...................... 226 172 (341) 57 Russell Real Estate Securities Division......... 298 654 2,436 3,388 Year Ended December 31, 2003 Small Cap Growth Stock Division................. $ (623) $ (891) $ 33,526 $ 32,012 T. Rowe Price Small Cap Value Division.......... (188) 201 10,725 10,738 Aggressive Growth Stock Division................ (1,680) (5,832) 69,733 62,221 International Growth Division................... 44 (22) 2,841 2,863 Franklin Templeton International Equity Division 2,099 (1,700) 70,906 71,305 AllianceBernstein Mid Cap Value Division #...... 6 43 319 368 Index 400 Stock Division........................ 152 (235) 28,826 28,743 Janus Capital Appreciation Division #........... (4) 32 207 235 Growth Stock Division........................... 475 (4,730) 41,613 37,358 Large Cap Core Stock Division................... 462 (2,807) 30,073 27,728 Capital Guardian Domestic Equity Division....... 393 (111) 8,718 9,000 T. Rowe Price Equity Income Division #.......... 36 39 393 468 Index 500 Stock Division........................ 3,997 61 114,875 118,933 Asset Allocation Division....................... 212 (25) 2,223 2,410 Balanced Division............................... 5,907 (501) 32,210 37,616 High Yield Bond Division........................ (150) (1,078) 11,836 10,608 Select Bond Division............................ 2,907 2,745 (1,552) 4,100 Money Market Division........................... 855 -- -- 855 Fidelity VIP Mid Cap Division #................. (8) 41 548 581 Russell Multi-Style Equity Division............. 174 (1,818) 21,714 20,070 Russell Aggressive Equity Division.............. (161) (1,673) 17,264 15,430 Russell Non-U.S. Division....................... 1,123 (1,188) 15,804 15,739 Russell Core Bond Division...................... 1,200 1,353 (425) 2,128 Russell Real Estate Securities Division......... 1,903 267 10,286 12,456
# The initial investment in this Division was made on May 1, 2003 The Accompanying Notes are an Integral Part of the Financial Statements 6 Northwestern Mutual Variable Life Account ----------------------------------------------------------------------------- ----------------------------------------------------------------------------- -----------------------------------------------------------------------------
Equity Transactions Equity - ---------------------------------------------------------------------------- ------------------ Increase Policy Loans, Transfers Transfers (Decrease) in Net Surrenders, Mortality from Other to Other Equity Derived Increase Beginning End Policyowners' and Death and Divisions Divisions from Equity (Decrease) of of Net Payments Benefits Other (net) or Sponsor or Sponsor Transactions in Equity Period Period - ---------------------------------------------------------------------------------------------------------- $ 13,820 $ (5,558) $ (3,137) $11,343 $ (9,018) $ 7,450 $ 19,792 $139,176 $158,968 4,810 (1,712) (1,107) 11,863 (4,986) 8,868 14,702 49,093 63,795 29,011 (12,926) (6,577) 10,985 (12,848) 7,645 28,944 329,871 358,815 1,468 (645) (365) 7,141 (2,663) 4,936 5,627 13,330 18,957 20,850 (9,851) (5,447) 16,308 (7,660) 14,200 24,863 259,498 284,361 384 (112) (84) 3,580 (1,072) 2,696 2,970 3,134 6,104 10,955 (4,323) (2,479) 12,042 (7,127) 9,068 16,054 120,504 136,558 302 (30) (67) 2,273 (522) 1,956 2,113 2,405 4,518 24,126 (11,037) (5,220) 8,570 (11,447) 4,992 6,968 250,246 257,214 14,089 (5,420) (2,949) 6,909 (6,660) 5,969 7,864 150,859 158,723 3,951 (1,184) (947) 9,559 (3,921) 7,458 9,549 41,326 50,875 496 (68) (138) 6,144 (784) 5,650 5,977 5,030 11,007 49,112 (25,016) (11,720) 24,486 (18,478) 18,384 35,874 572,229 608,103 1,372 (664) (375) 4,102 (1,501) 2,934 3,263 17,516 20,779 16,574 (8,761) (4,550) 9,595 (8,284) 4,574 8,440 261,914 270,354 4,370 (2,508) (1,096) 4,590 (6,518) (1,162) 120 51,969 52,089 8,933 (5,543) (1,876) 10,088 (10,165) 1,437 1,227 92,767 93,994 87,526 (9,575) (6,399) 23,445 (97,534) (2,537) (2,183) 123,644 121,461 531 (117) (119) 7,150 (1,672) 5,773 6,171 4,384 10,555 8,917 (4,395) (1,974) 10,117 (3,408) 9,257 12,179 99,827 112,006 4,618 (2,380) (1,100) 9,533 (6,508) 4,163 6,394 55,509 61,903 5,077 (2,449) (1,235) 9,287 (2,728) 7,952 10,570 60,839 71,409 1,975 (1,004) (609) 4,227 (2,039) 2,550 2,607 33,725 36,332 4,676 (2,011) (1,124) 10,654 (6,448) 5,747 9,135 51,602 60,737 $ 27,434 $ (9,924) $ (5,738) $19,899 $ (13,246) $18,425 $ 50,437 $ 88,739 $139,176 7,786 (1,952) (1,727) 16,289 (5,684) 14,712 25,450 23,643 49,093 60,234 (23,756) (13,144) 24,161 (25,415) 22,080 84,301 245,570 329,871 1,787 (409) (395) 7,087 (2,032) 6,038 8,901 4,429 13,330 39,949 (15,249) (9,144) 21,577 (12,400) 24,733 96,038 163,460 259,498 157 (17) (39) 2,883 (218) 2,766 3,134 -- 3,134 20,801 (7,075) (4,639) 19,312 (8,557) 19,842 48,585 71,919 120,504 57 (11) (29) 2,616 (463) 2,170 2,405 -- 2,405 50,569 (17,909) (10,550) 22,213 (18,323) 26,000 63,358 186,888 250,246 29,172 (10,449) (5,860) 11,799 (11,558) 13,104 40,832 110,027 150,859 6,504 (1,333) (1,360) 14,259 (4,575) 13,495 22,495 18,831 41,326 103 (21) (56) 4,815 (279) 4,562 5,030 -- 5,030 100,972 (34,018) (21,978) 44,892 (28,934) 60,934 179,867 392,362 572,229 3,039 (804) (603) 7,018 (1,444) 7,206 9,616 7,900 17,516 33,357 (14,745) (8,943) 18,756 (13,440) 14,985 52,601 209,313 261,914 7,849 (2,601) (2,190) 12,672 (7,086) 8,644 19,252 32,717 51,969 16,297 (5,347) (4,256) 31,858 (25,381) 13,171 17,271 75,496 92,767 163,443 (17,489) (12,821) 56,729 (186,977) 2,885 3,740 119,904 123,644 203 (27) (52) 4,423 (744) 3,803 4,384 -- 4,384 19,042 (6,524) (4,144) 15,128 (5,824) 17,678 37,748 62,079 99,827 8,625 (3,111) (1,995) 25,231 (18,789) 9,961 25,391 30,118 55,509 10,589 (3,623) (2,181) 8,442 (3,681) 9,546 25,285 35,554 60,839 4,050 (1,346) (2,035) 8,251 (12,046) (3,126) (998) 34,723 33,725 8,375 (2,861) (2,047) 13,386 (6,600) 10,253 22,709 28,893 51,602
----------------------------------------------------------------------------- ----------------------------------------------------------------------------- ----------------------------------------------------------------------------- ----------------------------------------------------------------------------- Northwestern Mutual Variable Life Account 7 Financial Highlights Northwestern Mutual Variable Life Account (For a unit outstanding during the period)
Dividend Income as a % Expense Ratio, Unit Value(3), of Average Lowest to Total Return(4), Division Lowest to Highest Net Assets Highest Lowest to Highest - ------------------------------------------------------------------------------------------------------------------ Small Cap Growth Stock Six Months Ended 6/30/04 (unaudited). $1.804970 to $ 22.599494 0.00% 0.20% to 0.75% 17.96% to 18.79% Year Ended 12/31/03.................. $1.662679 to $ 20.745671 0.00% 0.20% to 0.75% 32.13% to 33.06% Year Ended 12/31/02.................. $1.258323 to $ 15.591407 0.15% 0.20% to 0.75% (18.99%) to (18.42%) Year Ended 12/31/01.................. $1.553320 to $ 19.112629 0.01% 0.20% to 0.75% (4.44%) to (3.76%) T. Rowe Price Small Cap Value (1) Six Months Ended 6/30/04 (unaudited). $1.414348 to $ 14.434421 0.24% 0.20% to 0.75% 22.84% to 23.71% Year Ended 12/31/03.................. $1.276782 to $ 12.985287 0.00% 0.20% to 0.75% 34.21% to 35.15% Year Ended 12/31/02.................. $0.951303 to $ 9.607906 0.72% 0.20% to 0.75% (6.24%) to (5.58%) Period Ended 12/31/01................ $1.014592 to $ 10.175772 0.42% 0.20% to 0.75% 1.46% to 1.76% Aggressive Growth Stock Six Months Ended 6/30/04 (unaudited). $1.930477 to $ 51.137576 0.00% 0.20% to 0.75% 13.12% to 13.91% Year Ended 12/31/03.................. $1.814891 to $ 47.932675 0.00% 0.20% to 0.75% 23.83% to 24.69% Year Ended 12/31/02.................. $1.464237 to $ 38.441232 0.09% 0.20% to 0.75% (21.70%) to (21.15%) Year Ended 12/31/01.................. $1.868189 to $ 48.753408 21.57% 0.20% to 0.75% (20.44%) to (19.87%) International Growth Stock (1) Six Months Ended 6/30/04 (unaudited). $1.137276 to $ 11.606767 0.01% 0.20% to 0.75% 9.84% to 10.61% Year Ended 12/31/03.................. $1.085420 to $ 11.039080 1.06% 0.20% to 0.75% 38.02% to 38.99% Year Ended 12/31/02.................. $0.786402 to $ 7.942434 0.78% 0.20% to 0.75% (12.95%) to (12.34%) Period Ended 12/31/01................ $0.903343 to $ 9.060000 0.00% 0.20% to 0.75% (9.67%) to (9.40%) Franklin Templeton International Equity Six Months Ended 6/30/04 (unaudited). $1.766605 to $ 2.578927 1.77% 0.20% to 0.75% 8.14% to 8.90% Year Ended 12/31/03.................. $1.698301 to $ 2.471833 1.64% 0.20% to 0.75% 39.49% to 40.46% Year Ended 12/31/02.................. $1.216308 to $ 1.759773 1.99% 0.20% to 0.75% (17.98%) to (17.40%) Year Ended 12/31/01.................. $1.481423 to $ 2.130553 10.20% 0.20% to 0.75% (14.60%) to (14.00%) AllianceBernstein Mid Cap Value (2) Six Months Ended 6/30/04 (unaudited). $1.401493 to $ 14.129318 0.00% 0.20% to 0.75% 11.88% to 12.67% Period Ended 12/31/03................ $1.325376 to $ 13.315544 1.14% 0.20% to 0.75% 32.54% to 33.16% Index 400 Stock Six Months Ended 6/30/04 (unaudited). $1.469802 to $ 16.058738 0.68% 0.20% to 0.75% 11.52% to 12.28% Year Ended 12/31/03.................. $1.392302 to $ 15.159273 0.70% 0.20% to 0.75% 34.08% to 35.01% Year Ended 12/31/02.................. $1.038438 to $ 11.227976 0.75% 0.20% to 0.75% (15.14%) to (14.54%) Year Ended 12/31/01.................. $1.223656 to $ 13.138452 1.13% 0.20% to 0.75% (1.35%) to (0.65%) Janus Capital Appreciation (2) Six Months Ended 6/30/04 (unaudited). $1.253940 to $ 12.641734 0.00% 0.20% to 0.75% 10.46% to 11.22% Period Ended 12/31/03................ $1.193442 to $ 11.990097 0.09% 0.20% to 0.75% 19.34% to 19.90% Growth Stock Six Months Ended 6/30/04 (unaudited). $1.960556 to $ 25.746543 0.69% 0.20% to 0.75% 1.47% to 2.18% Year Ended 12/31/03.................. $1.945424 to $ 25.471804 0.79% 0.20% to 0.75% 18.12% to 18.94% Year Ended 12/31/02.................. $1.645371 to $ 21.414901 1.10% 0.20% to 0.75% (21.38%) to (20.83%) Year Ended 12/31/01.................. $2.090785 to $ 27.049526 4.25% 0.20% to 0.75% (14.82%) to (14.22%) Large Cap Core Stock Six Months Ended 6/30/04 (unaudited). $1.618455 to $ 21.055545 0.94% 0.20% to 0.75% 2.39% to 3.10% Year Ended 12/31/03.................. $1.598784 to $ 20.737771 0.94% 0.20% to 0.75% 23.19% to 24.05% Year Ended 12/31/02.................. $1.296529 to $ 16.717038 0.90% 0.20% to 0.75% (28.70%) to (28.20%) Year Ended 12/31/01.................. $1.816535 to $ 23.281928 3.45% 0.20% to 0.75% (8.42%) to (7.77%) Capital Guardian Domestic Equity (1) Six Months Ended 6/30/04 (unaudited). $1.064147 to $ 10.860402 0.01% 0.20% to 0.75% 9.30% to 10.08% Year Ended 12/31/03.................. $1.018090 to $ 10.354264 1.88% 0.20% to 0.75% 33.48% to 34.41% Year Ended 12/31/02.................. $0.762737 to $ 7.703469 1.77% 0.20% to 0.75% (21.79%) to (21.24%) Period Ended 12/31/01................ $0.975250 to $ 9.781208 0.73% 0.20% to 0.75% (2.48%) to (2.19%) T. Rowe Price Equity Income (2) Six Months Ended 6/30/04 (unaudited). $1.281816 to $ 12.922840 0.01% 0.20% to 0.75% 8.54% to 9.30% Period Ended 12/31/03................ $1.230617 to $ 12.363579 2.79% 0.20% to 0.75% 23.06% to 23.64% Index 500 Stock Six Months Ended 6/30/04 (unaudited). $2.144112 to $ 46.774872 1.33% 0.20% to 0.75% 6.06% to 6.81% Year Ended 12/31/03.................. $2.081264 to $ 45.268617 1.43% 0.20% to 0.75% 27.54% to 28.43% Year Ended 12/31/02.................. $1.630187 to $ 35.246385 1.30% 0.20% to 0.75% (22.61%) to (22.07%) Year Ended 12/31/01.................. $2.104460 to $ 45.228886 4.26% 0.20% to 0.75% (12.50%) to (11.88%)
(1)Division commenced operations on July 31, 2001. (2)Division commenced operations on May 1, 2003. (3)The lowest and highest unit value is as of the respective period-end date. (4)Total Return includes deductions for management and other expenses; excludes deductions for sales loads and other charges. Returns are not annualized for periods less than one year. The Accompanying Notes are an Integral Part of the Financial Statements 8 Northwestern Mutual Variable Life Account Financial Highlights Northwestern Mutual Variable Life Account, continued (For a unit outstanding during the period)
Dividend Income as a % Expense Ratio, Unit Value(3), of Average Lowest to Total Return(4), Division Lowest to Highest Net Assets Highest Lowest to Highest - ------------------------------------------------------------------------------------------------------------------ Asset Allocation (1) Six Months Ended 6/30/04 (unaudited). $1.059854 to $ 10.816641 0.00% 0.20% to 0.75% 3.47% to 4.19% Year Ended 12/31/03.................. $1.042045 to $ 10.598020 2.23% 0.20% to 0.75% 19.79% to 20.63% Year Ended 12/31/02.................. $0.869901 to $ 8.785751 2.35% 0.20% to 0.75% (10.88%) to (10.26%) Period Ended 12/31/01................ $0.976111 to $ 9.789803 1.19% 0.20% to 0.75% (2.39%) to (2.10%) Balanced Six Months Ended 6/30/04 (unaudited). $1.952179 to $101.468826 2.54% 0.20% to 0.75% 2.90% to 3.63% Year Ended 12/31/03.................. $1.923623 to $ 99.686821 3.15% 0.20% to 0.75% 17.17% to 17.99% Year Ended 12/31/02.................. $1.640075 to $ 84.486469 3.70% 0.20% to 0.75% (8.18%) to (7.54%) Year Ended 12/31/01.................. $1.784400 to $ 91.372736 7.58% 0.20% to 0.75% (3.83%) to (3.15%) High Yield Bond Six Months Ended 6/30/04 (unaudited). $1.678297 to $ 21.057816 7.15% 0.20% to 0.75% 4.99% to 5.73% Year Ended 12/31/03.................. $1.637330 to $ 20.482734 0.21% 0.20% to 0.75% 28.16% to 29.06% Year Ended 12/31/02.................. $1.276280 to $ 15.870922 11.64% 0.20% to 0.75% (3.57%) to (2.89%) Year Ended 12/31/01.................. $1.322201 to $ 16.343831 11.57% 0.20% to 0.75% 4.29% to 5.03% Select Bond Six Months Ended 6/30/04 (unaudited). $1.700673 to $128.119427 4.19% 0.20% to 0.75% (0.42%) to 0.28% Year Ended 12/31/03.................. $1.703354 to $127.939501 3.78% 0.20% to 0.75% 4.76% to 5.49% Year Ended 12/31/02.................. $1.624374 to $121.279756 4.23% 0.20% to 0.75% 11.31% to 12.09% Year Ended 12/31/01.................. $1.457873 to $108.200259 5.07% 0.20% to 0.75% 9.59% to 10.37% Money Market Six Months Ended 6/30/04 (unaudited). $1.351374 to $ 34.747091 0.56% 0.20% to 0.75% 0.42% to 1.13% Year Ended 12/31/03.................. $1.347874 to $ 34.553668 1.22% 0.20% to 0.75% 0.53% to 1.23% Year Ended 12/31/02.................. $1.339422 to $ 34.132616 1.63% 0.20% to 0.75% 0.95% to 1.65% Year Ended 12/31/01.................. $1.325528 to $ 33.577318 3.73% 0.20% to 0.75% 3.19% to 3.92% Fidelity VIP Mid Cap (2) Six Months Ended 6/30/04 (unaudited). $1.480288 to $ 14.923714 0.00% 0.20% to 0.75% 11.84% to 12.62% Period Ended 12/31/03................ $1.400160 to $ 14.066904 0.00% 0.20% to 0.75% 40.02% to 40.67% Russell Multi-Style Equity Six Months Ended 6/30/04 (unaudited). $0.774681 to $ 8.261407 0.36% 0.20% to 0.75% 5.50% to 6.23% Year Ended 12/31/03.................. $0.754341 to $ 8.016570 0.70% 0.20% to 0.75% 27.96% to 28.86% Year Ended 12/31/02.................. $0.589495 to $ 6.221208 0.58% 0.20% to 0.75% (23.72%) to (23.19%) Year Ended 12/31/01.................. $0.772852 to $ 8.099453 2.00% 0.20% to 0.75% (14.81%) to (14.21%) Russell Aggressive Equity Six Months Ended 6/30/04 (unaudited). $1.208991 to $ 13.223773 0.00% 0.20% to 0.75% 8.08% to 8.86% Year Ended 12/31/03.................. $1.163121 to $ 12.677885 0.11% 0.20% to 0.75% 44.59% to 45.60% Year Ended 12/31/02.................. $0.804447 to $ 8.707578 0.00% 0.20% to 0.75% (19.62%) to (19.06%) Year Ended 12/31/01.................. $1.000805 to $ 10.757522 0.11% 0.20% to 0.75% (3.05%) to (2.36%) Russell Non-U.S. Six Months Ended 6/30/04 (unaudited). $0.986669 to $ 10.279394 0.36% 0.20% to 0.75% 8.25% to 9.00% Year Ended 12/31/03.................. $0.948548 to $ 9.848016 2.98% 0.20% to 0.75% 37.82% to 38.79% Year Ended 12/31/02.................. $0.688244 to $ 7.095865 1.79% 0.20% to 0.75% (15.74%) to (15.15%) Year Ended 12/31/01.................. $0.816787 to $ 8.362558 0.67% 0.20% to 0.75% (22.58%) to (22.03%) Russell Core Bond Six Months Ended 6/30/04 (unaudited). $1.329465 to $ 13.579840 0.79% 0.20% to 0.75% 0.00% to 0.71% Year Ended 12/31/03.................. $1.329405 to $ 13.532112 3.47% 0.20% to 0.75% 5.41% to 6.15% Year Ended 12/31/02.................. $1.261197 to $ 12.748590 2.67% 0.20% to 0.75% 3.08% to 3.80% Year Ended 12/31/01.................. $1.166871 to $ 11.713217 5.52% 0.20% to 0.75% 7.08% to 7.84% Russell Real Estate Securities Six Months Ended 6/30/04 (unaudited). $1.896598 to $ 19.346639 0.78% 0.20% to 0.75% 13.24% to 14.04% Year Ended 12/31/03.................. $1.782914 to $ 18.123797 5.39% 0.20% to 0.75% 36.26% to 37.21% Year Ended 12/31/02.................. $1.308500 to $ 13.208871 5.44% 0.20% to 0.75% 8.08% to 8.84% Year Ended 12/31/01.................. $1.269394 to $ 12.725061 5.23% 0.20% to 0.75% 6.65% to 7.41%
(1)Division commenced operations on July 31, 2001. (2)Division commenced operations on May 1, 2003. (3)The lowest and highest unit value is as of the respective period-end date. (4)Total Return includes deductions for management and other expenses; excludes deductions for sales loads and other charges. Returns are not annualized for periods less than one year. The Accompanying Notes are an Integral Part of the Financial Statements Northwestern Mutual Variable Life Account 9 Notes to Financial Statements Northwestern Mutual Variable Life Account June 30, 2004 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" or "NM") used to fund variable life insurance policies. Note 2 -- The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported 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., Fidelity Variable Insurance Products Fund III and the Russell Investment Funds (collectively known as "the Funds"). The shares are valued at the Funds' offering and redemption prices per share. The Funds are open-end investment companies registered under the Investment Company Act of 1940. Note 4 -- Dividend income and distributions of net realized gains from the Funds are recorded on the ex-date of the dividends. Transactions in the Funds' shares are accounted for on the trade date. The basis for determining cost on sale of Funds' shares is identified cost. Purchase and sales of the Funds' shares for the period ended June 30, 2004 (unaudited) by each Division are shown as follows: (in thousands)
Division Purchases Sales -------- --------- ------- Small Cap Growth Stock................. $14,263 $ 7,209 T. Rowe Price Small Cap Value.......... 11,844 2,199 Aggressive Growth Stock................ 22,349 15,593 International Growth................... 5,776 883 Franklin Templeton International Equity 30,188 12,022 AllianceBernstein Mid Cap Value........ 2,840 150 Index 400 Stock........................ 15,856 5,449 Janus Capital Appreciation............. 2,004 57 Growth Stock........................... 19,044 12,898 Large Cap Core Stock................... 13,908 6,898 Capital Guardian Domestic Equity....... 8,940 1,588 T. Rowe Price Equity Income............ 5,814 155 Index 500 Stock........................ 60,406 29,266 Asset Allocation....................... 3,833 949 Balanced............................... 30,910 10,654 High Yield Bond........................ 5,399 2,951 Select Bond............................ 14,486 6,523 Money Market........................... 26,573 28,741 Fidelity VIP Mid Cap................... 5,951 198 Russell Multi-Style Equity............. 14,754 5,366 Russell Aggressive Equity.............. 6,961 2,948 Russell Non-U.S........................ 11,106 3,082 Russell Core Bond...................... 4,341 1,436 Russell Real Estate Securities......... 8,740 2,688
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 Variable Executive Life policies issued on or after March 2, 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 .32% thereafter for policies with the Cash Value Amendment, or .30% thereafter for policies without the Cash 10 Northwestern Mutual Variable Life Account Notes to Financial Statements Value Amendment. A deduction for the mortality and expense risks for Variable Joint Life policies issued on or after December 10, 1998 is determined monthly at an annual rate of .20% of the amounts invested in the Account for the Policy. The mortality risk is that insureds may not live as long as estimated. The expense risk is that expenses of issuing and administering the policies may exceed the estimated costs. Certain deductions are also made from the annual, single or other premiums before amounts are allocated to the Account. These deductions are for (1) sales load, (2) administrative expenses, (3) taxes and (4) a risk charge for the guaranteed minimum death benefit. Additional mortality costs are deducted from the policy annually for Variable Life and Variable CompLife policies, and monthly for Variable Executive Life and Variable Joint Life policies, and are paid to Northwestern Mutual to cover the cost of providing insurance protection. For Variable Life and Variable CompLife policies 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. For Variable Executive Life and Variable Joint Life policies the cost reflects expected mortality costs based upon actual experience. Note 6 -- Northwestern Mutual is taxed as a "life insurance company" under the Internal Revenue Code. The variable life insurance policies, which are funded in the Account, are taxed as part of the operations of Northwestern Mutual. Policies provide that a charge for taxes may be made against the assets of the Account. Generally, for Variable Life policies issued before October 11, 1995, Northwestern Mutual charges the Account at an annual rate of .20% of the Account's net assets and reserves the right to increase, decrease or eliminate the charge for taxes in the future. Generally, for Variable CompLife policies issued on or after October 11, 1995, and for Variable Executive Life policies issued on or after March 2, 1998, and Variable Joint Life policies issued on or after December 10, 1998, there is no charge being made against the assets of the Account for federal income taxes, but Northwestern Mutual reserves the right to charge for taxes in the future. Note 7 -- The Account is credited for the policyowners' net annual premiums at the respective policy anniversary dates regardless of when policyowners actually pay their premiums. Northwestern Mutual's equity represents any unpaid portion of net annual premiums. This applies to Variable Life and Variable CompLife policies only. Northwestern Mutual Variable Life Account 11 Notes to Financial Statements Note 8 -- The changes in units outstanding for the period ended June 30, 2004 and the year ended December 31, 2003 by each Division are shown as follows: (in thousands)
Units Units Net Increase Period Ended June 30, 2004 (unaudited) Issued Redeemed (Decrease) ----------------------------------------------------------------------------- Small Cap Growth Stock Division................. 8,064 3,731 4,333 T. Rowe Price Small Cap Value Division.......... 6,598 1,406 5,192 Aggressive Growth Stock Division................ 11,493 6,793 4,700 International Growth Division................... 4,358 504 3,854 Franklin Templeton International Equity Division 13,408 5,923 7,485 AllianceBernstein Mid Cap Value Division........ 1,624 101 1,523 Index 400 Stock Division........................ 9,130 3,388 5,742 Janus Capital Appreciation Division............. 1,234 42 1,192 Growth Stock Division........................... 8,887 5,413 3,474 Large Cap Core Stock Division................... 6,891 3,672 3,219 Capital Guardian Domestic Equity Division....... 7,871 1,191 6,680 T. Rowe Price Equity Income Division............ 3,524 95 3,429 Index 500 Stock Division........................ 19,177 9,112 10,065 Asset Allocation Division....................... 3,019 676 2,343 Balanced Division............................... 6,162 2,691 3,471 High Yield Bond Division........................ 1,311 1,162 149 Select Bond Division............................ 3,598 2,158 1,440 Money Market Division........................... 14,614 14,290 324 Fidelity VIP Mid Cap Division................... 3,451 101 3,350 Russell Multi-Style Equity Division............. 16,564 5,700 10,864 Russell Aggressive Equity Division.............. 4,929 2,128 2,801 Russell Non-U.S. Division....................... 9,409 2,625 6,784 Russell Core Bond Division...................... 2,743 678 2,065 Russell Real Estate Securities Division......... 3,826 1,277 2,549 Units Units Net Increase Year Ended December 31, 2003 Issued Redeemed (Decrease) ----------------------------------------------------------------------------- Small Cap Growth Stock Division................. 19,518 7,767 11,751 T. Rowe Price Small Cap Value Division.......... 13,219 2,089 11,130 Aggressive Growth Stock Division................ 28,858 15,092 13,766 International Growth Division................... 5,512 545 4,967 Franklin Templeton International Equity Division 28,643 11,477 17,166 AllianceBernstein Mid Cap Value Division #...... 1,859 28 1,831 Index 400 Stock Division........................ 21,656 6,417 15,239 Janus Capital Appreciation Division #........... 1,756 38 1,718 Growth Stock Division........................... 24,361 10,438 13,923 Large Cap Core Stock Division................... 16,288 7,413 8,875 Capital Guardian Domestic Equity Division....... 14,784 1,962 12,822 T. Rowe Price Equity Income Division #.......... 3,184 45 3,139 Index 500 Stock Division........................ 48,109 18,742 29,367 Asset Allocation Division....................... 7,099 881 6,218 Balanced Division............................... 13,284 5,007 8,277 High Yield Bond Division........................ 6,953 2,035 4,918 Select Bond Division............................ 9,860 3,417 6,443 Money Market Division........................... 24,722 24,254 468 Fidelity VIP Mid Cap Division #................. 2,438 48 2,390 Russell Multi-Style Equity Division............. 34,575 10,681 23,894 Russell Aggressive Equity Division.............. 12,760 3,541 9,219 Russell Non-U.S. Division....................... 16,087 4,949 11,138 Russell Core Bond Division...................... 4,233 1,627 2,606 Russell Real Estate Securities Division......... 8,150 2,163 5,987
# The initial investment in this Division was made on May 1, 2003. The changes in units outstanding do not include Variable Life policies issued before October 11, 1995. 12 Northwestern Mutual Variable Life Account Notes to Financial Statements Note 9 -- Equity Values by Division are shown as follows: (in thousands)
Variable Life Policies Issued Before October 11, 1995 Equity of: Total ----------------------- Equity Division Policyowners NM -------- ---------------------------------------------------------------- Small Cap Growth Stock................. $ 10,679 $ 393 $ 11,072 T. Rowe Price Small Cap Value.......... 6,637 204 6,841 Aggressive Growth Stock................ 55,067 2,189 57,256 International Growth................... 1,110 31 1,141 Franklin Templeton International Equity 46,777 1,803 48,580 AllianceBernstein Mid Cap Value........ 783 33 816 Index 400 Stock........................ 9,290 275 9,565 Janus Capital Appreciation............. 341 8 349 Growth Stock........................... 26,086 1,064 27,150 Large Cap Core Stock................... 20,581 902 21,483 Capital Guardian Domestic Equity....... 5,207 185 5,392 T. Rowe Price Equity Income............ 2,029 62 2,091 Index 500 Stock........................ 104,569 3,660 108,229 Asset Allocation....................... 3,209 97 3,306 Balanced............................... 139,725 3,316 143,041 High Yield Bond........................ 5,368 210 5,578 Select Bond............................ 12,492 419 12,911 Money Market........................... 8,187 194 8,381 Fidelity VIP Mid Cap................... 1,120 37 1,157 Russell Multi-Style Equity............. 5,151 175 5,326 Russell Aggressive Equity.............. 4,125 138 4,263 Russell Non-U.S........................ 3,802 136 3,938 Russell Core Bond...................... 1,474 55 1,529 Russell Real Estate Securities......... 4,697 129 4,826 - -------- ------- -------- $478,506 $15,715 $494,221 = ======== ======= ========
Variable Complife Policies Issued On or After October 11, 1995 Equity of: Total --------------------- Equity Division Policyowners NM ---------- -------------------------------------------------------------- Small Cap Growth Stock................. $ 120,273 $ 17,762 $ 138,035 T. Rowe Price Small Cap Value.......... 43,646 6,385 50,031 Aggressive Growth Stock................ 258,721 31,968 290,689 International Growth................... 12,745 2,101 14,846 Franklin Templeton International Equity 197,819 25,088 222,907 AllianceBernstein Mid Cap Value........ 4,009 633 4,642 Index 400 Stock........................ 100,659 14,491 115,150 Janus Capital Appreciation............. 3,083 513 3,596 Growth Stock........................... 189,189 25,910 215,099 Large Cap Core Stock................... 114,343 14,923 129,266 Capital Guardian Domestic Equity....... 33,630 5,340 38,970 T. Rowe Price Equity Income............ 7,452 922 8,374 Index 500 Stock........................ 408,299 53,476 461,775 Asset Allocation....................... 13,575 2,040 15,615 Balanced............................... 103,334 14,230 117,564 High Yield Bond........................ 37,475 4,859 42,334 Select Bond............................ 55,204 7,748 62,952 Money Market........................... 80,603 19,753 100,356 Fidelity VIP Mid Cap................... 7,249 1,158 8,407 Russell Multi-Style Equity............. 77,117 11,140 88,257 Russell Aggressive Equity.............. 43,559 6,084 49,643 Russell Non-U.S........................ 47,492 6,659 54,151 Russell Core Bond...................... 15,435 2,270 17,705 Russell Real Estate Securities......... 43,146 6,408 49,554 ---------- -------- ---------- $2,018,057 $281,861 $2,299,918 ========== ======== ==========
Northwestern Mutual Variable Life Account 13 Notes to Financial Statements
Variable Executive Life Variable Joint Life Policies Issued Policies Issued On or After March 2, 1998 On or After December 10, 1998 ------------------------- ----------------------------- Division Total Equity Total Equity - ----------------------------------------------------------------------------------------------- Small Cap Growth Stock................. $ 3,421 $ 6,440 T. Rowe Price Small Cap Value.......... 2,735 4,188 Aggressive Growth Stock................ 4,782 6,088 International Growth................... 1,548 1,422 Franklin Templeton International Equity 5,128 7,746 AllianceBernstein Mid Cap Value........ 171 475 Index 400 Stock........................ 4,574 7,269 Janus Capital Appreciation............. 357 216 Growth Stock........................... 7,450 7,515 Large Cap Core Stock................... 3,727 4,247 Capital Guardian Domestic Equity....... 1,997 4,516 T. Rowe Price Equity Income............ 107 435 Index 500 Stock........................ 10,225 27,874 Asset Allocation....................... 686 1,172 Balanced............................... 2,652 7,097 High Yield Bond........................ 2,651 1,526 Select Bond............................ 12,961 5,170 Money Market........................... 6,583 6,141 Fidelity VIP Mid Cap................... 213 778 Russell Multi-Style Equity............. 12,012 6,411 Russell Aggressive Equity.............. 5,271 2,726 Russell Non-U.S........................ 9,027 4,293 Russell Core Bond...................... 16,165 933 Russell Real Estate Securities......... 2,863 3,494 -------- -------- $117,306 $118,172 ======== ========
14 Northwestern Mutual Variable Life Account The Northwestern Mutual Life Insurance Company * Milwaukee, WI www.northwesternmutual.com 90-1899 (0786) (REV 0704) This report is submitted for the general information of owners of Northwestern Mutual Variable Life insurance policies. This report is not authorized for distribution to prospective purchasers of variable life insurance policies unless it is accompanied by an effective prospectus. Northwestern Mutual Variable Life insurance 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 company of Northwestern Mutual Life and a registered broker-dealer under the Securities Exchange Act of 1934. Member NASD and SIPC. [LOGO] Northwestern Mutual(R) PO Box 3095 Milwaukee, WI 53201-3095 -----END PRIVACY-ENHANCED MESSAGE-----