<DOCUMENT>
<TYPE>N-30D
<SEQUENCE>1
<FILENAME>dn30d.txt
<DESCRIPTION>NML VARIABLE LIFE ACCOUNT SEMI ANNUAL REPORT
<TEXT>
<PAGE>
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)
<PAGE>
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
<PAGE>
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
<PAGE>
Performance Summary as of June 30, 2004
VARIABLE LIFE -- Policies Issued Before October 11, 1995
<TABLE>
<CAPTION>
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
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
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)....
</TABLE>
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
<PAGE>
<TABLE>
<CAPTION>
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
----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
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% -- -- --
-- -- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- -- --
</TABLE>
v
<PAGE>
Performance Summary, continued as of June 30, 2004
VARIABLE LIFE -- Policies Issued Before October 11, 1995
<TABLE>
<CAPTION>
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
----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
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%
</TABLE>
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
<PAGE>
Performance Summary, continued as of June 30, 2004
VARIABLE EXECUTIVE LIFE -- Policies First Offered on March 2, 1998***
<TABLE>
<CAPTION>
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
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
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)....
</TABLE>
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
<PAGE>
Performance Summary, continued as of June 30, 2004
VARIABLE EXECUTIVE LIFE -- Policies First Offered on March 2, 1998***
<TABLE>
<CAPTION>
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
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
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)....
</TABLE>
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
<PAGE>
<TABLE>
<CAPTION>
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
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
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%
</TABLE>
ix
<PAGE>
[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
<PAGE>
Northwestern Mutual Series Fund, Inc.
Table of Contents
<TABLE>
<S> <C>
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
</TABLE>
<PAGE>
Small Cap Growth Stock Portfolio
Northwestern Mutual Series Funds
Schedule of Investments
June 30, 2004 (unaudited)
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (95.9%) $ Par $ (000)
-------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (95.9%) $ Par $ (000)
----------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
Small Cap Growth Stock Portfolio
1
<PAGE>
Small Cap Growth Stock Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (95.9%) $ Par $ (000)
--------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
* 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.
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Number of Expiration Depreciation
Issuer (000's) Contracts Date (000's)
--------------------------------------------------------
<S> <C> <C> <C>
Russell 2000 Index
Futures 16 9/04 $40
(Total Notional Value
at June 30, 2004,
$4,699 )
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
2
Small Cap Growth Stock Portfolio
<PAGE>
T. Rowe Price Small Cap Value Portfolio
Northwestern Mutual Series Fund, Inc.
Schedule of Investments
June 30, 2004 (unaudited)
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (96.7%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (96.7%) $ Par $ (000)
----------------------------------------------------
<S> <C> <C>
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
</TABLE>
T. Rowe Price Small Cap Value Portfolio
3
<PAGE>
T. Rowe Price Small Cap Value Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (96.7%) $ Par $ (000)
----------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (96.7%) $ Par $ (000)
----------------------------------------------------
<S> <C> <C>
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
</TABLE>
4
T. Rowe Price Small Cap Value Portfolio
<PAGE>
T. Rowe Price Small Cap Value Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (96.7%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Investment Grade Bonds (0.0%) $ Par $ (000)
--------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
* 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
<PAGE>
Aggressive Growth Stock Portfolio
Northwestern Mutual Series Funds
Schedule of Investments
June 30, 2004 (unaudited)
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (97.8%) $ Par $ (000)
--------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (97.8%) $ Par $ (000)
-------------------------------------------------------
<S> <C> <C>
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
</TABLE>
6
Aggressive Growth Stock Portfolio
<PAGE>
Aggressive Growth Stock Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (97.8%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
---------
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Money Market Investments (2.4%) $ Par $ (000)
-------------------------------------------------------------------
<S> <C> <C>
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
---------
</TABLE>
* 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
<PAGE>
International Growth Portfolio
Northwestern Mutual Series Fund, Inc.
Schedule of Investments
June 30, 2004 (unaudited)
<TABLE>
<CAPTION>
Foreign Common Shares/ Value
Stocks (97.4%) Country $ Par $ (000)
--------------------------------------------------------
<S> <C> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Foreign Common Shares/ Value
Stocks (97.4%) Country $ Par $ (000)
------------------------------------------------------------
<S> <C> <C> <C>
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
</TABLE>
8
International Growth Portfolio
<PAGE>
International Growth Portfolio
<TABLE>
<CAPTION>
Foreign Common Shares/ Value
Stocks (97.4%) Country $ Par $ (000)
-------------------------------------------------------------
<S> <C> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Foreign Common Shares/ Value
Stocks (97.4%) Country $ Par $ (000)
----------------------------------------------------------
<S> <C> <C> <C>
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
------
</TABLE>
International Growth Portfolio
9
<PAGE>
International Growth Portfolio
<TABLE>
<CAPTION>
Money Market Shares/ Value
Investments (0.6%) Country $ Par $ (000)
---------------------------------------------------------
<S> <C> <C> <C>
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
------
</TABLE>
* 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:
<TABLE>
<S> <C>
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%
------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
10
International Growth Portfolio
<PAGE>
Franklin Templeton International Equity Portfolio
Northwestern Mutual Series Funds
Schedule of Investments
June 30, 2004 (unaudited)
<TABLE>
<CAPTION>
Foreign Common Shares/ Value
Stocks (92.1%) Country $ Par $ (000)
---------------------------------------------------------
<S> <C> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Foreign Common Shares/ Value
Stocks (92.1%) Country $ Par $ (000)
----------------------------------------------------------
<S> <C> <C> <C>
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
</TABLE>
Franklin Templeton International Equity Portfolio
11
<PAGE>
Franklin Templeton International Equity Portfolio
<TABLE>
<CAPTION>
Foreign Common Shares/ Value
Stocks (92.1%) Country $ Par $ (000)
----------------------------------------------------------
<S> <C> <C> <C>
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
-------
</TABLE>
<TABLE>
<CAPTION>
Money Market Investments Shares/ Value
(6.4%) Country $ Par $ (000)
-------------------------------------------------------------
<S> <C> <C> <C>
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
-------
</TABLE>
* 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:
<TABLE>
<S> <C>
United Kingdom 17.7%
Japan 10.2%
France 9.1%
Germany 6.2%
Netherlands 6.2%
Other 50.6%
------
Total 100.0%
------
</TABLE>
12
Franklin Templeton International Equity Portfolio
The Accompanying Notes are an Integral Part of the Financial Statements
<PAGE>
AllianceBernstein Mid Cap Value Portfolio
Northwestern Mutual Series Fund, Inc.
Schedule of Investments
June 30, 2004 (unaudited)
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (94.8%) $ Par $ (000)
--------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (94.8%) $ Par $ (000)
----------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
AllianceBernstein Mid Cap Value Portfolio
13
<PAGE>
AllianceBernstein Mid Cap Value Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Money Market Investments (5.6%) $ Par $ (000)
-------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
* 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
<PAGE>
Index 400 Stock Portfolio
Northwestern Mutual Series Funds
Schedule of Investments
June 30, 2004 (unaudited)
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (92.4%) $ Par $ (000)
-------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (92.4%) $ Par $ (000)
--------------------------------------------------------
<S> <C> <C>
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
</TABLE>
Index 400 Stock Portfolio
15
<PAGE>
Index 400 Stock Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (92.4%) $ Par $ (000)
--------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (92.4%) $ Par $ (000)
----------------------------------------------------------
<S> <C> <C>
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
</TABLE>
16
Index 400 Stock Portfolio
<PAGE>
Index 400 Stock Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (92.4%) $ Par $ (000)
------------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (92.4%) $ Par $ (000)
------------------------------------------------------------
<S> <C> <C>
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
</TABLE>
Index 400 Stock Portfolio
17
<PAGE>
Index 400 Stock Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (92.4%) $ Par $ (000)
--------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (92.4%) $ Par $ (000)
------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
18
Index 400 Stock Portfolio
<PAGE>
Index 400 Stock Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Money Market Investments (7.5%) $ Par $ (000)
-----------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
* 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.
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Number of Expiration Depreciation
Issuer (000's) Contracts Date (000's)
---------------------------------------------------
<S> <C> <C> <C>
MidCap 400 Index
Futures 95 9/04 $687
(Total Notional
Value at
June 30, 2004,
$28,205 )
</TABLE>
Index 400 Stock Portfolio
19
The Accompanying Notes are an Integral Part of the Financial Statements
<PAGE>
Janus Capital Appreciation Portfolio
Northwestern Mutual Series Fund, Inc.
Schedule of Investments
June 30, 2004 (unaudited)
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (82.8%) $ Par $ (000)
-----------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (82.8%) $ Par $ (000)
--------------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
* 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
<PAGE>
Growth Stock Portfolio
Northwestern Mutual Series Funds
Schedule of Investments
June 30, 2004 (unaudited)
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (96.4%) $ Par $ (000)
--------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (96.4%) $ Par $ (000)
-------------------------------------------------------
<S> <C> <C>
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
</TABLE>
Growth Stock Portfolio
21
<PAGE>
Growth Stock Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (96.4%) $ Par $ (000)
----------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Money Market Investments (3.8%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
* 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.
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Number of Expiration Depreciation
Issuer (000's) Contracts Date (000's)
--------------------------------------------------
<S> <C> <C> <C>
S&P 500 Index
Futures 19 9/04 $31
(Total Notional
Value at
June 30, 2004,
$5,386 )
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
22
Growth Stock Portfolio
<PAGE>
Large Cap Core Stock Portfolio
Northwestern Mutual Series Fund, Inc.
Schedule of Investments
June 30, 2004 (unaudited)
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (97.8%) $ Par $ (000)
--------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (97.8%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
</TABLE>
Large Cap Core Stock Portfolio
23
<PAGE>
Large Cap Core Stock Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (97.8%) $ Par $ (000)
-------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Money Market Investments (2.1%) $ Par $ (000)
--------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
* 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.
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Number of Expiration Depreciation
Issuer (000's) Contracts Date (000's)
--------------------------------------------------
<S> <C> <C> <C>
S&P 500 Index
Futures 14 9/04 $22
(Total Notional
Value at
June 30, 2004,
$3,969 )
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
24
Large Cap Core Stock Portfolio
<PAGE>
Capital Guardian Domestic Equity Portfolio
Northwestern Mutual Series Funds
Schedule of Investments
June 30, 2004 (unaudited)
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (91.7%) $ Par $ (000)
------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (91.7%) $ Par $ (000)
------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
Capital Guardian Domestic Equity Portfolio
25
<PAGE>
Capital Guardian Domestic Equity Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (91.7%) $ Par $ (000)
-------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Money Market Investments (7.0%) $ Par $ (000)
--------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
* 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
<PAGE>
T. Rowe Price Equity Income Portfolio
Northwestern Mutual Series Fund, Inc.
Schedule of Investments
June 30, 2004 (unaudited)
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (94.9%) $ Par $ (000)
-------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (94.9%) $ Par $ (000)
------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
T. Rowe Price Equity Income Portfolio
27
<PAGE>
T. Rowe Price Equity Income Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (94.9%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Convertible Corporate Debt (0.3%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
* 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
<PAGE>
Index 500 Stock Portfolio
Northwestern Mutual Series Funds
Schedule of Investments
June 30, 2004 (unaudited)
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (98.3%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (98.3%) $ Par $ (000)
----------------------------------------------------
<S> <C> <C>
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
</TABLE>
Index 500 Stock Portfolio
29
<PAGE>
Index 500 Stock Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (98.3%) $ Par $ (000)
------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (98.3%) $ Par $ (000)
------------------------------------------------------
<S> <C> <C>
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
</TABLE>
30
Index 500 Stock Portfolio
<PAGE>
Index 500 Stock Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (98.3%) $ Par $ (000)
------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (98.3%) $ Par $ (000)
-----------------------------------------------------
<S> <C> <C>
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
</TABLE>
Index 500 Stock Portfolio
31
<PAGE>
Index 500 Stock Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (98.3%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (98.3%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
32
Index 500 Stock Portfolio
<PAGE>
Index 500 Stock Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (98.3%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (98.3%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
---------
</TABLE>
Index 500 Stock Portfolio
33
<PAGE>
Index 500 Stock Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Money Market Investments (1.1%) $ Par $ (000)
--------------------------------------------------------
<S> <C> <C>
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
---------
</TABLE>
* 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.
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Number of Expiration (Depreciation)
Issuer (000's) Contracts Date (000's)
---------------------------------------------------
<S> <C> <C> <C>
S&P 500 Index
Futures 97 9/04 $169
(Total Notional
Value at
June 30, 2004,
$27,486 )
</TABLE>
34
Index 500 Stock Portfolio
The Accompanying Notes are an Integral Part of the Financial Statements
<PAGE>
Asset Allocation Portfolio
Northwestern Mutual Series Fund, Inc.
Schedule of Investments
June 30, 2004 (unaudited)
<TABLE>
<CAPTION>
Domestic Common Stocks and Warrants Shares/ Value
(38.1%) $ Par $ (000)
---------------------------------------------------
Large Cap Common Stocks (25.0%)
---------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Large Cap Common Stocks (25.0%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
</TABLE>
Asset Allocation Portfolio
35
<PAGE>
Asset Allocation Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Large Cap Common Stocks (25.0%) $ Par $ (000)
-----------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Small Cap Common Stocks (13.1%) $ Par $ (000)
-----------------------------------------------------
<S> <C> <C>
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
</TABLE>
36
Asset Allocation Portfolio
<PAGE>
Asset Allocation Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Small Cap Common Stocks (13.1%) $ Par $ (000)
----------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
<TABLE>
<CAPTION>
Foreign Common Shares/ Value
Stocks (15.8%) Country $ Par $ (000)
--------------------------------------------------------
<S> <C> <C> <C>
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
</TABLE>
Asset Allocation Portfolio
37
<PAGE>
Asset Allocation Portfolio
<TABLE>
<CAPTION>
Foreign Common Shares/ Value
Stocks (15.8%) Country $ Par $ (000)
------------------------------------------------------
<S> <C> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Foreign Common Shares/ Value
Stocks (15.8%) Country $ Par $ (000)
--------------------------------------------------------
<S> <C> <C> <C>
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
</TABLE>
38
Asset Allocation Portfolio
<PAGE>
Asset Allocation Portfolio
<TABLE>
<CAPTION>
Foreign Common Shares/ Value
Stocks (15.8%) Country $ Par $ (000)
-------------------------------------------------------
<S> <C> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Foreign Common Shares/ Value
Stocks (15.8%) Country $ Par $ (000)
---------------------------------------------------------
<S> <C> <C> <C>
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
------
</TABLE>
Asset Allocation Portfolio
39
<PAGE>
Asset Allocation Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Investment Grade Bonds (7.7%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
-----
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Investment Grade Bonds (7.7%) $ Par $ (000)
-----------------------------------------------------------
<S> <C> <C>
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
</TABLE>
40
Asset Allocation Portfolio
<PAGE>
Asset Allocation Portfolio
<TABLE>
<CAPTION>
Government (Domestic and Foreign) and Shares/ Value
Agency Bonds (19.7%) $ Par $ (000)
----------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Below Investment Grade Bonds (7.1%) $ Par $ (000)
----------------------------------------------------------
<S> <C> <C>
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
</TABLE>
Asset Allocation Portfolio
41
<PAGE>
Asset Allocation Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Below Investment Grade Bonds (7.1%) $ Par $ (000)
----------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Below Investment Grade Bonds (7.1%) $ Par $ (000)
----------------------------------------------------------
<S> <C> <C>
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
</TABLE>
42
Asset Allocation Portfolio
<PAGE>
Asset Allocation Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Below Investment Grade Bonds (7.1%) $ Par $ (000)
----------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Below Investment Grade Bonds (7.1%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
</TABLE>
Asset Allocation Portfolio
43
<PAGE>
Asset Allocation Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Below Investment Grade Bonds (7.1%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Below Investment Grade Bonds (7.1%) $ Par $ (000)
------------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
44
Asset Allocation Portfolio
<PAGE>
Asset Allocation Portfolio
<TABLE>
<CAPTION>
Money Market Shares/ Value
Investments (11.3%) $ Par $ (000)
------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
* 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.
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Number of Expiration Depreciation
Issuer (000's) Contracts Date (000's)
-----------------------------------------------------
<S> <C> <C> <C>
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)
</TABLE>
(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
<PAGE>
Balanced Portfolio
Northwestern Mutual Series Funds
Schedule of Investments
June 30, 2004 (unaudited)
<TABLE>
<CAPTION>
Shares/ Value
Revenue Bonds (0.1%) $ Par $ (000)
--------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Corporate Bonds (11.7%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
46
Balanced Portfolio
<PAGE>
Balanced Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Corporate Bonds (11.7%) $ Par $ (000)
--------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Corporate Bonds (11.7%) $ Par $ (000)
-------------------------------------------------------
<S> <C> <C>
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
</TABLE>
Balanced Portfolio
47
<PAGE>
Balanced Portfolio
<TABLE>
<CAPTION>
Government (Domestic and Foreign) Shares/ Value
and Agency Bonds (20.8%) $ Par $ (000)
--------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Mortgage-Backed and Asset Shares/ Value
Backed Securities (8.9%) $ Par $ (000)
----------------------------------------------------------
<S> <C> <C>
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
</TABLE>
48
Balanced Portfolio
<PAGE>
Balanced Portfolio
<TABLE>
<CAPTION>
Mortgage-Backed and Asset Shares/ Value
Backed Securities (8.9%) $ Par $ (000)
--------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Mortgage-Backed and Asset Shares/ Value
Backed Securities (8.9%) $ Par $ (000)
-----------------------------------------------
<S> <C> <C>
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
</TABLE>
Balanced Portfolio
49
<PAGE>
Balanced Portfolio
<TABLE>
<CAPTION>
Mortgage-Backed and Asset Shares/ Value
Backed Securities (8.9%) $ Par $ (000)
-----------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Mortgage-Backed and Asset Shares/ Value
Backed Securities (8.9%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
</TABLE>
50
Balanced Portfolio
<PAGE>
Balanced Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (46.3%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (46.3%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
Balanced Portfolio
51
<PAGE>
Balanced Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (46.3%) $ Par $ (000)
---------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (46.3%) $ Par $ (000)
-----------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
52
Balanced Portfolio
<PAGE>
Balanced Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (46.3%) $ Par $ (000)
-----------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (46.3%) $ Par $ (000)
--------------------------------------------------------
<S> <C> <C>
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
</TABLE>
Balanced Portfolio
53
<PAGE>
Balanced Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (46.3%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (46.3%) $ Par $ (000)
--------------------------------------------------------
<S> <C> <C>
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
</TABLE>
54
Balanced Portfolio
<PAGE>
Balanced Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (46.3%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks (46.3%) $ Par $ (000)
--------------------------------------------------------
<S> <C> <C>
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
</TABLE>
Balanced Portfolio
55
<PAGE>
Balanced Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Money Market Investments (22.2%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Money Market Investments (22.2%) $ Par $ (000)
----------------------------------------------------------
<S> <C> <C>
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
---------
</TABLE>
* 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.
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Number of Expiration Depreciation
Issuer (000's) Contracts Date (000's)
--------------------------------------------------------
<S> <C> <C> <C>
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)
</TABLE>
(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
<PAGE>
High Yield Bond Portfolio
Northwestern Mutual Series Fund, Inc.
Schedule of Investments
June 30, 2004 (unaudited)
<TABLE>
<CAPTION>
Shares/ Value
Bonds (93.4%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Bonds (93.4%) $ Par $ (000)
------------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
High Yield Bond Portfolio
57
<PAGE>
High Yield Bond Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Bonds (93.4%) $ Par $ (000)
------------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Bonds (93.4%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
58
High Yield Bond Portfolio
<PAGE>
High Yield Bond Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Bonds (93.4%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Bonds (93.4%) $ Par $ (000)
----------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
High Yield Bond Portfolio
59
<PAGE>
High Yield Bond Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Bonds (93.4%) $ Par $ (000)
-----------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Bonds (93.4%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
60
High Yield Bond Portfolio
<PAGE>
High Yield Bond Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Common Stocks and Warrants (0.1%) $ Par $ (000)
----------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
* 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
<PAGE>
Select Bond Portfolio
Northwestern Mutual Series Funds
Schedule of Investments
June 30, 2004 (unaudited)
<TABLE>
<CAPTION>
Shares/ Value
Revenue Bonds (0.4%) $ Par $ (000)
----------------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Corporate Bonds (32.7%) $ Par $ (000)
------------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
62
Select Bond Portfolio
<PAGE>
Select Bond Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Corporate Bonds (32.7%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Corporate Bonds (32.7%) $ Par $ (000)
--------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
Select Bond Portfolio
63
<PAGE>
Select Bond Portfolio
<TABLE>
<CAPTION>
Mortgage-Backed and Asset Backed Shares/ Value
Securities (21.1%) $ Par $ (000)
------------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
<TABLE>
<CAPTION>
Mortgage-Backed and Asset Backed Shares/ Value
Securities (21.1%) $ Par $ (000)
-------------------------------------------------------------
<S> <C> <C>
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
</TABLE>
64
Select Bond Portfolio
<PAGE>
Select Bond Portfolio
<TABLE>
<CAPTION>
Mortgage-Backed and Asset Backed Shares/ Value
Securities (21.1%) $ Par $ (000)
--------------------------------------------------
<S> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Mortgage-Backed and Asset Backed Shares/ Value
Securities (21.1%) $ Par $ (000)
---------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
Select Bond Portfolio
65
<PAGE>
Select Bond Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Money Market Investments (22.0%) $ Par $ (000)
-------------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Money Market Investments (22.0%) $ Par $ (000)
-------------------------------------------------------------
<S> <C> <C>
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
--------
</TABLE>
66
Select Bond Portfolio
<PAGE>
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.
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Number of Expiration Depreciation
Issuer (000's) Contracts Date (000's)
--------------------------------------------------------
<S> <C> <C> <C>
US Long Bond (CBT)
Commodity Futures 640 9/04 $480
(Total Notional Value
at June 30, 2004
$67,600)
</TABLE>
(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
<PAGE>
Money Market Portfolio
Northwestern Mutual Series Fund, Inc.
Schedule of Investments
June 30, 2004 (unaudited)
<TABLE>
<CAPTION>
Shares/ Value
Money Market Investments (98.8%) $ Par $ (000)
----------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
<TABLE>
<CAPTION>
Shares/ Value
Money Market Investments (98.8%) $ Par $ (000)
----------------------------------------------------------
<S> <C> <C>
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
------
</TABLE>
68
Money Market Portfolio
<PAGE>
Money Market Portfolio
<TABLE>
<CAPTION>
Shares/ Value
Money Market Investments (98.8%) $ Par $ (000)
-------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
<TABLE>
<CAPTION>
Government (Domestic and Foreign) and Shares/ Value
Agency Bonds (1.0%) $ Par $ (000)
-------------------------------------------------------
<S> <C> <C>
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
-------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
Money Market Portfolio
69
<PAGE>
Statement of Assets and Liabilities
Northwestern Mutual Series Fund, Inc.
June 30, 2004
(in thousands)
<TABLE>
<CAPTION>
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
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Index 400
Stock
Portfolio
-------------------------------------------------
<S> <C>
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
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
(Prepared from Unaudited Figures)
70
Statement of Assets and Liabilities
<PAGE>
<TABLE>
<CAPTION>
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
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 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
</TABLE>
Statement of Assets and Liabilities
71
<PAGE>
Statement of Operations
Northwestern Mutual Series Fund, Inc.
For the Six Months Ended June 30, 2004
(in thousands)
<TABLE>
<CAPTION>
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
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
</TABLE>
<TABLE>
<CAPTION>
Index 400
Stock
Portfolio
-------------------------------------------------
<S> <C>
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........ $ --
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
(Prepared from Unaudited Figures)
72
Statement of Operations
<PAGE>
<TABLE>
<CAPTION>
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
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 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 $ -- $ -- $ -- $ --
</TABLE>
Statement of Operations
73
<PAGE>
Statement of Changes in Net Assets
Northwestern Mutual Series Fund, Inc.
<TABLE>
<CAPTION>
For the For the
Six Months Ended Year Ended
June 30, December 31,
Small Cap Growth Stock Portfolio 2004 2003
-----------------------------------------------------------------------------------
(In thousands)
<S> <C> <C>
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
======== ========
</TABLE>
<TABLE>
<CAPTION>
For the For the
Six Months Ended Year Ended
June 30, December 31,
T. Rowe Price Small Cap Value Portfolio 2004 2003
-----------------------------------------------------------------------------------
(In thousands)
<S> <C> <C>
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
======== ========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
(Prepared from Unaudited Figures)
74
Statement of Changes in Net Assets
<PAGE>
Statement of Changes in Net Assets
Northwestern Mutual Series Fund, Inc.
<TABLE>
<CAPTION>
For the For the
Six Months Ended Year Ended
June 30, December 31,
Aggressive Growth Stock Portfolio 2004 2003
------------------------------------------------------------------------------------
(In thousands)
<S> <C> <C>
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
========== ==========
</TABLE>
<TABLE>
<CAPTION>
For the For the
Six Months Ended Year Ended
June 30, December 31,
International Growth Portfolio 2004 2003
-----------------------------------------------------------------------------------
(In thousands)
<S> <C> <C>
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
======= ========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
(Prepared from Unaudited Figures)
Statement of Changes in Net Assets
75
<PAGE>
Statement of Changes in Net Assets
Northwestern Mutual Series Fund, Inc.
<TABLE>
<CAPTION>
For the For the
Six Months Ended Year Ended
June 30, December 31,
Franklin Templeton International Equity Portfolio 2004 2003
--------------------------------------------------------------------------------------
(In thousands)
<S> <C> <C>
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
======== =========
</TABLE>
(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
<PAGE>
Statement of Changes in Net Assets
Northwestern Mutual Series Fund, Inc.
<TABLE>
<CAPTION>
For the For the
Six Months Ended Year Ended
June 30, December 31,
Index 400 Stock Portfolio 2004 2003
-----------------------------------------------------------------------------------
(In thousands)
<S> <C> <C>
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
======== ========
</TABLE>
<TABLE>
<CAPTION>
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)
<S> <C> <C>
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
======= =======
</TABLE>
(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
<PAGE>
Statement of Changes in Net Assets
Northwestern Mutual Series Fund, Inc.
<TABLE>
<CAPTION>
For the For the
Six Months Ended Year Ended
June 30, December 31,
Growth Stock Portfolio 2004 2003
-----------------------------------------------------------------------------------
(In thousands)
<S> <C> <C>
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
======== ========
</TABLE>
<TABLE>
<CAPTION>
For the For the
Six Months Ended Year Ended
June 30, December 31,
Large Cap Core Stock Portfolio 2004 2003
-----------------------------------------------------------------------------------
(In thousands)
<S> <C> <C>
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
======== ========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
(Prepared from Unaudited Figures)
78
Statement of Changes in Net Assets
<PAGE>
Statement of Changes in Net Assets
Northwestern Mutual Series Fund, Inc.
<TABLE>
<CAPTION>
For the For the
Six Months Ended Year Ended
June 30, December 31,
Capital Guardian Domestic Equity Portfolio 2004 2003
--------------------------------------------------------------------------------------
(In thousands)
<S> <C> <C>
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
======== ========
</TABLE>
(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
<PAGE>
Statement of Changes in Net Assets
Northwestern Mutual Series Fund, Inc.
<TABLE>
<CAPTION>
For the For the
Six Months Ended Year Ended
June 30, December 31,
Index 500 Stock Portfolio 2004 2003
-----------------------------------------------------------------------------------
(In thousands)
<S> <C> <C>
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
========== ==========
</TABLE>
<TABLE>
<CAPTION>
For the For the
Six Months Ended Year Ended
June 30, December 31,
Asset Allocation Portfolio 2004 2003
-----------------------------------------------------------------------------------
(In thousands)
<S> <C> <C>
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
======== ========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
(Prepared from Unaudited Figures)
80
Statement of Changes in Net Assets
<PAGE>
Statement of Changes in Net Assets
Northwestern Mutual Series Fund, Inc.
<TABLE>
<CAPTION>
For the For the
Six Months Ended Year Ended
June 30, December 31,
Balanced Portfolio 2004 2003
-----------------------------------------------------------------------------------
(In thousands)
<S> <C> <C>
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
========== ==========
</TABLE>
<TABLE>
<CAPTION>
For the For the
Six Months Ended Year Ended
June 30, December 31,
High Yield Bond Portfolio 2004 2003
-----------------------------------------------------------------------------------
(In thousands)
<S> <C> <C>
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
======== ========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
(Prepared from Unaudited Figures)
Statement of Changes in Net Assets
81
<PAGE>
Statement of Changes in Net Assets
Northwestern Mutual Series Fund, Inc.
<TABLE>
<CAPTION>
For the For the
Six Months Ended Year Ended
June 30, December 31,
Select Bond Portfolio 2004 2003
-----------------------------------------------------------------------------------
(In thousands)
<S> <C> <C>
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
======== =========
</TABLE>
<TABLE>
<CAPTION>
For the For the
Six Months Ended Year Ended
June 30, December 31,
Money Market Portfolio 2004 2003
-----------------------------------------------------------------------------------
(In thousands)
<S> <C> <C>
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
========= =========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
(Prepared from Unaudited Figures)
82
Statement of Changes in Net Assets
<PAGE>
Financial Highlights
Northwestern Mutual Series Fund, Inc.
<TABLE>
<CAPTION>
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
--------------------------------------------------------- ----------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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%
======== ======== ======== ======== ======== =======
</TABLE>
<TABLE>
<CAPTION>
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
--------------------------------------------------------------- ------------------
<S> <C> <C> <C> <C>
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%
======== ======== ======= =======
</TABLE>
(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
<PAGE>
Financial Highlights
Northwestern Mutual Series Fund, Inc.
<TABLE>
<CAPTION>
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
------------------------------------------------------ ---------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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%
========== ========== ======== ========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
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
------------------------------------------------------------------ -------------------
<S> <C> <C> <C> <C>
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%
======= ======= ======== =======
</TABLE>
(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
<PAGE>
Financial Highlights
Northwestern Mutual Series Fund, Inc.
<TABLE>
<CAPTION>
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
--------------------------------------------------------- -------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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%
======== ======== ======== ======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
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
------------------------------------------------------------------
<S> <C> <C>
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%
======= =======
</TABLE>
(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
<PAGE>
Financial Highlights
Northwestern Mutual Series Fund, Inc.
<TABLE>
<CAPTION>
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
--------------------------------------------------------- ----------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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%
======== ======== ======== ======== ======== =======
</TABLE>
<TABLE>
<CAPTION>
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
------------------------------------------------------------------
<S> <C> <C>
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%
======= =======
</TABLE>
(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
<PAGE>
Financial Highlights
Northwestern Mutual Series Fund, Inc.
<TABLE>
<CAPTION>
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
--------------------------------------------------------- -------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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%
======== ======== ======== ======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
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
--------------------------------------------------------- -------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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%
======== ======== ======== ======== ======== ========
</TABLE>
(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
<PAGE>
Financial Highlights
Northwestern Mutual Series Fund, Inc.
<TABLE>
<CAPTION>
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
------------------------------------------------------------------ --------------------
<S> <C> <C> <C> <C>
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%
======== ======== ======== =======
</TABLE>
<TABLE>
<CAPTION>
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
------------------------------------------------------------------
<S> <C> <C>
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%
======= =======
</TABLE>
(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
<PAGE>
Financial Highlights
Northwestern Mutual Series Fund, Inc.
<TABLE>
<CAPTION>
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
------------------------------------------------------ -----------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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%
========== ========== ========== ========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
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
------------------------------------------------------------------ --------------------
<S> <C> <C> <C> <C>
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%
======== ======== ======== =======
</TABLE>
(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
<PAGE>
Financial Highlights
Northwestern Mutual Series Fund, Inc.
<TABLE>
<CAPTION>
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
------------------------------------------------------ -----------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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%
========== ========== ========== ========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
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
--------------------------------------------------------- ----------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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%
======== ======== ======== ======== ======== ========
</TABLE>
(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
<PAGE>
Financial Highlights
Northwestern Mutual Series Fund, Inc.
<TABLE>
<CAPTION>
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
--------------------------------------------------------- -------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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%
======== ======== ======== ======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
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
------------------------------------------------------ -------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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%
======== ======== ======== ======== ======== ========
</TABLE>
(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
<PAGE>
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
<PAGE>
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:
<TABLE>
<CAPTION>
Value of Value of
Portfolio Securities on Loan Collateral
--------- ------------------ ------------
<S> <C> <C>
Balanced... $219,064,261 $226,347,000
Select Bond 54,694,283 56,231,375
</TABLE>
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:
<TABLE>
<CAPTION>
Obligation
Portfolio Cost Value Liability
--------- ----------- ----------- -----------
<S> <C> <C> <C>
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
</TABLE>
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:
<TABLE>
<CAPTION>
U.S. Total U.S. Govt.
Total Govt. Security Security
Security Security Sales/ Sales/
Portfolio Purchases Purchases Maturities Maturities
--------- ---------- --------- ---------- ----------
(Amounts in thousands)
<S> <C> <C> <C> <C>
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
</TABLE>
Notes to Financial Statements
93
<PAGE>
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.
<TABLE>
<CAPTION>
Portfolio Fee
--------- ----
<S> <C>
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%
</TABLE>
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:
<TABLE>
<CAPTION>
First Next
$50 $50
Portfolio Million Million Excess
--------- ------- ------- ------
<S> <C> <C> <C>
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%
</TABLE>
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:
<TABLE>
<CAPTION>
Portfolio Expiration
--------- -----------------
<S> <C> <C>
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
</TABLE>
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:
<TABLE>
<CAPTION>
Portfolio Amount
--------- ------
<S> <C>
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
</TABLE>
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
<PAGE>
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:
<TABLE>
<CAPTION>
Portfolio Amount
--------- -------
<S> <C>
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
</TABLE>
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:
<TABLE>
<CAPTION>
Post
October Capital Loss
Losses Carryovers
---------------- -------------------
Foreign
Portfolio Capital Currency Amount Expiration
--------- ------- -------- -------- ----------
(Amounts in Thousands)
<S> <C> <C> <C> <C>
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........................... -- -- -- --
</TABLE>
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:
<TABLE>
<CAPTION>
2004 2003
Portfolio Reimbursements Reimbursements
--------- -------------- --------------
<S> <C> <C>
International Growth.. $ 63,323 $ 68,922
Franklin Templeton
International Equity 1,245,312 $1,469,313
</TABLE>
Notes to Financial Statements
95
<PAGE>
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:
<TABLE>
<CAPTION>
2004 Distributions Paid 2003 Distributions Paid
From: From:
----------------------- -----------------------
Ordinary Long-term Ordinary Long-term
Portfolio Income Capital Gain Income Capital Gain
--------- -------- ------------ -------- ------------
(Amounts in Thousands)
<S> <C> <C> <C> <C>
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 --
</TABLE>
As of June 30 2004, the tax basis amounts were as follows:
<TABLE>
<CAPTION>
Undistributed Undistributed Unrealized
Ordinary Long-term Accumulated Appreciation
Portfolio Income Gains Losses (Depreciation)
--------- ------------- ------------- ----------- --------------
(Amounts in Thousands)
<S> <C> <C> <C> <C>
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........................... -- -- -- --
</TABLE>
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
<PAGE>
Fidelity(R) Variable Insurance Products:
Mid Cap Portfolio
[LOGO]
Semiannual Report
June 30, 2004
[LOGO Fidelity INVESTMENTS(R)]
<PAGE>
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
--------------------------------------------------------------------------------
<PAGE>
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
--------------------------------------------------------------------------------
<PAGE>
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
--------------------------------------------------------------------------------
<PAGE>
--------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
<PAGE>
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
--------------------------------------------------------------------------------
<PAGE>
--------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
<PAGE>
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
--------------------------------------------------------------------------------
<PAGE>
--------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
<PAGE>
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
--------------------------------------------------------------------------------
<PAGE>
--------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
<PAGE>
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
--------------------------------------------------------------------------------
<PAGE>
--------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
<PAGE>
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
--------------------------------------------------------------------------------
<PAGE>
--------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
<PAGE>
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
--------------------------------------------------------------------------------
<PAGE>
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:
<TABLE>
<CAPTION>
Value, Value,
beginning Sales Dividend end of
Affiliate of period Purchases Proceeds Income period
------------------------------------------ ----------- ---------- ---------- -------- -----------
<S> <C> <C> <C> <C> <C>
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
=========== ========== ========== === ===========
</TABLE>
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
--------------------------------------------------------------------------------
<PAGE>
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
--------------------------------------------------------------------------------
<PAGE>
-------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
<PAGE>
Fidelity Variable Insurance Products: Mid Cap Portfolio
--------------------------------------------------------------------------------
Financial Highlights -- Initial Class
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six months ended Years ended December 31,
June 30, 2004 ------------------------------------------------------
(Unaudited) 2003/H/ 2002 2001 2000 1999
---------------- -------- -------- -------- -------- ------
<S> <C> <C> <C> <C> <C> <C>
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%
</TABLE>
/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
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six months ended Years ended December 31,
June 30, 2004 ------------------------------------------------------
(Unaudited) 2003/H/ 2002 2001 2000 1999
---------------- -------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C> <C>
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%
</TABLE>
/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
--------------------------------------------------------------------------------
<PAGE>
--------------------------------------------------------------------------------
Financial Highlights -- Service Class 2
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six months ended Years ended December 31,
June 30, 2004 -------------------------------------------------
(Unaudited) 2003/H/ 2002 2001 2000/F/
---------------- ---------- -------- -------- -----------
<S> <C> <C> <C> <C> <C>
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%
</TABLE>
/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
--------------------------------------------------------------------------------
<PAGE>
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
--------------------------------------------------------------------------------
<PAGE>
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
--------------------------------------------------------------------------------
<PAGE>
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
--------------------------------------------------------------------------------
<PAGE>
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
<PAGE>
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
<PAGE>
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.
<PAGE>
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.
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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 $237,883) 301,524
Other Assets and Liabilities,
Net - (6.3%) (17,953)
-------
Net Assets - 100.0% 283,571
-------
See accompanying notes which are an integral part of the financial statements.
Real Estate Securities Fund 33
<PAGE>
Russell Investment Funds
Core Bond Fund
Schedule of Investments -- June 30, 2004 (Unaudited)
Amounts in thousands (except share amounts)
Principal Market
Amount ($) 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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
Russell Investment Funds
Core Bond Fund
Schedule of Investments, continued -- June 30, 2004 (Unaudited)
Amounts in thousands
<TABLE>
<CAPTION>
Index Swaps
---------------------------------------------------------------------------------------------------------
Unrealized
Notional Appreciation
Fund Receives Counter Amount Fund Pays Termination (Depreciation)
Underlying Security Party $ Floating Rate Date $
----------------------- --------------- -------- ------------------- ----------- --------------
<S> <C> <C> <C> <C> <C>
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
===
</TABLE>
<TABLE>
<CAPTION>
Interest Rate Swaps
---------------------------------------------------------------------------------------
Notional Market
Counter Amount Termination Value
Party $ Fund Receives Fund Pays Date $
------------------ ----------- ----------------- --------- ----------- ------
<S> <C> <C> <C> <C> <C> <C>
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)
====
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Core Bond Fund 43
<PAGE>
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:
<TABLE>
<S> <C> <C>
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
</TABLE>
44 Notes to Schedules of Investments
<PAGE>
Russell Investment Funds
Statement of Assets and Liabilities -- June 30, 2004 (Unaudited)
<TABLE>
<CAPTION>
Multi-Style Equity
Amounts in thousands Fund
-----------------------------------------------------------------------------------
<S> <C>
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
========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
46 Statement of Assets and Liabilities
<PAGE>
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
<PAGE>
Russell Investment Funds
Statement of Assets and Liabilities, continued -- June 30, 2004 (Unaudited)
<TABLE>
<CAPTION>
Multi-Style Equity
Fund
----------------------------------------------------------------------------------
<S> <C>
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.
</TABLE>
See accompanying notes which are an integral part of the financial statements.
48 Statement of Assets and Liabilities
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
Russell Investment Funds
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
Multi-Style Equity
Fund
----------------------------
Six Months Year
Ended Ended
June 30, 2004 December 31,
Amounts in thousands (Unaudited) 2003
--------------------------------------------------------------------------------------------------------------
<S> <C> <C>
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
</TABLE>
See accompanying notes which are an integral part of the financial statements.
52 Statement of Changes in Net Assets
<PAGE>
<TABLE>
<CAPTION>
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
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 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
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets 53
<PAGE>
Russell Investment Funds
Financial Highlights -- For the Periods Ended
For a Share Outstanding Throughout Each Period.
<TABLE>
<CAPTION>
$ $ $ $
Net Asset Value, Net Net Realized Total Income
Beginning of Investment and Unrealized from
Period Income Loss)(a) Gain (Loss) Operations
------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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)
------------------------------------------------------------------------------------------------
<CAPTION>
$ $
Distributions Distributions $
from Net from Net Return of
Investment Income Realized Gain Capital
---------------------------------------------------------------------------
<S> <C> <C> <C>
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)
---------------------------------------------------------------------------
</TABLE>
See accompanying notes which are an integral part of the financial statements.
54 Financial Highlights
<PAGE>
<TABLE>
<CAPTION>
% % %
$ $ 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)
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
(.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
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Financial Highlights 55
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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
<PAGE>
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:
<TABLE>
<CAPTION>
Funds Purchases Sales Funds Purchases Sales
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
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
</TABLE>
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:
<TABLE>
<CAPTION>
Value of Value of Value of Value of
Funds Securities on Loan Collateral Funds Securities on Loan Collateral
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
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
</TABLE>
Notes to Financial Statements 61
<PAGE>
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
<PAGE>
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
<PAGE>
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:
<TABLE>
<CAPTION>
Real Estate
Multi-Style Equity Aggressive Equity Non-U.S. Securities Core Bond
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
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
============ ============ ============ ============ ============
</TABLE>
64 Notes to Financial Statements
<PAGE>
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:
<TABLE>
<CAPTION>
Shares Dollars
--------------- -------------------
2004 2003 2004 2003
------ ------ -------- --------
<S> <C> <C> <C> <C>
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
====== ====== ======== ========
</TABLE>
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
<PAGE>
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:
<TABLE>
<CAPTION>
Cost Market Value
Fund - % of Net Assets Acquisition Shares Cost per Unit (000) (000)
Securities Date Outstanding $ $ $
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
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
=====
</TABLE>
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
<PAGE>
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.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
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
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
*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
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* 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
<PAGE>
Russell Investment Funds
Disclosure of Information about Fund Directors, continued -- June 30, 2004
(Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
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
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
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
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
68 Disclosure of Information about Fund Directors
<PAGE>
Russell Investment Funds
Disclosure of Information about Fund Directors, continued -- June 30, 2004
(Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
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)
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
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
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Disclosure of Information about Fund Directors 69
<PAGE>
Russell Investment Funds
Disclosure of Information about Fund Directors, continued -- June 30, 2004
(Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
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
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
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
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
70 Disclosure of Information about Fund Directors
<PAGE>
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
<PAGE>
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
<PAGE>
[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)
<PAGE>
[GRAPHIC]
Semi-Annual Report June 30, 2004
Northwestern Mutual Variable Life Account
Financial Statements
<PAGE>
Northwestern Mutual Variable Life Account Financial Statements
Table of Contents
<TABLE>
<S> <C>
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
</TABLE>
<PAGE>
Financial Statements
Northwestern Mutual Variable Life Account
Statements of Assets and Liabilities
June 30, 2004 (unaudited)
(in thousands)
<TABLE>
<S> <C>
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
</TABLE>
<TABLE>
<S> <C>
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
--------
</TABLE>
<TABLE>
<S> <C>
Total Investments at Market Value. $3,029,724
</TABLE>
<TABLE>
<S> <C>
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.............. --
</TABLE>
<TABLE>
<S> <C>
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......... --
----------
</TABLE>
<TABLE>
<S> <C>
Total Due From Northwestern Mutual Life Company. 170
----------
Total Assets...................................... $3,029,894
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
Northwestern Mutual Variable Life Account
1
<PAGE>
Financial Statements
Northwestern Mutual Variable Life Account, continued
Statements of Assets and Liabilities
June 30, 2004 (unaudited)
(in thousands)
<TABLE>
<S> <C> <C> <C>
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
-------- ----------
</TABLE>
2
Northwestern Mutual Variable Life Account
The Accompanying Notes are an Integral Part of the Financial Statements
<PAGE>
Financial Statements
Northwestern Mutual Variable Life Account, continued
Statements of Assets and Liabilities
June 30, 2004 (unaudited)
(in thousands)
<TABLE>
<S> <C> <C> <C>
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
==========
</TABLE>
Northwestern Mutual Variable Life Account
3
The Accompanying Notes are an Integral Part of the Financial Statements
<PAGE>
Financial Statements
Northwestern Mutual Variable Life Account
Statements of Operations
(in thousands)
<TABLE>
<CAPTION>
Investment Income
-----------------------------------------
Mortality
Dividend and Expense Net Investment
Income Risks Taxes Income (Loss)
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
</TABLE>
# 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
<PAGE>
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
<TABLE>
-----------------------------------------------------------------------------
<CAPTION>
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
------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 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
</TABLE>
Northwestern Mutual Variable Life Account
5
<PAGE>
Financial Statements
Northwestern Mutual Variable Life Account
Statements of Changes in Equity
(in thousands)
<TABLE>
<CAPTION>
Operations
-------------------------------------------------------
Net Increase
Change in (Decrease) in
Net Net Unrealized Equity Derived
Investment Realized Appreciation from Investment
Income (Loss) Gain (Loss) (Depreciation) Activity
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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
</TABLE>
# 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
<PAGE>
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
<TABLE>
-----------------------------------------------------------------------------
<CAPTION>
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
----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 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
</TABLE>
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
Northwestern Mutual Variable Life Account
7
<PAGE>
Financial Highlights
Northwestern Mutual Variable Life Account
(For a unit outstanding during the period)
<TABLE>
<CAPTION>
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
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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%)
</TABLE>
(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
<PAGE>
Financial Highlights
Northwestern Mutual Variable Life Account, continued
(For a unit outstanding during the period)
<TABLE>
<CAPTION>
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
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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%
</TABLE>
(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
<PAGE>
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)
<TABLE>
<CAPTION>
Division Purchases Sales
-------- --------- -------
<S> <C> <C>
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
</TABLE>
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
<PAGE>
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
<PAGE>
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)
<TABLE>
<CAPTION>
Units Units Net Increase
Period Ended June 30, 2004 (unaudited) Issued Redeemed (Decrease)
-----------------------------------------------------------------------------
<S> <C> <C> <C>
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
</TABLE>
# 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
<PAGE>
Notes to Financial Statements
Note 9 -- Equity Values by Division are shown as follows:
(in thousands)
<TABLE>
<CAPTION>
Variable Life
Policies Issued
Before October 11, 1995
Equity of: Total
----------------------- Equity
Division Policyowners NM --------
----------------------------------------------------------------
<S> <C> <C> <C> <C>
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
= ======== ======= ========
</TABLE>
<TABLE>
<CAPTION>
Variable Complife
Policies Issued
On or After
October 11, 1995
Equity of: Total
--------------------- Equity
Division Policyowners NM ----------
--------------------------------------------------------------
<S> <C> <C> <C>
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
========== ======== ==========
</TABLE>
Northwestern Mutual Variable Life Account
13
<PAGE>
Notes to Financial Statements
<TABLE>
<CAPTION>
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
-----------------------------------------------------------------------------------------------
<S> <C> <C>
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
======== ========
</TABLE>
14
Northwestern Mutual Variable Life Account
<PAGE>
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
</TEXT>
</DOCUMENT>