Letter to Policyowners

June 30, 2005

The first half of 2005 was a somewhat confusing period for investors, as analysts and investors alike assumed that unprecedented oil prices would slow economic growth. To date, that has not occurred, and inflation and interest rates have remained fairly stable. Housing continued to be the key driver of the economy during this period, due to lower mortgage rates and liberal lending practices. Whether or not the economic recovery can continue based on increasing housing values is a growing concern.

The economy, which continued to grow at expected rates of 3% to 3.5%, relied on asset growth (particularly housing) during this period, and not on job growth, as is usually the case. Substantial job growth has failed to materialize and is quite low for this point in a recovery. While U.S. companies showed decent earnings during this period, those earnings can be attributed mainly to outsourcing and downsizing, both of which hurt job growth at home.

The broad stock market was relatively unchanged over the first half of the year. The S&P 500 Index, a gauge of larger-capitalization stocks, fell 0.81%. Mid-cap and small-cap stocks experienced gains of 3.84% and 1.79%, respectively, as measured by the S&P 400 and S&P 600 Indexes. Volatility was limited, and the market was somewhat range bound. And although stock prices are relatively attractive compared with bonds, investors appeared to be marking time waiting for clearer direction.

The Federal Reserve Board continued to raise short-term interest rates during this period, from 2.50% to 3.25%, but longer-term rates once again failed to rise in concert with shorter-term rates. The yield on the 10-year Treasury note, which stood at 4.21% at the start of the year, fell by 30 basis points, to 3.91%, by June 30. While the Fed has indicated it may increase rates again in coming months, we believe most of the rate increases are behind us and we expect very limited increases going forward. In this respect, we are much more optimistic than most about interest rates over the long term.

Going forward into the second half of 2005, economic growth will depend on trends in housing and on the direction of oil prices. Higher oil prices, which some may view as inflationary, really act as a tax on consumers. Higher energy costs, which tend to slow a recovery, have been offset by rising housing values so far. It is yet to be seen whether $60 per barrel oil will slow consumption. The wealth effect provided by higher housing values so far appears to have offset the impact of higher oil prices.

During periods of uncertainty such as this, we encourage investors to lower their expectations for returns on both stocks and bonds, but to hold steady to their long-term insurance and investment plans. Market returns going forward are more likely to be lower than in the past and appreciation will be harder to find, but staying the course with a well-constructed portfolio has proven to be the best course over time.

Edward J. Zore President and Chief Executive Officer	Mark G. Doll Senior Vice President Investments
The Northwestern Mutual Life Insurance Company
(Northwestern Mutual)

i

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. –

5 p.m. Central Time Monday – Friday.

ii

Contents

Performance Summary for the Northwestern Mutual Variable Life Account

Northwestern Mutual Series Fund, Inc. - Semi-Annual Report

Northwestern Mutual Variable Life Account
Financial Statements

iii

Performance Summary    as of June 30, 2005

Variable Life — Policies Issued Before October 11, 1995

Total return(j) (as of 6/30/05)	Small Cap Growth Stock Division		T. Rowe Price Small Cap Value Division		Aggressive Growth Stock Division		International Growth Division		Franklin Templeton International Equity Division		AllianceBernstein Mid Cap Value Division		Index 400 Stock Division
1 year	13.74	%	10.57	%	3.63	%	16.14	%	13.03	%	11.47	%	13.13	%
5 years	10.50	%	—		(22.07	%)	—		11.95	%	—		42.64	%
Annualized	2.02	%	—		(4.86	%)	—		2.28	%	—		7.36	%
10 years	—		—		116.77	%	—		102.93	%	—		—
Annualized	—		—		8.04	%	—		7.33	%	—		—
Since division inception in Variable Life Account	105.30	%(b)	56.39	%(c)	—		32.09	%(c)	—		56.22	%(d)	66.28	%(b)
Annualized	12.74	%	12.10	%	—		7.37	%	—		22.89	%	8.84	%
Since portfolio inception(a)	147.92	%(b)	—		—		—		—		—		75.22	%(b)
Annualized	15.86	%	—		—		—		—		—		9.52	%
Current Yield(h)
Variable Complife — Policies Issued On or After October 11, 1995**
1 year	13.86	%	10.68	%	3.74	%	16.26	%	13.15	%	11.58	%	13.24	%
5 years	11.06	%	—		(21.68	%)	—		12.52	%	—		43.36	%
Annualized	2.12	%	—		(4.77	%)	—		2.39	%	—		7.47	%
10 years	—		—		118.98	%	—		105.00	%	—		—
Annualized	—		—		8.15	%	—		7.44	%	—		—
Since division inception in Variable Life Account	106.55	%(b)	57.00	%(c)	—		32.60	%(c)	—		56.56	%(d)	67.29	%(b)
Annualized	12.85	%	12.21	%	—		7.47	%	—		23.01	%	8.95	%
Since portfolio inception(a)	149.47	%(b)	—		—		—		—		—		76.31	%(b)
Annualized	15.98	%	—		—		—		—		—		9.63	%
Current Yield(h)

The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performances may be lower or higher than the performance data quoted. For most recent month-end performance information visit www.nmfn.com.

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.

(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, 2005, the Money Market Portfolio’s yield was 2.92% and was equivalent to a compound effective yield of 2.96%. 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

Janus Capital Appreciation Division		Growth Stock Division		Large Cap Core Stock Division		Capital Guardian Domestic Equity Division		T. Rowe Price Equity Income Division		Index 500 Stock Division		Asset Allocation Division		Balanced Division		High Yield Bond Division		Select Bond Division
18.55	%	5.62	%	7.51	%	11.74	%	9.05	%	5.46	%	8.02	%	5.59	%	8.59	%	6.00	%
—		(21.43	%)	(17.73	%)	—		—		(14.41	%)	—		8.45	%	37.92	%	44.18	%
—		(4.71	%)	(3.83	%)	—		—		(3.06	%)	—		1.64	%	6.64	%	7.59	%
—		119.82	%	80.99	%	—		—		139.73	%	—		114.00	%	86.89	%	82.97	%
—		8.19	%	6.11	%	—		—		9.14	%	—		7.90	%	6.45	%	6.23	%
48.66	%(d)	—		—		18.91	%(c)	39.79	%(d)	—		14.48	%(c)	—		—		—
20.10	%	—		—		4.52	%	16.74	%	—		3.52	%	—		—		—
—		—		—		—		—		—		—		—		—		—
—		—		—		—		—		—		—		—		—		—
18.67	%	5.72	%	7.61	%	11.85	%	9.16	%	5.56	%	8.13	%	5.69	%	8.69	%	6.11	%
—		(21.03	%)	(17.32	%)	—		—		(13.98	%)	—		9.00	%	38.61	%	44.90	%
—		(4.61	%)	(3.73	%)	—		—		(2.97	%)	—		1.74	%	6.75	%	7.70	%
—		122.06	%	82.84	%	—		—		142.17	%	—		116.18	%	88.79	%	84.83	%
—		8.30	%	6.22	%	—		—		9.25	%	—		8.01	%	6.56	%	6.34	%
48.98	%(d)	—		—		19.37	%(c)	40.09	%(d)	—		14.93	%(c)	—		—		—
20.22	%	—		—		4.63	%	16.85	%	—		3.62	%	—		—		—
—		—		—		—		—		—		—		—		—		—
—		—		—		—		—		—		—		—		—		—

v

Performance Summary, continued    as of June 30, 2005

Variable Life — Policies Issued Before October 11, 1995

Total return(j) (as of 6/30/05)	Money Market Division		Fidelity VIP Mid Cap Division		Russell Multi-Style Equity Division		Russell Aggressive Equity Division		Russell Non- U.S. Division		Russell Core Bond Division		Russell Real Estate Securities Division
1 year	1.39	%	20.07	%	6.20	%	8.46	%	11.22	%	5.96	%	32.85	%
5 years	9.50	%	60.38	%(e)	(17.08	%)	21.61	%	(6.96	%)	36.12	%	140.91	%
Annualized	1.83	%	9.91	%	(3.68	%)	3.99	%	(1.43	%)	6.36	%	19.23	%
10 years	37.64	%	—		—		—		—		—		—
Annualized	3.25	%	—		—		—		—		—		—
Since division inception in Variable Life Account	—		77.74	%(e)	(17.73	%)(f)	31.13	%(f)	9.74	%(f)	40.86	%(f)	151.97	%(b)
Annualized	—		30.44	%	(3.20	%)	4.62	%	1.56	%	5.88	%	16.65	%
Since portfolio inception(a)	—		201.20	%(e)	49.98	%(f)	77.61	%(f)	30.77	%(f)	61.29	%(f)	147.90	%(b)
Annualized	—		18.47	%	4.89	%	7.00	%	3.21	%	5.79	%	15.86	%
Current Yield(h)	2.96	%
Variable Complife — Policies Issued On or After October 11, 1995**
1 year	1.49	%	20.19	%	6.31	%	8.57	%	11.33	%	6.06	%	32.99	%
5 years	10.05	%	61.19	%(e)	(16.66	%)	22.22	%	(6.50	%)	36.80	%	142.12	%
Annualized	1.93	%	10.02	%	(3.58	%)	4.09	%	(1.33	%)	6.47	%	19.35	%
10 years	39.04	%	—		—		—		—		—		—
Annualized	3.35	%	—		—		—		—		—		—
Since division inception in Variable Life Account	—		78.12	%(e)	(17.23	%)(f)	31.93	%(f)	10.40	%(f)	41.71	%(f)	153.50	%(b)
Annualized	—		30.57	%	(3.10	%)	4.73	%	1.66	%	5.98	%	16.77	%
Since portfolio inception(a)	—		203.19	%(e)	51.27	%(f)	79.14	%(f)	31.89	%(f)	62.68	%(f)	149.44	%(b)
Annualized	—		18.59	%	5.00	%	7.11	%	3.31	%	5.90	%	15.98	%
Current Yield(h)	2.96	%

The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performances may be lower or higher than the performance data quoted. For most recent month-end performance information visit www.nmfn.com.

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.

(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, 2005, the Money Market Portfolio’s yield was 2.92% and was equivalent to a compound effective yield of 2.96%. The seven-day yield does not include deductions that are included in the separate accounts. The yield quotation more closely reflects the current earnings of the Money Market Portfolio than the total return quotation.

(j) Returns shown include any fee waivers in effect and deductions for all Fund expenses. In the absence of fee waivers, total return would be reduced.

** Product inception date of 10/11/95. Returns prior to 10/11/95 were reflected using the actual investment experience of each division, adjusted for the expenses of the product and premium charges.

*** Product inception date of 3/2/98. (For use with non-tax qualified executive benefit plans.) Returns prior to 3/2/98 were reflected using the actual investment experience of each division adjusted for expenses of the product and premium charges.

**** Product inception date of December 28, 1998 (For use primarily in estate planning, provides coverage on two insureds with a death benefit payable on the second death). Returns prior to 12/28/98 were reflected using the actual investment experience of each division adjusted for expenses of the product and premium charges.

vi

Performance Summary, continued    as of June 30, 2005

Variable Executive Life — Policies First Offered on March 2, 1998***

Total return(j) (as of 6/30/05)	Small Cap Growth Stock Division		T. Rowe Price Small Cap Value Division		Aggressive Growth Stock Division		International Growth Division		Franklin Templeton International Equity Division		AllianceBernstein Mid Cap Value Division		Index 400 Stock Division
1 year	14.54	%	11.35	%	4.36	%	16.96	%	13.82	%	12.25	%	13.92	%
5 years	14.44	%	—		(19.29	%)	—		15.94	%	—		47.71	%
Annualized	2.73	%	—		(4.20	%)	—		3.00	%	—		8.11	%
10 years	—		—		132.49	%	—		117.65	%	—		—
Annualized	—		—		8.80	%	—		8.09	%	—		—
Since division inception in Variable Life Account	114.11	%(b)	60.72	%(c)	—		35.75	%(c)	—		58.60	%(d)	73.41	%(b)
Annualized	13.53	%	12.89	%	—		8.12	%	—		23.75	%	9.61	%
Since portfolio inception(a)	158.85	%(b)	—		—		—		—		—		82.95	%(b)
Annualized	16.67	%	—		—		—		—		—		10.29	%
Current Yield(h)
Variable Joint Life — Policies First Offered on December 28, 1998****
1 year	14.54	%	11.35	%	4.36	%	16.96	%	13.82	%	12.25	%	13.92	%
5 years	14.44	%	—		(19.29	%)	—		15.94	%	—		47.71	%
Annualized	2.73	%	—		(4.20	%)	—		3.00	%	—		8.11	%
10 years	—		—		132.49	%	—		117.65	%	—		—
Annualized	—		—		8.80	%	—		8.09	%	—		—
Since division inception in Variable Life Account	114.11	%(b)	60.72	%(c)	—		35.75	%(c)	—		58.60	%(d)	73.41	%(b)
Annualized	13.53	%	12.89	%	—		8.12	%	—		23.75	%	9.61	%
Since portfolio inception(a)	158.85	%(b)	—		—		—		—		—		82.95	%(b)
Annualized	16.67	%	—		—		—		—		—		10.29	%
Current Yield(h)

The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performances may be lower or higher than the performance data quoted. For most recent month-end performance information visit www.nmfn.com.

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.

(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, 2005, the Money Market Portfolio’s yield was 2.92% and was equivalent to a compound effective yield of 2.96%. The seven-day yield does not include deductions that are included in the separate accounts. The yield quotation more closely reflects the current earnings of the Money Market Portfolio than the total return quotation.

(j) Returns shown include any fee waivers in effect and deductions for all Fund expenses. In the absence of fee waivers, total return would be reduced.

** Product inception date of 10/11/95. Returns prior to 10/11/95 were reflected using the actual investment experience of each division, adjusted for the expenses of the product and premium charges.

*** Product inception date of 3/2/98. (For use with non-tax qualified executive benefit plans.) Returns prior to 3/2/98 were reflected using the actual investment experience of each division adjusted for expenses of the product and premium charges.

**** Product inception date of December 28, 1998 (For use primarily in estate planning, provides coverage on two insureds with a death benefit payable on the second death). Returns prior to 12/28/98 were reflected using the actual investment experience of each division adjusted for expenses of the product and premium charges.

vii

Performance Summary, continued    as of June 30, 2005

Variable Executive Life — Policies First Offered on March 2, 1998***

Total return(j) (as of 6/30/05)	Janus Capital Appreciation Division		Growth Stock Division		Large Cap Core Stock Division		Capital Guardian Domestic Equity Division		T. Rowe Price Equity Income Division		Index 500 Stock Division		Asset Allocation Division
1 year	19.38	%	6.36	%	8.26	%	12.52	%	9.82	%	6.19	%	8.77	%
5 years	—		(18.63	%)	(14.81	%)	—		—		(11.36	%)	—
Annualized	—		(4.04	%)	(3.15	%)	—		—		(2.38	%)	—
10 years	—		135.76	%	94.12	%	—		—		157.11	%	—
Annualized	—		8.96	%	6.86	%	—		—		9.90	%	—
Since division inception in Variable Life Account	50.92	%(d)	—		—		22.20	%(c)	41.91	%(d)	—		17.66	%(c)
Annualized	20.94	%	—		—		5.26	%	17.55	%	—		4.24	%
Since portfolio inception(a)	—		—		—		—		—		—		—
Annualized	—		—		—		—		—		—		—
Current Yield(h)
Variable Joint Life — Policies First Offered on December 28, 1998****
1 year	19.38	%	6.36	%	8.26	%	12.52	%	9.82	%	6.19	%	8.77	%
5 years	—		(18.63	%)	(14.81	%)	—		—		(11.36	%)	—
Annualized	—		(4.04	%)	(3.15	%)	—		—		(2.38	%)	—
10 years	—		135.76	%	94.12	%	—		—		157.11	%	—
Annualized	—		8.96	%	6.86	%	—		—		9.90	%	—
Since division inception in Variable Life Account	50.92	%(d)	—		—		22.20	%(c)	41.91	%(d)	—		17.66	%(c)
Annualized	20.94	%	—		—		5.26	%	17.55	%	—		4.24	%
Since portfolio inception(a)	—		—		—		—		—		—		—
Annualized	—		—		—		—		—		—		—
Current Yield(h)

The performance data quoted represents past performance. Past performance is historical and does not guarantee future performance. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performances may be lower or higher than the performance data quoted. For most recent month-end performance information visit www.nmfn.com.

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.

(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, 2005, the Money Market Portfolio’s yield was 2.92% and was equivalent to a compound effective yield of 2.96%. 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

Balanced Division		High Yield Bond Division		Select Bond Division		Money Market Division		Fidelity VIP Mid Cap Division		Russell Multi-Style Equity Division		Russell Aggressive Equity Division		Russell Non- U.S. Division		Russell Core Bond Division		Russell Real Estate Securities Division
6.33	%	9.34	%	6.74	%	2.10	%	20.91	%	6.95	%	9.22	%	12.00	%	6.70	%	33.78	%
12.31	%	42.82	%	49.30	%	13.39	%	66.09	%(e)	(14.13	%)	25.93	%	(3.66	%)	40.95	%	149.47	%
2.35	%	7.39	%	8.35	%	2.55	%	10.68	%	(3.00	%)	4.72	%	(0.74	%)	7.11	%	20.06	%
129.52	%	100.43	%	96.24	%	47.61	%	—		—		—		—		—		—
8.66	%	7.20	%	6.97	%	3.97	%	—		—		—		—		—		—
—		—		—		—		80.44	%(e)	(14.20	%)(f)	36.75	%(f)	14.44	%(f)	46.90	%(f)	162.77	%(b)
—		—		—		—		31.35	%	(2.52	%)	5.36	%	2.27	%	6.62	%	17.47	%
—		—		—		—		215.23	%(e)	59.16	%(f)	88.48	%(f)	38.77	%(f)	71.16	%(f)	158.82	%(b)
—		—		—		—		19.31	%	5.63	%	7.75	%	3.93	%	6.53	%	16.67	%
						2.96	%
6.33	%	9.34	%	6.74	%	2.10	%	20.91	%	6.95	%	9.22	%	12.00	%	6.70	%	33.78	%
12.31	%	42.82	%	49.30	%	13.39	%	66.09	%(e)	(14.13	%)	25.93	%	(3.66	%)	40.95	%	149.47	%
2.35	%	7.39	%	8.35	%	2.55	%	10.68	%	(3.00	%)	4.72	%	(0.74	%)	7.11	%	20.06	%
129.52	%	100.43	%	96.24	%	47.61	%	—		—		—		—		—		—
8.66	%	7.20	%	6.97	%	3.97	%	—		—		—		—		—		—
—		—		—		—		80.44	%(e)	(14.20	%)(f)	36.75	%(f)	14.44	%(f)	46.90	%(f)	162.77	%(b)
—		—		—		—		31.35	%	(2.52	%)	5.36	%	2.27	%	6.62	%	17.47	%
—		—		—		—		215.23	%(e)	59.16	%(f)	88.48	%(f)	38.77	%(f)	71.16	%(f)	158.82	%(b)
—		—		—		—		19.31	%	5.63	%	7.75	%	3.93	%	6.53	%	16.67	%
						2.96	%

ix

Semi-Annual Report June 30, 2005

Northwestern Mutual Series Fund, Inc.

A Series Fund Offering Eighteen Portfolios

• Small Cap Growth Stock Portfolio

• T. Rowe Price Small Cap Value Portfolio

• Aggressive Growth Stock Portfolio

• International Growth Portfolio

• Franklin Templeton International Equity Portfolio

• AllianceBernstein Mid Cap Value Portfolio

• Index 400 Stock Portfolio

• Janus Capital Appreciation Portfolio

• Growth Stock Portfolio

• Large Cap Core Stock Portfolio

• Capital Guardian Domestic Equity Portfolio

• T. Rowe Price Equity Income Portfolio

• Index 500 Stock Portfolio

• Asset Allocation Portfolio

• Balanced Portfolio

• High Yield Bond Portfolio

• Select Bond Portfolio

• Money Market Portfolio

Northwestern Mutual Series Fund, Inc.

Table of Contents

Series Fund Objectives and Schedules of Investments
Small Cap Growth Stock Portfolio	1
T. Rowe Price Small Cap Value Portfolio	4
Aggressive Growth Stock Portfolio	9
International Growth Portfolio	12
Franklin Templeton International Equity Portfolio	16
AllianceBernstein Mid Cap Value Portfolio	20
Index 400 Stock Portfolio	23
Janus Capital Appreciation Portfolio	29
Growth Stock Portfolio	31
Large Cap Core Stock Portfolio	34
Capital Guardian Domestic Equity Portfolio	37
T. Rowe Price Equity Income Portfolio	40
Index 500 Stock Portfolio	43
Asset Allocation Portfolio	50
Balanced Portfolio	63
High Yield Bond Portfolio	75
Select Bond Portfolio	80
Money Market Portfolio	87
Statements of Assets and Liabilities	90
Statements of Operations	92
Statements of Changes in Net Assets	94
Financial Highlights	103
Notes to Series Fund Financial Statements	112
Proxy Voting and Portfolio Holdings	117
Director and Officer Information	118
Continuance of the Investment Advisory and Sub-Advisory Agreements	119

Small Cap Growth Stock Portfolio

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value January 1, 2005		Ending Account Value June 30, 2005		Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual	$	1,000.00	$	1,050.30	$	2.84
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.72	$	2.80

* Expenses are equal to the Fund’s annualized expense ratio of 0.56%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Small Cap Growth Stock Portfolio

1

Small Cap Growth Stock Portfolio

Northwestern Mutual Series Fund, Inc.

Schedule of Investments

June 30, 2005 (unaudited)

Common Stocks (97.4%)	Shares/ $ Par	Value $ (000’s)
Consumer Discretionary (17.2%)
Aaron Rents, Inc.	236,892	5,896
*Beacon Roofing Supply, Inc.	153,000	4,024
*Digital Theater Systems, Inc.	216,300	3,857
*DSW, Inc. — Class A	10,971	274
*Guitar Center, Inc.	112,700	6,578
*Hibbett Sporting Goods, Inc.	184,400	6,978
Lithia Motors, Inc.	140,400	4,051
*McCormick & Schmick’s Seafood Restaurants, Inc.	310,717	4,906
*O’Reilly Automotive, Inc.	214,000	6,379
Orient-Express Hotel, Ltd. — Class A	307,337	9,733
*Outdoor Channel Holdings, Inc.	202,900	2,792
*Pinnacle Entertainment, Inc.	367,800	7,194
Polaris Industries, Inc.	32,800	1,771
Station Casinos, Inc.	62,450	4,147
Strayer Education, Inc.	41,800	3,606
*Volcom, Inc.	5,467	146
*WMS Industries, Inc.	227,300	7,671
Total		80,003
Consumer Staples (3.4%)
*Peet’s Coffee & Tea, Inc.	210,300	6,948
*United Natural Foods, Inc.	294,400	8,941
Total		15,889
Energy (4.8%)
*FMC Technologies, Inc.	188,300	6,020
*Grant Prideco, Inc.	313,800	8,301
*Grey Wolf, Inc.	578,200	4,284
*National Oilwell Varco, Inc.	80,950	3,848
Total		22,453
Financials (9.3%)
BankAtlantic Bancorp, Inc. — Class A	163,400	3,096
Boston Private Financial Holdings, Inc.	153,000	3,856
*Community Bancorp	81,900	2,541
First Republic Bank	126,200	4,459
Greater Bay Bancorp	173,000	4,562
Greenhill & Co., Inc.	182,700	7,400
Investors Financial Services Corp.	59,930	2,267
Jackson Hewitt Tax Service, Inc.	100,000	2,364
optionsXpress Holdings, Inc.	177,000	2,690
Placer Sierra Bancshares	113,000	3,082
*Portfolio Recovery Associates, Inc.	162,800	6,841
Total		43,158
Health Care (18.4%)
*The Advisory Board Co.	119,800	5,839
*Horizon Health Corp.	254,200	5,946
*Impax Laboratories, Inc.	336,600	5,285
*Kyphon, Inc.	164,200	5,713
LCA-Vision, Inc.	129,700	6,285
*Nabi Biopharmaceuticals	142,400	2,169
*Pediatrix Medical Group, Inc.	71,100	5,229

Common Stocks (97.4%)	Shares/ $ Par	Value $ (000’s)
Health Care continued
*Providence Service Corp.	214,586	5,328
*Psychiatric Solutions, Inc.	134,900	6,571
*Radiation Therapy Services, Inc.	191,300	5,079
*Renal Care Group, Inc.	170,000	7,836
*ResMed, Inc.	99,200	6,546
*Salix Pharmaceuticals, Ltd.	259,850	4,589
*Syneron Medical, Ltd.	184,200	6,740
*Ventana Medical Systems, Inc.	101,500	4,083
*Wright Medical Group, Inc.	76,300	2,037
Total		85,275
Industrials (13.3%)
Brady Corp. — Class A	106,100	3,289
C.H. Robinson Worldwide, Inc.	156,950	9,135
The Corporate Executive Board Co.	76,800	6,016
*Corrections Corp. of America	143,550	5,634
*DiamondCluster International, Inc.	485,500	5,486
Forward Air Corp.	247,150	6,987
*Hudson Highland Group, Inc.	204,900	3,194
Knight Transportation, Inc.	209,478	5,097
*Marlin Business Services, Inc.	276,820	5,564
MSC Industrial Direct Co., Inc. — Class A	156,300	5,275
*School Specialty, Inc.	134,000	6,231
Total		61,908
Information Technology (23.8%)
*Blackboard, Inc.	60,600	1,450
*Cogent, Inc.	112,800	3,220
*Cognizant Technology Solutions Corp. — Class A	160,300	7,555
*Cree, Inc.	92,600	2,359
*Digital River, Inc.	223,500	7,096
*Entegris, Inc.	656,900	6,503
*Essex Corp.	217,000	4,965
*Euronet Worldwide, Inc.	390,300	11,346
*Genesis Microchip, Inc.	422,000	7,790
*iPayment Holdings, Inc.	57,000	2,082
*Kanbay International, Inc.	281,400	6,503
*MKS Instruments, Inc.	354,750	5,992
*O2Micro International, Ltd.	532,900	7,471
*Plexus Corp.	302,000	4,297
*ScanSource, Inc.	43,500	1,868
*Sonic Solutions	153,300	2,851
*Tekelec	297,200	4,993
*Tessera Technologies, Inc.	192,700	6,438
*THQ, Inc.	235,800	6,902
*Verint Systems, Inc.	170,200	5,474
*Westell Technologies, Inc. — Class A	473,700	2,833
Total		109,988
Materials (4.7%)
Airgas, Inc.	339,150	8,367
Minerals Technologies, Inc.	82,500	5,082

2

Small Cap Growth Stock Portfolio

Small Cap Growth Stock Portfolio

Common Stocks (97.4%)	Shares/ $ Par	Value $ (000’s)
Materials continued
Silgan Holdings, Inc.	110,000	6,186
Steel Technologies, Inc.	117,800	1,991
Total		21,626
Telecommunication Services (2.5%)
*Alamosa Holdings, Inc.	544,000	7,562
*JAMDAT Mobile, Inc.	149,800	4,146
Total		11,708
Total Common Stocks (Cost: $374,552)		452,008
Money Market Investments (2.6%)
Federal Government & Agencies (1.0%)
(b)Freddie Discount, 3.29%, 9/20/05	4,500,000	4,466
Total		4,466
Finance Services (0.6%)
Preferred Receivable Funding, 3.12%, 7/13/05	2,900,000	2,897
Total		2,897

Money Market Investments (2.6%)	Shares/ $ Par	Value $ (000’s)
National Commercial Banks (1.0%)
UBS Finance Delaware LLC, 3.37%, 7/1/05	4,900,000	4,900
Total		4,900
Total Money Market Investments (Cost: $12,263)		12,263
Total Investments (100.0%) (Cost $386,815)(a)		464,271
Other Assets, Less Liabilities (0.0%)		179
Total Net Assets (100.0%)		464,450

* Non-Income Producing

(a) At June 30, 2005 the aggregate cost of securities for federal tax purposes (in thousands) was $386,815 and the net unrealized appreciation of investments based on that cost was $77,456 which is comprised of $88,590 aggregate gross unrealized appreciation and $11,134 aggregate gross unrealized depreciation.

(b) All or a portion of the securities have been committed as collateral for when-issued securities.

The Accompanying Notes are an Integral Part of the Financial Statements

Small Cap Growth Stock Portfolio

3

T. Rowe Price Small Cap Value Portfolio

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value January 1, 2005		Ending Account Value June 30, 2005		Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual	$	1,000.00	$	993.60	$	4.29
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.19	$	4.34

* Expenses are equal to the Fund’s annualized expense ratio of 0.87%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

4

T. Rowe Price Small Cap Value Portfolio

T. Rowe Price Small Cap Value Portfolio

Northwestern Mutual Series Fund, Inc.

Schedule of Investments

June 30, 2005 (unaudited)

Common Stocks (97.3%)	Shares/ $ Par	Value $ (000’s)
Consumer Discretionary (15.8%)
Aaron Rents, Inc.	132,600	3,299
Aaron Rents, Inc. — Class A	4,725	107
*Accuride Corp.	10,400	111
*AnnTaylor Stores Corp.	11,500	279
*Big Lots, Inc.	4,800	64
*Cablevision Systems Corp.	12,300	396
Centerplate Inc.	33,000	421
*Cox Radio Inc. — Class A	7,400	117
CSS Industries, Inc.	39,700	1,343
*Culp, Inc.	32,600	143
Dillard’s, Inc. — Class A	5,800	136
Dow Jones & Co., Inc.	10,900	386
*Entercom Communications Corp. — Class A	13,400	446
Family Dollar Stores, Inc.	13,800	360
Fred’s, Inc.	52,650	873
The Gap, Inc.	21,500	425
Hancock Fabrics, Inc.	59,000	392
Hasbro, Inc.	16,900	351
Haverty Furniture Companies, Inc.	91,300	1,349
Hearst-Argyle Television, Inc.	2,200	54
*IAC/InterActiveCorp	18,800	452
*Journal Register Co.	61,900	1,084
*Kohl’s Corp.	4,700	263
Mattel, Inc.	32,600	597
Matthews International Corp. — Class A	71,200	2,774
Meredith Corp.	6,700	329
The New York Times Co. — Class A	17,400	542
Newell Rubbermaid, Inc.	18,400	439
Outback Steakhouse, Inc.	10,100	457
Pearson PLC-Sponsored, ADR	30,000	356
RadioShack Corp.	16,300	378
*RARE Hospitality International, Inc.	75,650	2,305
Reuters Group PLC-Spons, ADR	5,300	225
Ruby Tuesday, Inc.	33,600	870
*Saga Communications, Inc. — Class A	74,500	1,043
*Scholastic Corp.	9,500	366
SCP Pool Corp.	62,025	2,176
Skyline Corp.	27,800	1,110
Stanley Furniture Co., Inc.	55,600	1,366
Stein Mart, Inc.	123,420	2,715
*TBC Corp.	74,000	2,008
Tribune Co.	9,800	345
*Univision Communications, Inc. — Class A	15,300	422
The Washington Post Co. — Class B	193	161
*Weight Watchers International., Inc.	4,200	217
Total		34,052
Consumer Staples (1.8%)
Campbell Soup Co.	19,600	603
Casey’s General Stores, Inc.	77,500	1,537
H.J. Heinz Co.	9,300	329
Nash-Finch Co.	24,000	882
*Wild Oats Markets, Inc.	42,300	484
Total		3,835

Common Stocks (97.3%)	Shares/ $ Par	Value $ (000’s)
Energy (8.8%)
*Atwood Oceanics, Inc.	19,900	1,225
CARBO Ceramics, Inc.	21,000	1,658
*Cimarex Energy Co.	25,349	986
*Cooper Cameron Corp.	9,600	596
Diamond Offshore Drilling, Inc.	13,400	716
*Forest Oil Corp.	57,150	2,401
*Grant Prideco, Inc.	16,500	436
*Hanover Compressor Co.	20,800	239
*Lone Star Technologies, Inc.	27,400	1,247
Murphy Oil Corp.	5,000	261
Penn Virginia Corp.	53,100	2,373
*Petroleum Geo-Services, ADR	2,100	50
*TETRA Technologies, Inc.	60,950	1,941
*Todco — Class A	81,200	2,084
*W-H Energy Services, Inc.	37,600	937
*Whiting Petroleum Corp.	49,000	1,779
Total		18,929
Financials (21.1%)
Allied Capital Corp.	55,300	1,610
Amegy Bancorp, Inc.	10,000	224
American Capital Strategies, Ltd.	22,200	802
Aon Corp.	15,800	396
Apartment Investment & Management Co. — Class A	8,500	348
AXIS Capital Holdings, Ltd.	14,100	399
Bedford Property Investors, Inc. (REIT)	42,200	971
Brown & Brown, Inc.	3,400	153
The Charles Schwab Corp.	42,000	474
Citizens Banking Corp.	2,900	88
*Columbia Equity Trust, Inc.	17,900	275
Commerce Bancshares, Inc.	3,011	152
East West Bancorp, Inc.	79,800	2,680
Equity Office Properties Trust	3,300	109
Federated Investors, Inc. — Class B	8,600	258
First Financial Fund, Inc.	68,000	1,233
First Horizon National Corp.	8,600	363
First Republic Bank	81,600	2,882
Genworth Financial, Inc.	14,900	450
Glenborough Realty Trust, Inc.	31,900	657
Huntington Bancshares, Inc.	18,800	454
Innkeepers USA Trust	49,200	735
Janus Capital Group, Inc.	30,500	459
Jefferson-Pilot Corp.	7,700	388
Kilroy Realty Corp.	52,100	2,474
*KKR Financial Corp.	300	8
*LaBranche & Co., Inc.	14,900	94
Lasalle Hotel Properties	52,300	1,716
*Lazard Ltd., Class A	10,600	246
*Markel Corp.	5,400	1,831
Marsh & McLennan Companies, Inc.	20,700	573
Midland Co.	36,100	1,270
MoneyGram International, Inc.	19,948	381

T. Rowe Price Small Cap Value Portfolio

5

T. Rowe Price Small Cap Value Portfolio

Common Stocks (97.3%)	Shares/ $ Par	Value $ (000’s)
Financials continued
Netbank, Inc.	69,300	646
Northern Trust Corp.	8,800	401
Ohio Casualty Corp.	10,000	242
PNC Financial Services Group, Inc.	8,000	436
*ProAssurance Corp.	68,500	2,861
Protective Life Corp.	3,200	135
Radian Group, Inc.	4,400	208
Regions Financial Corp.	7,800	264
SAFECO Corp.	3,600	196
Scottish Annuity & Life Holdings, Ltd.	42,900	1,040
The St. Paul Travelers Companies, Inc.	19,730	780
Strategic Hotel Capital, Inc.	54,900	988
Sun Communities, Inc.	36,700	1,365
*SVB Financial Group	62,500	2,993
Synovus Financial Corp.	17,800	510
Texas Regional Bancshares, Inc. — Class A	108,650	3,311
*Triad Guaranty, Inc.	39,300	1,980
UnumProvident Corp.	21,200	388
Washington Real Estate Investment Trust	39,600	1,236
Willis Group Holdings, Ltd	6,400	209
XL Capital, Ltd. — Class A	3,300	246
Total		45,588
Health Care (5.9%)
AmerisourceBergen Corp.	7,500	519
*Amylin Pharmaceuticals, Inc.	1,500	31
Analogic Corp.	12,400	624
Arrow International, Inc.	31,930	1,019
*Bone Care International, Inc.	49,400	1,629
*Cephalon, Inc.	4,700	187
*Chiron Corp.	16,400	572
*Diversa Corp.	91,500	477
*Exelixis Inc.	80,800	600
Health Management Associates, Inc. — Class A	1,200	31
*HEALTHSOUTH Corp.	96,600	541
*Human Genome Sciences, Inc.	11,700	135
*Lexicon Genetics, Inc.	114,000	563
*Lincare Holdings, Inc.	11,100	453
*MedImmune, Inc.	21,700	580
*Myriad Genetics, Inc.	69,000	1,080
Owens & Minor, Inc.	80,200	2,595
*Tenet Healthcare Corp.	64,700	792
Valeant Pharmaceuticals International	4,300	76
*Vertex Pharmaceuticals, Inc.	7,900	133
Total		12,637
Industrials (19.7%)
*Allied Waste Industries, Inc.	53,300	423
Ameron International Corp.	22,700	849
C&D Technologies, Inc.	52,300	481
*Casella Waste Systems, Inc. — Class A	95,400	1,145
Cintas Corp.	5,600	216
CSX Corp.	7,700	328
*Dollar Thrifty Automotive Group, Inc.	50,500	1,918
EDO Corp.	29,500	882

Common Stocks (97.3%)	Shares/ $ Par	Value $ (000’s)
Industrials continued
*Electro Rent Corp.	83,200	1,210
ElkCorp	46,100	1,316
Equifax, Inc.	13,100	468
Franklin Electric Co., Inc.	59,900	2,315
*FTI Consulting, Inc.	52,400	1,095
G & K Services, Inc. — Class A	40,900	1,543
*Genesee & Wyoming, Inc.	42,900	1,167
*The Genlyte Group Inc.	21,800	1,063
Herman Miller, Inc.	5,900	182
IDEX Corp.	48,200	1,861
*Insituform Technologies, Inc. — Class A	79,300	1,271
JLG Industries, Inc.	99,300	2,729
*Kirby Corp.	44,300	1,998
*Laidlaw International, Inc.	21,700	523
*Landstar System, Inc.	136,600	4,114
Macquarie Infrastructure Co. Trust	29,400	834
Manpower, Inc.	10,100	402
McGrath Rentcorp	80,300	1,903
Nordson Corp.	47,300	1,621
Raytheon Co.	10,500	411
Rockwell Collins, Inc.	7,000	334
The ServiceMaster Co.	9,000	121
Southwest Airlines Co.	36,200	504
*Synagro Technologies, Inc.	57,900	280
Thomas Industries, Inc.	45,100	1,802
†(h)*TRW Automotive, Inc.	3,600	84
Union Pacific Corp.	5,500	356
UTI Worldwide, Inc.	32,040	2,231
*Waste Connections, Inc.	35,000	1,305
Woodward Governor Co.	13,800	1,160
Total		42,445
Information Technology (9.9%)
*ATMI, Inc.	36,500	1,059
AVX Corp.	27,700	336
Belden CDT, Inc.	58,000	1,230
*The BISYS Group, Inc.	27,000	403
*BMC Software, Inc.	21,000	377
*Brooks Automation, Inc.	67,300	999
*Exar Corp.	65,000	968
Helix Technology Corp.	75,600	1,004
*Intuit, Inc.	11,600	523
*Jabil Circuit, Inc.	12,600	387
KLA-Tencor Corp.	4,400	192
Landauer, Inc.	20,400	1,059
*Littelfuse, Inc.	44,400	1,237
Methode Electronics, Inc. — Class A	48,200	572
Molex, Inc. — Class A	19,900	467
*MPS Group, Inc.	150,300	1,416
*Mykrolis Corp.	88,200	1,253
*Novell, Inc.	21,700	135
*Novellus Systems, Inc.	19,400	479
*Packeteer, Inc.	97,500	1,375
*Progress Software Corp.	61,700	1,860
*SPSS, Inc.	56,425	1,084
Startek, Inc.	34,600	568
*Synopsys, Inc.	25,000	417

6

T. Rowe Price Small Cap Value Portfolio

T. Rowe Price Small Cap Value Portfolio

Common Stocks (97.3%)	Shares/ $ Par	Value $ (000’s)
Information Technology continued
*Tellabs, Inc.	100	1
*Websense, Inc.	39,400	1,893
Total		21,294
Materials (9.3%)
Abitibi-Consolidated, Inc.	32,500	146
Airgas, Inc.	61,200	1,510
Anglo Platinum, Ltd.	8,000	357
AptarGroup, Inc.	39,950	2,029
Arch Chemicals, Inc.	45,200	1,128
Barrick Gold Corp.	9,200	230
Bowater, Inc.	10,100	327
Carpenter Technology Corp.	32,200	1,668
Chesapeake Corp.	20,100	421
Deltic Timber Corp.	34,500	1,312
Domtar, Inc.	63,500	469
Florida Rock Industries, Inc.	34,425	2,525
Gibraltar Industries, Inc.	70,476	1,307
Gold Fields, Ltd., ADR	37,800	429
Great Lakes Chemical Corp.	6,500	205
MacDermid, Inc.	25,100	782
MeadWestvaco Corp.	9,300	261
*Meridian Gold, Inc.	74,600	1,343
Myers Industries, Inc.	51,167	640
*Nalco Holding Co.	28,400	557
Potlatch Corp.	1,900	99
*Smurfit-Stone Container Corp.	23,500	239
*Symyx Technologies, Inc.	34,600	968
Wausau Paper Corp.	92,400	1,107
Total		20,059
Telecommunication Services (0.8%)
*Crown Castle International Corp.	900	18
*Nextel Partners, Inc.	9,600	242
*Qwest Communications International, Inc.	35,600	132
Telephone and Data Systems, Inc.	3,800	155
Telephone and Data Systems, Inc. — Special Shares	3,000	115

Common Stocks (97.3%)	Shares/ $ Par	Value $ (000’s)
Telecommunication Services continued
Telus Corp.	5,400	184
*US Cellular Corp.	1,600	80
*Wireless Facilities, Inc.	134,300	850
Total		1,776
Utilities (4.2%)
Black Hills Corp.	40,800	1,503
Cleco Corp.	46,400	1,001
*CMS Energy Corp.	19,800	298
Duke Energy Corp.	12,600	375
*Dynegy, Inc. — Class A	55,100	268
*El Paso Electric Co.	57,700	1,180
FirstEnergy Corp.	4,500	216
NiSource, Inc.	32,900	814
*NRG Energy, Inc.	12,000	451
Otter Tail Corp.	26,700	730
Pinnacle West Capital Corp.	9,800	436
TECO Energy, Inc.	42,800	809
Vectren Corp.	33,400	960
Xcel Energy, Inc.	4,000	78
Total		9,119
Total Common Stocks (Cost: $163,217)		209,734
Convertible Corporate Debt (0.0%)
Utilities (0.0%)
Xcel Energy Inc., 7.50%, 11/21/07 144A	2,000	3
Total Convertible Corporate Debt (Cost: $3)		3
Preferred Stocks (0.0%)
Industrials (0.0%)
Allied Waste Industrial	400	100
Total Preferred Stocks (Cost: $100)		100

T. Rowe Price Small Cap Value Portfolio

7

T. Rowe Price Small Cap Value Portfolio

Money Market Investments (2.7%)	Shares/ $ Par	Value $ (000’s)
Other Holdings (2.7%)
Reserve Investment Fund	5,800,038	5,800
Total Money Market Investments (Cost: $5,800)		5,800
Total Investments (100.0%) (Cost $169,120)(a)		215,637
Other Assets, Less Liabilities (0.0%)		(6	)
Total Net Assets (100.0%)		215,631

* Non-Income Producing

ADR after the name of a security represents — American Depository Receipt.

† Security was fair valued under procedures adopted by the Board of Directors.

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, 2005 the value of these securities (in thousands) was $3, representing 0.00% of the net assets.

(a) At June 30, 2005 the aggregate cost of securities for federal tax purposes (in thousands) was $169,120 and the net unrealized appreciation of investments based on that cost was $46,517 which is comprised of $51,491 aggregate gross unrealized appreciation and $4,974 aggregate gross unrealized depreciation.

(h) The following investment was purchased in a private placement transaction. Resale to the public may require registration or may be limited due to certain restrictions. At June 30, 2005 the value of the security (in thousands) was $84, representing .04% of net assets.

Security Description	Date of Acquisition	Number of Shares	Cost
TRW Automotive, Inc.	March 2005	3,600	$	70,740

The Accompanying Notes are an Integral Part of the Financial Statements

8

T. Rowe Price Small Cap Value Portfolio

Aggressive Growth Stock Portfolio

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value January 1, 2005		Ending Account Value June 30, 2005		Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual	$	1,000.00	$	974.80	$	2.55
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.90	$	2.61

* Expenses are equal to the Fund’s annualized expense ratio of 0.52%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Aggressive Growth Stock Portfolio

9

Aggressive Growth Stock Portfolio

Northwestern Mutual Series Fund, Inc.

Schedule of Investments

June 30, 2005 (unaudited)

Common Stocks (97.9%)	Shares/ $ Par	Value $ (000’s)
Consumer Discretionary (17.2%)
*Apollo Group, Inc. — Class A	142,480	11,145
*The Cheesecake Factory, Inc.	273,100	9,485
Choice Hotels International, Inc.	176,700	11,609
*Dick’s Sporting Goods, Inc.	406,600	15,691
Fortune Brands, Inc.	98,200	8,720
Garmin Ltd.	255,600	10,927
Gentex Corp.	770,760	14,028
*Getty Images, Inc.	74,870	5,560
*Kerzner International, Ltd.	98,500	5,610
*Lamar Advertising Co. — Class A	411,825	17,613
Michaels Stores, Inc.	414,500	17,148
*O’Reilly Automotive, Inc.	798,260	23,795
*Payless ShoeSource, Inc.	454,200	8,721
PETsMART, Inc.	325,600	9,882
*Pixar, Inc.	133,000	6,657
*Scientific Games Corp.	564,700	15,207
Station Casinos, Inc.	222,200	14,754
Total		206,552
Consumer Staples (0.6%)
Whole Foods Market, Inc.	59,000	6,980
Total		6,980
Energy (8.9%)
BJ Services Co.	313,800	16,468
CONSOL Energy, Inc.	270,500	14,493
*Nabors Industries, Ltd.	355,200	21,532
*National Oilwell Varco, Inc.	397,700	18,907
*Newfield Exploration Co.	340,500	13,583
Range Resources Corp.	236,200	6,354
Smith International, Inc.	236,800	15,084
Total		106,421
Financials (10.0%)
*Ameritrade Holding Corp.	729,000	13,552
Assured Guaranty, Ltd.	813,100	18,995
*CapitalSource, Inc.	593,500	11,650
CIT Group, Inc.	232,000	9,969
The Colonial BancGroup, Inc.	440,500	9,717
Investors Financial Services Corp.	156,080	5,903
Legg Mason, Inc.	174,270	18,143
The St. Joe Co.	182,900	14,914
Ventas, Inc.	563,200	17,009
Total		119,852
Health Care (20.6%)
*Affymetrix, Inc.	245,900	13,261
*Barr Pharmaceuticals, Inc.	275,300	13,418
*Caremark Rx, Inc.	400,794	17,843
*Charles River Laboratories International, Inc.	273,300	13,187
*Covance, Inc.	373,400	16,754
*Cytyc Corp.	604,000	13,324
*DaVita, Inc.	580,900	26,420

Common Stocks (97.9%)	Shares/ $ Par	Value $ (000’s)
Health Care continued
Health Management Associates, Inc. — Class A	632,610	16,562
*Kinetic Concepts, Inc.	224,500	13,470
*Lincare Holdings, Inc.	439,700	17,957
Medicis Pharmaceutical Corp.	262,000	8,313
*Neurocrine Biosciences, Inc.	163,500	6,877
*Patterson Companies, Inc.	257,896	11,626
*ResMed, Inc.	146,900	9,694
*Sepracor, Inc.	158,300	9,500
*St. Jude Medical, Inc.	328,200	14,313
Universal Health Services, Inc. — Class B	228,400	14,202
*VCA Antech, Inc.	396,500	9,615
Total		246,336
Industrials (10.1%)
ARAMARK Corp. — Class B	479,900	12,669
The Corporate Executive Board Co.	280,920	22,005
Expeditors International of Washington, Inc.	227,530	11,333
Fastenal Co.	216,590	13,268
Graco, Inc.	371,900	12,671
J.B. Hunt Transport Services, Inc.	407,200	7,859
L-3 Communications Holdings, Inc.	137,950	10,564
*Monster Worldwide, Inc.	311,500	8,934
Pentair, Inc.	216,100	9,251
Robert Half International, Inc.	345,600	8,630
*Stericycle, Inc.	72,900	3,668
Total		120,852
Information Technology (28.4%)
*Activision, Inc.	1,120,733	18,514
Adobe Systems, Inc.	319,460	9,143
*Alliance Data Systems Corp.	194,400	7,885
*Amdocs, Ltd.	712,650	18,834
Amphenol Corp. — Class A	427,600	17,177
CDW Corp.	157,840	9,011
*CheckFree Corp.	167,000	5,688
*Cogent, Inc.	583,100	16,648
*Cognos, Inc.	327,000	11,164
*Cree, Inc.	520,700	13,262
*FLIR Systems, Inc.	402,900	12,023
Harris Corp.	544,600	16,997
Infosys Technologies Ltd., ADR	225,770	17,490
*Integrated Circuit Systems, Inc.	746,180	15,401
*Jabil Circuit, Inc.	576,800	17,725
KLA-Tencor Corp.	237,180	10,365
*Kronos Inc.	141,750	5,725
*Lam Research Corp.	437,800	12,670
Microchip Technology, Inc.	615,495	18,230
*NAVTEQ Corp.	445,100	16,549
Paychex, Inc.	322,740	10,502
*Seagate Technology, ADR	974,400	17,101
*Semtech Corp.	859,690	14,314

10

Aggressive Growth Stock Portfolio

Aggressive Growth Stock Portfolio

Common Stocks (97.9%)	Shares/ $ Par	Value $ (000’s)
Information Technology continued
*VeriSign, Inc.	544,420	15,658
*Zebra Technologies Corp. — Class A	271,852	11,904
Total		339,980
Materials (2.0%)
The Lubrizol Corp.	229,400	9,637
Praxair, Inc.	318,340	14,835
Total		24,472
Telecommunication Services (0.1%)
*NeuStar, Inc. — Class A	51,600	1,321
Total		1,321
Total Common Stocks (Cost: $997,158)		1,172,766
Money Market Investments (1.5%)
Federal Government & Agencies (0.2%)
Freddie Discount, 3.29%, 9/20/05	2,200,000	2,183
Total		2,183
Finance Services (0.9%)
Preferred Receivable Funding, 3.14%, 7/14/05	10,000,000	9,989
Total		9,989

Money Market Investments (1.5%)	Shares/ $ Par	Value $ (000’s)
National Commercial Banks (0.0%)
UBS Finance Delaware LLC, 3.37%, 7/1/05	300,000	300
Total		300
Short Term Business Credit (0.4%)
Sheffield Receivables, 3.11%, 7/11/05	5,200,000	5,196
Total		5,196
Total Money Market Investments (Cost: $17,668)		17,668
Total Investments (99.4%) (Cost $1,014,826)(a)		1,190,434
Other Assets, Less Liabilities (0.6%)		7,470
Total Net Assets (100.0%)		1,197,904

* Non-Income Producing

ADR after the name of a security represents — American Depository Receipt.

(a) At June 30, 2005 the aggregate cost of securities for federal tax purposes (in thousands) was $1,014,826 and the net unrealized appreciation of investments based on that cost was $175,608 which is comprised of $200,584 aggregate gross unrealized appreciation and $24,976 aggregate gross unrealized depreciation.

The Accompanying Notes are an Integral Part of the Financial Statements

Aggressive Growth Stock Portfolio

11

International Growth Portfolio

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value January 1, 2005		Ending Account Value June 30, 2005		Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual	$	1,000.00	$	1,011.30	$	4.80
Hypothetical (5% return before expenses)	$	1,000.00	$	1,019.72	$	4.82

* Expenses are equal to the Fund’s annualized expense ratio of 0.96%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

12

International Growth Portfolio

International Growth Portfolio

Northwestern Mutual Series Fund, Inc.

Schedule of Investments

June 30, 2005 (unaudited)

Foreign Common Stocks (95.8%)	Country	Shares/ $ Par	Value $ (000’s)
Basic Materials (4.6%)
†BASF AG	Germany	10,700	709
†CRH PLC	Ireland	31,656	832
†K+S AG	Germany	14,365	795
†Nissan Chemical Industries, Ltd.	Japan	39,000	418
†Sumitomo Chemical Co., Ltd.	Japan	149,000	683
†*Syngenta AG	Switzerland	7,980	818
†Wienerberger AG	Austria	22,300	1,035
Total			5,290
Conglomerates (2.1%)
†Grupo Ferrovial SA	Spain	24,175	1,554
†Nomura TOPIX Exchange Traded Fund	Japan	78,200	838
Total			2,392
Consumer Cyclical (18.2%)
†Belluna Co., Ltd. — Warrants	Japan	1,452	1
†Bridgestone Corp.	Japan	42,000	804
Carnival Corp.	United Kingdom	15,815	863
†Entergisul Co., Ltd.	Korea	19,484	410
†Esprit Holdings, Ltd.	Hong Kong	187,000	1,344
Grupo Televisa SA ADR	Mexico	6,000	373
†Hilton Group PLC	United Kingdom	57,640	295
†Hyundai Motor Co.	Korea	14,310	791
†Lagardere SCA	France	10,790	796
†Lottomatica SPA	Italy	20,855	679
†Mediaset SPA	Italy	58,945	694
†NHK Spring Co., Ltd.	Japan	99,000	831
†Nokian Renkaat OYJ	Finland	62,450	1,138
†*NorGani Hotels ASA	Norway	81,755	625
†OPAP SA	Greece	33,430	961
†Plenus Co., Ltd.	Japan	13,800	487
†Porsche AG	Germany	1,170	877
†Punch Taverns PLC	United Kingdom	85,735	1,122
†Ryohin Keikaku Co., Ltd.	Japan	10,700	528
†Signet Group PLC	United Kingdom	333,485	648
†*Sportingbet PLC	United Kingdom	146,930	859
†Square Enix Co., Ltd.	Japan	22,400	683
†Swatch Group AG	Switzerland	5,545	777
†*Take and Give Needs Co., Ltd.	Japan	190	210
†Techtronic Industries Co.	Hong Kong	413,500	1,041
*Urbi Desarrollos Urbanos SA	Mexico	77,985	428
†USS Co., Ltd.	Japan	1,980	127
†Vivendi Universal SA	France	25,840	810

Foreign Common Stocks (95.8%)	Country	Shares/ $ Par	Value $ (000’s)
Consumer Cyclical continued
Wal-Mart de Mexico — Series V	Mexico	213,835	868
†Wolseley PLC	United Kingdom	38,120	799
Total			20,869
Consumer Non-Cyclical (8.6%)
†Coca-Cola Hellenic Bottling Co. SA	Greece	28,595	779
†Metro AG	Germany	12,930	640
Natura Cosmeticos SA	Brazil	25,050	794
†Nestle SA	Switzerland	3,100	792
†Nong Shim Co., Ltd.	Korea	2,520	729
†Puma AG	Germany	4,135	1,022
†Reckitt Benckiser PLC	United Kingdom	26,210	770
†*Royal Numico NV	Netherlands	20,410	814
†SABMiller PLC	United Kingdom	41,105	640
†Swedish Match AB	Sweden	91,670	1,040
†Tesco PLC	United Kingdom	187,700	1,071
†Woolworths, Ltd.	Australia	61,165	766
Total			9,857
Energy (6.6%)
†*Awilco Offshore ASA	Norway	78,860	340
†BG Group PLC	United Kingdom	117,195	961
†BP PLC	United Kingdom	59,760	622
EnCana Corp.	Canada	33,730	1,330
†Eni SPA	Italy	38,105	979
†*Geo ASA	Norway	25,575	86
†*Revus Energy ASA	Norway	8,310	57
†Technip SA	France	21,425	997
†*TGS Nopec Geophysical Co. ASA	Norway	13,865	370
†Total SA	France	2,755	645
*Western Oil Sands, Inc.	Canada	61,950	1,203
Total			7,590
Financials (20.0%)
†Admiral Group PLC	United Kingdom	113,055	753
†Allianz AG	Germany	6,640	760
†Alpha Bank AE	Greece	35,245	937
†Anglo Irish Bank Corp. PLC	Ireland	169,389	2,094
†Banca Fideuram SPA	Italy	145,250	686
†*Banco Espanol de Credito SA	Spain	58,555	799
†Banco Popolare Di Verona	Italy	42,505	724
†Bangkok Bank PCL	Thailand	149,800	390
†Bank of Yokohama, Ltd.	Japan	125,000	719
†BNP Paribas SA	France	12,385	847
†Chiba Bank, Ltd.	Japan	119,000	781

International Growth Portfolio

13

International Growth Portfolio

Foreign Common Stocks (95.8%)	Country	Shares/ $ Par	Value $ (000’s)
Financials continued
†Credit Saison Co., Ltd.	Japan	21,800	723
†Credit Suisse Group	Switzerland	19,910	781
†DNB NOR ASA	Norway	89,435	927
†Erste Bank der oesterreichischen Sparkassen AG	Austria	16,270	814
†Fondiaria-Sai SPA	Italy	36,605	989
†ForeningsSparbanken AB	Sweden	35,805	785
†HSBC Holdings PLC	Hong Kong	44,783	716
†Hypo Real Estate Holding AG	Germany	15,115	574
†ING Groep NV	Netherlands	29,704	836
†Kookmin Bank	Korea	17,050	777
†Man Group PLC	United Kingdom	23,870	617
Manulife Financial Corp.	Canada	15,525	742
†MPC Muenchmeyer Petersen Capital AG	Germany	2,305	145
†OTP Bank	Hungary	37,610	1,270
†Prudential PLC	United Kingdom	90,440	800
†PT Bank Rakyat Indonesia	Indonesia	2,118,000	628
†*Raiffeisen International Bank Holding AG	Austria	6,150	391
†Storebrand ASA	Norway	106,020	992
Total			22,997
Health Care (7.5%)
†*Capio AB	Sweden	54,745	804
†CSL, Ltd.	Australia	29,285	748
†*Elekta AB	Sweden	24,075	998
†GN Store Nord A/S	Denmark	67,310	761
†Nobel Biocare Holding AG	Switzerland	3,615	732
†Roche Holding AG	Switzerland	8,960	1,131
†Schwarz Pharma AG	Germany	19,715	894
†Smith & Nephew PLC	United Kingdom	80,770	795
†Stada Arzneimittel AG	Germany	24,545	892
†Synthes, Inc.	Switzerland	7,540	827
Total			8,582
Industrial Goods and Services (12.6%)
†Atlas Copco AB	Sweden	51,930	821
†Capita Group PLC	United Kingdom	137,865	906
†Carbone Lorraine	France	12,450	592
†Chiyoda Corp.	Japan	112,000	1,376
†Cobham PLC	United Kingdom	23,765	603
†Daewoo Shipbuilding & Marine Engineering Co., Ltd.	Korea	25,260	482
†*Deutz AG	Germany	70,350	352

Foreign Common Stocks (95.8%)	Country	Shares/ $ Par	Value $ (000’s)
Industrial Goods and Services continued
†Hays PLC	United Kingdom	255,230	590
†Intertek Group PLC	United Kingdom	51,195	642
Italian-Thai Development PCL	Thailand	854,100	197
†Kajima Corp.	Japan	122,000	449
†Keyence Corp.	Japan	3,100	691
†Koninklijke BAM Groep NV	Netherlands	13,410	887
†Kubota Corp.	Japan	167,000	912
†Meggitt PLC	United Kingdom	146,273	740
†Metso OYJ	Finland	37,670	819
†Neopost SA	France	12,115	1,066
Sino Thai Engineering & Construction PCL	Thailand	662,500	172
*Sino Thai Engineering & Construction PCL — Warrants	Thailand	105,233	11
†Vinci SA	France	17,880	1,488
†Volvo AB	Sweden	17,055	692
Total			14,488
Technology (10.2%)
†*Axalto Holding NV	France	28,015	844
†Axell Corp.	Japan	145	640
†Canon Inc.	Japan	15,800	828
†*CapGemini SA	France	22,590	715
†Ericsson LM — B Shares	Sweden	285,690	914
†*Gresham Computing PLC	United Kingdom	116,785	226
†Hoya Corp.	Japan	7,400	851
†Humax Co., Ltd.	Korea	18,090	252
†Indra Sistemas SA	Spain	48,295	955
†Infosys Technologies, Ltd.	India	12,955	701
†*Jusung Engineering Co., Ltd.	Korea	46,685	614
†*Kontron AG	Germany	90,396	763
†Nidec Corp.	Japan	6,500	685
†Solomon Systech International, Ltd.	Hong Kong	2,128,000	751
†Tamura Taiko Holdings, Inc.	Japan	1,000	8
†Tandberg ASA	Norway	57,600	615
†*Tandberg Television ASA	Norway	69,185	847
†Telechips, Inc.	Korea	27,962	517
Total			11,726
Telecommunications (2.2%)
†Mobistar SA	Belgium	6,535	546
Rogers Communications, Inc.	Canada	16,130	529
†Telefonica SA	Spain	51,249	838
†Vodafone Group PLC	United Kingdom	233,170	567
Total			2,480

14

International Growth Portfolio

International Growth Portfolio

Foreign Common Stocks (95.8%)	Country	Shares/ $ Par	Value $ (000’s)
Transportation (1.6%)
Canadian National Railway Co.	Canada	10,445	603
†Fraport AG	Germany	15,125	649
†Kamigumi Co., Ltd.	Japan	80,000	615
Total			1,867
Utilities (1.6%)
†Iberdrola SA	Spain	35,210	926
†RWE AG	Germany	14,465	930
Total			1,856
Total Foreign Common Stocks (Cost: $85,928)			109,994
Money Market Investments (5.0%)
Federal Government and Agencies (5.0%)
Federal Home Loan Bank, 3.17%, 7/20/05	United States	5,800,000	5,790
Total Money Market Investments (Cost: $5,790)			5,790
Total Investments (100.8%) (Cost $91,718)(a)			115,784
Other Assets, Less Liabilities (-0.8%)			(952	)
Total Net Assets (100.0%)			114,832

* Non-Income Producing

ADR after the name of a security represents — American Depository Receipt.

† Security was fair valued under procedures adopted by the Board of Directors.

(a) At June 30, 2005 the aggregate cost of securities for federal tax purposes (in thousands) was $91,718 and the net unrealized appreciation of investments based on that cost was $24,066 which is comprised of $25,988 aggregate gross unrealized appreciation and $1,922 aggregate gross unrealized depreciation.

Investment Percentage by Country:

United Kingdom	13.7%
Japan	12.9%
Germany	8.6%
France	7.6%
Sweden	5.2%
Switzerland	5.1%
Other	46.9%
Total	100.0%

The Accompanying Notes are an Integral Part of the Financial Statements

International Growth Portfolio

15

Franklin Templeton International Equity Portfolio

Sector Allocation is based on equities.

Sector Allocation is subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value January 1, 2005		Ending Account Value June 30, 2005		Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual	$	1,000.00	$	995.20	$	3.51
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.97	$	3.55

* Expenses are equal to the Fund’s annualized expense ratio of 0.71%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

16

Franklin Templeton International Equity Portfolio

Franklin Templeton International Equity Portfolio

Northwestern Mutual Series Fund, Inc.

Schedule of Investments

June 30, 2005 (unaudited)

Foreign Common Stocks (93.4%)	Country	Shares/ $ Par	Value $ (000’s)
Consumer Discretionary (10.5%)
†Accor SA	France	173,000	8,084
†British Sky Broadcasting Group PLC	United Kingdom	1,225,270	11,551
†Compass Group PLC	United Kingdom	1,478,070	6,203
†Fuji Photo Film Co., Ltd.	Japan	159,300	5,187
†GKN PLC	United Kingdom	2,091,540	9,630
†Koninklijke (Royal) Philips Electronics NV	Netherlands	449,135	11,299
†Michelin SA — Class B	France	156,780	9,521
†Pearson PLC	United Kingdom	697,770	8,189
†Reed Elsevier NV	Netherlands	645,340	8,972
†Sony Corp.	Japan	200,900	6,925
†Valeo SA	France	135,280	6,057
†Volkswagen AG	Germany	230,450	10,518
†Wolters Kluwer NV	Netherlands	166,630	3,179
Total			105,315
Consumer Staples (3.4%)
†Boots Group PLC	United Kingdom	601,970	6,554
†Cadbury Schweppes PLC	United Kingdom	1,086,340	10,346
†Nestle SA	Switzerland	38,980	9,965
†Unilever PLC	United Kingdom	773,990	7,442
Total			34,307
Energy (6.0%)
†BP PLC	United Kingdom	1,037,940	10,798
†ENI SPA	Italy	414,535	10,647
†Repsol YPF SA	Spain	493,680	12,571
†SBM Offshore NV	Netherlands	112,800	7,725
†Shell Transport & Trading Co., PLC	United Kingdom	1,428,430	13,844
†Total SA	France	21,182	4,962
Total			60,547
Financials (19.5%)
ACE, Ltd.	Bermuda	234,580	10,521
†Australia & New Zealand Banking Group, Ltd.	Australia	89,588	1,480
†Axa SA	France	460,957	11,468
†*Banca Nazionale Del Lavoro SPA	Italy	1,613,611	5,562
†Banco Santander Central Hispano SA	Spain	906,009	10,466

Foreign Common Stocks (93.4%)	Country	Shares/ $ Par	Value $ (000’s)
Financials continued
†Cheung Kong Holdings, Ltd.	Hong Kong	1,035,000	10,003
†DBS Group Holdings, Ltd.	Singapore	1,192,000	10,078
†HSBC Holdings PLC	United Kingdom	530,937	8,485
†ING Groep NV	Netherlands	436,000	12,271
†Kookmin Bank	South Korea	226,500	10,319
†Lloyds TSB Group PLC	United Kingdom	1,165,150	9,853
†National Australia Bank, Ltd.	Australia	514,130	12,023
†Nomura Holdings, Inc.	Japan	332,400	3,950
†Nordea Bank AB	Sweden	1,651,590	14,862
†Riunione Adriatica di Sicurta SPA	Italy	447,283	8,685
†Royal Bank of Scotland Group PLC	United Kingdom	303,290	9,137
†Sompo Japan Insurance, Inc.	Japan	1,103,000	11,092
†Standard Chartered PLC	United Kingdom	370,360	6,753
†Swire Pacific, Ltd. — Class A	Hong Kong	1,276,500	11,239
†*Swiss Re	Switzerland	170,200	10,435
XL Capital, Ltd. — Class A	Bermuda	94,850	7,059
Total			195,741
Health Care (5.4%)
†*CK Life Sciences International Holdings, Inc.	Hong Kong	29,640	4
†GlaxoSmithKline PLC	United Kingdom	365,910	8,832
†Mayne Group, Ltd.	Australia	10	0
†Olympus Corp.	Japan	236,500	4,520
†Ono Pharmaceutical Co., Ltd.	Japan	94,800	4,483
†SANOFI-AVENTIS	France	164,625	13,483
†Shire Pharmaceuticals Group PLC	United Kingdom	1,124,010	12,312
†Takeda Pharmaceutical Co., Ltd.	Japan	208,500	10,318
Total			53,952

Franklin Templeton International Equity Portfolio

17

Franklin Templeton International Equity Portfolio

Foreign Common Stocks (93.4%)	Country	Shares/ $ Par	Value $ (000’s)
Industrials (16.0%)
†*Adecco SA	Switzerland	124,930	5,673
†Atlas Copco AB	Sweden	665,280	10,522
†BAE Systems PLC	United Kingdom	3,411,020	17,468
†*British Airways PLC	United Kingdom	1,228,800	5,779
†Deutsche Post AG	Germany	602,100	14,064
†East Japan Railway Co.	Japan	876	4,495
Empresa Brasiliera de Aeronautica SA, ADR	Brazil	148,150	4,899
†Hutchison Whampoa, Ltd.	Hong Kong	1,081,000	9,713
†KCI Konecranes International OYJ	Finland	302,500	12,913
†Rentokil Initial PLC	United Kingdom	2,672,940	7,614
†*Rolls Royce Group PLC	United Kingdom	1,916,990	9,832
†Rolls-Royce Group PLC — Class B	United Kingdom	95,849,500	172
†Securitas AB — Class B	Sweden	652,300	10,862
†Smiths Group PLC	United Kingdom	480,490	7,905
†Societe Bic SA	France	173,740	10,365
†Toto, Ltd.	Japan	873,000	6,885
†*Vestas Wind Systems A/S	Denmark	835,280	13,792
†Volvo AB — Class B	Sweden	199,840	8,113
Total			161,066
Information Technology (6.7%)
*Celestica, Inc.	Canada	415,600	5,565
*Check Point Software Technologies, Ltd	Israel	387,430	7,671
†Compal Electronics, Inc.	Taiwan	5,583,000	5,542
†Hitachi, Ltd.	Japan	1,198,000	7,261
†Mabuchi Motor Co., Ltd.	Japan	56,200	3,236
†Nintendo Co., Ltd.	Japan	64,600	6,735
†Samsung Electronics Co., Ltd.	South Korea	46,140	21,881
†Toshiba Corp.	Japan	2,350,000	9,321
Total			67,212
Materials (10.5%)
†Akzo Nobel NV	Netherlands	234,050	9,189
Alcan, Inc.	Canada	432,060	12,975
†Alumina, Ltd.	Australia	1,908,930	8,057
†BASF AG	Germany	206,800	13,713
†Bayer AG	Germany	263,150	8,756
†BHP Billiton, Ltd.	Australia	836,900	11,460
*Cia Vale Do Rio Doce, ADR	Brazil	417,880	10,614

Foreign Common Stocks (93.4%)	Country	Shares/ $ Par	Value $ (000’s)
Materials continued
Domtar, Inc.	Canada	455,490	3,369
†Norske Skogindustrier ASA	Norway	684,860	11,217
†Stora Enso OYJ — Class R	Finland	658,140	8,399
†UPM-Kymmene Corp.	Finland	394,760	7,571
Total			105,320
Telecommunication Services (8.4%)
BCE, Inc.	Canada	430,910	10,203
KT Corp., ADR	South Korea	385,100	8,280
†Nippon Telegraph & Telephone Corp.	Japan	1,930	8,280
†Portugal Telecom SA	Portugal	632,670	6,030
SK Telecom Co., Ltd., ADR	South Korea	322,890	6,587
Telefonica SA, ADR	Spain	261,589	12,792
Telefonos de Mexico SA, ADR	Mexico	514,688	9,722
†Telenor ASA	Norway	1,208,610	9,591
†Vodafone Group PLC	United Kingdom	5,286,750	12,851
Total			84,336
Utilities (7.0%)
†E.ON AG	Germany	146,700	13,029
†Endesa SA	Spain	211,210	4,945
†Hong Kong Electric Holdings, Ltd.	Hong Kong	1,549,500	7,063
†Iberdrola SA	Spain	387,080	10,182
†Korea Electric Power Corp.	South Korea	224,850	6,905
†National Grid Transco PLC	United Kingdom	1,093,990	10,583
†Suez SA	France	646,510	17,494
Total			70,201
Total Foreign Common Stocks (Cost: $740,492)			937,997
Money Market Investments (6.4%)
Autos (1.0%)
Daimler Chrysler, 3.27%, 7/20/05	United States	10,000,000	9,983
Total			9,983
Finance Lessors (3.0%)
Ranger Funding Co., 3.24%, 7/15/05	United States	10,000,000	9,988
Thunder Bay Funding, 3.16%, 7/20/05	United States	10,000,000	9,983
Windmill Funding, 3.24%, 7/21/05	United States	10,000,000	9,982
Total			29,953

18

Franklin Templeton International Equity Portfolio

Franklin Templeton International Equity Portfolio

Money Market Investments (6.4%)	Country	Shares/ $ Par	Value $ (000’s)
Financials (1.0%)
Preferred Receivables Funding, 3.29%, 7/27/05	United States	10,000,000	9,977
Total			9,977
Phone Communications Except Radiophone (1.0%)
Verizon Global, 3.24%, 7/11/05	United States	10,000,000	9,991
Total			9,991
Short Term Business Credit (0.4%)
UBS Finance Delaware LLC, 3.35%, 07/01/05	United States	4,400,000	4,400
Total			4,400
Total Money Market Investment (Cost: $64,304)			64,304
Total Investments (99.8%) (Cost $804,796)(a)			1,002,301
Other Assets, Less Liabilities (0.2%)			2,018
Total Net Assets (100.0%)			1,004,319

* Non-Income Producing

ADR after the name of a security represents — American Depository Receipt.

† Security was fair valued under procedures adopted by the Board of Directors.

(a) At June 30, 2005 the aggregate cost of securities for federal tax purposes (in thousands) was $804,796 and the net unrealized appreciation of investments based on that cost was $197,505 which is comprised of $224,803 aggregate gross unrealized appreciation and $27,298 aggregate gross unrealized depreciation.

Investment Percentage by Country:

United Kingdom	21.2%
Japan	9.2%
France	8.1%
Germany	6.0%
South Korea	5.4%
Netherlands	5.3%
Spain	5.1%
Other	39.7%
Total	100.00%

The Accompanying Notes are an Integral Part of the Financial Statements

Franklin Templeton International Equity Portfolio

19

AllianceBernstein Mid Cap Value Portfolio

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value January 1, 2005		Ending Account Value June 30, 2005		Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual	$	1,000.00	$	1,003.70	$	4.31
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.19	$	4.34

* Expenses are equal to the Fund’s annualized expense ratio of 0.87%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

20

AllianceBernstein Mid Cap Value Portfolio

AllianceBernstein Mid Cap Value Portfolio

Northwestern Mutual Series Fund, Inc.

Schedule of Investments

June 30, 2005 (unaudited)

Common Stocks (93.9%)	Shares/ $ Par	Value $ (000’s)
Consumer Discretionary (19.3%)
American Axle & Manufacturing Holdings, Inc.	45,500	1,150
ArvinMeritor, Inc.	60,800	1,082
*AutoNation, Inc.	65,900	1,352
Beazer Homes USA, Inc.	18,600	1,063
Borders Group, Inc.	50,300	1,273
BorgWarner, Inc.	14,400	773
Dana Corp.	51,700	776
Federated Department Stores, Inc.	6,400	469
*Group 1 Automotive, Inc.	18,800	452
*Jack in the Box, Inc.	30,900	1,172
Jones Apparel Group, Inc.	34,800	1,080
Liz Claiborne, Inc.	27,400	1,089
*Office Depot, Inc.	66,200	1,512
*Payless ShoeSource, Inc.	82,800	1,590
Reebok International, Ltd.	9,500	397
*TRW Automotive Holdings Corp.	5,100	125
V. F. Corp.	13,900	795
Total		16,150
Consumer Staples (5.1%)
*BJ’s Wholesale Club, Inc.	39,000	1,267
Corn Products International, Inc.	18,200	432
*Del Monte Foods Co.	124,800	1,344
Universal Corp.	28,000	1,226
Total		4,269
Energy (3.7%)
Pogo Producing Co.	19,100	992
Rowan Companies, Inc.	40,000	1,188
*SEACOR Holdings, Inc.	13,900	894
Total		3,074
Financials (20.9%)
A.G. Edwards, Inc.	31,600	1,428
Astoria Financial Corp.	45,950	1,308
Central Pacific Financial Corp.	38,400	1,367
Commercial Federal Corp.	34,000	1,145
Hibernia Corp. — Class A	35,000	1,161
MAF Bancorp, Inc.	30,600	1,304
Old Republic International Corp.	53,400	1,350
Platinum Underwriters Holdings, Ltd.	31,400	999
Popular, Inc.	35,100	884
Radian Group, Inc.	27,300	1,289
Sovereign Bancorp, Inc.	38,600	862
StanCorp Financial Group, Inc.	15,800	1,210
TD Banknorth, Inc.	5,880	175
UnionBanCal Corp.	17,000	1,138
Washington Federal, Inc.	37,400	880
Whitney Holding Corp.	30,150	984
Total		17,484
Health Care (5.5%)
Owens & Minor, Inc.	46,550	1,506
*PacifiCare Health Systems, Inc.	9,200	657

Common Stocks (93.9%)	Shares/ $ Par	Value $ (000’s)
Health Care continued
PerkinElmer, Inc.	43,800	828
Universal Health Services, Inc. — Class B	26,000	1,617
Total		4,608
Industrials (20.1%)
CNF, Inc.	20,100	902
Cooper Industries, Ltd. — Class A	12,000	767
GATX Corp.	35,100	1,211
Goodrich Corp.	29,700	1,217
Harsco Corp.	9,700	529
Hughes Supply, Inc.	31,700	891
*Laidlaw International, Inc.	50,800	1,224
*Moog, Inc. — Class A	45,000	1,417
Mueller Industries, Inc.	34,600	938
PACCAR, Inc.	9,750	663
Parker Hannifin Corp.	10,500	651
*Quanta Services, Inc.	124,300	1,094
*Terex Corp.	31,700	1,249
Textron, Inc.	12,000	910
*United Stationers, Inc.	24,700	1,213
*URS Corp.	51,700	1,931
Total		16,807
Information Technology (8.1%)
*ADC Telecommunications, Inc.	33,571	731
*Andrew Corp.	105,000	1,340
*Anixter International, Inc.	25,900	963
IKON Office Solutions, Inc.	89,100	847
*Sanmina-SCI Corp.	124,900	683
*Tech Data Corp.	18,000	659
*Tellabs, Inc.	70,000	609
*Vishay Intertechnology, Inc.	80,400	954
Total		6,786
Materials (7.4%)
Albemarle Corp.	10,200	372
Ball Corp.	19,200	690
Crompton Corp.	35,000	495
Cytec Industries, Inc.	26,500	1,055
Reliance Steel & Aluminum Co.	30,600	1,135
Silgan Holdings, Inc.	17,800	1,001
Texas Industries, Inc.	8,300	467
United States Steel Corp.	29,100	1,000
Total		6,215
Utilities (3.8%)
Northeast Utilities	32,800	684
PNM Resources, Inc.	22,800	657
Puget Energy, Inc.	43,700	1,022
Wisconsin Energy Corp.	11,000	429
WPS Resources Corp.	6,100	343
Total		3,135
Total Common Stocks (Cost: $66,607)		78,528

AllianceBernstein Mid Cap Value Portfolio

21

AllianceBernstein Mid Cap Value Portfolio

Money Market Investments (6.0%)	Shares/ $ Par	Value $ (000’s)
Federal Government & Agencies (6.0%)
Federal Home Loan Bank Discount Corp., 3.02%, 7/6/05	5,000,000	4,998
Total Money Market Investments (Cost: $4,998)		4,998
Total Investments (99.9%) (Cost $71,605)(a)		83,526
Other Assets, Less Liabilities (0.1%)		54
Total Net Assets (100.0%)		83,580

* Non-Income Producing

(a) At June 30, 2005 the aggregate cost of securities for federal tax purposes (in thousands) was $71,605 and the net unrealized appreciation of investments based on that cost was $11,921 which is comprised of $13,633 aggregate gross unrealized appreciation and $1,712 aggregate gross unrealized depreciation.

The Accompanying Notes are an Integral Part of the Financial Statements

22

AllianceBernstein Mid Cap Value Portfolio

Index 400 Stock Portfolio

Sector Allocation is based on equities.

Sector Allocation is subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value January 1, 2005		Ending Account Value June 30, 2005		Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual	$	1,000.00	$	1,038.00	$	1.33
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.19	$	1.32

* Expenses are equal to the Fund’s annualized expense ratio of 0.26%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Index 400 Stock Portfolio

23

Index 400 Stock Portfolio

Northwestern Mutual Series Fund, Inc.

Schedule of Investments

June 30, 2005 (unaudited)

Common Stocks (91.4%)	Shares/ $ Par	Value $ (000’s)
Consumer Discretionary (18.0%)
*99 Cents Only Stores	22,533	286
Abercrombie & Fitch Co. — Class A	33,200	2,281
*Advance Auto Parts, Inc.	28,000	1,807
*Aeropostale, Inc.	21,200	712
American Eagle Outfitters, Inc.	50,500	1,548
American Greetings Corp. — Class A	26,300	697
*AnnTaylor Stores Corp.	26,850	652
Applebee’s International, Inc.	30,900	819
ArvinMeritor, Inc.	26,650	474
Bandag, Inc.	5,900	272
*Barnes & Noble, Inc.	24,100	935
Belo Corp. — Class A	40,900	980
Blyth, Inc.	13,400	376
Bob Evans Farms, Inc.	13,500	315
Borders Group, Inc.	27,100	686
BorgWarner, Inc.	21,400	1,149
Boyd Gaming Corp.	25,200	1,288
*Brinker International, Inc.	33,550	1,344
Callaway Golf Co.	27,000	417
*Career Education Corp.	39,000	1,428
*CarMax, Inc.	39,700	1,058
Catalina Marketing Corp.	18,700	475
CBRL Group, Inc.	18,100	703
*The Cheesecake Factory, Inc.	29,650	1,030
*Chico’s FAS, Inc.	68,000	2,331
Claire’s Stores, Inc.	37,700	907
*Corinthian Colleges, Inc.	34,500	441
D.R. Horton, Inc.	111,599	4,197
*DeVry, Inc.	24,600	490
*Dollar Tree Stores, Inc.	43,000	1,032
*Education Management Corp.	25,900	874
*Emmis Communications Corp. — Class A	12,560	222
*Entercom Communications Corp. — Class A	16,800	559
Foot Locker, Inc.	59,300	1,614
Furniture Brands International, Inc.	20,200	437
Gentex Corp.	59,300	1,079
GTECH Holdings Corp.	44,100	1,289
Harman International Industries, Inc.	24,500	1,993
Harte-Hanks, Inc.	27,250	810
*Hovnanian Enterprises, Inc. — Class A	18,400	1,200
International Speedway Corp. — Class A	16,800	945
*ITT Educational Services, Inc.	17,500	935
*Krispy Kreme Doughnuts, Inc.	23,500	164
*Laureate Education, Inc.	18,719	896
Lear Corp.	25,500	928
Lee Enterprises, Inc.	17,300	694
Lennar Corp. — Class A	54,900	3,483
Media General, Inc. — Class A	9,100	589
Michaels Stores, Inc.	51,300	2,122
Modine Manufacturing Co.	12,300	400
*Mohawk Industries, Inc.	22,600	1,865

Common Stocks (91.4%)	Shares/ $ Par	Value $ (000’s)
Consumer Discretionary continued
The Neiman Marcus Group, Inc. — Class A	18,600	1,803
*O’Reilly Automotive, Inc.	39,000	1,163
Outback Steakhouse, Inc.	25,800	1,167
*Pacific Sunwear of California, Inc.	28,300	651
*Payless ShoeSource, Inc.	25,942	498
PETsMART, Inc.	55,500	1,684
Pier 1 Imports, Inc.	32,900	467
The Reader’s Digest Association, Inc. — Class A	37,900	625
Regis Corp.	17,000	664
*Rent-A-Center, Inc.	26,700	622
Ross Stores, Inc.	55,900	1,616
Ruby Tuesday, Inc.	24,400	632
Ryland Group, Inc.	18,100	1,373
*Saks, Inc.	53,200	1,009
*Scholastic Corp.	14,200	547
*Sotheby’s Holdings, Inc. — Class A	18,100	248
Thor Industries, Inc.	17,500	550
*The Timberland Co. — Class A	23,600	914
*Toll Brothers, Inc.	23,500	2,386
Tupperware Corp.	21,500	502
*Urban Outfitters, Inc.	24,800	1,406
*Valassis Communications, Inc.	19,500	722
The Washington Post Co. — Class B	2,600	2,171
Westwood One, Inc.	33,600	686
*Williams-Sonoma, Inc.	44,600	1,765
Total		80,099
Consumer Staples (4.3%)
*BJ’s Wholesale Club, Inc.	26,400	858
Church & Dwight Co., Inc.	24,150	874
*Constellation Brands, Inc. — Class A	78,400	2,313
*Dean Foods Co.	56,714	1,999
*Energizer Holdings, Inc.	26,900	1,672
Hormel Foods Corp.	39,900	1,170
The J.M. Smucker Co.	22,196	1,042
Lancaster Colony Corp.	11,700	502
PepsiAmericas, Inc.	40,300	1,034
Ruddick Corp.	17,000	434
*Smithfield Foods, Inc.	38,100	1,039
Tootsie Roll Industries, Inc.	16,213	474
*TreeHouse Foods, Inc.	11,342	323
Tyson Foods, Inc. — Class A	115,540	2,057
Universal Corp.	9,800	429
Whole Foods Market, Inc.	24,500	2,899
Total		19,119
Energy (7.8%)
Arch Coal, Inc.	23,900	1,302
*Cooper Cameron Corp.	20,600	1,278
ENSCO International, Inc.	57,600	2,059
*FMC Technologies, Inc.	26,069	833

24

Index 400 Stock Portfolio

Index 400 Stock Portfolio

Common Stocks (91.4%)	Shares/ $ Par	Value $ (000’s)
Energy continued
*Forest Oil Corp.	21,000	882
*Grant Prideco, Inc.	47,000	1,243
*Hanover Compressor Co.	29,700	342
Helmerich & Payne, Inc.	19,300	906
Murphy Oil Corp.	66,500	3,473
*Newfield Exploration Co.	48,000	1,915
Noble Energy, Inc.	33,100	2,504
Overseas Shipholding Group, Inc.	13,200	787
Patterson-UTI Energy, Inc.	64,200	1,787
Peabody Energy Corp.	44,800	2,331
Pioneer Natural Resources Co.	55,100	2,319
*Plains Exploration & Production Co.	29,300	1,041
Pogo Producing Co.	24,200	1,256
*Pride International, Inc.	55,900	1,437
Smith International, Inc.	40,400	2,573
Tidewater, Inc.	23,100	881
*Weatherford International, Ltd.	52,600	3,050
Western Gas Resources, Inc.	24,600	859
Total		35,058
Financials (16.2%)
A.G. Edwards, Inc.	28,900	1,305
*Allmerica Financial Corp.	20,300	753
AMB Property Corp.	31,900	1,385
American Financial Group, Inc.	22,200	744
*AmeriCredit Corp.	57,800	1,474
AmerUs Group, Co.	15,000	721
Arthur J. Gallagher & Co.	35,100	952
Associated Banc-Corp.	49,263	1,658
Astoria Financial Corp.	39,100	1,113
Bank of Hawaii Corp.	20,300	1,030
Brown & Brown, Inc.	23,700	1,065
City National Corp.	17,200	1,233
The Colonial BancGroup, Inc.	59,000	1,302
Commerce Bancorp, Inc.	60,400	1,831
Cullen/Frost Bankers, Inc.	18,600	886
Developers Diversified Realty Corp.	41,000	1,884
Eaton Vance Corp.	50,700	1,212
Everest Re Group, Ltd.	21,400	1,990
Fidelity National Financial, Inc.	66,415	2,371
The First American Corp.	32,700	1,313
FirstMerit Corp.	32,000	836
Greater Bay Bancorp	19,400	512
HCC Insurance Holdings, Inc.	25,900	981
Hibernia Corp. — Class A	59,000	1,958
Highwoods Properties, Inc.	20,400	607
Horace Mann Educators Corp.	16,300	307
Hospitality Properties Trust	25,700	1,133
Independence Community Bank Corp.	29,900	1,104
IndyMac Bancorp, Inc.	23,700	965
Investors Financial Services Corp.	25,300	957
Jefferies Group, Inc.	19,600	743
*LaBranche & Co., Inc.	21,100	133
Legg Mason, Inc.	41,350	4,306
Leucadia National Corp.	36,000	1,391
Liberty Property Trust	32,800	1,453
Mack-Cali Realty Corp.	21,500	974

Common Stocks (91.4%)	Shares/ $ Par	Value $ (000’s)
Financials continued
Mercantile Bankshares Corp.	30,100	1,551
MoneyGram International, Inc.	32,600	623
New Plan Excel Realty Trust, Inc.	39,200	1,065
New York Community Bancorp, Inc.	92,821	1,682
Ohio Casualty Corp.	23,800	575
Old Republic International Corp.	69,400	1,755
The PMI Group, Inc.	35,800	1,395
Protective Life Corp.	26,400	1,115
Radian Group, Inc.	33,700	1,591
Raymond James Financial, Inc.	25,250	713
Rayonier, Inc.	19,111	1,013
Regency Centers Corp.	23,800	1,361
SEI Investments Co.	32,000	1,195
StanCorp Financial Group, Inc.	10,800	827
*SVB Financial Group	13,700	656
TCF Financial Corp.	48,300	1,250
Texas Regional Bancshares, Inc. — Class A	15,700	479
United Dominion Realty Trust, Inc.	52,100	1,253
Unitrin, Inc.	22,000	1,080
W.R. Berkley Corp.	45,200	1,613
Waddell & Reed Financial, Inc. — Class A	31,500	583
Washington Federal, Inc.	32,965	775
Webster Financial Corp.	20,500	957
Weingarten Realty Investors	32,200	1,263
Westamerica Bancorporation	12,700	671
Wilmington Trust Corp.	25,600	922
Total		72,545
Health Care (10.9%)
*Advanced Medical Optics, Inc.	24,712	982
*Apria Healthcare Group, Inc.	18,400	637
*Barr Pharmaceuticals, Inc.	35,200	1,716
Beckman Coulter, Inc.	23,600	1,500
*Cephalon, Inc.	22,100	880
*Charles River Laboratories International, Inc.	25,200	1,216
*Community Health Systems, Inc.	25,400	960
*Covance, Inc.	23,900	1,072
*Coventry Health Care, Inc.	40,474	2,865
*Cytyc Corp.	43,200	953
DENTSPLY International, Inc.	28,850	1,558
*Edwards Lifesciences Corp.	22,700	977
*Gen-Probe, Inc.	19,000	688
*Health Net, Inc.	42,300	1,614
*Henry Schein, Inc.	33,000	1,370
Hillenbrand Industries, Inc.	22,400	1,132
*INAMED Corp.	13,600	911
*Invitrogen Corp.	19,600	1,632
*IVAX Corp.	88,231	1,897
*LifePoint Hospitals, Inc.	18,800	950
*Lincare Holdings, Inc.	38,200	1,560
*Martek Biosciences Corp.	11,800	448
*Millennium Pharmaceuticals, Inc.	116,700	1,082
Omnicare, Inc.	39,600	1,680
*PacifiCare Health Systems, Inc.	33,000	2,358

Index 400 Stock Portfolio

25

Index 400 Stock Portfolio

Common Stocks (91.4%)	Shares/ $ Par	Value $ (000’s)
Health Care continued
*Par Pharmaceutical Companies, Inc.	12,900	410
*Patterson Companies, Inc.	52,300	2,359
Perrigo Co.	33,800	471
*Protein Design Labs, Inc.	40,100	810
*Renal Care Group, Inc.	25,850	1,192
*Sepracor, Inc.	40,000	2,401
STERIS Corp.	26,400	680
*Techne Corp.	14,600	670
*Triad Hospitals, Inc.	29,939	1,636
Universal Health Services, Inc. — Class B	22,200	1,380
Valeant Pharmaceuticals International	34,800	614
*Varian, Inc.	13,400	506
*Varian Medical Systems, Inc.	50,800	1,896
*VCA Antech, Inc.	29,000	703
*Vertex Pharmaceuticals, Inc.	35,000	589
Total		48,955
Industrials (10.3%)
Adesa, Inc.	34,900	760
*AGCO Corp.	34,400	658
*AirTran Holdings, Inc.	32,600	301
*Alaska Air Group, Inc.	9,800	292
Alexander & Baldwin, Inc.	16,500	765
*Alliant Techsystems, Inc.	14,400	1,017
AMETEK, Inc.	26,300	1,101
Banta Corp.	9,500	431
The Brink’s Co.	21,600	778
C.H. Robinson Worldwide, Inc.	32,500	1,892
Carlisle Companies, Inc.	11,800	810
*ChoicePoint, Inc.	33,800	1,354
CNF, Inc.	19,700	885
*Copart, Inc.	30,500	726
Crane Co.	21,100	555
Deluxe Corp.	19,100	775
Donaldson Co., Inc.	29,200	886
*The Dun & Bradstreet Corp.	26,300	1,621
*Dycom Industries, Inc.	18,500	366
Expeditors International of Washington, Inc.	40,600	2,021
Fastenal Co.	26,000	1,593
Federal Signal Corp.	18,300	285
*Flowserve Corp.	21,000	635
GATX Corp.	18,800	649
Graco, Inc.	26,300	896
Granite Construction, Inc.	14,100	396
Harsco Corp.	15,800	862
Herman Miller, Inc.	26,600	820
HNI Corp.	19,700	1,008
Hubbell, Inc. — Class B	23,400	1,032
J.B. Hunt Transport Services, Inc.	52,400	1,011
*Jacobs Engineering Group, Inc.	21,600	1,215
*JetBlue Airways Corp.	37,350	763
Kelly Services, Inc. — Class A	10,400	298
Kennametal, Inc.	14,300	656
*Korn/Ferry International	13,200	234
Manpower, Inc.	34,200	1,360
Nordson Corp.	12,500	429

Common Stocks (91.4%)	Shares/ $ Par	Value $ (000’s)
Industrials continued
Pentair, Inc.	38,500	1,648
Precision Castparts Corp.	25,100	1,954
*Quanta Services, Inc.	37,000	326
Republic Services, Inc.	49,100	1,768
Rollins, Inc.	18,725	375
*Sequa Corp. — Class A	3,200	212
SPX Corp.	28,600	1,315
*Stericycle, Inc.	17,100	860
*Swift Transportation Co., Inc.	23,600	550
Tecumseh Products Co. — Class A	7,000	192
Teleflex, Inc.	14,700	873
*Thomas & Betts Corp.	22,700	641
Trinity Industries, Inc.	16,200	519
*United Rentals, Inc.	27,600	558
Werner Enterprises, Inc.	24,150	474
*Yellow Roadway Corp.	21,900	1,113
York International Corp.	15,800	600
Total		46,114
Information Technology (12.7%)
*3Com Corp.	144,800	527
*Activision, Inc.	72,200	1,193
Acxiom Corp.	32,600	681
ADTRAN, Inc.	26,100	647
*Advent Software, Inc.	10,200	207
*Alliance Data Systems Corp.	25,200	1,022
Amphenol Corp. — Class A	33,700	1,354
*Anteon International Corp.	12,200	557
*Arrow Electronics, Inc.	44,100	1,198
*Atmel Corp.	170,800	405
*Avnet, Inc.	45,900	1,034
*Avocent Corp.	19,000	497
*The BISYS Group, Inc.	46,000	687
*Cabot Microelectronics Corp.	9,392	272
*Cadence Design Systems, Inc.	102,900	1,406
CDW Corp.	28,100	1,604
*Ceridian Corp.	56,800	1,106
Certegy, Inc.	23,700	906
*CheckFree Corp.	31,900	1,087
*Cognizant Technology Solutions Corp. — Class A	50,600	2,384
*CommScope, Inc.	19,500	339
*Credence Systems Corp.	34,800	315
*Cree, Inc.	29,100	741
*CSG Systems International, Inc.	19,400	368
*Cypress Semiconductor Corp.	48,900	616
Diebold, Inc.	27,300	1,232
*DST Systems, Inc.	28,800	1,348
*F5 Networks, Inc.	14,000	661
Fair Isaac Corp.	25,600	934
*Fairchild Semiconductor International, Inc.	45,600	673
*Gartner, Inc.	32,500	345
Harris Corp.	50,700	1,582
Imation Corp.	12,900	500
*Integrated Circuit Systems, Inc.	26,700	551
*Integrated Device Technology, Inc.	40,000	430

26

Index 400 Stock Portfolio

Index 400 Stock Portfolio

Common Stocks (91.4%)	Shares/ $ Par	Value $ (000’s)
Information Technology continued
*International Rectifier Corp.	25,800	1,231
Intersil Corp. — Class A	57,300	1,076
Jack Henry & Associates, Inc.	30,900	566
*Keane, Inc.	21,200	290
*KEMET Corp.	32,900	207
*Lam Research Corp.	53,200	1,540
*Lattice Semiconductor Corp.	43,200	192
*LTX Corp.	22,600	112
*Macromedia, Inc.	28,000	1,070
*Macrovision Corp.	18,900	426
*McAfee, Inc.	61,000	1,597
*McDATA Corp. — Class A	59,900	240
*Mentor Graphics Corp.	29,000	297
*Micrel, Inc.	30,200	348
Microchip Technology, Inc.	78,912	2,337
*MPS Group, Inc.	39,000	367
National Instruments Corp.	25,350	537
*Newport Corp.	16,300	226
Plantronics, Inc.	18,700	680
*Plexus Corp.	16,500	235
*Polycom, Inc.	37,300	556
*Powerwave Technologies, Inc.	37,900	387
The Reynolds and Reynolds Co. — Class A	22,100	597
*RF Micro Devices, Inc.	71,400	388
*RSA Security, Inc.	26,500	304
*SanDisk Corp.	68,800	1,633
*Semtech Corp.	28,200	470
*Silicon Laboratories, Inc.	17,200	451
*Storage Technology Corp.	40,600	1,473
*Sybase, Inc.	33,900	622
*Synopsys, Inc.	55,200	920
*Tech Data Corp.	22,200	813
*The Titan Corp.	32,200	732
*Transaction Systems Architects, Inc. — Class A	13,600	335
*TriQuint Semiconductor, Inc.	51,911	173
*UTStarcom, Inc.	39,600	297
*Vishay Intertechnology, Inc.	70,087	832
*Western Digital Corp.	81,000	1,087
*Wind River Systems, Inc.	29,700	466
*Zebra Technologies Corp. — Class A	27,400	1,200
Total		56,719
Materials (3.8%)
Airgas, Inc.	26,700	659
Albemarle Corp.	17,500	638
Bowater, Inc.	21,200	686
Cabot Corp.	23,900	789
Crompton Corp.	43,663	618
Cytec Industries, Inc.	16,400	653
Ferro Corp.	15,900	316
*FMC Corp.	14,000	786
Longview Fibre Co.	19,400	399
The Lubrizol Corp.	25,600	1,075

Common Stocks (91.4%)	Shares/ $ Par	Value $ (000’s)
Materials continued
Lyondell Chemical Co.	82,800	2,189
Martin Marietta Materials, Inc.	18,000	1,244
Minerals Technologies, Inc.	7,800	480
Olin Corp.	27,000	492
P.H. Glatfelter Co.	13,800	171
Packaging Corp. of America	32,300	680
Potlatch Corp.	11,000	576
RPM International, Inc.	44,600	814
*The Scotts Miracle-Gro Co. — Class A	10,500	748
Sensient Technologies Corp.	17,900	369
Sonoco Products Co.	37,700	999
Steel Dynamics, Inc.	15,700	412
The Valspar Corp.	19,600	946
Worthington Industries, Inc.	30,400	480
Total		17,219
Telecommunication Services (0.5%)
*Cincinnati Bell, Inc.	93,300	401
Telephone and Data Systems, Inc.	41,600	1,698
Total		2,099
Utilities (6.9%)
AGL Resources, Inc.	29,300	1,132
Alliant Energy Corp.	44,200	1,244
Aqua America, Inc.	35,450	1,054
*Aquila, Inc.	92,000	332
Black Hills Corp.	12,400	457
DPL, Inc.	48,100	1,320
Duquesne Light Holdings, Inc.	29,300	547
Energy East Corp.	55,900	1,620
Equitable Resources, Inc.	23,200	1,578
Great Plains Energy, Inc.	28,300	902
Hawaiian Electric Industries, Inc.	30,700	823
IDACORP, Inc.	16,100	493
MDU Resources Group, Inc.	45,000	1,268
National Fuel Gas Co.	29,800	862
Northeast Utilities	48,900	1,020
NSTAR	40,500	1,249
OGE Energy Corp.	34,200	990
ONEOK, Inc.	39,700	1,296
Pepco Holdings, Inc.	71,500	1,712
PNM Resources, Inc.	26,050	751
Puget Energy, Inc.	38,000	888
Questar Corp.	32,200	2,122
SCANA Corp.	43,000	1,837
*Sierra Pacific Resouces	44,681	556
Vectren Corp.	29,000	833
Westar Energy, Inc.	32,700	786
WGL Holdings, Inc.	18,500	622
Wisconsin Energy Corp.	44,500	1,736
WPS Resources Corp.	14,300	804
Total		30,834
Total Common Stocks (Cost: $324,862)		408,761

Index 400 Stock Portfolio

27

Index 400 Stock Portfolio

Money Market Investments (8.6%)	Shares/ $ Par	Value $ (000’s)
Autos (1.3%)
(b)Daimler Chrysler Auto, 3.27%, 7/20/05	6,000,000	5,990
Total		5,990
Federal Government & Agencies (0.5%)
(b)Freddie Discount, 3.29%, 9/20/05	2,300,000	2,283
Total		2,283
Finance Lessors (2.8%)
(b)Ranger Funding Co. LLC, 3.28%, 7/25/05	6,000,000	5,987
(b)Thunder Bay Funding, Inc., 3.09%, 7/7/05	6,000,000	5,996
Total		11,983
National Commercial Banks (0.1%)
UBS Finance Delaware LLC, 3.37%, 7/1/05	400,000	400
Total		400
Phone Communications Except Radiophone (1.3%)
(b)Verizon Global Funding, 3.27%, 7/22/05	6,000,000	5,989
Total		5,989
Short Term Business Credit (1.3%)
(b)Sheffield Receivables, 3.11%, 7/11/05	6,000,000	5,994
Total		5,994
Utilities (1.3%)
(b)National Rural Utility, 3.27%, 7/27/05	6,000,000	5,986
Total		5,986
Total Money Market Investments (Cost: $38,626)		38,625
Total Investments (100.0%) (Cost $363,488)(a)		447,386
Other Assets, Less Liabilities (0.0%)		36
Total Net Assets (100.0%)		447,422

* Non-Income Producing

(a) At June 30, 2005 the aggregate cost of securities for federal tax purposes (in thousands) was $363,488 and the net unrealized appreciation of investments based on that cost was $83,898 which is comprised of $112,623 aggregate gross unrealized appreciation and $28,725 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.

Issuer (000’s)	Number of Contracts	Expiration Date	Unrealized Appreciation/ (Depreciation) (000’s)
S&P MidCap 400 Index Futures (Long)	111	9/05	$	99
(Total Notional Value at June 30, 2005, $38,104)

The Accompanying Notes are an Integral Part of the Financial Statements

28

Index 400 Stock Portfolio

Janus Capital Appreciation Portfolio

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value January 1, 2005		Ending Account Value June 30, 2005		Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual	$	1,000.00	$	1,051.70	$	4.15
Hypothetical (5% return before expenses)	$	1,000.00	$	1,020.45	$	4.09

* Expenses are equal to the Fund’s annualized expense ratio of 0.82%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Janus Capital Appreciation Portfolio

29

Janus Capital Appreciation Portfolio

Northwestern Mutual Series Fund, Inc.

Schedule of Investments

June 30, 2005 (unaudited)

Common Stocks (93.7%)	Shares/ $ Par	Value $ (000’s)
Consumer Discretionary (17.7%)
*Advance Auto Parts, Inc.	51,650	3,334
*eBay, Inc.	90,705	2,994
J. C. Penney Co., Inc.	32,820	1,726
*Kohl’s Corp.	22,750	1,272
Lowe’s Companies, Inc.	24,950	1,453
NIKE, Inc. — Class B	48,870	4,232
Staples, Inc.	33,355	711
Total		15,722
Consumer Staples (7.0%)
*Energizer Holdings, Inc.	47,085	2,927
The Procter & Gamble Co.	62,080	3,275
Total		6,202
Energy (6.4%)
BJ Services Co.	26,390	1,385
Murphy Oil Corp.	39,785	2,078
Suncor Energy, Inc.	47,205	2,234
Total		5,697
Financials (20.5%)
The Allstate Corp.	64,670	3,864
American Express Co.	39,745	2,116
Bank of America Corp.	94,485	4,309
*Berkshire Hathaway, Inc. — Class B	438	1,219
Goldman Sachs Group, Inc.	16,155	1,648
SLM Corp.	18,380	934
Wells Fargo & Co.	66,990	4,125
Total		18,215
Health Care (22.2%)
*Aetna, Inc.	60,725	5,029
*Genentech, Inc.	77,030	6,184
*Invitrogen Corp.	18,640	1,553
UnitedHealth Group, Inc.	133,980	6,986
Total		19,752
Industrials (5.0%)
Lockheed Martin Corp.	68,520	4,445
Total		4,445

Common Stocks (93.7%)	Shares/ $ Par	Value $ (000’s)
Information Technology (13.7%)
*Apple Computer, Inc.	113,485	4,177
*Electronic Arts, Inc.	76,405	4,326
Texas Instruments, Inc.	40,655	1,141
*Yahoo!, Inc.	73,025	2,530
Total		12,174
Utilities (1.2%)
*The AES Corp.	65,525	1,073
Total		1,073
Total Common Stocks (Cost: $66,783)		83,280
Money Market Investments (6.2%)
Federal Government & Agencies (6.2%)
Federal Home Loan Bank Discount Corp., 3.02%, 7/6/05	2,000,000	1,999
Federal Home Loan Bank Discount Corp., 3.17%, 7/20/05	2,000,000	1,997
Federal National Mortgage Association, 3.17%, 7/20/05	1,500,000	1,497
Total Money Market Investments (Cost: $5,493)		5,493
Total Investments (99.9%) (Cost $72,276)(a)		88,773
Other Assets, Less Liabilities (0.1%)		56
Total Net Assets (100.0%)		88,829

* Non-Income Producing

(a) At June 30, 2005 the aggregate cost of securities for federal tax purposes (in thousands) was $72,276 and the net unrealized appreciation of investments based on that cost was $16,497 which is comprised of $16,891 aggregate gross unrealized appreciation and $394 aggregate gross unrealized depreciation.

The Accompanying Notes are an Integral Part of the Financial Statements

30

Janus Capital Appreciation Portfolio

Growth Stock Portfolio

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value January 1, 2005		Ending Account Value June 30, 2005		Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual	$	1,000.00	$	1,007.80	$	2.13
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.37	$	2.14

* Expenses are equal to the Fund’s annualized expense ratio of 0.43%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Growth Stock Portfolio

31

Growth Stock Portfolio

Northwestern Mutual Series Fund, Inc.

Schedule of Investments

June 30, 2005 (unaudited)

Common Stocks (96.6%)	Shares/ $ Par	Value $ (000’s)
Consumer Discretionary (17.2%)
*Bed Bath & Beyond, Inc.	82,500	3,447
Best Buy Co., Inc.	68,500	4,696
Carnival Corp.	126,000	6,873
*Comcast Corp. — Class A	121,084	3,717
*eBay, Inc.	82,200	2,713
Fortune Brands, Inc.	139,200	12,361
Harley-Davidson, Inc.	65,000	3,224
J. C. Penney Co., Inc.	175,300	9,217
*Kohl’s Corp.	92,300	5,160
Lowe’s Companies, Inc.	109,800	6,393
McDonald’s Corp.	179,800	4,989
The McGraw-Hill Companies, Inc.	169,800	7,514
News Corp. — Class A	353,600	5,721
NIKE, Inc. — Class B	74,200	6,426
Omnicom Group, Inc.	44,000	3,514
Staples, Inc.	296,850	6,329
Starwood Hotels & Resorts Worldwide, Inc.	57,300	3,356
Target Corp.	245,600	13,364
*Time Warner, Inc.	301,500	5,038
Viacom, Inc. — Class B	70,300	2,251
Total		116,303
Consumer Staples (7.3%)
Altria Group, Inc.	141,100	9,124
Avon Products, Inc.	140,400	5,314
PepsiCo, Inc.	185,900	10,025
The Procter & Gamble Co.	149,000	7,860
Wal-Mart Stores, Inc.	224,700	10,830
Walgreen Co.	131,000	6,025
Total		49,178
Energy (6.8%)
ConocoPhillips	130,416	7,498
EOG Resources, Inc.	174,200	9,895
Exxon Mobil Corp.	222,934	12,811
Halliburton Co.	162,900	7,790
Noble Corp.	123,800	7,615
Total		45,609
Financials (13.7%)
American Express Co.	132,700	7,064
American International Group, Inc.	145,600	8,459
Capital One Financial Corp.	62,700	5,017
Citigroup, Inc.	207,100	9,574
Genworth Financial, Inc.	168,500	5,094
Goldman Sachs Group, Inc.	52,300	5,336
Legg Mason, Inc.	50,600	5,268
Lehman Brothers Holdings, Inc.	60,800	6,036
Principal Financial Group, Inc.	159,900	6,700
Prudential Financial, Inc.	157,900	10,368
U.S. Bancorp	235,100	6,865
Wachovia Corp.	106,800	5,297
Wells Fargo & Co.	173,800	10,702
Total		91,780

Common Stocks (96.6%)	Shares/ $ Par	Value $ (000’s)
Health Care (17.1%)
Abbott Laboratories	199,400	9,773
*Aetna, Inc.	40,700	3,371
*Amgen, Inc.	188,100	11,372
*Caremark Rx, Inc.	159,100	7,083
Eli Lilly and Co.	100,900	5,621
*Fisher Scientific International, Inc.	105,100	6,821
*Genentech, Inc.	90,500	7,265
*Gilead Sciences, Inc.	155,300	6,832
Johnson & Johnson	182,400	11,855
Medtronic, Inc.	154,500	8,002
Novartis AG, ADR	64,100	3,041
Pfizer, Inc.	350,150	9,657
*St. Jude Medical, Inc.	180,300	7,863
Teva Pharmaceutical Industries, Ltd., ADR	206,800	6,440
UnitedHealth Group, Inc.	76,200	3,973
*Zimmer Holdings, Inc.	77,100	5,873
Total		114,842
Industrials (9.3%)
3M Co.	37,200	2,690
American Standard Companies, Inc.	378,300	15,858
Caterpillar, Inc.	42,100	4,013
FedEx Corp.	127,800	10,353
General Electric Co.	640,400	22,190
Tyco International, Ltd.	242,200	7,072
Total		62,176
Information Technology (22.6%)
*Accenture Ltd. — Class A	238,900	5,416
*Advanced Micro Devices, Inc.	183,600	3,184
*Affiliated Computer Services, Inc. — Class A	116,500	5,953
*Amdocs, Ltd.	138,100	3,650
*ASML Holding N.V.	302,000	4,729
*Broadcom Corp. — Class A	146,700	5,209
*Cisco Systems, Inc.	583,700	11,155
*Dell, Inc.	278,600	11,007
*Electronic Arts, Inc.	25,300	1,432
First Data Corp.	151,300	6,073
*Fiserv, Inc.	71,962	3,091
*Google, Inc. — Class A	15,242	4,483
Intel Corp.	375,200	9,778
International Business Machines Corp.	97,800	7,257
*Lexmark International, Inc. — Class A	70,700	4,583
Microsoft Corp.	782,200	19,430
National Semiconductor Corp.	307,900	6,783
*Oracle Corp.	388,000	5,122
QUALCOMM, Inc.	90,500	2,987
*Seagate Technology, ADR	317,000	5,563
Taiwan Semiconductor Manufacturing Co., Ltd., ADR	481,672	4,393
Telefonaktiebolaget LM Ericsson, ADR	153,200	4,895
Texas Instruments, Inc.	204,000	5,726

32

Growth Stock Portfolio

Growth Stock Portfolio

Common Stocks (96.6%)	Shares/ $ Par	Value $ (000’s)
Information Technology continued
*VeriSign, Inc.	190,700	5,485
*Yahoo!, Inc.	140,710	4,876
Total		152,260
Materials (1.7%)
Alcoa, Inc.	118,200	3,089
Praxair, Inc.	171,600	7,996
Total		11,085
Telecommunication Services (0.9%)
Vodafone Group PLC, ADR	235,700	5,732
Total		5,732
Total Common Stocks (Cost: $563,847)		648,965
Money Market Investments (3.5%)
Federal Government & Agencies (0.6%)
Freddie Discount, 3.29%, 9/20/05	4,000,000	3,970
Total		3,970
National Commercial Banks (1.4%)
UBS Finance Delaware LLC, 3.37%, 7/1/05	9,300,000	9,300
Total		9,300
Security Brokers and Dealers (1.5%)
(b)Morgan Stanley Dean Witter, 3.28%, 7/26/05	10,000,000	9,977
Total		9,977
Total Money Market Investments (Cost: $23,247)		23,247
Total Investments (100.1%) (Cost $587,094)(a)		672,212
Other Assets, Less Liabilities (-0.1%)		(908	)
Total Net Assets (100.0%)		671,304

* Non-Income Producing

ADR after the name of a security represents — American Depository Receipt.

(a) At June 30, 2005 the aggregate cost of securities for federal tax purposes (in thousands) was $587,094 and the net unrealized appreciation of investments based on that cost was $85,118 which is comprised of $112,876 aggregate gross unrealized appreciation and $27,758 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.

Issuer (000’s)	Number of Contracts	Expiration Date	Unrealized Appreciation/ (Depreciation) (000’s)
S&P 500 Index Futures (Long)	30	9/05	$	(83	)
(Total Notional Value at June 30, 2005, $9,049 )

The Accompanying Notes are an Integral Part of the Financial Statements

Growth Stock Portfolio

33

Large Cap Core Stock Portfolio

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value January 1, 2005		Ending Account Value June 30, 2005		Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual	$	1,000.00	$	1,016.20	$	2.19
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.31	$	2.20

* Expenses are equal to the Fund’s annualized expense ratio of 0.44%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

34

Large Cap Growth Stock Portfolio

Large Cap Core Stock Portfolio

Northwestern Mutual Series Fund, Inc.

Schedule of Investments

June 30, 2005 (unaudited)

Common Stocks (97.6%)	Shares/ $ Par	Value $ (000’s)
Consumer Discretionary (11.6%)
Best Buy Co., Inc.	43,100	2,955
Carnival Corp.	84,700	4,620
*Comcast Corp. — Class A	78,014	2,395
Fortune Brands, Inc.	60,000	5,328
J. C. Penney Co., Inc.	117,100	6,158
Lowe’s Companies, Inc.	39,200	2,282
McDonald’s Corp.	110,600	3,069
News Corp. — Class A	240,900	3,898
NIKE, Inc. — Class B	57,700	4,997
Omnicom Group, Inc.	48,400	3,865
Staples, Inc.	199,800	4,260
Starwood Hotels & Resorts Worldwide, Inc.	41,000	2,401
Target Corp.	100,500	5,468
*Time Warner, Inc.	178,000	2,974
Total		54,670
Consumer Staples (8.0%)
Altria Group, Inc.	140,600	9,091
Avon Products, Inc.	98,900	3,743
The Gillette Co.	57,500	2,911
PepsiCo, Inc.	128,000	6,903
The Procter & Gamble Co.	95,100	5,017
Wal-Mart Stores, Inc.	123,000	5,929
Walgreen Co.	87,000	4,001
Total		37,595
Energy (10.6%)
BP PLC, ADR	40,800	2,545
ConocoPhillips	152,288	8,755
Devon Energy Corp.	56,200	2,848
EOG Resources, Inc.	128,400	7,293
Exxon Mobil Corp.	225,400	12,954
Halliburton Co.	120,900	5,781
Noble Corp.	47,500	2,922
Schlumberger, Ltd.	44,100	3,349
Valero Energy Corp.	45,200	3,576
Total		50,023
Financials (16.2%)
American Express Co.	60,200	3,204
American International Group, Inc.	105,200	6,112
Bank of America Corp.	148,900	6,791
Capital One Financial Corp.	44,600	3,568
The Chubb Corp.	29,200	2,500
CIT Group, Inc.	56,200	2,415
Citigroup, Inc.	116,000	5,363
Freddie Mac	32,000	2,087
Genworth Financial, Inc.	120,000	3,628
Goldman Sachs Group, Inc.	40,000	4,081
JPMorgan Chase & Co.	115,896	4,093
Legg Mason, Inc.	36,100	3,758
Lehman Brothers Holdings, Inc.	46,100	4,577

Common Stocks (97.6%)	Shares/ $ Par	Value $ (000’s)
Financials continued
Prudential Financial, Inc.	110,000	7,223
U.S. Bancorp	197,300	5,761
Wachovia Corp.	68,900	3,417
Wells Fargo & Co.	129,600	7,982
Total		76,560
Health Care (12.3%)
Abbott Laboratories	103,800	5,087
*Amgen, Inc.	76,200	4,607
*Caremark Rx, Inc.	107,300	4,777
Eli Lilly and Co.	79,400	4,423
*Fisher Scientific International, Inc.	74,500	4,835
*Genentech, Inc.	46,600	3,741
Johnson & Johnson	142,900	9,290
Medtronic, Inc.	88,500	4,583
Pfizer, Inc.	166,812	4,601
*St. Jude Medical, Inc.	102,800	4,483
Teva Pharmaceutical Industries, Ltd., ADR	88,900	2,768
UnitedHealth Group, Inc.	52,800	2,753
*Zimmer Holdings, Inc.	28,000	2,133
Total		58,081
Industrials (10.5%)
3M Co.	51,700	3,738
American Standard Companies, Inc.	105,300	4,414
Canadian National Railway Co.	70,600	4,070
FedEx Corp.	50,600	4,099
General Electric Co.	480,100	16,635
Honeywell International, Inc.	89,790	3,289
Tyco International, Ltd.	137,500	4,015
United Technologies Corp.	110,000	5,649
Waste Management, Inc.	121,000	3,429
Total		49,338
Information Technology (16.5%)
*Accenture Ltd. — Class A	122,400	2,775
*Advanced Micro Devices, Inc.	132,500	2,298
*Amdocs, Ltd.	98,300	2,598
*ASML Holding N.V.	133,700	2,094
*Broadcom Corp. — Class A	99,200	3,523
*Cisco Systems, Inc.	348,500	6,659
*Dell, Inc.	151,000	5,966
*Electronic Arts, Inc.	18,100	1,025
First Data Corp.	96,400	3,869
*Google, Inc. — Class A	9,000	2,647
Intel Corp.	254,600	6,635
International Business Machines Corp.	70,600	5,239
*Lexmark International, Inc. — Class A	37,800	2,451
Microsoft Corp.	419,100	10,409
National Semiconductor Corp.	183,100	4,034
*Oracle Corp.	270,300	3,568
*Seagate Technology, ADR	226,000	3,966

Large Cap Core Stock Portfolio

35

Large Cap Core Stock Portfolio

Common Stocks (97.6%)	Shares/ $ Par	Value $ (000’s)
Information Technology continued
Texas Instruments, Inc.	90,100	2,529
*VeriSign, Inc.	135,200	3,888
*Yahoo!, Inc.	56,700	1,965
Total		78,138
Materials (4.3%)
Alcoa, Inc.	77,300	2,020
The Dow Chemical Co.	80,200	3,571
Monsanto Co.	84,600	5,318
Praxair, Inc.	86,300	4,022
Temple-Inland, Inc.	93,800	3,485
Weyerhaeuser Co.	31,800	2,024
Total		20,440
Other Holdings (0.5%)
iShares DJ Select Dividend Index Fund	36,200	2,235
Total		2,235
Telecommunication Services (3.8%)
*Nextel Communications, Inc. — Class A	131,500	4,249
SBC Communications, Inc.	114,000	2,708
Sprint Corp.	195,500	4,905
Verizon Communications, Inc.	108,348	3,743
Vodafone Group PLC, ADR	93,500	2,274
Total		17,879
Utilities (3.3%)
DTE Energy Co.	50,100	2,343
Duke Energy Corp.	118,800	3,532
Edison International	70,501	2,859
PG&E Corp.	178,600	6,705
Total		15,439
Total Common Stocks (Cost: $389,735)		460,398

Money Market Investments (2.5%)	Shares/ $ Par	Value $ (000’s)
Federal Government & Agencies (0.1%)
Freddie Discount, 3.29%, 9/20/05	500,000	496
Total		496
National Commercial Banks (0.3%)
UBS Finance Delaware LLC, 3.37%, 7/1/05	1,200,000	1,200
Total		1,200
Security Brokers and Dealers (2.1%)
Morgan Stanley Dean Witter, 3.28%, 7/26/05	10,000,000	9,977
Total		9,977
Total Money Market Investments (Cost: $11,674)		11,673
Total Investments (100.1%) (Cost $401,409)(a)		472,071
Other Assets, Less Liabilities (-0.1%)		(632	)
Total Net Assets (100.0%)		471,439

* Non-Income Producing

ADR after the name of a security represents — American Depository Receipt.

(a) At June 30, 2005 the aggregate cost of securities for federal tax purposes (in thousands) was $401,409 and the net unrealized appreciation of investments based on that cost was $70,662 which is comprised of $93,549 aggregate gross unrealized appreciation and $22,887 aggregate gross unrealized depreciation.

The Accompanying Notes are an Integral Part of the Financial Statements

36

Large Cap Core Stock Portfolio

Capital Guardian Domestic Equity Portfolio

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value January 1, 2005		Ending Account Value June 30, 2005		Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual	$	1,000.00	$	1,010.00	$	3.02
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.49	$	3.03

* Expenses are equal to the Fund’s annualized expense ratio of 0.60%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Capital Guardian Domestic Equity Portfolio

37

Capital Guardian Domestic Equity Portfolio

Northwestern Mutual Series Fund, Inc.

Schedule of Investments

June 30, 2005 (unaudited)

Common Stocks (95.5%)	Shares/ $ Par	Value $ (000’s)
Consumer Discretionary (3.9%)
*AutoNation, Inc.	60,100	1,233
Clear Channel Communications, Inc.	69,000	2,135
*Dollar Tree Stores, Inc.	29,000	696
Leggett & Platt, Inc.	72,700	1,932
Mattel, Inc.	54,200	992
McDonald’s Corp.	22,000	611
OfficeMax, Inc.	2,600	77
Starwood Hotels & Resorts Worldwide, Inc.	13,900	814
*Time Warner, Inc.	83,200	1,390
Total		9,880
Consumer Staples (10.8%)
Altria Group, Inc.	107,000	6,919
Anheuser-Busch Companies, Inc.	64,200	2,937
Campbell Soup Co.	126,300	3,886
Colgate-Palmolive Co.	23,700	1,183
General Mills, Inc.	31,500	1,474
Kimberly-Clark Corp.	32,600	2,040
Kraft Foods, Inc. — Class A	188,600	5,999
Unilever NV	45,900	2,976
Total		27,414
Energy (10.3%)
Anadarko Petroleum Corp.	16,700	1,372
Chevron Corp.	12,500	699
Exxon Mobil Corp.	45,500	2,615
Kinder Morgan, Inc.	49,300	4,102
Pioneer Natural Resources Co.	24,800	1,044
Royal Dutch Petroleum Co.	70,000	4,543
Shell Transport & Trading Co., ADR	82,400	4,783
*Transocean, Inc.	58,200	3,141
Unocal Corp.	32,000	2,082
*Weatherford International, Ltd.	30,400	1,763
Total		26,144
Financials (22.3%)
American International Group, Inc.	37,200	2,161
*AmeriCredit Corp.	82,100	2,094
Assurant, Inc.	12,600	455
The Chubb Corp.	18,500	1,584
Everest Re Group, Ltd.	14,000	1,302
Fannie Mae	23,100	1,349
General Growth Properties, Inc.	160,420	6,592
Goldman Sachs Group, Inc.	11,100	1,132
The Hartford Financial Services Group, Inc.	61,100	4,569
Hudson City Bancorp, Inc.	128,000	1,460
IndyMac Bancorp, Inc.	35,800	1,458
JPMorgan Chase & Co.	242,488	8,565
Marsh & McLennan Companies, Inc.	62,100	1,720
The PMI Group, Inc.	41,000	1,598
SLM Corp.	114,100	5,796
The St. Paul Travelers Companies, Inc.	22,923	906

Common Stocks (95.5%)	Shares/ $ Par	Value $ (000’s)
Financials continued
Washington Mutual, Inc.	183,000	7,446
Wells Fargo & Co.	103,600	6,380
XL Capital, Ltd. — Class A	5,000	372
Total		56,939
Health Care (10.0%)
AmerisourceBergen Corp.	41,600	2,877
AstraZeneca PLC, ADR	54,400	2,245
Eli Lilly and Co.	17,400	969
McKesson Corp.	56,400	2,526
*Medco Health Solutions, Inc.	81,800	4,365
Merck & Co., Inc.	137,100	4,223
Pfizer, Inc.	45,100	1,244
*WellPoint, Inc.	99,400	6,921
Total		25,370
Industrials (13.4%)
*Allied Waste Industries, Inc.	205,700	1,631
The Boeing Co.	30,000	1,980
Cooper Industries, Ltd. — Class A	71,200	4,550
Emerson Electric Co.	23,300	1,459
General Electric Co.	190,800	6,612
Hubbell, Inc. — Class B	25,800	1,138
Ingersoll-Rand Co., Ltd. — Class A	16,600	1,184
*Navistar International Corp.	12,100	387
Siemens AG, ADR	18,400	1,337
Tyco International, Ltd.	131,900	3,851
Union Pacific Corp.	57,300	3,713
United Technologies Corp.	122,600	6,296
Total		34,138
Information Technology (9.4%)
*Advanced Micro Devices, Inc.	63,500	1,101
*Affiliated Computer Services, Inc. — Class A	26,600	1,359
*Arrow Electronics, Inc.	9,100	247
*Avnet, Inc.	111,700	2,517
*Cadence Design Systems, Inc.	51,800	708
*Fairchild Semiconductor International, Inc.	222,200	3,277
*Flextronics International, Ltd.	351,000	4,637
*Freescale Semiconductor Inc. — Class A	157,800	3,315
Hewlett-Packard Co.	178,400	4,194
*Polycom, Inc.	98,300	1,466
*Teradyne, Inc.	82,700	990
Total		23,811
Materials (5.8%)
Air Products and Chemicals, Inc.	67,700	4,082
Alcoa, Inc.	32,600	852
The Dow Chemical Co.	91,700	4,084
E. I. du Pont de Nemours and Co.	39,900	1,716
International Paper Co.	105,600	3,190
Methanex Corp.	50,900	838
Total		14,762

38

Capital Guardian Domestic Equity Portfolio

Capital Guardian Domestic Equity Portfolio

Common Stocks (95.5%)	Shares/ $ Par	Value $ (000’s)
Telecommunication Services (5.8%)
BellSouth Corp.	59,500	1,581
SBC Communications, Inc.	146,100	3,470
Sprint Corp.	199,100	4,995
Vrizon Communications, Inc.	136,400	4,713
Total		14,759
Utilities (3.8%)
Duke Energy Corp.	104,500	3,106
Edison International	50,300	2,040
Equitable Resources, Inc.	28,200	1,918
MDU Resources Group, Inc.	38,800	1,093
Pinnacle West Capital Corp.	31,600	1,405
Total		9,562
Total Common Stocks (Cost: $214,477)		242,779
Money Market Investments (4.6%)
Federal Government & Agencies (4.6%)
Federal Home Loan Bank Discount Corp., 3.17%, 7/20/05	10,000,000	9,983
Federal National Mortgage Association, 3.17%, 7/20/05	1,700,000	1,697
Total Money Market Investments (Cost: $11,680)		11,680
Total Investments (100.1%) (Cost $226,157)(a)		254,459
Other Assets, Less Liabilities (-0.1%)		(362	)
Total Net Assets (100.0%)		254,097

* Non-Income Producing

ADR after the name of a security represents — American Depository Receipt.

(a) At June 30, 2005 the aggregate cost of securities for federal tax purposes (in thousands) was $226,157 and the net unrealized appreciation of investments based on that cost was $28,302 which is comprised of $33,524 aggregate gross unrealized appreciation and $5,222 aggregate gross unrealized depreciation.

Capital Guardian Domestic Equity Portfolio

39

The Accompanying Notes are an Integral Part of the Financial Statements

T. Rowe Price Equity Income Portfolio

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value January 1, 2005		Ending Account Value June 30, 2005		Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual	$	1,000.00	$	996.70	$	3.36
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.12	$	3.40

* Expenses are equal to the Fund’s annualized expense ratio of 0.68%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

40

T. Rowe Price Equity Income Portfolio

T. Rowe Price Equity Income Portfolio

Northwestern Mutual Series Fund, Inc.

Schedule of Investments

June 30, 2005 (unaudited)

Common Stocks (94.8%)	Shares/ $ Par	Value $ (000’s)
Consumer Discretionary (15.9%)
*Comcast Corp. — Class A	44,300	1,360
Dow Jones & Co., Inc.	24,500	869
Eastman Kodak Co.	31,000	832
Echostar Communications Corp.	9,400	283
Fortune Brands, Inc.	9,800	870
General Motors Corp.	8,100	275
Genuine Parts Co.	18,400	756
Hilton Hotels Corp.	11,400	272
The Home Depot, Inc.	18,000	700
Knight-Ridder, Inc.	8,700	534
Mattel, Inc.	56,800	1,039
May Department Stores Co.	17,000	683
McDonald’s Corp.	22,700	630
The New York Times Co. — Class A	42,600	1,327
Newell Rubbermaid, Inc.	47,300	1,128
RadioShack Corp.	19,100	443
Sony Corp.	15,600	537
*Time Warner, Inc.	86,100	1,439
Tribune Co.	28,600	1,006
Viacom, Inc. — Class B	46,800	1,498
The Walt Disney Co.	40,100	1,010
Whirlpool Corp.	6,000	421
Total		17,912
Consumer Staples (8.7%)
Altria Group, Inc.	5,800	375
Anheuser-Busch Companies, Inc.	29,900	1,368
Campbell Soup Co.	28,900	889
The Clorox Co.	1,600	89
The Coca-Cola Co.	35,600	1,485
Colgate-Palmolive Co.	27,700	1,383
ConAgra Foods, Inc.	16,700	387
General Mills, Inc.	17,800	833
Kimberly-Clark Corp.	12,300	770
Unilever NV	8,400	545
UST, Inc.	13,800	630
Wal-Mart Stores, Inc.	22,800	1,099
Total		9,853
Energy (8.7%)
Amerada Hess Corp.	13,200	1,406
Anadarko Petroleum Corp.	10,100	830
BP PLC, ADR	18,000	1,123
Chevron Corp.	36,600	2,047
Exxon Mobil Corp.	36,600	2,102
Royal Dutch Petroleum Co.	26,300	1,707
Schlumberger, Ltd.	7,500	570
Total		9,785
Financials (18.2%)
American Express Co.	11,700	623
American International Group, Inc.	14,300	831
Bank of America Corp.	31,600	1,441
Bank of Ireland, ADR	8,000	523

Common Stocks (94.8%)	Shares/ $ Par	Value $ (000’s)
Financials continued
The Charles Schwab Corp.	90,300	1,019
The Chubb Corp.	9,000	770
Citigroup, Inc.	12,800	592
Fannie Mae	11,400	666
Janus Capital Group, Inc.	14,500	218
JPMorgan Chase & Co.	63,188	2,231
Lincoln National Corp.	19,176	900
Marsh & McLennan Companies, Inc.	58,700	1,626
Mellon Financial Corp.	36,700	1,053
Mercantile Bankshares Corp.	7,800	402
Morgan Stanley	29,400	1,543
National City Corp.	11,400	389
Northern Trust Corp.	7,600	346
SAFECO Corp.	12,900	701
Simon Property Group, Inc.	7,200	522
The St. Paul Travelers Companies, Inc.	22,827	902
State Street Corp.	21,600	1,042
SunTrust Banks, Inc.	12,800	925
UnumProvident Corp.	39,400	722
Wells Fargo & Co.	7,800	480
Wilmington Trust Corp.	4,900	176
Total		20,643
Health Care (8.4%)
Abbott Laboratories	18,000	882
Baxter International, Inc.	25,500	946
*Boston Scientific Corp.	20,800	562
Bristol-Myers Squibb Co.	51,000	1,274
Johnson & Johnson	22,000	1,430
*MedImmune, Inc.	26,600	711
Merck & Co., Inc.	51,200	1,576
Pfizer, Inc.	3,000	83
Schering-Plough Corp.	36,900	703
Wyeth	28,600	1,273
Total		9,440
Industrials (11.8%)
Avery Dennison Corp.	11,000	583
Cendant Corp.	22,000	492
Cooper Industries, Ltd. — Class A	13,300	850
Eaton Corp.	7,200	431
Emerson Electric Co.	6,800	426
General Electric Co.	57,600	1,995
Honeywell International, Inc.	42,400	1,552
Lockheed Martin Corp.	17,400	1,129
Norfolk Southern Corp.	19,800	613
Pall Corp.	26,900	817
Raytheon Co.	25,100	982
Rockwell Automation, Inc.	7,200	351
Rockwell Collins, Inc.	14,300	682
Union Pacific Corp.	22,400	1,452
Waste Management, Inc.	31,600	896
Total		13,251

T. Rowe Price Equity Income Portfolio

41

T. Rowe Price Equity Income Portfolio

Common Stocks (94.8%)	Shares/ $ Par	Value $ (000’s)
Information Technology (7.6%)
*Agilent Technologies, Inc.	11,000	253
Analog Devices, Inc.	22,500	839
*Cisco Systems, Inc.	22,400	428
Hewlett-Packard Co.	62,700	1,473
Intel Corp.	23,200	605
International Business Machines Corp.	14,500	1,076
*Lucent Technologies, Inc.	62,400	182
Microsoft Corp.	46,600	1,158
Motorola, Inc.	45,100	824
Nokia Corp., ADR	44,800	745
Texas Instruments, Inc.	36,500	1,025
Total		8,608
Materials (4.6%)
Alcoa, Inc.	30,900	808
The Dow Chemical Co.	1,400	62
E. I. du Pont de Nemours and Co.	17,300	744
Great Lakes Chemical Corp.	11,200	352
*Hercules, Inc.	24,300	344
International Flavors & Fragrances, Inc.	15,300	554
International Paper Co.	39,900	1,206
MeadWestvaco Corp.	17,200	482
Vulcan Materials Co.	10,000	650
Total		5,202
Telecommunication Services (5.7%)
ALLTEL Corp.	20,100	1,252
AT&T Corp.	38,000	724
*Qwest Communications International, Inc.	182,900	679
SBC Communications, Inc.	41,000	974
Sprint Corp.	52,900	1,326
Telus Corp.	12,900	439
Verizon Communications, Inc.	29,900	1,033
Total		6,427
Utilities (5.2%)
Constellation Energy Group	13,800	796
Duke Energy Corp.	41,700	1,240
FirstEnergy Corp.	13,700	659
NiSource, Inc.	52,000	1,286
Progress Energy, Inc.	19,700	891
TECO Energy, Inc.	13,200	250
Xcel Energy, Inc.	36,700	716
Total		5,838
Total Common Stocks (Cost: $96,958)		106,959

Convertible Corporate Debt (0.2%)	Shares/ $ Par	Value $ (000’s)
Information Technology (0.2%)
Lucent Technologies, 8.00%, 8/1/31	165,000	170
Total Convertible Corporate Debt (Cost: $158)		170
Preferred Stocks (0.2%)
Financials (0.2%)
Unumprovident Corp.	5,900	174
Total Preferred Stocks (Cost: $148)		174
Money Market Investments (5.1%)
Other Holdings (5.1%)
Reserve Investment Fund	5,727,969	5,728
Total Money Market Investments (Cost: $5,728)		5,728
Total Investments (100.3%) (Cost $102,992)(a)		113,031
Other Assets, Less Liabilities (-0.3%)		(330	)
Total Net Assets (100.0%)		112,701

* Non-Income Producing

ADR after the name of a security represents — American Depository Receipt.

(a) At June 30, 2005 the aggregate cost of securities for federal tax purposes (in thousands) was $102,992 and the net unrealized appreciation of investments based on that cost was $10,039 which is comprised of $13,091 aggregate gross unrealized appreciation and $3,052 aggregate gross unrealized depreciation.

The Accompanying Notes are an Integral Part of the Financial Statements

42

T. Rowe Price Equity Income Portfolio

Index 500 Stock Portfolio

Sector Allocation is based on equities.

Sector Allocation is subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value January 1, 2005		Ending Account Value June 30, 2005		Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual	$	1,000.00	$	991.20	$	1.00
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.48	$	1.02

* Expenses are equal to the Fund’s annualized expense ratio of 0.20%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Index 500 Stock Portfolio

43

Index 500 Stock Portfolio

Northwestern Mutual Series Fund, Inc.

Schedule of Investments

June 30, 2005 (unaudited)

Common Stocks (98.1%)	Shares/ $ Par	Value $ (000’s)
Consumer Discretionary (11.2%)
*Apollo Group, Inc. — Class A	27,200	2,128
*AutoNation, Inc.	37,100	761
*AutoZone, Inc.	10,925	1,010
*Bed Bath & Beyond, Inc.	49,100	2,051
Best Buy Co., Inc.	49,650	3,404
*Big Lots, Inc.	18,800	249
The Black & Decker Corp.	13,300	1,195
Brunswick Corp.	16,100	697
Carnival Corp.	87,609	4,779
Centex Corp.	21,300	1,505
Circuit City Stores, Inc.	31,800	550
Clear Channel Communications, Inc.	84,750	2,621
*Coach, Inc.	62,700	2,105
*Comcast Corp. — Class A	366,670	11,257
Cooper Tire & Rubber Co.	10,600	197
Dana Corp.	24,950	374
Darden Restaurants, Inc.	24,250	800
Delphi Corp.	93,287	434
Dillard’s, Inc. — Class A	11,864	278
Dollar General Corp.	50,148	1,021
Dow Jones & Co., Inc.	11,820	419
Eastman Kodak Co.	47,783	1,283
*eBay, Inc.	202,000	6,668
Family Dollar Stores, Inc.	27,700	723
Federated Department Stores, Inc.	28,351	2,078
Ford Motor Co.	305,994	3,133
Fortune Brands, Inc.	24,167	2,146
Gannett Co., Inc.	41,250	2,934
The Gap, Inc.	125,975	2,488
General Motors Corp.	94,027	3,197
Genuine Parts Co.	29,000	1,192
*The Goodyear Tire & Rubber Co.	29,300	437
H&R Block, Inc.	27,450	1,602
Harley-Davidson, Inc.	47,300	2,346
Harrah’s Entertainment, Inc.	30,150	2,173
Hasbro, Inc.	27,825	578
Hilton Hotels Corp.	63,450	1,513
The Home Depot, Inc.	356,894	13,882
International Game Technology	57,200	1,610
*The Interpublic Group of Companies, Inc.	70,300	856
J. C. Penney Co., Inc.	43,750	2,300
Johnson Controls, Inc.	31,900	1,797
Jones Apparel Group, Inc.	20,100	624
KB HOME	13,900	1,060
Knight-Ridder, Inc.	12,350	758
*Kohl’s Corp.	54,267	3,034
Leggett & Platt, Inc.	31,533	838
Limited Brands, Inc.	63,187	1,353
Liz Claiborne, Inc.	18,000	716
Lowe’s Companies, Inc.	128,450	7,478
Marriott International, Inc. — Class A	33,000	2,251
Mattel, Inc.	68,488	1,253
May Department Stores Co.	49,750	1,998
Maytag Corp.	13,233	207

Common Stocks (98.1%)	Shares/ $ Par	Value $ (000’s)
Consumer Discretionary continued
McDonald’s Corp.	210,778	5,849
The McGraw-Hill Companies, Inc.	62,320	2,758
Meredith Corp.	7,500	368
The New York Times Co. — Class A	24,170	753
Newell Rubbermaid, Inc.	45,792	1,092
News Corp. — Class A	479,600	7,760
NIKE, Inc. — Class B	38,000	3,291
Nordstrom, Inc.	20,467	1,391
*Office Depot, Inc.	52,557	1,200
OfficeMax, Inc.	11,700	348
Omnicom Group, Inc.	30,500	2,436
Pulte Homes, Inc.	19,700	1,660
RadioShack Corp.	25,900	600
Reebok International, Ltd.	9,300	389
*Sears Holdings Corp.	16,980	2,545
The Sherwin-Williams Co.	20,813	980
Snap-on, Inc.	9,617	330
The Stanley Works	12,550	572
Staples, Inc.	122,450	2,611
*Starbucks Corp.	64,850	3,350
Starwood Hotels & Resorts Worldwide, Inc.	35,900	2,103
Target Corp.	146,857	7,990
Tiffany & Co.	23,867	782
*Time Warner, Inc.	779,100	13,019
The TJX Companies, Inc.	78,200	1,904
*Toys “R” Us, Inc.	36,850	976
Tribune Co.	49,536	1,743
*Univision Communications, Inc. — Class A	48,300	1,331
V. F. Corp.	16,657	953
Viacom, Inc. — Class B	268,048	8,583
Visteon Corp.	21,383	129
The Walt Disney Co.	339,457	8,548
Wendy’s International, Inc.	19,150	912
Whirlpool Corp.	11,150	782
Yum! Brands, Inc.	48,180	2,509
Total		206,888
Consumer Staples (9.9%)
Alberto-Culver Co.	14,250	617
Albertson’s, Inc.	61,254	1,267
Altria Group, Inc.	344,322	22,264
Anheuser-Busch Companies, Inc.	129,049	5,904
Archer-Daniels-Midland Co.	103,703	2,217
Avon Products, Inc.	78,500	2,971
Brown-Forman Corp. — Class B	15,018	908
Campbell Soup Co.	54,022	1,662
The Clorox Co.	25,650	1,429
The Coca-Cola Co.	376,275	15,709
Coca-Cola Enterprises, Inc.	58,700	1,292
Colgate-Palmolive Co.	87,022	4,343
ConAgra Foods, Inc.	86,067	1,993
Costco Wholesale Corp.	79,464	3,562

44

Index 500 Stock Portfolio

Index 500 Stock Portfolio

Common Stocks (98.1%)	Shares/ $ Par	Value $ (000’s)
Consumer Staples continued
CVS Corp.	134,734	3,917
General Mills, Inc.	61,467	2,876
The Gillette Co.	165,835	8,396
H.J. Heinz Co.	58,217	2,062
The Hershey Co.	36,200	2,248
Kellogg Co.	58,157	2,584
Kimberly-Clark Corp.	79,556	4,979
*The Kroger Co.	121,205	2,307
McCormick & Co., Inc.	22,500	735
Molson Coors Brewing Co.	13,100	812
The Pepsi Bottling Group, Inc.	32,600	933
PepsiCo, Inc.	278,430	15,016
The Procter & Gamble Co.	411,410	21,702
Reynolds American, Inc.	19,400	1,529
Safeway, Inc.	74,500	1,683
Sara Lee Corp.	130,935	2,594
SUPERVALU, Inc.	22,650	739
SYSCO Corp.	105,225	3,808
UST, Inc.	27,467	1,254
Wal-Mart Stores, Inc.	556,300	26,815
Walgreen Co.	169,946	7,816
Wm. Wrigley Jr. Co.	32,567	2,242
Total		183,185
Energy (8.7%)
Amerada Hess Corp.	14,300	1,523
Anadarko Petroleum Corp.	39,162	3,217
Apache Corp.	54,546	3,524
Ashland, Inc.	11,100	798
Baker Hughes, Inc.	56,330	2,882
BJ Services Co.	26,900	1,412
Burlington Resources, Inc.	64,066	3,539
Chevron Corp.	348,914	19,511
ConocoPhillips	231,520	13,310
Devon Energy Corp.	78,800	3,994
El Paso Corp.	107,171	1,235
EOG Resources, Inc.	39,820	2,262
Exxon Mobil Corp.	1,058,456	60,829
Halliburton Co.	84,069	4,020
Kerr-McGee Corp.	19,386	1,479
Kinder Morgan, Inc.	18,067	1,503
Marathon Oil Corp.	57,809	3,085
*Nabors Industries, Ltd.	24,750	1,500
*National Oilwell Varco, Inc.	28,600	1,360
Noble Corp.	22,550	1,387
Occidental Petroleum Corp.	66,220	5,094
Rowan Companies, Inc.	18,050	536
Schlumberger, Ltd.	97,967	7,440
Sunoco, Inc.	11,450	1,302
*Transocean, Inc.	54,251	2,928
Unocal Corp.	45,167	2,938
Valero Energy Corp.	42,700	3,378
The Williams Companies, Inc.	94,900	1,803
XTO Energy, Inc.	59,999	2,039
Total		159,828

Common Stocks (98.1%)	Shares/ $ Par	Value $ (000’s)
Financials (19.9%)
ACE, Ltd.	47,800	2,144
AFLAC, Inc.	83,450	3,612
The Allstate Corp.	111,128	6,640
Ambac Financial Group, Inc.	18,000	1,256
American Express Co.	194,775	10,368
American International Group, Inc.	431,430	25,066
AmSouth Bancorporation	58,655	1,525
Aon Corp.	52,800	1,322
Apartment Investment & Management Co. — Class A	15,800	647
Archstone-Smith Trust	33,100	1,278
Bank of America Corp.	668,672	30,497
The Bank of New York Co., Inc.	129,453	3,726
BB&T Corp.	90,800	3,629
The Bear Stearns Companies, Inc.	18,895	1,964
Capital One Financial Corp.	41,900	3,352
The Charles Schwab Corp.	189,439	2,137
The Chubb Corp.	32,450	2,778
Cincinnati Financial Corp.	27,675	1,095
CIT Group, Inc.	35,000	1,504
Citigroup, Inc.	864,948	39,986
Comerica, Inc.	28,050	1,621
Compass Bancshares, Inc.	20,600	927
Countrywide Financial Corp.	97,700	3,772
*E*TRADE Financial Corp.	61,300	858
Equity Office Properties Trust	67,800	2,244
Equity Residential	47,700	1,756
Fannie Mae	160,948	9,399
Federated Investors, Inc. — Class B	15,800	474
Fifth Third Bancorp	86,734	3,574
First Horizon National Corp.	20,600	869
Franklin Resources, Inc.	32,950	2,536
Freddie Mac	114,786	7,487
Golden West Financial Corp.	47,000	3,026
Goldman Sachs Group, Inc.	73,500	7,498
The Hartford Financial Services Group, Inc.	49,350	3,690
Huntington Bancshares, Inc.	38,642	933
Janus Capital Group, Inc.	37,729	567
Jefferson-Pilot Corp.	22,634	1,141
JPMorgan Chase & Co.	585,097	20,666
KeyCorp	67,775	2,247
Lehman Brothers Holdings, Inc.	46,022	4,569
Lincoln National Corp.	28,840	1,353
Loews Corp.	26,567	2,059
M&T Bank Corp.	16,300	1,714
Marsh & McLennan Companies, Inc.	88,580	2,454
Marshall & Ilsley Corp.	35,400	1,574
MBIA, Inc.	22,550	1,337
MBNA Corp.	210,815	5,515
Mellon Financial Corp.	70,368	2,019
Merrill Lynch & Co., Inc.	157,200	8,648
MetLife, Inc.	121,936	5,480
MGIC Investment Corp.	15,700	1,024
Moody’s Corp.	45,950	2,066
Morgan Stanley	182,213	9,561
National City Corp.	98,797	3,371

Index 500 Stock Portfolio

45

Index 500 Stock Portfolio

Common Stocks (98.1%)	Shares/ $ Par	Value $ (000’s)
Financials continued
North Fork Bancorporation, Inc.	79,450	2,232
Northern Trust Corp.	33,850	1,543
Plum Creek Timber Co., Inc. (REIT)	30,600	1,111
PNC Financial Services Group, Inc.	47,167	2,569
Principal Financial Group, Inc.	48,800	2,045
The Progressive Corp.	33,100	3,271
ProLogis	31,000	1,247
*Providian Financial Corp.	48,957	863
Prudential Financial, Inc.	86,800	5,699
Regions Financial Corp.	77,130	2,613
SAFECO Corp.	21,150	1,149
Simon Property Group, Inc.	36,500	2,646
SLM Corp.	69,742	3,543
Sovereign Bancorp, Inc.	60,600	1,354
The St. Paul Travelers Companies, Inc.	112,010	4,428
State Street Corp.	55,000	2,654
SunTrust Banks, Inc.	56,533	4,084
Synovus Financial Corp.	51,750	1,484
T. Rowe Price Group, Inc.	20,600	1,290
Torchmark Corp.	17,350	906
U.S. Bancorp	304,721	8,898
UnumProvident Corp.	49,531	907
Wachovia Corp.	262,157	13,003
Washington Mutual, Inc.	145,887	5,936
Wells Fargo & Co.	280,580	17,278
XL Capital, Ltd. — Class A	23,300	1,734
Zions Bancorporation	14,900	1,096
Total		368,138
Health Care (13.1%)
Abbott Laboratories	257,850	12,637
*Aetna, Inc.	48,254	3,996
Allergan, Inc.	21,667	1,847
AmerisourceBergen Corp.	17,500	1,210
*Amgen, Inc.	205,717	12,438
Applera Corp. — Applied Biosystems Group	32,733	644
Bausch & Lomb, Inc.	8,900	739
Baxter International, Inc.	103,200	3,829
Becton, Dickinson and Co.	41,950	2,201
*Biogen Idec, Inc.	57,290	1,974
Biomet, Inc.	41,845	1,450
*Boston Scientific Corp.	124,672	3,366
Bristol-Myers Squibb Co.	324,908	8,116
C. R. Bard, Inc.	17,500	1,164
Cardinal Health, Inc.	71,225	4,101
*Caremark Rx, Inc.	75,400	3,357
*Chiron Corp.	24,622	859
CIGNA Corp.	21,729	2,326
Eli Lilly and Co.	188,406	10,496
*Express Scripts, Inc.	24,600	1,230
*Fisher Scientific International, Inc.	20,000	1,298
*Forest Laboratories, Inc.	56,566	2,198
*Genzyme Corp.	41,900	2,518
*Gilead Sciences, Inc.	75,100	3,304
Guidant Corp.	53,988	3,633
HCA, Inc.	69,711	3,951

Common Stocks (98.1%)	Shares/ $ Par	Value $ (000’s)
Health Care continued
Health Management Associates, Inc. — Class A	41,000	1,073
*Hospira, Inc.	26,265	1,024
*Humana, Inc.	26,900	1,069
IMS Health, Inc.	37,667	933
Johnson & Johnson	494,437	32,138
*King Pharmaceuticals, Inc.	40,166	419
*Laboratory Corporation of America Holdings	22,400	1,118
Manor Care, Inc.	14,400	572
McKesson Corp.	49,105	2,199
*Medco Health Solutions, Inc.	46,072	2,458
*MedImmune, Inc.	41,200	1,101
Medtronic, Inc.	201,100	10,415
Merck & Co., Inc.	366,320	11,283
*Millipore Corp.	8,300	471
Mylan Laboratories, Inc.	44,800	862
PerkinElmer, Inc.	21,600	408
Pfizer, Inc.	1,236,234	34,094
Quest Diagnostics, Inc.	30,300	1,614
Schering-Plough Corp.	245,250	4,674
*St. Jude Medical, Inc.	60,200	2,625
Stryker Corp.	62,300	2,963
*Tenet Healthcare Corp.	77,950	954
*Thermo Electron Corp.	26,800	720
UnitedHealth Group, Inc.	210,544	10,978
*Waters Corp.	19,500	725
*Watson Pharmaceuticals, Inc.	18,300	541
*WellPoint, Inc.	101,900	7,096
Wyeth	222,529	9,903
*Zimmer Holdings, Inc.	41,037	3,126
Total		242,438
Industrials (11.0%)
3M Co.	127,976	9,253
*Allied Waste Industries, Inc.	45,050	357
American Power Conversion Corp.	30,150	711
American Standard Companies, Inc.	29,700	1,245
Avery Dennison Corp.	16,850	892
The Boeing Co.	137,376	9,067
Burlington Northern Santa Fe Corp.	62,585	2,947
Caterpillar, Inc.	56,788	5,412
Cendant Corp.	174,833	3,911
Cintas Corp.	24,933	962
Cooper Industries, Ltd. — Class A	15,400	984
CSX Corp.	36,050	1,538
Cummins, Inc.	7,200	537
Danaher Corp.	45,800	2,397
Deere & Co.	40,960	2,682
*Delta Air Lines, Inc.	23,367	88
Dover Corp.	33,867	1,232
Eaton Corp.	25,100	1,503
Emerson Electric Co.	69,250	4,337
Equifax, Inc.	21,600	771
FedEx Corp.	50,220	4,068
Fluor Corp.	14,400	829
General Dynamics Corp.	33,300	3,648

46

Index 500 Stock Portfolio

Index 500 Stock Portfolio

Common Stocks (98.1%)	Shares/ $ Par	Value $ (000’s)
Industrials continued
General Electric Co.	1,763,406	61,101
Goodrich Corp.	20,000	819
Honeywell International, Inc.	141,850	5,196
Illinois Tool Works, Inc.	45,400	3,617
Ingersoll-Rand Co., Ltd. — Class A	27,980	1,996
ITT Industries, Inc.	15,300	1,494
L-3 Communications Holdings, Inc.	19,700	1,509
Lockheed Martin Corp.	67,208	4,360
Masco Corp.	72,100	2,290
*Monster Worldwide, Inc.	20,067	576
*Navistar International Corp.	10,950	350
Norfolk Southern Corp.	67,257	2,082
Northrop Grumman Corp.	59,720	3,300
PACCAR, Inc.	28,907	1,966
Pall Corp.	20,650	627
Parker Hannifin Corp.	19,975	1,239
Pitney Bowes, Inc.	38,237	1,665
R. R. Donnelley & Sons Co.	35,434	1,223
Raytheon Co.	75,200	2,942
Robert Half International, Inc.	26,540	663
Rockwell Automation, Inc.	29,050	1,415
Rockwell Collins, Inc.	29,650	1,414
Ryder System, Inc.	10,700	392
Southwest Airlines Co.	122,667	1,709
Textron, Inc.	22,450	1,703
Tyco International, Ltd.	335,808	9,806
Union Pacific Corp.	43,760	2,836
United Parcel Service, Inc. — Class B	185,200	12,808
United Technologies Corp.	170,234	8,742
W.W. Grainger, Inc.	13,900	762
Waste Management, Inc.	94,485	2,678
Total		202,651
Information Technology (14.9%)
*ADC Telecommunications, Inc.	19,264	419
Adobe Systems, Inc.	81,250	2,325
*Advanced Micro Devices, Inc.	65,700	1,139
*Affiliated Computer Services, Inc. — Class A	21,000	1,073
*Agilent Technologies, Inc.	71,937	1,656
*Altera Corp.	61,811	1,225
Analog Devices, Inc.	61,557	2,297
*Andrew Corp.	26,937	344
*Apple Computer, Inc.	137,000	5,043
Applied Materials, Inc.	273,300	4,422
*Applied Micro Circuits Corp.	51,000	131
Autodesk, Inc.	37,968	1,305
Automatic Data Processing, Inc.	96,950	4,069
*Avaya, Inc.	79,316	660
*BMC Software, Inc.	36,860	662
*Broadcom Corp. — Class A	48,700	1,729
*CIENA Corp.	95,500	200
*Cisco Systems, Inc.	1,062,600	20,306
*Citrix Systems, Inc.	28,120	609
Computer Associates International, Inc.	88,492	2,432
*Computer Sciences Corp.	30,650	1,339
*Compuware Corp.	64,557	464
*Comverse Technology, Inc.	33,300	788

Common Stocks (98.1%)	Shares/ $ Par	Value $ (000’s)
Information Technology continued
*Convergys Corp.	23,650	336
*Corning, Inc.	241,000	4,005
*Dell, Inc.	402,533	15,904
*Electronic Arts, Inc.	51,000	2,887
Electronic Data Systems Corp.	86,267	1,661
*EMC Corp.	399,474	5,477
First Data Corp.	129,432	5,195
*Fiserv, Inc.	31,825	1,367
Freescale Semiconductor Inc.	66,823	1,415
*Gateway, Inc.	49,350	163
Hewlett-Packard Co.	479,926	11,283
Intel Corp.	1,026,363	26,748
International Business Machines Corp.	268,239	19,903
*Intuit, Inc.	30,800	1,389
*Jabil Circuit, Inc.	30,567	939
*JDS Uniphase Corp.	240,800	366
KLA-Tencor Corp.	32,700	1,429
*Lexmark International, Inc. — Class A	21,100	1,368
Linear Technology Corp.	50,850	1,866
*LSI Logic Corp.	64,200	545
*Lucent Technologies, Inc.	736,636	2,144
Maxim Integrated Products, Inc.	54,500	2,082
*Mercury Interactive Corp.	14,400	552
*Micron Technology, Inc.	102,250	1,044
Microsoft Corp.	1,670,700	41,501
Molex, Inc.	27,950	728
Motorola, Inc.	407,777	7,446
National Semiconductor Corp.	58,086	1,280
*NCR Corp.	31,100	1,092
*Network Appliance, Inc.	60,900	1,722
*Novell, Inc.	63,300	392
*Novellus Systems, Inc.	23,000	568
*NVIDIA Corp.	28,100	751
*Oracle Corp.	735,225	9,705
*Parametric Technology Corp.	45,180	288
Paychex, Inc.	59,135	1,924
*PMC-Sierra, Inc.	30,000	280
*QLogic Corp.	15,150	468
QUALCOMM, Inc.	271,634	8,967
Sabre Holdings Corp. — Class A	21,767	434
*Sanmina-SCI Corp.	87,400	478
Scientific-Atlanta, Inc.	25,300	842
Siebel Systems, Inc.	85,900	765
*Solectron Corp.	161,600	612
*Sun Microsystems, Inc.	566,297	2,112
*SunGard Data Systems, Inc.	48,200	1,695
*Symantec Corp.	118,300	2,572
Symbol Technologies, Inc.	40,350	398
Tektronix, Inc.	14,760	343
*Tellabs, Inc.	74,492	648
*Teradyne, Inc.	32,450	388
Texas Instruments, Inc.	276,400	7,759
*Unisys Corp.	56,250	356
*VERITAS Software Corp.	71,032	1,733
*Xerox Corp.	159,300	2,197
Xilinx, Inc.	58,300	1,487
*Yahoo!, Inc.	218,300	7,564
Total		274,200

Index 500 Stock Portfolio

47

Index 500 Stock Portfolio

Common Stocks (98.1%)	Shares/ $ Par	Value $ (000’s)
Materials (2.9%)
Air Products and Chemicals, Inc.	38,167	2,301
Alcoa, Inc.	145,007	3,789
Allegheny Technologies, Inc.	14,917	329
Ball Corp.	18,332	659
Bemis Co., Inc.	17,800	472
The Dow Chemical Co.	159,809	7,116
E. I. du Pont de Nemours and Co.	165,628	7,125
Eastman Chemical Co.	13,325	735
Ecolab, Inc.	36,500	1,181
Engelhard Corp.	20,100	574
Freeport-McMoRan Copper & Gold, Inc. — Class B	29,881	1,119
Georgia-Pacific Corp.	43,204	1,374
Great Lakes Chemical Corp.	8,600	271
*Hercules, Inc.	18,700	265
International Flavors & Fragrances, Inc.	14,700	532
International Paper Co.	81,566	2,464
Louisiana-Pacific Corp.	18,400	452
MeadWestvaco Corp.	30,979	869
Monsanto Co.	44,553	2,801
Newmont Mining Corp.	74,180	2,895
Nucor Corp.	26,666	1,217
*Pactiv Corp.	24,800	535
Phelps Dodge Corp.	16,124	1,491
PPG Industries, Inc.	28,567	1,793
Praxair, Inc.	53,800	2,507
Rohm and Haas Co.	32,080	1,487
*Sealed Air Corp.	13,921	693
Sigma-Aldrich Corp.	11,500	644
Temple-Inland, Inc.	20,700	769
United States Steel Corp.	18,950	651
Vulcan Materials Co.	17,000	1,105
Weyerhaeuser Co.	40,680	2,589
Total		52,804
Telecommunication Services (3.1%)
ALLTEL Corp.	54,357	3,385
AT&T Corp.	133,207	2,536
BellSouth Corp.	304,465	8,090
CenturyTel, Inc.	21,800	755
Citizens Communications Co.	56,600	761
*Nextel Communications, Inc. — Class A	187,150	6,047
*Qwest Communications International, Inc.	278,035	1,032
SBC Communications, Inc.	549,247	13,045
Sprint Corp.	245,989	6,172
Verizon Communications, Inc.	460,142	15,897
Total		57,720
Utilities (3.4%)
*The AES Corp.	108,600	1,779
*Allegheny Energy, Inc.	27,000	681

Common Stocks (98.1%)	Shares/ $ Par	Value $ (000’s)
Utilities continued
Ameren Corp.	33,767	1,867
American Electric Power Co., Inc.	63,840	2,354
*Calpine Corp.	89,160	303
Centerpoint Energy, Inc.	48,262	638
Cinergy Corp.	32,984	1,478
*CMS Energy Corp.	36,400	548
Consolidated Edison, Inc.	40,450	1,895
Constellation Energy Group	29,500	1,702
Dominion Resources, Inc.	56,595	4,154
DTE Energy Co.	28,950	1,354
Duke Energy Corp.	154,130	4,582
*Dynegy, Inc. — Class A	55,200	268
Edison International	54,220	2,199
Entergy Corp.	35,209	2,660
Exelon Corp.	111,224	5,708
FirstEnergy Corp.	54,865	2,640
FPL Group, Inc.	65,214	2,743
KeySpan Corp.	28,800	1,172
Nicor, Inc.	7,350	303
NiSource, Inc.	45,173	1,117
Peoples Energy Corp.	6,300	274
PG&E Corp.	61,525	2,310
Pinnacle West Capital Corp.	16,400	729
PPL Corp.	31,534	1,872
Progress Energy, Inc.	41,392	1,873
Public Service Enterprise Group, Inc.	39,736	2,417
Sempra Energy	39,802	1,644
The Southern Co.	123,800	4,292
TECO Energy, Inc.	34,400	651
TXU Corp.	39,865	3,312
Xcel Energy, Inc.	66,920	1,306
Total		62,825
Total Common Stocks (Cost: $1,383,892)		1,810,677
Money Market Investments (1.8%)
Federal Government & Agencies (0.2%)
(b)Freddie Discount, 3.29%, 9/20/05	3,000,000	2,977
Total		2,977
Finance Lessors (0.6%)
(b)Thunder Bay Funding, Inc., 3.09%, 7/7/05	10,000,000	9,996
Total		9,996
National Commercial Banks (0.5%)
(b)UBS Finance Delaware LLC, 3.37%, 7/1/05	9,400,000	9,400
Total		9,400

48

Index 500 Stock Portfolio

Index 500 Stock Portfolio

Money Market Investments (1.8%)	Shares/ $ Par	Value $ (000’s)
Utilities (0.5%)
(b)National Rural Utility, 3.27%, 7/28/05	10,000,000	9,975
Total		9,975
Total Money Market Investments (Cost: $32,348)		32,348
Total Investments (99.9%) (Cost $1,416,240)(a)		1,843,025
Other Assets, Less Liabilities (0.1%)		1,668
Total Net Assets (100.0%)		1,844,693

* Non-Income Producing

(a) At June 30, 2005 the aggregate cost of securities for federal tax purposes (in thousands) was $1,416,240 and the net unrealized appreciation of investments based on that cost was $426,785 which is comprised of $598,145 aggregate gross unrealized appreciation and $171,360 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.

Issuer (000’s)	Number of Contracts	Expiration Date	Unrealized Appreciation / (Depreciation) (000’s)
S&P 500 Index Futures (Long)	107	9/05	$	(271	)
(Total Notional Value at June 30, 2005, $32,250)

The Accompanying Notes are an Integral Part of the Financial Statements

Index 500 Stock Portfolio

49

Asset Allocation Portfolio

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value January 1, 2005		Ending Account Value June 30, 2005		Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual	$	1,000.00	$	1,009.10	$	3.01
Hypothetical (5% return before expenses)	$	1,000.00	$	1,021.49	$	3.03

* Expenses are equal to the Fund’s annualized expense ratio of 0.60%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

50

Asset Allocation Portfolio

Asset Allocation Portfolio

Northwestern Mutual Series Fund, Inc.

Schedule of Investments

June 30, 2005 (unaudited)

Domestic Common Stocks and Warrants (37.6%)	Shares/ $ Par	Value $ (000’s)
Large Cap Common Stocks (25.1%)
Consumer Discretionary (4.5%)
*Bed Bath & Beyond, Inc.	6,300	263
Best Buy Co., Inc.	5,200	356
Carnival Corp.	9,900	533
*Comcast Corp. — Class A	9,600	295
*eBay, Inc.	5,300	175
Fortune Brands, Inc.	11,500	1,021
Harley-Davidson, Inc.	5,500	273
J. C. Penney Co., Inc.	13,900	731
*Kohl’s Corp.	7,900	442
Lowe’s Companies, Inc.	8,900	518
McDonald’s Corp.	13,700	380
The McGraw-Hill Companies, Inc.	12,600	558
News Corp. — Class A	29,200	472
NIKE, Inc. — Class B	6,000	520
Omnicom Group, Inc.	7,800	623
Staples, Inc.	23,850	508
Starwood Hotels & Resorts Worldwide, Inc.	4,800	281
Target Corp.	20,100	1,094
*Time Warner, Inc.	24,100	403
Viacom, Inc. — Class B	5,600	179
Total Consumer Discretionary		9,625
Consumer Staples (1.9%)
Altria Group, Inc.	15,600	1,010
Avon Products, Inc.	11,400	431
PepsiCo, Inc.	14,600	787
The Procter & Gamble Co.	12,400	654
Wal-Mart Stores, Inc.	17,200	829
Walgreen Co.	10,700	492
Total Consumer Staples		4,203
Energy (2.0%)
BP Amoco PLC, ADR	4,300	268
ConocoPhillips	12,600	725
EOG Resources, Inc.	16,800	955
Exxon Mobil Corp.	17,600	1,012
Halliburton Co.	13,900	665
Noble Corp.	9,600	590
Total Energy		4,215
Financials (3.6%)
American Express Co.	8,000	426
American International Group, Inc.	12,900	749
Capital One Financial Corp.	5,200	416
The Chubb Corp.	7,300	625
Citigroup, Inc.	17,100	791
Freddie Mac	3,700	241
Genworth Financial, Inc.	13,900	420
The Goldman Sachs Group, Inc.	4,300	439
Legg Mason, Inc.	4,200	437
Lehman Brothers Holdings, Inc.	5,000	496

Large Cap Common Stocks (25.1%)	Shares/ $ Par	Value $ (000’s)
Financials continued
Prudential Financial, Inc.	10,600	696
U.S. Bancorp	19,200	561
Wachovia Corp.	8,900	441
Wells Fargo & Co.	15,600	962
Total Financials		7,700
Health Care (4.3%)
Abbott Laboratories	14,600	716
*Aetna, Inc.	3,300	273
*Amgen, Inc.	16,200	979
*Caremark Rx, Inc.	12,800	570
Eli Lilly and Co.	8,400	468
*Fisher Scientific International, Inc.	8,500	552
*Genentech, Inc.	7,600	610
*Gilead Sciences, Inc.	12,400	545
Johnson & Johnson	14,600	949
Medtronic, Inc.	12,700	658
Novartis AG, ADR	5,200	247
Pfizer, Inc.	28,000	772
*St. Jude Medical, Inc.	14,800	645
Teva Pharmaceutical Industries, Ltd., ADR	16,700	520
UnitedHealth Group, Inc.	6,400	334
*Zimmer Holdings, Inc.	6,400	487
Total Health Care		9,325
Industrials (2.1%)
3M Co.	3,000	217
American Standard Companies, Inc.	9,700	407
Burlington Northern Santa Fe Corp.	10,900	513
Caterpillar, Inc.	3,600	343
FedEx Corp.	5,900	478
General Electric Co.	55,200	1,914
Tyco International, Ltd.	20,100	587
Total Industrials		4,459
Information Technology (5.6%)
*Accenture Ltd. — Class A	19,100	433
*Advanced Micro Devices, Inc.	15,400	267
*Affiliated Computer Services, Inc. — Class A	9,300	475
*Amdocs, Ltd.	11,500	304
*ASML Holding N.V.	25,200	395
*Broadcom Corp. — Class A	11,800	419
*Cisco Systems, Inc.	44,900	858
*Dell, Inc.	21,200	838
*Electronic Arts, Inc.	2,100	119
First Data Corp.	12,300	494
*Fiserv, Inc.	5,900	253
*Google, Inc. — Class A	1,300	382
Intel Corp.	28,200	735
International Business Machines Corp.	8,100	601
*Lexmark International, Inc. — Class A	5,700	370
Microsoft Corp.	60,400	1,500
National Semiconductor Corp.	25,300	557

Asset Allocation Portfolio

51

Asset Allocation Portfolio

Large Cap Common Stocks (25.1%)	Shares/ $ Par	Value $ (000’s)
Information Technology continued
*Oracle Corp.	32,400	428
QUALCOMM, Inc.	7,500	248
Seagate Technology, ADR	25,800	453
Taiwan Semiconductor, ADR	39,572	361
Telefonaktiebolget LM Ericsson, ADR	12,500	399
Texas Instruments, Inc.	16,800	472
*VeriSign, Inc.	15,100	434
*Yahoo!, Inc.	11,766	408
Total Information Technology		12,203
Materials (0.7%)
Alcoa, Inc.	16,900	442
Praxair, Inc.	13,100	610
Weyerhaeuser Co.	7,200	458
Total Materials		1,510
Telecommunication Services (0.4%)
Sprint Corp.	11,000	276
Vodafone Group PLC, ADR	19,700	479
Total Telecommunication Services		755
Total Large Cap Common Stocks		53,995
Small Cap Common Stocks (12.5%)
Consumer Discretionary (2.9%)
*AnnTaylor Stores Corp.	10,425	253
*Beacon Roofing Supply, Inc.	2,300	60
*The Cheesecake Factory, Inc.	2,800	97
Choice Hotels International, Inc.	3,900	256
*Coach, Inc.	8,600	289
*Digital Theater Systems, Inc.	9,800	175
*DSW, Inc. — Class A	168	4
Garmin Ltd.	4,500	192
*Hibbett Sporting Goods, Inc.	5,700	216
Jones Apparel Group, Inc.	5,500	171
*Lamar Advertising Co. — Class A	8,700	372
Leggett & Platt, Inc.	20,200	537
Michaels Stores, Inc.	17,600	728
*O’Reilly Automotive, Inc.	38,800	1,158
Orient-Express Hotel, Ltd. — Class A	9,600	304
*Payless ShoeSource, Inc.	2,700	52
*Pinnacle Entertainment, Inc.	9,200	180
*Pixar, Inc.	5,800	290
Polaris Industries, Inc.	1,500	81
*Scientific Games Corp.	9,100	245
*Sharper Image Corp.	6,000	76
Station Casinos, Inc.	5,400	359
The Talbots, Inc.	6,500	211
*Volcom, Inc.	84	2
Total Consumer Discretionary		6,308
Energy (1.0%)
BJ Services Co.	5,800	304
CARBO Ceramics, Inc.	1,500	118
*Grant Prideco, Inc.	4,700	124
*Grey Wolf, Inc.	17,400	129
*National Oilwell Varco, Inc.	12,200	580

Small Cap Common Stocks (12.5%)	Shares/ $ Par	Value $ (000’s)
Energy continued
*Newfield Exploration Co.	5,400	215
Patterson-UTI Energy, Inc.	7,500	209
Range Resources Corp.	4,000	108
Smith International, Inc.	5,200	331
Total Energy		2,118
Financials (0.7%)
Assured Guaranty, Ltd.	7,500	175
BankAtlantic Bancorp, Inc. — Class A	7,500	142
*CapitalSource, Inc.	9,100	179
Greater Bay Bancorp	2,100	55
Greenhill & Co., Inc.	2,900	117
Investors Financial Services Corp.	7,800	295
Main Street Banks, Inc.	1,700	43
Optionsxpress Holdings, Inc.	3,261	50
*SVB Financial Group	3,800	182
*Trammell Crow Co.	9,800	238
Total Financials		1,476
Health Care (3.2%)
*The Advisory Board Co.	1,900	93
*Angiotech Pharmaceuticals, Inc., ADR	10,300	143
*Caremark Rx, Inc.	13,136	585
*Cytyc Corp.	9,600	212
*DaVita, Inc.	30,950	1,408
Health Management Associates, Inc. — Class A	17,000	445
*Horizon Health Corp.	3,400	80
*Impax Laboratories, Inc.	9,400	148
*Kinetic Concepts, Inc.	6,800	408
*Kyphon, Inc.	7,600	264
*Lincare Holdings, Inc.	16,700	682
*Patterson Companies, Inc.	12,200	550
*Providence Service Corp.	1,300	32
*Psychiatric Solutions, Inc.	5,900	287
*Radiation Therapy Services, Inc.	8,000	212
*Renal Care Group, Inc.	16,100	742
*Syneron Medical Ltd., ADR	2,500	91
Universal Health Services, Inc. — Class B	2,800	174
*Varian Medical Systems Inc.	6,500	243
*Waters Corp.	1,500	56
Total Health Care		6,855
Industrials (1.4%)
Brady Corp. — Class A	3,500	109
C.H. Robinson Worldwide, Inc.	8,700	506
The Corporate Executive Board Co.	2,900	227
Expeditors International of Washington, Inc.	2,800	139
Forward Air Corp.	5,500	155
J.B. Hunt Transport Services, Inc.	6,700	129
Knight Transportation, Inc.	15,525	378
L-3 Communications Holdings, Inc.	3,000	230
*Marlin Business Services, Inc.	7,800	157
MSC Industrial Direct Co., Inc. — Class A	13,700	462
Pentair, Inc.	3,500	150
Robert Half International, Inc.	10,500	262
*Stericycle, Inc.	1,300	65
Total Industrials		2,969

52

Asset Allocation Portfolio

Asset Allocation Portfolio

Small Cap Common Stocks (12.5%)	Shares/ $ Par	Value $ (000’s)
Information Technology (3.3%)
*Activision, Inc.	19,966	330
*Alliance Data Systems Corp.	1,200	49
*Altera Corp.	12,700	252
*Amdocs, Ltd.	11,000	291
Amphenol Corp. — Class A	8,400	337
*Blackboard, Inc.	1,000	24
CDW Corp.	4,400	251
*CheckFree Corp.	2,700	92
*Cogent, Inc.	14,000	400
*Cognos, Inc.	7,400	253
*Cree, Inc.	8,600	219
*Digital River, Inc.	8,600	273
*Essex Corp.	6,700	153
*FLIR Systems, Inc.	3,400	101
*Genesis Microchip, Inc.	9,500	175
Harris Corp.	7,900	247
*Hewitt Associates, Inc.	9,200	244
*Integrated Circuit Systems, Inc.	14,000	289
*iPayment, Inc.	2,000	73
*Kanbay International, Inc.	5,423	125
KLA-Tencor Corp.	6,200	271
*Kronos Inc.	2,500	101
*Lam Research Corp.	11,400	330
Microchip Technology, Inc.	12,400	367
*MKS Instruments, Inc.	3,900	66
*NAVTEQ Corp.	5,000	186
Paychex, Inc.	9,400	306
*Semtech Corp.	8,000	133
*Sonic Solutions	2,600	48
*Tekelec	6,300	106
*Tessera Technologies, Inc.	6,000	200
*THQ, Inc.	4,100	120
*Verint Systems, Inc.	4,700	151
*VeriSign, Inc.	6,500	187
*Westell Technologies, Inc. — Class A	17,900	107
*Zebra Technologies Corp. — Class A	5,200	228
Total Information Technology		7,085
Telecommunication Services (0.0%)
*NeuStar, Inc. — Class A	900	23
Total Telecommunication Services		23
Total Small Cap Common Stocks		26,834
Warrants (0.0%)
Basic Materials (0.0%)
Sino Thai Engineering & Construction PCL — Warrant	32,733	3
Total Basic Materials		3
Foods (0.0%)
B&G Foods, Inc. — EIS	3,875	57
Total Foods		57
Information Technology (0.0%)
†Belluna Co., Ltd. — Warrant	307	0
Total Information Technology		0

Warrants (0.0%)	Country	Shares/ $ Par	Value $ (000’s)
Telecommunications (0.0%)
American Tower Corp. — Warrant		100	3
†IWO Holdings, Inc. — Warrant 144A		50	0
Total Telecommunications			3
Total Warrants			63
Total Domestic Common Stocks and Warrants (Cost: $68,873)			80,892
Foreign Common Stocks (15.6%)
Basic Materials (0.7%)
†BASF AG	Germany	3,285	218
†CRH PLC	Ireland	8,721	229
*Cumerio-Strip VVPR	Belgium	75	0
†K+S AG	Germany	4,395	243
†Nissan Chemical Industries, Ltd.	Japan	12,000	129
†Sumitomo Chemical Co., Ltd.	Japan	44,000	202
†*Syngenta AG	Switzerland	2,450	251
*Umicore-Strip VVPR	Belgium	75	0
†Wienerberger AG	Austria	5,576	258
Total Basic Materials			1,530
Conglomerates (0.4%)
†Grupo Ferrovial SA	Spain	7,515	482
iShares MSCI EAFE Index Fund	United States	4,315	226
†Nomura TOPIX Exchange Traded Fund	Japan	23,300	250
Total Conglomerates			958
Consumer Cyclical (2.9%)
†Bridgestone Corp.	Japan	13,000	249
Carnival Corp.	United Kingdom	4,895	275
†Entergisul Co., Ltd.	Korea	5,992	126
†Esprit Holdings, Ltd.	Hong Kong	58,000	417
Grupo Televisa SA, ADR	Mexico	1,900	118
†Hilton Group PLC	United Kingdom	17,235	88
†Hyundai Motor Co.	Korea	4,290	237
†Lagardere SCA	France	3,180	235
†Lottomatica SPA	Italy	6,160	200
†Mediaset SPA	Italy	17,810	210
†NHK Spring Co., Ltd.	Japan	31,000	260
†Nokian Renkaat OYJ	Finland	19,150	349
†*NorGani Hotels ASA	Norway	25,535	195
†OPAP SA	Greece	9,925	285
†Plenus Co., Ltd.	Japan	4,400	155
†Porsche AG	Germany	360	270
†Punch Taverns PLC	United Kingdom	25,640	336
†Ryohin Keikaku Co., Ltd.	Japan	3,300	163

Asset Allocation Portfolio

53

Asset Allocation Portfolio

Foreign Common Stocks (15.6%)	Country	Shares/ $ Par	Value $ (000’s)
Consumer Cyclical continued
†Signet Group PLC	United Kingdom	102,790	200
†*Sportingbet PLC	United Kingdom	45,970	269
†Square Enix Co., Ltd.	Japan	6,900	210
†Swatch Group AG	Switzerland	1,740	244
†*Take and Give Needs Co., Ltd.	Japan	60	66
†Techtronic Industries Co.	Hong Kong	121,500	306
*Urbi Desarrollos Urbanos SA	Mexico	22,815	125
†USS Co., Ltd.	Japan	620	40
†Vivendi Universal SA	France	7,750	243
Wal-Mart de Mexico — Series V	Mexico	64,085	260
†Wolseley PLC	United Kingdom	11,000	230
Total Consumer Cyclical			6,361
Consumer Non-Cyclical (1.4%)
†Coca-Cola Hellenic Bottling Co. SA	Greece	9,220	251
†Metro AG	Germany	4,000	198
Natura Cosmeticos SA	Brazil	8,020	256
†Nestle SA	Switzerland	925	236
†Nong Shim Co., Ltd.	Korea	775	224
†Puma AG	Germany	1,105	273
†Reckitt Benckiser PLC	United Kingdom	8,210	241
†*Royal Numico NV	Netherlands	5,975	238
†SABMiller, Inc.	United Kingdom	11,965	186
†Swedish Match AB	Sweden	28,400	323
†Tesco PLC	United Kingdom	56,825	325
†Woolworths, Ltd.	Australia	19,135	240
Total Consumer Non-Cyclical			2,991
Energy (1.1%)
†*Awilco Offshore ASA	Norway	24,135	104
†BG Group	United Kingdom	42,725	350
†BP PLC	United Kingdom	18,350	191
EnCana Corp.	Canada	9,150	366
†Eni SPA	Italy	10,845	279
†*Geo ASA	Norway	7,855	26
†*Revus Energy ASA	Norway	2,530	17
†Technip SA	France	6,392	297
†*TGS Nopec Geophysical Co. ASA	Norway	3,990	107
†Total SA	France	805	189
*Western Oil Sands, Inc.	Canada	19,350	379
Total Energy			2,305
Financials (3.2%)
†Admiral Group PLC	United Kingdom	33,535	223
†Allianz AG	Germany	2,025	232

Foreign Common Stocks (15.6%)	Country	Shares/ $ Par	Value $ (000’s)
Financials continued
†Alpha Bank AE	Greece	9,794	260
†Anglo Irish Bank Corp. PLC	Ireland	49,966	618
†Banca Fideuram	Italy	42,395	200
†*Banco Espanol de Credito SA	Spain	17,175	234
†Banco Popolare Di Verona	Italy	13,080	223
†Bangkok Bank PCL	Thailand	46,300	120
†Bank of Yokohama	Japan	39,000	224
†BNP Paribas SA	France	3,815	261
†Chiba Bank, Ltd.	Japan	36,000	236
†Credit Saison Co, Ltd.	Japan	6,600	219
†Credit Suisse Group	Switzerland	6,075	238
†DNB NOR ASA	Norway	28,030	291
†Erste Bank der oesterreichischen Sparkassen AG	Austria	6,775	340
†Fondiaria-Sai SPA	Italy	11,190	302
†ForeningsSparbanken AB	Sweden	10,955	240
†HSBC Holdings PLC	Hong Kong	13,453	215
†Hypo Real Estate Holding AG	Germany	4,830	183
†ING Groep NV	Netherlands	9,120	257
†Kookmin Bank	Korea	5,240	239
†Man Group PLC	United Kingdom	7,195	186
Manulife Financial Corp.	Canada	4,665	223
†MPC Muenchmeyer Petersen Capital AG	Germany	710	45
†OTP Bank	Hungary	11,060	374
†Prudential PLC	United Kingdom	27,895	247
†PT Bank Rakyat Indonesia	Indonesia	627,000	186
†*Raiffeisen International Bank Holding AG	Austria	1,930	123
†Storebrand ASA	Norway	32,240	302
Total Financials			7,041
Health Care (1.2%)
†*Capio AB	Sweden	16,845	248
†CSL, Ltd.	Australia	7,910	202
†*Elekta AB	Sweden	7,095	294
†GN Store Nord A/S	Denmark	19,955	226
†Nobel Biocare Holding AG	Switzerland	1,195	242
†Roche Holding AG	Switzerland	2,710	341
†Schwarz Pharma AG	Germany	6,085	276
†Smith & Nephew PLC	United Kingdom	24,785	244
†Stada Arzneimittel AG	Germany	7,865	286
†Synthes, Inc.	Switzerland	2,095	230
Total Health Care			2,589

54

Asset Allocation Portfolio

Asset Allocation Portfolio

Foreign Common Stocks (15.6%)	Country	Shares/ $ Par	Value $ (000’s)
Industrial Goods and Services (2.0%)
†Atlas Copco AB	Sweden	15,315	242
†Capita Group PLC	United Kingdom	38,430	253
†Carbone Lorraine	France	3,670	174
†Chiyoda Corp.	Japan	33,000	405
†Cobham PLC	United Kingdom	6,325	160
†Daewoo Shipbuilding & Marine Engineering Co., Ltd.	Korea	7,820	149
†*Deutz AG	Germany	22,130	111
†Hays PLC	United Kingdom	77,700	180
†Intertek Group PLC	United Kingdom	15,625	196
Italian-Thai Development PCL	Thailand	258,700	60
†Kajima Corp.	Japan	38,000	140
†Keyence Corp.	Japan	900	201
†Koninklijke BAM Groep NV	Netherlands	4,130	273
†Kubota Corp.	Japan	51,000	279
†Meggitt PLC	United Kingdom	44,343	224
†Metso OYJ	Finland	11,090	241
†Neopost SA	France	3,725	328
Sino Thai Engineering & Construction PCL	Thailand	196,400	51
†Vinci SA	France	5,380	448
†Volvo AB	Sweden	5,110	207
Total Industrial Goods and Services			4,322
Technology (1.7%)
†*Axalto Holding NV	France	8,400	253
†Axell Corp.	Japan	50	221
†Canon, Inc.	Japan	4,900	257
†*CapGemini SA	France	6,930	219
†Ericsson LM—B Shares	Sweden	85,525	273
†*Gresham Computing PLC	United Kingdom	36,850	71
†Hoya Corp.	Japan	2,300	264
†Humax Co., Ltd.	Korea	5,765	80
†Indra Sistemas SA	Spain	14,715	292
†Infosys Technologies, Ltd.	India	4,296	232
†*Jusung Engineering Co., Ltd.	Korea	14,300	188
†*Kontron AG	Germany	26,281	222
†Nidec Corp.	Japan	2,000	211
†Solomon Systech International, Ltd.	Hong Kong	676,000	239
†Tamura Taiko Holdings, Inc.	Japan	1,000	8
†Tandberg ASA	Norway	17,915	191
†*Tandberg Television ASA	Norway	21,380	262
†Telechips, Inc.	Korea	9,027	167
Total Technology			3,650

Foreign Common Stocks (15.6%)	Country	Shares/ $ Par	Value $ (000’s)
Telecommunications (0.4%)
†Mobistar SA	Belgium	2,025	169
Rogers Communications, Inc.	Canada	5,400	177
†Telefonica SA	Spain	15,064	247
†Vodafone Group PLC	United Kingdom	66,765	162
Total Telecommunications			755
Transportation (0.3%)
Canadian National Railway Co.	Canada	3,525	208
†Fraport AG	Germany	4,320	185
†Kamigumi Co., Ltd.	Japan	25,000	192
Total Transportation			585
Utilities (0.3%)
†Iberdrola SA	Spain	11,420	300
†RWE AG	Germany	4,460	287
Total Utilities			587
Total Foreign Common Stocks (Cost: $26,508)			33,674

Revenue Bonds (0.2%)
Municipal Bonds—Revenue (0.2%)
Nashville & Davidson County, Tennessee Health and Educational Facilities Board of The Metropolitan Government, 0.00%, 6/1/21, RB	850,000	416
Total Revenue Bonds (Cost: $379)		416
Investment Grade Bonds (10.3%)
Aerospace/Defense (0.6%)
Boeing Capital Corp., 4.75%, 8/25/08	255,000	260
General Dynamics Corp., 3.00%, 5/15/08	305,000	296
L-3 Communications Corp., 5.875%, 1/15/15	130,000	126
Lockheed Martin Corp., 8.50%, 12/1/29	130,000	188
Raytheon Co., 5.50%, 11/15/12	305,000	320
Total Aerospace/Defense		1,190
Auto Manufacturing (0.1%)
General Motors Acceptance Corp., 5.625%, 5/15/09	200,000	188
General Motors Acceptance Corp., 6.75%, 12/1/14	35,000	31
Total Auto Manufacturing		219
Banking (1.4%)
Bank of America Corp., 7.40%, 1/15/11	250,000	286
Bank One Corp., 5.25%, 1/30/13	325,000	335
Chuo Mitsui Trust and Banking Co., 5.506%, 4/15/15 144A	255,000	251
Citigroup, Inc., 4.50%, 7/29/09	160,000	161
Compass Bank, 5.50%, 4/1/20	155,000	162

Asset Allocation Portfolio

55

Asset Allocation Portfolio

Investment Grade Bonds (10.3%)	Shares/ $ Par	Value $ (000’s)
Banking continued
National Australia Bank, Ltd., 4.80%, 4/6/10 144A	199,000	203
PNC Bank NA, 5.25%, 1/15/17	45,000	47
Rabobank Capital Fund II, 5.26%, 12/31/13 144A	60,000	62
U.S. Central Credit Union, 2.75%, 5/30/08	350,000	339
UnionBanCal Corp., 5.25%, 12/16/13	350,000	361
US Bank NA, 4.95%, 10/30/14	180,000	185
Wachovia Bank NA, 4.80%, 11/1/14	140,000	142
Washington Mutual, Inc., 5.00%, 3/22/12	255,000	260
World Savings Bank FSB, 4.125%, 12/15/09	345,000	343
Total Banking		3,137
Beverage/Bottling (0.3%)
Anheuser-Busch Companies, Inc., 7.50%, 3/15/12	23,000	27
Coca-Cola Enterprises, Inc., 5.25%, 5/15/07	125,000	128
Coca-Cola Enterprises, Inc., 5.375%, 8/15/06	75,000	76
Diageo PLC, 4.375%, 5/3/10	230,000	231
PepsiAmericas, Inc., 4.875%, 1/15/15	150,000	153
Total Beverage/Bottling		615
Cable/Media/Broadcasting/Satellite (1.0%)
Clear Channel Communications, Inc., 5.50%, 9/15/14	170,000	161
Clear Channel Communications, Inc., 5.50%, 12/15/16	215,000	199
Comcast Corp., 5.30%, 1/15/14	250,000	257
CSC Holdings, Inc., 7.25%, 7/15/08	130,000	130
Time Warner Entertainment Co. LP, 7.25%, 9/1/08	255,000	276
Time Warner Entertainment Co. LP, 8.375%, 7/15/33	85,000	113
Viacom, Inc., 5.625%, 5/1/07	1,000,000	1,022
Viacom, Inc., 7.875%, 7/30/30	95,000	111
Total Cable/Media/Broadcasting/Satellite		2,269
Conglomerate/Diversified Manufacturing (0.3%)
Cooper Industries, Inc., 5.50%, 11/1/09	200,000	208
Textron Financial Corp., 2.75%, 6/1/06	350,000	347
Total Conglomerate/Diversified Manufacturing		555
Consumer Products (0.2%)
The Clorox Co., 4.20%, 1/15/10	190,000	190
The Gillette Co., 2.50%, 6/1/08	350,000	337
Total Consumer Products		527

Investment Grade Bonds (10.3%)	Shares/ $ Par	Value $ (000’s)
Electric Utilities (1.3%)
Consumer Energy Co., 4.80%, 2/17/09	310,000	314
DTE Energy Co., 7.05%, 6/1/11	375,000	419
FPL Group Capital, Inc., 4.086%, 2/16/07	195,000	195
Indiana Michigan Power, 5.05%, 11/15/14	160,000	162
Kiowa Power Partners LLC, 4.811%, 12/30/13 144A	73,671	73
Kiowa Power Partners LLC, 5.737%, 3/30/21 144A	200,000	204
Oncor Electric Delivery, 6.375%, 1/15/15	70,000	78
PacifiCorp, 5.45%, 9/15/13	240,000	254
PPL Electric Utilities Corp., 4.30%, 6/1/13	375,000	365
Progress Energy, Inc., 4.50%, 6/1/10	178,000	179
Public Service Electric & Gas Corp., 5.00%, 1/1/13	100,000	103
Puget Energy, Inc., 3.363%, 6/1/08	115,000	112
Southern California Edison, 8.00%, 2/15/07	390,000	414
Virginia Electric & Power Co., 5.25%, 12/15/15	190,000	195
Total Electric Utilities		3,067
Gas Pipelines (0.3%)
Consolidated Natural Gas Co., 5.00%, 12/1/14	230,000	233
Enterprise Products Operating L.P., 4.95%, 6/1/10	410,000	412
Total Gas Pipelines		645
Health Care (0.1%)
Abbott Laboratories, 3.75%, 3/15/11	260,000	253
Total Health Care		253
Independent Finance (0.4%)
Household Finance Corp., 4.125%, 11/16/09	195,000	193
International Lease Finance Corp., 4.75%, 1/13/12	255,000	254
iStar Financial, Inc., 5.15%, 3/1/12	390,000	385
Total Independent Finance		832
Oil and Gas (0.5%)
Conoco Funding Co., 6.35%, 10/15/11	335,000	371
Kerr-McGee Corp., 6.95%, 7/1/24	125,000	129
Occidental Petroleum, 4.00%, 11/30/07	120,000	120
Occidental Petroleum, 10.125%, 9/15/09	120,000	145
Valero Energy Corp., 4.75%, 6/15/13	165,000	163
XTO Energy, Inc., 5.00%, 1/31/15	165,000	165
Total Oil and Gas		1,093

56

Asset Allocation Portfolio

Asset Allocation Portfolio

Investment Grade Bonds (10.3%)	Shares/ $ Par	Value $ (000’s)
Other Finance (0.1%)
SLM Corp., 4.00%, 1/15/10	255,000	252
Total Other Finance		252
Paper and Forest Products (0.2%)
Georgia-Pacific Corp., 7.70%, 6/15/15	130,000	148
Weyerhaeuser Co., 7.375%, 3/15/32	195,000	230
Total Paper and Forest Products		378
Property and Casualty Insurance (0.4%)
Berkley (WR) Corp., 9.875%, 5/15/08	600,000	689
Berkshire Hathaway Finance, 3.40%, 7/2/07	250,000	247
Total Property and Casualty Insurance		936
Railroads (0.4%)
Burlington Northern Santa Fe, 6.125%, 3/15/09	240,000	255
Union Pacific Corp., 3.875%, 2/15/09	240,000	236
Union Pacific Corp., 7.375%, 9/15/09	240,000	267
Total Railroads		758
Real Estate Investment Trusts (0.2%)
ERP Operating LP, 5.25%, 9/15/14	300,000	306
First Industrial LP, 5.25%, 6/15/09	50,000	51
Total Real Estate Investment Trusts		357
Retail Food and Drug (0.4%)
Albertson’s, Inc., 7.50%, 2/15/11	255,000	287
CVS Corp., 4.00%, 9/15/09	233,000	231
Safeway, Inc., 6.50%, 3/1/11	255,000	276
Total Retail Food and Drug		794
Retail Stores (0.6%)
Federated Department Stores, 6.30%, 4/1/09	320,000	340
May Department Stores Co., 6.70%, 7/15/34	130,000	145
Target Corp., 5.40%, 10/1/08	715,000	744
Total Retail Stores		1,229
Security Brokers and Dealers (0.5%)
Credit Suisse First Boston USA, Inc., 4.70%, 6/1/09	80,000	81
Goldman Sachs Group, Inc., 5.15%, 1/15/14	350,000	359
Lehman Brothers Holdings, 4.25%, 1/27/10	330,000	329
Morgan Stanley, 5.30%, 3/1/13	325,000	338
Total Security Brokers and Dealers		1,107
Telecommunications (0.8%)
ALLTELL Corp., 4.656%, 5/17/07	100,000	101
BellSouth Corp., 6.55%, 6/15/34	130,000	148
Cingular Wireless LLC, 7.125%, 12/15/31	130,000	156
France Telecom SA, 8.00%, 3/1/11	260,000	302
SBC Communications, Inc., 6.15%, 9/15/34	65,000	70

Investment Grade Bonds (10.3%)	Shares/ $ Par	Value $ (000’s)
Telecommunications continued
Sprint Capital Corp., 8.375%, 3/15/12	335,000	403
Telecom Italia Capital SA, 4.00%, 1/15/10 144A	255,000	248
Telecom Italia Capital SA, 6.00%, 9/30/34 144A	55,000	56
Verizon Global Funding Corp., 4.375%, 6/1/13	100,000	99
Verizon Global Funding Corp., 7.75%, 12/1/30	80,000	103
Total Telecommunications		1,686
Yankee Sovereign (0.2%)
State of Israel, 7.25%, 12/15/28	350,000	419
Total Yankee Sovereign		419
Total Investment Grade Bonds (Cost: $22,237)		22,318
Governments (7.2%)
Governments (7.2%)
(e)BECCS, 14.00%, 11/15/11	500,000	474
Federal Home Loan Bank, 6.00%, 5/13/13	200,000	197
Housing & Urban Development, 6.08%, 8/1/13	100,000	110
Overseas Private Investment, 4.10%, 11/15/14	118,800	118
(e)Tennessee Valley Authority Stripped, 8.25%, 4/15/42	1,000,000	785
US Treasury, 2.25%, 4/30/06	3,192,000	3,159
US Treasury, 2.875%, 11/30/06	189,000	187
US Treasury, 3.50%, 5/31/07	110,000	110
US Treasury, 3.625%, 6/10/05	485,000	483
US Treasury, 3.625%, 4/30/07	3,657,000	3,654
US Treasury, 3.75%, 3/31/07	130,000	130
US Treasury, 3.875%, 5/15/10	30,000	30
US Treasury, 4.00%, 2/15/15	2,703,000	2,713
US Treasury, 4.125%, 5/15/15	1,552,000	1,575
US Treasury, 5.375%, 2/15/31	1,509,000	1,781
Total Governments (Cost: $15,415)		15,506
Structured Products (9.2%)
Structured Products (9.2%)
Banc of America Securities Auto Trust, Series 2005-WF1, Class A2, 3.89%, 6/18/08	1,415,000	1,415
Chase Manhattan Auto Owner Trust, Series 2005-A, Class A2, 3.72%, 12/15/07	1,402,000	1,400

Asset Allocation Portfolio

57

Asset Allocation Portfolio

Structured Products (9.2%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Federal Home Loan Mortgage Corp., 4.50%, 5/1/19	287,503	286
Federal Home Loan Mortgage Corp., 4.50%, 5/1/35	926,000	905
Federal Home Loan Mortgage Corp., 5.00%, 11/1/19	456,916	462
Federal Home Loan Mortgage Corp., 5.00%, 2/1/20	62,498	63
Federal Home Loan Mortgage Corp., 5.00%, 5/1/20	221,714	224
Federal Home Loan Mortgage Corp., 5.50%, 9/1/19	88,169	91
Federal Home Loan Mortgage Corp., 5.50%, 11/1/19	253,531	261
Federal Home Loan Mortgage Corp., 5.50%, 12/1/19	44,608	46
Federal Home Loan Mortgage Corp., 5.50%, 3/1/20	322,754	331
Federal Home Loan Mortgage Corp., 5.50%, 8/1/34	1,463,236	1,485
Federal Home Loan Mortgage Corp., 6.50%, 5/1/34	87,988	91
Federal Home Loan Mortgage Corp. TBA, 5.50%, 7/1/35	890,000	902
Federal National Mortgage Association, 4.50%, 6/1/19	570,057	568
Federal National Mortgage Association, 4.50%, 12/1/19	63,241	63
Federal National Mortgage Association, 5.00%, 3/1/20	261,259	265
Federal National Mortgage Association, 5.00%, 4/1/20	101,203	102
Federal National Mortgage Association, 5.00%, 5/1/20	188,396	191
Federal National Mortgage Association, 5.00%, 11/1/34	1,237,478	1,239
Federal National Mortgage Association, 5.00%, 4/1/35	209,316	210
Federal National Mortgage Association, 5.50%, 9/1/34	394,697	400
Federal National Mortgage Association, 5.50%, 10/1/34	749,459	760
Federal National Mortgage Association, 5.50%, 3/1/35	259,036	262
Federal National Mortgage Association, 6.00%, 10/1/34	743,065	762
Federal National Mortgage Association, 6.00%, 11/1/34	778,818	798
Federal National Mortgage Association, 6.00%, 5/1/35	220,134	226
Federal National Mortgage Association, 6.00%, 6/1/35	862,993	885
Federal National Mortgage Association, 6.00%, 7/1/35	560,000	574
Federal National Mortgage Association TBA, 5.00%, 8/1/35	2,231,534	2,227

Structured Products (9.2%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Federal National Mortgage Association TBA, 5.50%, 7/1/35	336,000	341
Honda Auto Receivables Owner Trust, Series 2005-3, Class A2, 3.73%, 10/18/07	1,390,000	1,388
Merrill Auto Trust Securitization, Series 2005-1, Class A2A, 3.90%, 4/25/08	730,000	730
Total Structured Products (Cost: $19,940)		19,953
Below Investment Grade Bonds (7.3%)
Aerospace/Defense (0.1%)
L-3 Communications Corp., 6.125%, 7/15/13	55,000	55
L-3 Communications Corp., 7.625%, 6/15/12	55,000	59
Total Aerospace/Defense		114
Autos/Vehicle Parts (0.2%)
Affinia Group, Inc., 9.00%, 11/30/14 144A	105,000	88
General Motors Acceptance Corp., 8.00%, 11/01/31	100,000	89
General Motors Corp., 8.375%, 7/15/33	20,000	17
The Goodyear Tire & Rubber Co., 9.00%, 7/1/15 144A	190,000	187
HLI Operating Co., 10.50%, 6/15/10	37,000	36
Metaldyne Corp., 10.00%, 11/1/13 144A	75,000	62
Visteon Corp., 8.25%, 8/1/10	65,000	60
Total Autos/Vehicle Parts		539
Basic Materials (0.9%)
Chemicals (0.3%)
BCP Caylux Holding, 9.625%, 6/15/14	70,000	78
Borden US Finance Corp., 9.00%, 7/15/14 144A	38,000	39
Crompton Corp., 9.875%, 8/1/12	31,000	36
Equistar Chemicals LP, 8.75%, 2/15/09	155,000	163
Equistar Chemicals LP, 10.625%, 5/1/11	80,000	88
Huntsman LLC, 11.50%, 7/15/12	50,000	59
Invista, 9.25%, 5/1/12 144A	130,000	142
Rockwood Specialties Group, Inc., 10.265%, 5/15/11	100,000	110
Total		715
Metals/Mining (0.1%)
Massey Energy Co., 6.625%, 11/15/10	75,000	77
Novelis Inc., 7.25%, 2/15/15 144A	122,000	122
Total		199

58

Asset Allocation Portfolio

Asset Allocation Portfolio

Below Investment Grade Bonds (7.3%)	Shares/ $ Par	Value $ (000’s)
Packaging/Containers (0.2%)
Anchor Glass Container, 11.00%, 2/15/13	110,000	86
Graham Packaging Co., 9.875%, 10/15/14 144A	107,000	107
Graphic Packaging International Corp., 9.50%, 8/15/13	110,000	111
Owens-Brockway Glass Container, Inc., 6.75%, 12/1/14	66,000	67
Owens-Brockway Glass Container, Inc., 7.75%, 5/15/11	75,000	80
Pliant Corp., 11.125%, 9/1/09	66,000	64
Total		515
Paper & Forest Products (0.3%)
Abitibi-Consolidated, Inc., 7.75%, 6/15/11	104,000	105
Appleton Papers, Inc., 9.75%, 6/15/14	80,000	77
Cascades Inc., 7.25%, 2/15/13	113,000	110
Domtar Inc., 7.875%, 10/15/11	170,000	180
Georgia-Pacific Corp., 8.125%, 5/15/11	130,000	147
(c)(f)JSG Holding PLC, 11.50%, 10/1/15 144A	32,623	32
Smurfit-Stone Container, 8.375%, 7/1/12	135,000	136
Total		787
Total Basic Materials		2,216
Builders/Building Materials (0.2%)
Building Materials (0.1%)
Ames True Temper, Inc., 10.00%, 7/15/12	124,000	100
Ply Gem Industries, Inc., 9.00%,2/15/12	124,000	105
Total		205
Home Builders (0.1%)
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	45,000	42
William Lyon Homes, 7.625%, 12/15/12	32,000	31
Total		194
Total Builders/Building Materials		399
Capital Goods (0.3%)
Amsted Industries, Inc., 10.25%, 10/15/11 144A	50,000	54
Case New Holland Inc., 9.25%, 8/1/11 144A	113,000	119
Case New Holland, Inc., 9.25%, 8/1/11 144A	49,000	51
Coleman Cable, Inc., 9.875%, 10/1/12 144A	70,000	62
DA-Lite Screen Co., Inc., 9.50%, 5/15/11	120,000	129
(e)Standadyne Corp., 0.00%, 2/15/15	160,000	86
Sup Essx Com & Essx Group, 9.00%, 4/15/12	60,000	59
Trimas Corp., 9.875%, 6/15/12	50,000	42
Total Capital Goods		602

Below Investment Grade Bonds (7.3%)	Shares/ $ Par	Value $ (000’s)
Consumer Products/Retailing (0.8%)
Consumer Products (0.3%)
ALH Finance LLC, 8.50%, 1/15/13	96,000	88
Amscan Holdings, Inc., 8.75%, 5/1/14	89,000	81
Hines Nurseries, Inc., 10.25%, 10/1/11	81,000	83
Jostens IH Corp., 7.625%, 10/1/12	52,000	51
Rent-A-Center, 7.50%, 5/1/10	190,000	190
Samsonite Corp., 8.875%, 6/1/11	99,000	105
(e)Simmons Co., 0.00%, 12/15/14 144A	135,000	61
Total		659
Retail Food & Drug (0.3%)
Delhaize America Inc., 8.125%, 4/15/11	310,000	349
The Jean Coutu Group (PJC), Inc., 8.50%, 8/1/14	181,000	179
Rite Aid Corp., 8.125%, 5/1/10	100,000	103
Stater Brothers Holdings, 8.125%, 6/15/12	51,000	50
Total		681
Textile/Apparel (0.2%)
Oxford Industries, Inc., 8.875%, 6/1/11	118,000	126
Perry Ellis International, Inc., 8.875%, 9/15/13	36,000	36
Phillips Van Heusen Corp., 7.25%, 2/15/11	100,000	105
Phillips Van Heusen Corp., 8.125%, 5/1/13	50,000	54
Warnaco, Inc., 8.875%, 6/15/13	50,000	55
Total		376
Total Consumer Products/Retailing		1,716
Energy (0.3%)
Gas Pipelines/Oil Field Services (0.1%)
El Paso Production Holding, 7.75%, 6/1/13	125,000	133
Harvest Operations Corp., 7.875%, 10/15/11	29,000	28
Total		161
Oil & Gas Exploration/Production (0.1%)
Chesapeake Energy Corp., 6.375%, 6/15/15 144A	58,000	59
Chesapeake Energy Corp., 6.625%, 1/15/06 144A	94,000	97
Kerr-McGee Corp., 6.875%, 9/15/11	125,000	133
Range Resources Corp., 6.375%, 3/15/15	72,000	72
Whiting Petroleum Corp., 7.25%, 5/1/13	83,000	85
Total		446
Oil Refining & Marketing (0.1%)
AmeriGas Partners, LP 7.25%, 5/20/15 144A	125,000	130
Total		130
Total Energy		737

Asset Allocation Portfolio

59

Asset Allocation Portfolio

Below Investment Grade Bonds (7.3%)	Shares/ $ Par	Value $ (000’s)
Financials (0.9%)
Financials Services (0.8%)
Dollar Financial Group, 9.75%, 11/15/11	75,000	77
Dow Jones Credit Derivative High Yield, 6.75%, 6/29/10 144A	850,000	851
Dow Jones Credit Derivative High Yield, 7.75%, 12/29/09 144A	350,000	354
LaBranche & Co., Inc., 9.50%, 5/15/09	75,000	79
LaBranche & Co., Inc., 11.00%, 5/15/12	63,000	68
Refco Finance Holdings, 9.00%, 8/1/12	151,000	160
Thornburg Mortgage, Inc., 8.00%, 5/15/2013	190,000	195
Total		1,784
Insurance (0.1%)
Crum and Forster Holding Corp., 10.375%, 6/15/13	50,000	54
Fairfax Financial Holdings, 7.75%, 4/26/12	115,000	109
Total		163
Total Financials		1,947
Foods (0.3%)
Food/Beverage/Tobacco (0.3%)
B&G Foods, Inc., 8.00%, 10/1/11	58,000	60
Gold Kist, Inc., 10.25%, 3/15/14	39,000	44
Land O Lakes, Inc., 9.00%, 12/15/10	92,000	99
Merisant Co., 9.50%, 7/15/13 144A	63,000	45
RJ Reynolds Tobacco Holdings, Inc., 7.25%, 6/1/12	55,000	56
RJ Reynolds Tobacco Holdings, Inc., 6.50%, 7/15/10 144A	135,000	135
Smithfield Foods, Inc., 7.00%, 8/1/11	75,000	79
Smithfield Foods, Inc., 7.75%,5/15/13	75,000	82
Total		600
Restaurants (0.0%)
Uno Restaurant Corp., 10.00%, 2/15/11 144A	12,000	11
Total		11
Total Foods		611
Gaming/Leisure/Lodging (0.7%)
Gaming (0.4%)
Boyd Gaming Corp., 7.75%, 12/15/12	75,000	80
(d)Hollywood Casino Shreveport, 13.00%, 8/1/06	50,000	41
Majestic Star Casino LLC, 9.50%, 10/15/10	55,000	57
MGM Mirage, Inc., 6.375%, 12/15/11	75,000	76
MGM Mirage, Inc., 6.75%, 9/1/12	50,000	52
MGM Mirage, Inc., 8.375%, 2/1/11	125,000	136
MGM Mirage, Inc., 8.50%, 9/15/10	65,000	72
Penn National Gaming, Inc., 6.75%, 3/1/15 144A	95,000	94
Station Casinos, Inc., 6.875%, 3/1/16	50,000	51
Wheeling Island Gaming, 10.125%, 12/15/09	75,000	80

Below Investment Grade Bonds (7.3%)	Shares/ $ Par	Value $ (000’s)
Gaming continued
Wynn Las Vegas LLC, 6.625%, 12/1/14 144A	155,000	151
Total		890
Leisure (0.2%)
LCE Acquisition Corp., 9.00%, 8/1/14 144A	133,000	129
Universal City Development Corp., 11.75%, 4/1/10	44,000	50
Universal City Florida, 8.375%, 5/1/10	148,000	154
Total		333
Lodging (0.1%)
Corrections Corp. of America, 6.25%, 3/15/13	136,000	135
Host Marriot LP, 7.125%, 11/1/13	175,000	182
Total		317
Total Gaming/Leisure/Lodging		1,540
Health Care/Pharmaceuticals (0.4%)
Alliance Imaging, Inc., 7.25%, 12/15/12	38,000	36
Fisher Scientific International, Inc., 6.125%, 7/1/15 144A	196,000	196
General Nutrition Centers, Inc., 8.50%, 12/1/10	120,000	96
General Nutrition Centers, Inc., 8.625%, 1/15/11 144A	48,000	44
HCA, Inc., 6.95%, 5/1/12	130,000	138
Iasis Healthcare Corp., 8.75%, 6/15/14	104,000	113
Omega Healthcare Investors, 7.00%, 4/1/14	50,000	50
Tenet Healthcare Corp., 9.875%, 7/1/14	76,000	82
US Oncology, Inc., 9.00%, 8/15/12	60,000	64
Ventas Realty LP, 9.00%, 5/1/12	50,000	58
Ventas Realty LP, 6.75%, 6/1/10 144A	40,000	42
Total Health Care/Pharmaceuticals		919
Media (0.8%)
Broadcasting (0.0%)
Sinclair Broadcast Group, 8.00%, 3/15/12	38,000	39
Total		39
Cable/Satellite (0.8%)
Cablevision Systems Corp., 8.00%, 4/15/12	125,000	123
CSC Holdings, Inc., 7.625%, 4/1/11	150,000	148
The DIRECTV Group, Inc., 8.375%, 3/15/13	25,000	28
The DIRECTV Group, Inc., 6.375%, 6/15/15 144a	260,000	259
Echostar Corp., 6.375%, 10/1/11	320,000	316
Echostar DBS Corp., 6.625%, 10/1/14	150,000	148
Intelsat Bermuda Ltd., 8.25%, 1/15/13 144A	90,000	93
Kabel Deutschland GMBH, 10.625%, 7/1/14 144A	100,000	109
Panamsat Corp., 9.00%, 8/15/14	54,000	59
Roger’s Cable, Inc., 6.25%, 6/15/13	182,000	182

60

Asset Allocation Portfolio

Asset Allocation Portfolio

Below Investment Grade Bonds (7.3%)	Shares/ $ Par	Value $ (000’s)
Cable/Satellite continued
Rogers Cable, Inc., 6.75%, 3/15/15	70,000	71
Rogers Cable, Inc., 7.875%, 5/1/12	50,000	54
Total		1,590
Total Media		1,629
Real Estate (0.1%)
Trustreet Properties, Inc., 7.50%, 4/1/15 144A	135,000	138
Total Real Estate		138
Services (0.3%)
Environmental Services (0.1%)
Allied Waste North America, 6.375%, 4/15/11	80,000	77
Allied Waste North America, 7.25%, 3/15/15 144A	135,000	131
Total		208
Services-Other (0.2%)
Buhrmann US, Inc., 7.875%, 3/1/15 144A	50,000	49
Knowledge Learning Center, 7.75%, 2/1/15 144A	95,000	91
United Rentals North America, Inc., 6.50%, 2/15/12	165,000	161
United Rentals North America, Inc., 7.00%, 2/15/14	62,000	59
Total		360
Total Services		568
Technology (0.2%)
Amkor Technologies, Inc., 7.125%, 3/15/11	50,000	43
Flextronics International Ltd., 6.50%, 5/15/13	75,000	78
Stats Chippac, Inc., 6.75%, 11/15/11	88,000	84
Unisys Corp., 6.875%, 3/15/10	125,000	123
Xerox Corp., 7.20%, 4/1/16	47,000	51
Total Technology		379
Telecommunications (0.3%)
Telecommunications-Wireless (0.1%)
Rogers Wireless, Inc., 6.375%, 3/1/14	62,000	63
Rogers Wireless, Inc., 7.25%, 12/15/12	48,000	52
Rogers Wireless, Inc., 8.00%, 12/15/12	29,000	31
Total		146
Telecommunications-Wireline (0.2%)
Citizens Communications, 9.00% 8/15/31	116,000	119
GCI, Inc., 7.25%, 2/15/14	50,000	48
MCI, Inc., 8.735%, 5/1/14	85,000	95
Qwest Communications International, Inc., 7.50%, 11/1/08	25,000	24
Qwest Corp., 7.625%, 6/15/15 144A	68,000	69
Qwest Corp., 7.875%, 9/1/11 144A	130,000	136
Total		491
Total Telecommunications		637

Below Investment Grade Bonds (7.3%)	Shares/ $ Par	Value $ (000’s)
Transportation (0.3%)
Grupo Transportacion Ferroviaria Mexicana, SA de CV (TFM), 6.625%, 1/15/16 144A	82,000	85
Grupo Transportacion Ferroviaria Mexicana, SA de CV (TFM), 12.50%, 6/15/12	50,000	59
Laidlaw International, Inc., 10.75%, 6/15/11	28,000	33
OMI Corp., 7.625%, 12/1/13	75,000	75
Progress Rail, 7.75%, 4/1/12 144A	55,000	56
Ship Finance International, Ltd., 8.50%, 12/15/13	150,000	142
Stena AB, 7.50%, 11/1/13	140,000	137
Stena AB, 9.625%, 12/1/12	50,000	55
Total Transportation		642
Utilities (0.2%)
Aquila, Inc., 9.95%, 2/1/11	70,000	76
Midwest Generation LLC, 8.75%, 5/1/34	60,000	67
NRG Energy, Inc., 8.00%, 12/15/13 144A	20,000	21
Reliant Energy, Inc., 6.75%, 12/15/14	59,000	58
Sierra Pacific Resources, 8.625%, 3/15/14	75,000	83
Teco Energy, Inc., 6.75%, 5/1/15 144A	40,000	42
Tenaska Alabama II Partners LP, 7.00%, 6/30/21 144A	100,000	100
Utilicorp Canada Finance, 7.75% 6/15/11	58,000	60
Total Utilities		507
Total Below Investment Grade Bonds (Cost: $15,896)		15,840
Money Market Investments (14.3%)
Federal Government and Agencies (14.3%)
(b)Federal Home Loan Bank Discount Corp., 2.99%, 7/6/05	21,000,000	20,991
(b)Federal Home Loan Bank Discount Corp., 3.17%, 7/20/05	3,000,000	2,995
Federal National Mortgage Association, 3.02%, 7/6/05	2,800,000	2,799
Federal National Mortgage Association, 3.17%, 7/20/05	2,500,000	2,496
(b)Freddie Discount, 3.29%, 9/20/05	1,500,000	1,489
Total Money Market Investments (Cost: $30,770)		30,770
Total Investments (101.7%) (Cost $200,018)(a)		219,369
Other Assets, Less Liabilities (-1.7%)		(3,641	)
Total Net Assets (100.0%)		215,728

* Non-Income Producing

ADR after the name of a security represents — American Depository Receipt.

Asset Allocation Portfolio

61

Asset Allocation Portfolio

† Security was fair valued under procedures adopted by the Board of Directors.

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, 2005 the value of these securities (in thousands) was $5,939, representing 2.75% of the net assets.

(a) At June 30, 2005 the aggregate cost of securities for federal tax purposes (in thousands) was $200,018 and the net unrealized appreciation of investments based on that cost was $19,351 which is comprised of $22,500 aggregate gross unrealized appreciation and $3,149 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.

Issuer (000’s)	Number of Contracts	Expiration Date	Unrealized Appreciation/ (Depreciation) (000’s)
S&P 500 Index Futures (Long)	53	9/05	$	(140	)
(Total Notional Value at June 30, 2005, $15,980)
US Ten Year Treasury Note Futures (Short)	25	9/05	$	12
(Total Notional Value at June 30, 2005, $2,848)

(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.

(f) Euro Foreign Bond

62

Asset Allocation Portfolio

The Accompanying Notes are an Integral Part of the Financial Statements

Balanced Portfolio

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value January 1, 2005		Ending Account Value June 30, 2005		Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual	$	1,000.00	$	1,003.10	$	1.49
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.00	$	1.50

* Expenses are equal to the Fund’s annualized expense ratio of 0.30%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Balanced Portfolio

63

Balanced Portfolio

Northwestern Mutual Series Fund, Inc.

Schedule of Investments

June 30, 2005 (unaudited)

Revenue Bonds (0.2%)	Shares/ $ Par	Value $ (000’s)
Municipal Bonds – Revenue (0.2%)
Nashville & Davidson County, Tennessee Health and Educational Facilities Board of The Metropolitan Government, 0.00%, 6/1/21, RB	9,800,000	4,796
Total Revenue Bonds (Cost: $4,368)		4,796
Corporate Bonds (16.0%)
Aerospace/Defense (0.9%)
Boeing Capital Corp., 4.75%, 8/25/08	5,359,000	5,454
General Dynamics Corp., 3.00%, 5/15/08	6,398,000	6,204
L-3 Communications Corp., 5.875%, 1/15/15	2,720,000	2,638
Lockheed Martin Corp., 8.50%, 12/1/29	2,755,000	3,979
Raytheon Co., 5.50%, 11/15/12	6,584,000	6,928
Total		25,203
Auto Manufacturing (0.2%)
General Motors Acceptance Corp., 5.625%, 5/15/09	4,500,000	4,214
General Motors Acceptance Corp., 6.75%, 12/1/14	730,000	653
Total		4,867
Banking (2.4%)
Bank of America Corp., 7.40%, 1/15/11	7,668,000	8,775
Bank One Corp., 5.25%, 1/30/13	5,225,000	5,406
Chuo Mitsui Trust and Banking Co., 5.506%, 4/15/15 144A	5,495,000	5,398
Citigroup, Inc., 4.50%, 7/29/09	5,200,000	5,218
Compass Bank, 5.50%, 4/1/20	3,135,000	3,275
National Australia Bank, Ltd., 4.80%, 4/6/10 144A	4,208,000	4,297
PNC Bank NA, 5.25%, 1/15/17	1,565,000	1,620
Rabobank Capital Fund II, 5.26%, 12/31/13 144A	1,410,000	1,451
U.S. Central Credit Union, 2.75%, 5/30/08	3,950,000	3,835
UnionBanCal Corp., 5.25%, 12/16/13	800,000	826
US Bank NA, 4.95%, 10/30/14	4,725,000	4,856
Wachovia Bank NA, 4.80%, 11/1/14	4,685,000	4,740
Washington Mutual, Inc., 5.00%, 3/22/12	5,485,000	5,592
Wells Fargo Bank, 6.45%, 2/1/11	4,850,000	5,350
World Savings Bank FSB, 4.125%, 12/15/09	7,700,000	7,667
Total		68,306
Beverage/Bottling (0.9%)
Anheuser-Busch Companies, Inc., 7.00%, 12/1/25	4,800,000	5,015
Anheuser-Busch Companies, Inc., 7.50%, 3/15/12	910,000	1,078

Corporate Bonds (16.0%)	Shares/ $ Par	Value $ (000’s)
Coca-Cola Enterprises, Inc., 5.25%, 5/15/07	8,975,000	9,170
Coca-Cola Enterprises, Inc., 5.375%, 8/15/06	4,175,000	4,223
Diageo PLC, 4.375%, 5/3/10	4,815,000	4,840
PepsiAmericas, Inc., 4.875%, 1/15/15	3,175,000	3,234
Total		27,560
Cable/Media/Broadcasting/Satellite (1.5%)
Clear Channel Communications, Inc., 5.50%, 9/15/14	3,835,000	3,637
Clear Channel Communications, Inc., 5.50%, 12/15/16	4,765,000	4,405
Comcast Corp., 5.30%, 1/15/14	3,750,000	3,855
CSC Holdings, Inc., 7.25%, 7/15/08	2,715,000	2,722
Echostar Corp., 6.375%, 10/1/11	4,090,000	4,054
Roger’s Cable, Inc., 6.25%, 6/15/13	2,720,000	2,713
Time Warner Entertainment Co. LP, 7.25%, 9/1/08	5,435,000	5,886
Time Warner Entertainment Co. LP, 8.375%, 7/15/33	1,250,000	1,659
Viacom, Inc., 5.625%, 5/1/07	11,400,000	11,641
Viacom, Inc., 7.875%, 7/30/30	2,140,000	2,510
Total		43,082
Conglomerate/Diversified Manufacturing (0.2%)
Cooper Industries, Inc., 5.50%, 11/1/09	5,100,000	5,314
Total		5,314
Consumer Products (0.3%)
The Clorox Co., 4.20%, 1/15/10	4,240,000	4,247
The Gillette Co., 2.50%, 6/1/08	5,000,000	4,806
Total		9,053
Electric Utilities (2.4%)
Consumer Energy Co., 4.80%, 2/17/09	6,580,000	6,662
DTE Energy Co., 7.05%, 6/1/11	7,410,000	8,296
FPL Group Capital, Inc., 4.086%, 2/16/07	4,390,000	4,389
Indiana Michigan Power, 5.05%, 11/15/14	3,660,000	3,702
Kiowa Power Partners LLC, 4.811%, 12/30/13 144A	1,655,144	1,643
Kiowa Power Partners LLC, 5.737%, 3/30/21 144A	4,785,000	4,886
Oncor Electric Delivery, 6.375%, 1/15/15	800,000	887
PacifiCorp, 5.45%, 9/15/13	15,540,000	16,439
PPL Electric Utilities Corp., 4.30%, 6/1/13	4,775,000	4,652
Progress Energy, Inc., 4.50%, 6/1/10	3,636,000	3,659
Public Service Electric & Gas Corp., 5.00%, 1/1/13	1,500,000	1,548
Puget Energy, Inc., 3.363%, 6/1/08	2,465,000	2,399

64

Balanced Portfolio

Balanced Portfolio

Corporate Bonds (16.0%)	Shares/ $ Par	Value $ (000’s)
Electric Utilities continued
Southern California Edison, 8.00%, 2/15/07	8,205,000	8,712
Virginia Electric & Power Co., 5.25%, 12/15/15	3,645,000	3,750
Total		71,624
Gas Pipelines (0.4%)
Consolidated Natural Gas Co., 5.00%, 12/1/14	3,585,000	3,627
Enterprise Products Operating L.P., 4.95%, 6/1/10	8,020,000	8,057
Total		11,684
Health Care (0.1%)
Abbott Laboratories, 3.75%, 3/15/11	3,750,000	3,656
Total		3,656
Independent Finance (0.6%)
Household Finance Corp., 4.125%, 11/16/09	4,400,000	4,352
International Lease Finance Corp., 4.75%, 1/13/12	5,545,000	5,526
iStar Financial, Inc., 5.15%, 3/1/12	8,215,000	8,120
Total		17,998
Information/Data Technology (0.2%)
Hewlett-Packard Co., 5.50%, 7/1/07	6,000,000	6,148
Total		6,148
Oil and Gas (0.8%)
Conoco Funding Co., 6.35%, 10/15/11	5,000,000	5,536
Kerr-McGee Corp., 6.95%, 7/1/24	2,750,000	2,842
Occidental Petroleum, 4.00%, 11/30/07	2,800,000	2,791
Occidental Petroleum, 8.45%, 2/15/29	1,900,000	2,744
Occidental Petroleum, 10.125%, 9/15/09	3,230,000	3,901
Valero Energy Corp., 4.75%, 6/15/13	2,500,000	2,475
XTO Energy, Inc., 5.00%, 1/31/15	2,500,000	2,494
Total		22,783
Other Finance (0.2%)
SLM Corp., 4.00%, 1/15/10	5,560,000	5,492
Total		5,492
Paper and Forest Products (0.3%)
Georgia-Pacific Corp., 7.70%, 6/15/15	2,720,000	3,101
Weyerhaeuser Co., 7.375%, 3/15/32	4,080,000	4,811
Total		7,912
Pharmaceuticals (0.2%)
Pfizer, Inc., 5.625%, 2/1/06	7,175,000	7,249
Total		7,249
Property and Casualty Insurance (0.3%)
Berkley (WR) Corp., 9.875%, 5/15/08	4,310,000	4,949
Berkshire Hathaway Finance, 3.40%, 7/2/07	2,500,000	2,468
Total		7,417

Corporate Bonds (16.0%)	Shares/ $ Par	Value $ (000’s)
Railroads (0.6%)
Burlington Northern Santa Fe, 6.125%, 3/15/09	5,600,000	5,945
Union Pacific Corp., 3.875%, 2/15/09	5,600,000	5,512
Union Pacific Corp., 7.375%, 9/15/09	5,600,000	6,228
Total		17,685
Real Estate Investment Trusts (0.2%)
ERP Operating LP, 5.25%, 9/15/14	5,000,000	5,102
First Industrial LP, 5.25%, 6/15/09	1,925,000	1,956
Total		7,058
Retail Food and Drug (0.7%)
Albertson’s, Inc., 7.50%, 2/15/11	5,485,000	6,179
CVS Corp., 4.00%, 9/15/09	4,895,000	4,850
Delhaize America Inc., 8.125%, 4/15/11	2,715,000	3,045
Safeway, Inc., 6.50%, 3/1/11	5,475,000	5,917
Total		19,991
Retail Stores (0.6%)
Federated Department Stores, 6.30%, 4/1/09	6,785,000	7,206
May Department Stores Co., 6.70%, 7/15/34	2,715,000	3,035
Target Corp., 5.40%, 10/1/08	5,605,000	5,828
Total		16,069
Security Brokers and Dealers (0.7%)
Credit Suisse First Boston USA, Inc., 4.70%, 6/1/09	2,550,000	2,591
Goldman Sachs Group, Inc., 5.15%, 1/15/14	6,800,000	6,968
Lehman Brothers Holdings, 4.25%, 1/27/10	7,190,000	7,169
Morgan Stanley, 5.30%, 3/1/13	4,000,000	4,157
Total		20,885
Telecommunications (1.1%)
ALLTELL Corp., 4.656%, 5/17/07	2,250,000	2,268
BellSouth Corp., 6.55%, 6/15/34	2,705,000	3,080
Cingular Wireless LLC, 7.125%, 12/15/31	2,740,000	3,283
France Telecom SA, 8.00%, 3/1/11	5,440,000	6,312
SBC Communications, Inc., 6.15%, 9/15/34	1,325,000	1,435
Sprint Capital Corp., 8.375%, 3/15/12	5,000,000	6,014
Telecom Italia Capital SA, 4.00%, 1/15/10 144A	5,440,000	5,286
Telecom Italia Capital SA, 6.00%, 9/30/34 144A	1,080,000	1,103
Verizon Global Funding Corp., 4.375%, 6/1/13	1,500,000	1,483
Verizon Global Funding Corp., 7.75%, 12/1/30	1,620,000	2,092
Total		32,356

Balanced Portfolio

65

Balanced Portfolio

Corporate Bonds (16.0%)	Shares/ $ Par	Value $ (000’s)
Yankee Sovereign (0.2%)
State of Israel, 7.25%, 12/15/28	5,200,000	6,221
Total		6,221
Total Corporate Bonds (Cost: $461,954)		465,613
Governments (11.0%)
Governments (11.0%)
Aid-Israel, 0.00%, 11/15/22	11,600,000	5,211
Aid-Israel, 0.00%, 11/15/23	11,500,000	4,925
Aid-Israel, 5.50%, 4/26/24	9,840,000	11,027
(e)BECCS, 14.00%, 11/15/11	8,400,000	7,967
Federal Home Loan Bank, 5.54%, 1/8/09	5,000,000	5,270
Federal Home Loan Bank, 6.00%, 5/13/13	4,580,000	4,507
Housing & Urban Development, 6.17%, 8/1/14	14,981,000	16,785
Overseas Private Investment, 4.10%, 11/15/14	4,118,400	4,086
(e)Tennessee Valley Authority Stripped, 8.25%, 4/15/42	6,100,000	4,789
US Treasury, 2.25%, 4/30/06	43,078,000	42,635
US Treasury, 2.50%, 10/31/06	77,069,000	75,973
US Treasury, 2.875%, 11/30/06	958,000	948
US Treasury, 3.50%, 5/31/07	3,705,000	3,694
US Treasury, 3.625%, 6/10/05	8,130,000	8,094
US Treasury, 3.625%, 4/30/07	7,895,000	7,891
US Treasury, 3.75%, 3/31/07	4,695,000	4,702
(g)US Treasury, 3.875%, 5/15/10	28,629,000	28,792
US Treasury, 4.00%, 2/15/15	31,680,000	31,793
(g)US Treasury, 4.125%, 5/15/15	24,143,000	24,496
US Treasury, 5.00%, 2/15/11	10,040,000	10,667
(g)US Treasury, 5.375%, 2/15/31	13,515,000	15,948
Total Governments (Cost: $314,627)		320,200
Structured Products (12.7%)
Structured Products (12.7%)
Asset Securitization Corp., Series 1997-D5, Class PS1, 1.62%, 2/14/43 IO	18,780,659	1,025
Banc of America Securities Auto Trust, Series 2005-WF1, Class A2, 3.89%, 6/18/08	13,513,000	13,513
Chase Manhattan Auto Owner Trust, Series 2005-A, Class A2, 3.72%, 12/15/07	13,991,000	13,969
Commercial Mortgage Acceptance Corp., Series 1997-ML1, Class B, 6.64%, 12/15/30	2,500,000	2,633
Criimi Mae Commercial Mortgage Trust, Series 1998-C1, Class A1, 7.00%, 11/2/06 144A	6,162,847	6,185

Structured Products (12.7%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Criimi Mae Commercial Mortgage Trust, Series 1998-C1, Class B, 7.00%, 11/2/11 144A	5,700,000	6,293
DLJ Commercial Mortgage Corp., Series 1998-CF1, Class S, 0.70%, 1/15/18 IO	217,090,607	5,669
DLJ Mortgage Acceptance Corp., Series 1997-CF2, Class S, 0.35%, 10/15/30 IO 144A	12,440,497	187
Enterprise Mortgage Acceptance Co., Series 1998-1, Class IO, 1.37%, 1/15/25 IO 144A	25,666,778	1,091
Federal Home Loan Mortgage Corp., 4.50%, 5/1/19	4,025,036	4,011
Federal Home Loan Mortgage Corp., 4.50%, 5/1/35	12,557,000	12,275
Federal Home Loan Mortgage Corp., 5.00%, 10/1/19	4,256,724	4,307
Federal Home Loan Mortgage Corp., 5.00%, 2/1/20	1,285,614	1,301
Federal Home Loan Mortgage Corp., 5.00%, 5/1/20	4,525,902	4,580
Federal Home Loan Mortgage Corp., 5.50%, 9/1/19	1,807,460	1,856
Federal Home Loan Mortgage Corp., 5.50%, 11/1/19	3,461,300	3,556
Federal Home Loan Mortgage Corp., 5.50%, 12/1/19	607,945	624
Federal Home Loan Mortgage Corp., 5.50%, 3/1/20	4,352,776	4,470
Federal Home Loan Mortgage Corp., 6.50%, 4/1/11	1,426,742	1,484
Federal Home Loan Mortgage Corp., 6.50%, 5/1/34	3,519,756	3,645
Federal Home Loan Mortgage Corp., 7.50%, 10/1/27	806,884	866
Federal Home Loan Mortgage Corp. TBA, 5.50%, 7/1/35	46,657,000	47,300
Federal National Mortgage Association, 4.00%, 6/1/19	1,903,361	1,865
Federal National Mortgage Association, 4.50%, 6/1/19	15,722,428	15,664
Federal National Mortgage Association, 4.50%, 8/1/19	1,928,769	1,921
Federal National Mortgage Association, 4.50%, 12/1/19	1,735,775	1,729
Federal National Mortgage Association, 5.00%, 3/1/20	5,353,129	5,416
Federal National Mortgage Association, 5.00%, 4/1/20	2,066,775	2,091
Federal National Mortgage Association, 5.00%, 5/1/20	3,856,537	3,902
Federal National Mortgage Association, 5.00%, 4/1/35	5,711,346	5,718
Federal National Mortgage Association, 5.50%, 9/1/34	13,930,489	14,130
Federal National Mortgage Association, 5.50%, 3/1/35	13,506,124	13,699

66

Balanced Portfolio

Balanced Portfolio

Structured Products (12.7%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Federal National Mortgage Association, 6.00%, 11/1/34	142,048	146
Federal National Mortgage Association, 6.00%, 5/1/35	7,573,972	7,767
Federal National Mortgage Association, 6.00%, 6/1/35	23,737,613	24,349
Federal National Mortgage Association, 6.00%, 7/1/35	15,392,000	15,786
Federal National Mortgage Association, 6.75%, 4/25/18	3,928,713	4,106
Federal National Mortgage Association, 6.75%, 12/25/23	520,169	521
Federal National Mortgage Association, 7.00%, 4/1/26	1,011,246	1,070
Federal National Mortgage Association, 11.00%, 12/1/12	15,214	17
Federal National Mortgage Association, 11.00%, 9/1/17	52,870	58
Federal National Mortgage Association, 11.00%, 12/1/17	4,656	5
Federal National Mortgage Association, 11.00%, 2/1/18	31,485	35
Federal National Mortgage Association, 11.50%, 4/1/18	27,735	31
Federal National Mortgage Association, 12.00%, 9/1/12	116,247	128
Federal National Mortgage Association, 12.00%, 12/1/12	51,953	58
Federal National Mortgage Association, 12.00%, 9/1/17	25,501	28
Federal National Mortgage Association, 12.00%, 10/1/17	27,203	30
Federal National Mortgage Association, 12.00%, 12/1/17	12,850	14
Federal National Mortgage Association, 12.00%, 2/1/18	44,051	49
Federal National Mortgage Association, 12.50%, 4/1/18	2,170	2
Federal National Mortgage Association, 13.00%, 11/1/12	31,428	35
Federal National Mortgage Association, 13.00%, 11/1/17	10,953	12
Federal National Mortgage Association, 13.00%, 12/1/17	8,809	10
Federal National Mortgage Association, 13.00%, 2/1/18	30,968	35
Federal National Mortgage Association TBA, 5.00%, 8/1/35	49,876,247	49,768
Federal National Mortgage Association TBA, 5.50%, 7/1/35	4,557,000	4,618
Government National Mortgage Association, 5.00%, 7/15/33	3,496,661	3,529
Government National Mortgage Association, 5.50%, 1/15/32	315,506	323
Government National Mortgage Association, 5.50%, 2/15/32	3,296,007	3,371
Government National Mortgage Association, 5.50%, 9/15/32	102,637	105

Structured Products (12.7%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Government National Mortgage Association, 7.00%, 5/15/23	826,621	879
Government National Mortgage Association, 7.00%, 6/15/23	60,420	64
Government National Mortgage Association, 7.00%, 7/15/23	143,216	153
Government National Mortgage Association, 7.00%, 8/15/23	517	1
Government National Mortgage Association, 7.00%, 9/15/23	19,759	22
Government National Mortgage Association, 7.00%, 10/15/23	33,558	35
Government National Mortgage Association, 7.00%, 11/15/23	217,651	231
Government National Mortgage Association, 7.00%, 12/15/27	63,907	68
Government National Mortgage Association, 7.00%, 1/15/28	68,134	72
Government National Mortgage Association, 7.00%, 2/15/28	4,446	5
Government National Mortgage Association, 7.00%, 4/15/28	92,445	98
Government National Mortgage Association, 7.00%, 5/15/28	133,373	142
Government National Mortgage Association, 7.00%, 6/15/28	187,883	199
Government National Mortgage Association, 7.00%, 7/15/28	322,666	342
Government National Mortgage Association, 7.50%, 1/15/23	86,788	94
Government National Mortgage Association, 7.50%, 6/15/23	34,256	37
Government National Mortgage Association, 7.50%, 6/15/24	430	0
Government National Mortgage Association, 7.50%, 7/15/24	30,472	33
Government National Mortgage Association, 7.50%, 8/15/25	1,115	1
Government National Mortgage Association, 7.50%, 9/15/25	2,000	2
Government National Mortgage Association, 7.50%, 12/15/25	36,918	39
Government National Mortgage Association, 7.50%, 1/15/26	1,260	1
Government National Mortgage Association, 7.50%, 3/15/26	3,059	3
Government National Mortgage Association, 7.50%, 6/15/26	48,281	52
Government National Mortgage Association, 7.50%, 9/15/26	1,246	1
Government National Mortgage Association, 7.50%, 10/15/26	4,150	4
Government National Mortgage Association, 7.50%, 12/15/26	28,110	30
Government National Mortgage Association, 7.50%, 1/15/27	993	1
Government National Mortgage Association, 7.50%, 2/15/27	28,042	30

Balanced Portfolio

67

Balanced Portfolio

Structured Products (12.7%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Government National Mortgage Association, 7.50%, 3/15/27	3,016	3
Government National Mortgage Association, 7.50%, 4/15/27	66,877	72
Government National Mortgage Association, 7.50%, 5/15/27	31,726	34
Government National Mortgage Association, 7.50%, 7/15/27	20,468	22
Government National Mortgage Association, 8.00%, 9/15/24	67,807	73
Government National Mortgage Association, 8.00%, 5/15/26	27,582	30
Government National Mortgage Association, 8.00%, 6/15/26	24,879	27
Government National Mortgage Association, 8.00%, 7/15/26	52,969	57
Government National Mortgage Association, 8.00%, 8/15/26	27,845	30
Government National Mortgage Association, 8.00%, 9/15/26	54,037	58
Government National Mortgage Association, 8.00%, 10/15/26	100,170	109
Government National Mortgage Association, 8.00%, 12/15/26	28,973	31
Government National Mortgage Association, 8.00%, 4/15/27	84,802	92
Government National Mortgage Association, 8.00%, 6/15/27	22,233	24
Government National Mortgage Association, 8.00%, 7/15/27	16,904	19
Government National Mortgage Association, 8.00%, 7/20/28	132,800	143
Government National Mortgage Association, 8.50%, 5/15/22	323	0
Government National Mortgage Association, 8.50%, 10/15/22	8,181	9
Government National Mortgage Association, 8.50%, 12/15/22	1,888	2
Government National Mortgage Association, 8.50%, 6/15/24	653	1
Government National Mortgage Association, 8.50%, 7/15/24	7,945	9
Government National Mortgage Association, 8.50%, 12/15/24	640	1
Government National Mortgage Association, 8.50%, 1/15/25	1,625	2
Government National Mortgage Association, 8.50%, 2/15/25	3,621	3
Government National Mortgage Association, 8.50%, 11/15/25	1,037	1
Government National Mortgage Association, 8.50%, 1/15/26	9,404	10
Government National Mortgage Association, 8.50%, 3/15/26	2,075	2
Government National Mortgage Association, 8.50%, 4/15/26	6,298	7
Government National Mortgage Association, 8.50%, 5/15/26	842	1

Structured Products (12.7%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Government National Mortgage Association, 11.00%, 1/15/18	1,253,591	1,389
Honda Auto Receivables Owner Trust, Series 2005-3, Class A2, 3.73%, 10/18/07	13,525,000	13,503
Merrill Auto Trust Securitization, Series 2005-1, Class A2A, 3.90%, 4/25/08	6,745,000	6,745
Midland Realty Acceptance Corp., Series 1996-C2, Class AEC, 1.35%, 1/25/29 IO 144A	8,506,482	187
Morgan Stanley Capital, Series 1998-WF2, Class A2, 6.54%, 5/15/08	14,984,442	15,803
(d) RMF Commercial Mortgage Pass-Through, Series 1997-1, Class F, 7.47%, 1/15/19 144A	1,800,000	180
Rural Housing Trust 1987-1, Series 1, Class D, 6.33%, 4/1/26	732,363	732
Vendee Mortgage Trust, Series 1998-3, Class E, 6.50%, 3/15/29	4,500,000	4,632
Total Structured Products (Cost: $368,712)		369,663
Common Stocks (48.2%)
Consumer Discretionary (5.5%)
*Apollo Group, Inc. — Class A	21,000	1,643
*AutoNation, Inc.	28,700	589
*AutoZone, Inc.	8,475	784
*Bed Bath & Beyond, Inc.	38,000	1,588
Best Buy Co., Inc.	38,400	2,632
*Big Lots, Inc.	14,600	193
The Black & Decker Corp.	10,300	925
Brunswick Corp.	12,500	542
Carnival Corp.	67,773	3,697
Centex Corp.	16,500	1,166
Circuit City Stores, Inc.	24,600	425
Clear Channel Communications, Inc.	65,550	2,027
*Coach, Inc.	48,500	1,628
*Comcast Corp. — Class A	283,737	8,711
Cooper Tire & Rubber Co.	8,200	152
Dana Corp.	19,315	290
Darden Restaurants, Inc.	18,749	618
Delphi Corp.	72,169	336
Dillard’s, Inc. — Class A	9,236	216
Dollar General Corp.	38,865	791
Dow Jones & Co., Inc.	9,080	322
Eastman Kodak Co.	36,917	991
*eBay, Inc.	156,300	5,159
Family Dollar Stores, Inc.	21,500	561
Federated Department Stores, Inc.	21,912	1,606
Ford Motor Co.	236,707	2,424
Fortune Brands, Inc.	18,733	1,663
Gannett Co., Inc.	31,950	2,273
The Gap, Inc.	97,525	1,926
General Motors Corp.	72,725	2,473

68

Balanced Portfolio

Balanced Portfolio

Common Stocks (48.2%)	Shares/ $ Par	Value $ (000’s)
Consumer Discretionary continued
Genuine Parts Co.	22,475	923
*The Goodyear Tire & Rubber Co.	22,600	337
H&R Block, Inc.	21,250	1,240
Harley-Davidson, Inc.	36,575	1,814
Harrah’s Entertainment, Inc.	23,350	1,683
Hasbro, Inc.	21,575	449
Hilton Hotels Corp.	49,150	1,172
The Home Depot, Inc.	276,097	10,741
International Game Technology	44,200	1,244
*The Interpublic Group of Companies, Inc.	54,400	663
J. C. Penney Co., Inc.	33,825	1,779
Johnson Controls, Inc.	24,700	1,391
Jones Apparel Group, Inc.	15,500	481
KB HOME	10,700	816
Knight-Ridder, Inc.	9,550	586
*Kohl’s Corp.	41,933	2,344
Leggett & Platt, Inc.	24,367	648
Limited Brands, Inc.	48,899	1,047
Liz Claiborne, Inc.	14,000	557
Lowe’s Companies, Inc.	99,350	5,784
Marriott International, Inc. — Class A	25,500	1,740
Mattel, Inc.	52,960	969
May Department Stores Co.	38,500	1,546
Maytag Corp.	10,267	161
McDonald’s Corp.	163,071	4,525
The McGraw-Hill Companies, Inc.	48,180	2,132
Meredith Corp.	5,800	285
The New York Times Co. — Class A	18,692	582
Newell Rubbermaid, Inc.	35,411	844
News Corp. — Class A	371,000	6,003
NIKE, Inc. — Class B	29,400	2,546
Nordstrom, Inc.	15,833	1,076
*Office Depot, Inc.	40,643	928
OfficeMax, Inc.	9,100	271
Omnicom Group, Inc.	23,600	1,885
Pulte Homes, Inc.	15,300	1,289
RadioShack Corp.	20,067	465
Reebok International, Ltd.	7,200	301
*Sears Holdings Corp.	13,199	1,978
The Sherwin-Williams Co.	16,060	756
Snap-on, Inc.	7,417	254
The Stanley Works	9,650	439
Staples, Inc.	94,775	2,021
*Starbucks Corp.	50,150	2,591
Starwood Hotels & Resorts Worldwide, Inc.	27,800	1,628
Target Corp.	113,643	6,183
Tiffany & Co.	18,533	607
*Time Warner, Inc.	602,800	10,074
The TJX Companies, Inc.	60,500	1,473
*Toys “R” Us, Inc.	28,450	753
Tribune Co.	38,331	1,348
*Univision Communications, Inc. — Class A	37,400	1,030
V. F. Corp.	12,843	735
Viacom, Inc. — Class B	207,361	6,640
Visteon Corp.	16,512	100
The Walt Disney Co.	262,633	6,613

Common Stocks (48.2%)	Shares/ $ Par	Value $ (000’s)
Consumer Discretionary continued
Wendy’s International, Inc.	14,750	703
Whirlpool Corp.	8,650	606
Yum! Brands, Inc.	37,280	1,942
Total		160,072
Consumer Staples (4.9%)
Alberto-Culver Co.	11,000	477
Albertson’s, Inc.	47,395	980
Altria Group, Inc.	266,404	17,226
Anheuser-Busch Companies, Inc.	99,919	4,571
Archer-Daniels-Midland Co.	80,275	1,716
Avon Products, Inc.	60,750	2,299
Brown-Forman Corp. — Class B	11,568	699
Campbell Soup Co.	41,754	1,285
The Clorox Co.	19,850	1,106
The Coca-Cola Co.	291,200	12,158
Coca-Cola Enterprises, Inc.	45,400	999
Colgate-Palmolive Co.	67,254	3,357
ConAgra Foods, Inc.	66,633	1,543
Costco Wholesale Corp.	61,452	2,754
CVS Corp.	104,166	3,028
General Mills, Inc.	47,533	2,224
The Gillette Co.	128,365	6,499
H.J. Heinz Co.	44,983	1,593
The Hershey Co.	28,000	1,739
Kellogg Co.	44,943	1,997
Kimberly-Clark Corp.	61,497	3,849
*The Kroger Co.	93,773	1,785
McCormick & Co., Inc.	17,400	569
Molson Coors Brewing Co.	10,100	626
The Pepsi Bottling Group, Inc.	25,200	721
PepsiCo, Inc.	215,400	11,617
The Procter & Gamble Co.	318,346	16,793
Reynolds American, Inc.	15,000	1,182
Safeway, Inc.	57,700	1,303
Sara Lee Corp.	101,284	2,006
SUPERVALU, Inc.	17,550	572
SYSCO Corp.	81,450	2,948
UST, Inc.	21,233	969
Wal-Mart Stores, Inc.	430,433	20,748
Walgreen Co.	131,554	6,050
Wm. Wrigley Jr. Co.	25,233	1,737
Total		141,725
Energy (4.3%)
Amerada Hess Corp.	11,000	1,172
Anadarko Petroleum Corp.	30,277	2,487
Apache Corp.	42,230	2,728
Ashland, Inc.	8,600	618
Baker Hughes, Inc.	43,540	2,228
BJ Services Co.	20,800	1,092
Burlington Resources, Inc.	49,572	2,738
Chevron Corp.	269,968	15,097
ConocoPhillips	179,106	10,297
Devon Energy Corp.	60,900	3,086
El Paso Corp.	82,917	955
EOG Resources, Inc.	30,780	1,748
Exxon Mobil Corp.	818,871	47,062

Balanced Portfolio

69

Balanced Portfolio

Common Stocks (48.2%)	Shares/ $ Par	Value $ (000’s)
Energy continued
Halliburton Co.	65,085	3,112
Kerr-McGee Corp.	15,008	1,145
Kinder Morgan, Inc.	13,933	1,159
Marathon Oil Corp.	44,791	2,390
*Nabors Industries, Ltd.	19,150	1,161
*National Oilwell Varco, Inc.	22,100	1,051
Noble Corp.	17,450	1,073
Occidental Petroleum Corp.	51,280	3,945
Rowan Companies, Inc.	13,950	414
Schlumberger, Ltd.	75,833	5,759
Sunoco, Inc.	8,850	1,006
*Transocean, Inc.	41,954	2,264
Unocal Corp.	34,933	2,272
Valero Energy Corp.	33,000	2,611
The Williams Companies, Inc.	73,400	1,395
XTO Energy, Inc.	46,433	1,578
Total		123,643
Financials (9.7%)
ACE, Ltd.	37,000	1,659
AFLAC, Inc.	64,550	2,794
The Allstate Corp	85,969	5,137
Ambac Financial Group, Inc.	13,900	970
American Express Co.	150,700	8,022
American International Group, Inc.	333,790	19,393
AmSouth Bancorporation	45,445	1,182
Aon Corp.	40,875	1,024
Apartment Investment & Management Co. — Class A	12,300	503
Archstone-Smith Trust	25,600	989
Bank of America Corp	517,390	23,598
The Bank of New York Co., Inc.	100,120	2,881
BB&T Corp.	70,300	2,810
The Bear Stearns Companies, Inc.	14,645	1,522
Capital One Financial Corp.	32,400	2,592
The Charles Schwab Corp.	146,586	1,653
The Chubb Corp.	25,150	2,153
Cincinnati Financial Corp.	21,418	847
CIT Group, Inc.	27,100	1,164
Citigroup, Inc.	669,274	30,940
Comerica, Inc.	21,700	1,254
Compass Bancshares, Inc.	15,900	716
Countrywide Financial Corp.	75,598	2,919
*E*TRADE Financial Corp.	47,400	663
Equity Office Properties Trust	52,400	1,734
Equity Residential	36,900	1,359
Fannie Mae	124,529	7,272
Federated Investors, Inc. — Class B	12,200	366
Fifth Third Bancorp	67,143	2,767
First Horizon National Corp.	16,000	675
Franklin Resources, Inc.	25,450	1,959
Freddie Mac	88,814	5,793
Golden West Financial Corp.	36,400	2,343
The Goldman Sachs Group, Inc.	56,800	5,795
The Hartford Financial Services Group, Inc.	38,150	2,853
Huntington Bancshares, Inc.	29,900	722
Janus Capital Group, Inc.	29,171	439

Common Stocks (48.2%)	Shares/ $ Par	Value $ (000’s)
Financials continued
Jefferson-Pilot Corp.	17,453	880
JPMorgan Chase & Co.	452,609	15,986
KeyCorp	52,425	1,738
Lehman Brothers Holdings, Inc.	35,556	3,530
Lincoln National Corp.	22,360	1,049
Loews Corp.	20,533	1,591
M&T Bank Corp.	12,600	1,325
Marsh & McLennan Companies, Inc.	68,580	1,900
Marshall & Ilsley Corp.	27,400	1,218
MBIA, Inc.	17,450	1,035
MBNA Corp.	163,095	4,267
Mellon Financial Corp.	54,409	1,561
Merrill Lynch & Co., Inc.	121,600	6,689
MetLife, Inc.	94,315	4,239
MGIC Investment Corp.	12,100	789
Moody’s Corp.	35,500	1,596
Morgan Stanley	140,931	7,395
National City Corp.	76,479	2,609
North Fork Bancorporation, Inc.	61,400	1,725
Northern Trust Corp.	26,150	1,192
Plum Creek Timber Co., Inc. (REIT)	23,700	860
PNC Financial Services Group, Inc.	36,500	1,988
Principal Financial Group, Inc.	37,800	1,584
The Progressive Corp.	25,600	2,530
ProLogis	24,000	966
*Providian Financial Corp.	37,843	667
Prudential Financial, Inc.	67,200	4,412
Regions Financial Corp.	59,675	2,022
SAFECO Corp.	16,350	888
Simon Property Group, Inc.	28,300	2,051
SLM Corp.	53,958	2,741
Sovereign Bancorp, Inc.	46,900	1,048
The St. Paul Travelers Companies, Inc.	86,631	3,425
State Street Corp.	42,600	2,055
SunTrust Banks, Inc.	43,667	3,155
Synovus Financial Corp.	40,050	1,148
T. Rowe Price Group, Inc.	15,900	995
Torchmark Corp.	13,350	697
U.S. Bancorp	235,809	6,886
UnumProvident Corp.	38,306	702
Wachovia Corp.	202,788	10,058
Washington Mutual, Inc.	112,838	4,591
Wells Fargo & Co.	217,085	13,368
XL Capital, Ltd. — Class A	18,000	1,340
Zions Bancorporation	11,500	846
Total		284,799
Health Care (6.5%)
Abbott Laboratories	199,525	9,778
*Aetna, Inc.	37,358	3,094
Allergan, Inc.	16,733	1,426
AmerisourceBergen Corp.	13,600	940
*Amgen, Inc.	159,223	9,626
Applera Corp. — Applied Biosystems Group	25,367	499
Bausch & Lomb, Inc.	6,900	573
Baxter International, Inc.	79,900	2,964
Becton, Dickinson and Co.	32,450	1,703

70

Balanced Portfolio

Balanced Portfolio

Common Stocks (48.2%)	Shares/ $ Par	Value $ (000’s)
Health Care continued
*Biogen Idec, Inc.	44,320	1,527
Biomet, Inc.	32,355	1,121
*Boston Scientific Corp.	96,480	2,605
Bristol-Myers Squibb Co.	251,444	6,281
C. R. Bard, Inc.	13,500	898
Cardinal Health, Inc.	55,050	3,170
*Caremark Rx, Inc.	58,400	2,600
*Chiron Corp.	19,078	666
CIGNA Corp.	16,871	1,806
Eli Lilly and Co.	145,766	8,121
*Express Scripts, Inc.	19,000	950
*Fisher Scientific International, Inc.	15,500	1,006
*Forest Laboratories, Inc.	43,834	1,703
*Genzyme Corp.	32,500	1,953
*Gilead Sciences, Inc.	58,100	2,556
Guidant Corp.	41,812	2,814
HCA, Inc.	53,915	3,055
Health Management Associates, Inc. — Class A	31,700	830
*Hospira, Inc.	20,342	793
*Humana, Inc.	20,800	827
IMS Health, Inc.	29,133	722
Johnson & Johnson	382,523	24,863
*King Pharmaceuticals, Inc.	31,066	324
*Laboratory Corporation of America Holdings	17,300	863
Manor Care, Inc.	11,100	441
McKesson Corp.	37,993	1,702
*Medco Health Solutions, Inc.	35,662	1,903
*MedImmune, Inc.	31,900	852
Medtronic, Inc.	155,600	8,059
Merck & Co., Inc.	283,400	8,729
*Millipore Corp.	6,400	363
Mylan Laboratories, Inc.	34,600	666
PerkinElmer, Inc.	16,700	316
Pfizer, Inc.	956,459	26,378
Quest Diagnostics, Inc.	23,400	1,247
Schering-Plough Corp.	189,750	3,617
*St. Jude Medical, Inc.	46,600	2,032
Stryker Corp.	48,200	2,292
*Tenet Healthcare Corp.	60,250	737
*Thermo Electron Corp.	20,700	556
UnitedHealth Group, Inc.	162,856	8,491
*Waters Corp.	15,100	561
*Watson Pharmaceuticals, Inc.	14,200	420
*WellPoint, Inc.	78,800	5,488
Wyeth	172,171	7,662
*Zimmer Holdings, Inc.	31,773	2,420
Total		187,589
Industrials (5.4%)
3M Co.	99,024	7,159
*Allied Waste Industries, Inc.	34,850	276
American Power Conversion Corp.	23,350	551
American Standard Companies, Inc.	23,000	964
Avery Dennison Corp.	13,050	691
The Boeing Co.	106,318	7,017
Burlington Northern Santa Fe Corp.	48,408	2,279

Common Stocks (48.2%)	Shares/ $ Par	Value $ (000’s)
Industrials continued
Caterpillar, Inc.	43,912	4,185
Cendant Corp.	135,273	3,026
Cintas Corp.	19,267	744
Cooper Industries, Ltd. — Class A	11,900	760
CSX Corp.	27,850	1,188
Cummins, Inc.	5,600	418
Danaher Corp.	35,400	1,853
Deere & Co.	31,740	2,079
*Delta Air Lines, Inc.	18,433	69
Dover Corp.	26,233	954
Eaton Corp.	19,400	1,162
Emerson Electric Co.	53,625	3,359
Equifax, Inc.	16,700	596
FedEx Corp.	38,840	3,146
Fluor Corp.	11,100	639
General Dynamics Corp.	25,800	2,826
General Electric Co.	1,364,398	47,277
Goodrich Corp.	15,500	635
Honeywell International, Inc.	109,750	4,020
Illinois Tool Works, Inc.	35,100	2,797
Ingersoll-Rand Co. — Class A	21,670	1,546
ITT Industries, Inc.	11,900	1,162
L-3 Communications Holdings, Inc.	15,300	1,172
Lockheed Martin Corp.	52,022	3,375
Masco Corp.	55,800	1,772
*Monster Worldwide, Inc.	15,533	445
*Navistar International Corp.	8,520	273
Norfolk Southern Corp.	52,043	1,611
Northrop Grumman Corp.	46,162	2,550
PACCAR, Inc.	22,327	1,518
Pall Corp.	16,016	486
Parker Hannifin Corp.	15,500	961
Pitney Bowes, Inc.	29,627	1,290
R. R. Donnelley & Sons Co.	27,433	947
Raytheon Co.	58,200	2,277
Robert Half International, Inc.	20,560	513
Rockwell Automation, Inc.	22,450	1,094
Rockwell Collins, Inc.	22,950	1,094
Ryder System, Inc.	8,300	304
Southwest Airlines Co.	94,895	1,322
Textron, Inc.	17,350	1,316
Tyco International, Ltd.	259,783	7,586
Union Pacific Corp.	33,840	2,193
United Parcel Service, Inc. — Class B	143,300	9,912
United Technologies Corp.	131,666	6,761
W.W. Grainger, Inc.	10,700	586
Waste Management, Inc.	73,097	2,072
Total		156,808
Information Technology (7.3%)
*ADC Telecommunications, Inc.	14,907	325
Adobe Systems, Inc.	62,950	1,802
*Advanced Micro Devices, Inc.	50,800	881
*Affiliated Computer Services, Inc. — Class A	16,300	833
*Agilent Technologies, Inc.	55,588	1,280
*Altera Corp.	47,765	947
Analog Devices, Inc.	47,643	1,778

Balanced Portfolio

71

Balanced Portfolio

Common Stocks (48.2%)	Shares/ $ Par	Value $ (000’s)
Information Technology continued
*Andrew Corp.	20,862	266
*Apple Computer, Inc.	106,000	3,902
Applied Materials, Inc.	211,500	3,422
*Applied Micro Circuits Corp.	39,400	101
Autodesk, Inc.	29,432	1,012
Automatic Data Processing, Inc.	75,000	3,148
*Avaya, Inc.	61,412	511
*BMC Software, Inc.	28,540	512
*Broadcom Corp. — Class A	37,600	1,335
*CIENA Corp.	74,200	155
*Cisco Systems, Inc.	822,167	15,711
*Citrix Systems, Inc.	21,780	472
Computer Associates International, Inc.	68,432	1,881
*Computer Sciences Corp.	23,650	1,034
*Compuware Corp.	49,943	359
*Comverse Technology, Inc.	25,800	610
*Convergys Corp.	18,250	260
*Corning, Inc.	186,400	3,098
*Dell, Inc.	311,467	12,306
*Electronic Arts, Inc.	39,400	2,230
Electronic Data Systems Corp.	66,700	1,284
*EMC Corp.	309,086	4,238
First Data Corp.	100,147	4,020
*Fiserv, Inc.	24,625	1,058
Freescale Semiconductor Inc.	51,706	1,095
*Gateway, Inc.	38,250	126
Hewlett-Packard Co.	371,267	8,728
Intel Corp.	794,143	20,694
International Business Machines Corp.	207,510	15,397
*Intuit, Inc.	23,900	1,078
*Jabil Circuit, Inc.	23,733	729
*JDS Uniphase Corp.	186,300	283
KLA-Tencor Corp.	25,300	1,106
*Lexmark International, Inc. — Class A	16,300	1,057
Linear Technology Corp.	39,350	1,444
*LSI Logic Corp.	49,900	424
*Lucent Technologies, Inc.	569,862	1,658
Maxim Integrated Products, Inc.	42,200	1,612
*Mercury Interactive Corp.	11,100	426
*Micron Technology, Inc.	79,050	807
Microsoft Corp.	1,292,600	32,107
Molex, Inc.	21,575	562
Motorola, Inc.	315,419	5,760
National Semiconductor Corp.	44,886	989
*NCR Corp.	24,000	843
*Network Appliance, Inc.	47,100	1,332
*Novell, Inc.	49,000	304
*Novellus Systems, Inc.	17,800	440
*NVIDIA Corp.	21,700	580
*Oracle Corp.	568,850	7,509
*Parametric Technology Corp.	34,920	223
Paychex, Inc.	45,740	1,488
*PMC-Sierra, Inc.	23,200	216
*QLogic Corp.	11,650	360
QUALCOMM, Inc.	210,166	6,938
Sabre Holdings Corp. — Class A	16,909	337
*Sanmina-SCI Corp.	67,600	370
Scientific-Atlanta, Inc.	19,600	652

Common Stocks (48.2%)	Shares/ $ Par	Value $ (000’s)
Information Technology continued
Siebel Systems, Inc.	66,500	592
*Solectron Corp.	125,100	474
*Sun Microsystems, Inc.	438,154	1,634
*SunGard Data Systems, Inc.	37,300	1,312
*Symantec Corp.	91,500	1,989
Symbol Technologies, Inc.	31,250	308
Tektronix, Inc.	11,340	264
*Tellabs, Inc.	57,708	502
*Teradyne, Inc.	25,150	301
Texas Instruments, Inc.	213,875	6,003
*Unisys Corp.	43,550	276
*VERITAS Software Corp.	55,001	1,342
*Xerox Corp.	123,300	1,700
Xilinx, Inc.	45,100	1,150
*Yahoo!, Inc.	168,900	5,852
Total		212,144
Materials (1.4%)
Air Products and Chemicals, Inc.	29,533	1,781
Alcoa, Inc.	112,243	2,933
Allegheny Technologies, Inc.	11,531	254
Ball Corp.	14,168	509
Bemis Co., Inc.	13,800	366
The Dow Chemical Co.	123,624	5,505
E. I. du Pont de Nemours and Co.	128,145	5,512
Eastman Chemical Co.	10,375	572
Ecolab, Inc.	28,300	916
Engelhard Corp.	15,500	443
Freeport-McMoRan Copper & Gold, Inc. — Class B	23,119	866
Georgia-Pacific Corp.	33,458	1,064
Great Lakes Chemical Corp.	6,700	211
*Hercules, Inc.	14,500	205
International Flavors & Fragrances, Inc.	11,375	412
International Paper Co.	63,124	1,907
Louisiana-Pacific Corp.	14,300	351
MeadWestvaco Corp.	24,014	673
Monsanto Co.	34,478	2,168
Newmont Mining Corp.	57,330	2,238
Nucor Corp.	20,634	941
*Pactiv Corp.	19,200	414
Phelps Dodge Corp.	12,510	1,157
PPG Industries, Inc.	22,133	1,389
Praxair, Inc.	41,600	1,939
Rohm and Haas Co.	24,834	1,151
*Sealed Air Corp.	10,736	535
Sigma-Aldrich Corp.	8,900	499
Temple-Inland, Inc.	16,000	594
United States Steel Corp.	14,650	504
Vulcan Materials Co.	13,100	851
Weyerhaeuser Co.	31,520	2,006
Total		40,866
Telecommunication Services (1.5%)
ALLTEL Corp.	42,043	2,618
AT&T Corp.	103,074	1,963
BellSouth Corp.	235,535	6,258
CenturyTel, Inc.	16,900	585

72

Balanced Portfolio

Balanced Portfolio

Common Stocks (48.2%)	Shares/ $ Par	Value $ (000’s)
Telecommunication Services continued
Citizens Communications Co.	43,800	589
*Nextel Communications, Inc. — Class A	144,733	4,676
*Qwest Communications International, Inc.	215,120	798
SBC Communications, Inc.	424,933	10,092
Sprint Corp.	190,311	4,775
Verizon Communications, Inc.	355,938	12,298
Total		44,652
Utilities (1.7%)
*The AES Corp.	84,075	1,377
*Allegheny Energy, Inc.	20,900	527
Ameren Corp.	26,133	1,445
American Electric Power Co., Inc.	49,420	1,822
*Calpine Corp.	69,240	235
Centerpoint Energy, Inc.	37,326	493
Cinergy Corp.	25,538	1,145
*CMS Energy Corp.	28,100	423
Consolidated Edison, Inc.	31,225	1,463
Constellation Energy Group	22,800	1,315
Dominion Resources, Inc.	43,825	3,216
DTE Energy Co.	22,450	1,050
Duke Energy Corp.	119,242	3,545
*Dynegy, Inc. — Class A	42,700	208
Edison International	41,880	1,698
Entergy Corp.	27,291	2,062
Exelon Corp.	86,124	4,420
FirstEnergy Corp.	42,474	2,043
FPL Group, Inc.	50,386	2,119
KeySpan Corp.	22,200	904
Nicor, Inc.	5,650	233
NiSource, Inc.	34,984	865
Peoples Energy Corp.	4,900	213
PG&E Corp.	47,575	1,786
Pinnacle West Capital Corp.	12,700	565
PPL Corp.	24,433	1,451
Progress Energy, Inc.	31,979	1,447
Public Service Enterprise Group, Inc.	30,740	1,870
Sempra Energy	30,759	1,271
The Southern Co.	95,800	3,321
TECO Energy, Inc.	26,600	503
TXU Corp.	30,815	2,560
Xcel Energy, Inc.	51,770	1,011
Total		48,606
Total Common Stocks (Cost: $778,706)		1,400,904
Money Market Investments (18.1%)
Federal Government & Agencies (10.2%)
(b)Federal Home Loan, 2.99%, 7/11/05	100,000,000	99,917
(b)Federal National Mortgage Association, 2.98%, 7/14/05	130,000,000	129,861

Money Market Investments (18.1%)	Shares/ $ Par	Value $ (000’s)
Federal Government & Agencies continued
(b)Federal National Mortgage Association, 3.02%, 7/13/05	30,000,000	29,970
(b)Freddie Discount, 3.29%, 9/20/05	34,200,000	33,941
Total		293,689
Finance Lessors (1.0%)
(b)Ranger Funding Co., LLC, 3.28%, 7/27/05	15,000,000	14,965
(b)Windmill Funding Corp., 3.18%, 8/3/05	15,000,000	14,956
Total		29,921
Finance Services (0.7%)
(b)HBOS Treasury Services, 2.95%, 12/30/05	4,050,000	4,036
(b)Preferred Receivable Funding, 3.27%, 7/28/05	15,000,000	14,963
Total		18,999
Miscellaneous Business Credit Institutions (1.0%)
(b)Caterpillar Inc., 3.24%, 7/8/05	15,000,000	14,991
Paccar Financial Corp., 3.26%, 7/7/05	15,000,000	14,991
Total		29,982
National Commercial Banks (0.9%)
First Union Corp., 7.55%, 8/18/05	2,800,000	2,813
UBS Finance Delaware LLC, 3.37%, 7/1/05	16,330,000	16,330
Wells Fargo Co., 6.20%, 12/1/05	4,100,000	4,135
Wells Fargo Co., 6.875%, 4/1/06	3,600,000	3,673
Total		26,951
Personal Credit Institutions (0.8%)
American Express Credit, 3.22%, 7/14/05	15,000,000	14,982
Household Finance Corp., 6.50%, 1/24/06	7,108,000	7,211
Total		22,193
Pharmaceutical Preparations (0.2%)
Pharmacia Corp, 5.75%, 12/1/05	4,480,000	4,519
Total		4,519
Security Brokers and Dealers (1.6%)
Goldman Sachs Group, 3.16%, 7/15/05	15,000,000	14,983
Goldman Sachs Group LP, 6.75%, 2/15/06 144A	5,400,000	5,490
Merrill Lynch & Co., 3.47%, 3/17/06	3,240,000	3,241
Merrill Lynch & Co., 7.00%, 3/15/06	5,400,000	5,508
Morgan Stanley, 3.75%, 3/27/06	3,600,000	3,607
Morgan Stanley Dean Witter, 3.29%, 8/15/05	15,000,000	14,938
Total		47,767

Balanced Portfolio

73

Balanced Portfolio

Money Market Investments (18.1%)	Shares/ $ Par	Value $ (000’s)
Short Term Business Credit (1.4%)
Cit Group Inc., 6.50%, 2/7/06	2,700,000	2,741
Citigroup Inc., 6.75%, 12/1/05	2,700,000	2,732
Old Line Funding Corp., 3.18%, 8/1/05	12,529,000	12,495
Sheffield Receivables, 3.10%, 7/8/05	10,000,000	9,994
Sheffield Receivables, 3.11%, 7/11/05	13,400,000	13,388
Total		41,350
Utilities (0.3%)
National Rural Utility, 3.24%, 7/21/05	10,000,000	9,982
Total		9,982
Total Money Market Investments (Cost: $525,502)		525,353
Total Investments (106.2%) (Cost $2,453,869)(a)		3,086,529
Other Assets, Less Liabilities (-6.2%)		(179,933	)
Total Net Assets (100.0%)		2,906,596

* 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, 2005 the value of these securities (in thousands) was $43,678, representing 1.50% of the net assets.

IO — Interest Only Security

RB — Revenue Bond

(a)At June 30, 2005 the aggregate cost of securities for federal tax purposes (in thousands) was $2,453,869 and the net unrealized appreciation of investments based on that cost was $632,660 which is comprised of $746,300 aggregate gross unrealized appreciation and $113,640 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.

Issuer (000’s)	Number of Contracts	Expiration Date	Unrealized Appreciation / (Depreciation) (000’s)
S&P 500 Index Futures (Long)	457	9/05	$	(1,379	)
(Total Notional Value at June 30, 2005, $137,964) US Long Bond (CBT) Commodity Futures (Long)	50	9/05	$	124
(Total Notional Value at June 30, 2005, $5,814) US Ten Year Treasury Note Futures (Short)	500	9/05	$	149
(Total Notional Value at June 30, 2005, $56,883)

(d) Defaulted Security

(e) Step bond security that presently receives no coupon payments. At the predetermined date the stated coupon rate becomes effective.

(g) All or portion of the securities have been loaned.

See note 6.

The Accompanying Notes are an Integral Part of the Financial Statements

74

Balanced Portfolio

High Yield Bond Portfolio

Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value January 1, 2005		Ending Account Value June 30, 2005		Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual	$	1,000.00	$	996.90	$	2.37
Hypothetical (5% return before expenses)	$	1,000.00	$	1,022.12	$	2.40

* Expenses are equal to the Fund’s annualized expense ratio of 0.48%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

High Yield Bond Portfolio

75

High Yield Bond Portfolio

Northwestern Mutual Series Fund, Inc.

Schedule of Investments

June 30, 2005 (unaudited)

Bonds (92.4%)	Shares/ $ Par	Value $ (000’s)
Aerospace/Defense (0.7%)
L-3 Communications Corp., 6.125%, 7/15/13	765,000	769
L-3 Communications Corp., 7.625%, 6/15/12	765,000	815
Total Aerospace/Defense		1,584
Autos/Vehicle Parts (3.3%)
Affinia Group, Inc., 9.00%, 11/30/14 144A	1,302,000	1,094
General Motors Acceptance Corp., 8.00%, 11/01/31	1,540,000	1,374
General Motors Corp., 8.375%, 7/15/33	325,000	271
The Goodyear Tire & Rubber Co., 9.00%, 7/1/15 144A	2,680,000	2,632
HLI Operating Co., 10.50%, 6/15/10	655,000	642
Metaldyne Corp., 10.00%, 11/1/13 144A	1,119,000	918
Visteon Corp., 8.25%, 8/1/10	940,000	870
Total Autos/Vehicle Parts		7,801
Basic Materials (13.7%)
Chemicals (4.8%)
BCP Caylux Holding, 9.625%, 6/15/14	1,228,000	1,375
Borden US Finance Corp., 9.00%, 7/15/14 144A	562,000	572
Crompton Corp., 9.875%, 8/1/12	469,000	544
Equistar Chemicals LP, 8.75%, 2/15/09	2,265,000	2,385
Equistar Chemicals LP, 10.625%, 5/1/11	1,150,000	1,269
Huntsman LLC, 11.50%, 7/15/12	745,000	874
Invista, 9.25%, 5/1/12 144A	2,000,000	2,185
Rockwood Specialties Group, Inc., 10.265%, 5/15/11	1,725,000	1,902
Total		11,106
Metals/Mining (1.3%)
Massey Energy Co., 6.625%, 11/15/10	1,130,000	1,164
Novelis, Inc., 7.25%, 2/15/15 144A	1,868,000	1,875
Total		3,039
Packaging/Containers (3.2%)
Anchor Glass Container, 11.00%, 2/15/13	1,685,000	1,314
Graham Packaging Co., 9.875%, 10/15/14 144A	1,476,000	1,480
Graphic Packaging International Corp., 9.50%, 8/15/13	1,576,000	1,588
Owens-Brockway Glass Container, Inc., 6.75%, 12/1/14	1,064,000	1,076
Owens-Brockway Glass Container, Inc., 7.75%, 5/15/11	1,130,000	1,201
Pliant Corp., 11.125%, 9/1/09	1,002,000	977
Total		7,636

Bonds (92.4%)	Shares/ $ Par	Value $ (000’s)
Paper & Forest Products (4.4%)
Abitibi-Consolidated, Inc., 7.75%, 6/15/11	1,297,000	1,303
Appleton Papers, Inc., 9.75%, 6/15/14	1,197,000	1,155
Cascades Inc., 7.25%, 2/15/13	1,638,000	1,601
Domtar Inc., 7.875%, 10/15/11	2,410,000	2,549
Georgia-Pacific Corp., 8.125%, 5/15/11	1,885,000	2,125
(c)(f)JSG Holding PLC, 11.50%, 10/1/15 144A	506,684	494
Smurfit-Stone Container, 8.375%, 7/1/12	1,035,000	1,045
Total		10,272
Total Basic Materials		32,053
Builders/Building Materials (2.6%)
Building Materials (1.3%)
Ames True Temper, Inc., 10.00%, 7/15/12	1,876,000	1,510
Ply Gem Industries, Inc., 9.00%, 2/15/12	1,860,000	1,572
Total		3,082
Home Builders (1.3%)
Technical Olympic USA, Inc., 7.50%, 3/15/11	1,125,000	1,046
Technical Olympic USA, Inc., 9.00%, 7/1/10	750,000	772
William Lyon Homes, 7.50%, 2/15/14	690,000	649
William Lyon Homes, 7.625%, 12/15/12	525,000	501
Total		2,968
Total Builders/Building Materials		6,050
Capital Goods (4.9%)
Amsted Industries, Inc., 10.25%, 10/15/11 144A	1,825,000	1,971
Bombardier Recreational, 8.375%, 12/15/13	970,000	1,033
Case New Holland, Inc., 9.25%, 8/1/11 144A	2,431,000	2,553
Coleman Cable, Inc., 9.875%, 10/1/12 144A	1,125,000	1,001
DA-Lite Screen Co., Inc., 9.50%, 5/15/11	1,800,000	1,917
(e)Standadyne Corp., 0.00%, 2/15/15	2,530,000	1,366
Sup Essx Com & Essx Group, 9.00%, 4/15/12	774,000	766
Trimas Corp., 9.875%, 6/15/12	975,000	819
Total Capital Goods		11,426
Consumer Products/Retailing (9.5%)
Consumer Products (4.1%)
ALH Finance LLC, 8.50%, 1/15/13	1,492,000	1,367
Amscan Holdings, Inc., 8.75%, 5/1/14	1,408,000	1,288
Hines Nurseries, Inc., 10.25%, 10/1/11	1,314,000	1,353
Jostens IH Corp., 7.625%, 10/1/12	844,000	833

76

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High Yield Bond Portfolio

Bonds (92.4%)	Shares/ $ Par	Value $ (000’s)
Consumer Products continued
Rent-A-Center, 7.50%, 5/1/10	2,288,000	2,288
Samsonite Corp., 8.875%, 6/1/11	1,431,000	1,520
(e)Simmons Co., 0.00%, 12/15/14 144A	2,195,000	988
Total		9,637
Retail Food & Drug (3.2%)
Delhaize America, Inc., 8.125%, 4/15/11	2,640,000	2,962
The Jean Coutu Group (PJC), Inc., 8.50%, 8/1/14	2,204,000	2,176
Rite Aid Corp., 8.125%, 5/1/10	1,505,000	1,550
Stater Brothers Holdings, 8.125%, 6/15/12	755,000	736
Total		7,424
Textile/Apparel (2.2%)
Oxford Industries, Inc., 8.875%, 6/1/11	1,693,000	1,812
Perry Ellis International, Inc., 8.875%, 9/15/13	753,000	753
Phillips-Van Heusen Corp., 7.25%, 2/15/11	1,500,000	1,575
Phillips-Van Heusen Corp., 8.125%, 5/1/13	200,000	217
Warnaco, Inc., 8.875%, 6/15/13	755,000	834
Total		5,191
Total Consumer Products/Retailing		22,252
Energy (4.5%)
Gas Pipelines/Oil Field Services (0.8%)
El Paso Production Holding, 7.75%, 6/1/13	1,328,000	1,418
Harvest Operations Corp., 7.875%, 10/15/11	470,000	448
Total		1,866
Oil & Gas Exploration/Production (2.9%)
Chesapeake Energy Corp., 6.375%, 6/15/15 144A	938,000	961
Chesapeake Energy Corp., 6.625%, 1/15/06 144A	1,410,000	1,456
Kerr-McGee Corp., 6.875%, 9/15/11	1,885,000	2,013
Range Resources Corp., 6.375%, 3/15/15	1,119,000	1,113
Whiting Petroleum Corp., 7.25%, 5/1/13	1,254,000	1,279
Total		6,822
Oil Refining & Marketing (0.8%)
AmeriGas Partners LP, 7.25%, 5/20/15 144A	1,880,000	1,955
Total		1,955
Total Energy		10,643
Financials (7.5%)
Financials Services (6.3%)
Dollar Financial Group, 9.75%, 11/15/11	1,125,000	1,160
Dow Jones Credit Derivative High Yield, 6.75%, 6/29/2010 144A	5,000,000	5,003
Dow Jones Credit Derivative High Yield, 7.75%, 12/29/09 144A	1,225,000	1,240
LaBranche & Co., Inc., 9.50%, 5/15/09	1,130,000	1,187
LaBranche & Co., Inc., 11.00%, 5/15/12	936,000	1,011

Bonds (92.4%)	Shares/ $ Par	Value $ (000’s)
Financials Services continued
Refco Finance Holdings, 9.00%, 8/1/12	2,253,000	2,388
Thornburg Mortgage, Inc., 8.00%, 5/15/2013	2,835,000	2,906
Total		14,895
Insurance (1.2%)
Crum and Forster Holding Corp., 10.375%, 6/15/13	925,000	1,004
Fairfax Financial Holdings, 7.75%, 4/26/12	1,877,000	1,783
Total		2,787
Total Financials		17,682
Foods (3.9%)
Food/Beverage/Tobacco (3.8%)
B&G Foods, Inc., 8.00%, 10/1/11	939,000	971
Gold Kist, Inc., 10.25%, 3/15/14	604,000	683
Land O Lakes, Inc., 9.00%, 12/15/10	1,503,000	1,619
Merisant Co., 9.50%, 7/15/13 144A	951,000	675
RJ Reynolds Tobacco Holdings, Inc., 6.50%, 7/15/10 144A	1,915,000	1,910
RJ Reynolds Tobacco Holdings, Inc., 7.25%, 6/1/12	765,000	778
Smithfield Foods, Inc., 7.00%, 8/1/11	1,130,000	1,189
Smithfield Foods, Inc., 7.75%, 5/15/13	1,130,000	1,232
Total		9,057
Restaurants (0.1%)
Uno Restaurant Corp., 10.00%, 2/15/11 144A	186,000	177
Total		177
Total Foods		9,234
Gaming/Leisure/Lodging (9.5%)
Gaming (5.4%)
Boyd Gaming Corp., 7.75%, 12/15/12	1,130,000	1,208
(d)Hollywood Casino Shreveport, 13.00%, 8/1/06	700,000	571
Majestic Star Casino LLC, 9.50%, 10/15/10	665,000	685
MGM Mirage, Inc., 6.375%, 12/15/11	1,135,000	1,152
MGM Mirage, Inc., 6.75%, 9/1/12	755,000	778
MGM Mirage, Inc., 8.375%, 2/1/11	1,885,000	2,055
MGM Mirage, Inc., 8.50%, 9/15/10	940,000	1,043
Penn National Gaming, Inc., 6.75%, 3/1/15 144A	1,495,000	1,484
Station Casinos, Inc., 6.875%, 3/1/16	755,000	776
Wheeling Island Gaming, 10.125%, 12/15/09	1,125,000	1,193
Wynn Las Vegas LLC, 6.625%, 12/1/14 144A	1,915,000	1,862
Total		12,807
Leisure (2.0%)
LCE Acquisition Corp., 9.00%, 8/1/14 144A	2,004,000	1,939
Universal City Development Corp., 11.75%, 4/1/10	907,000	1,041
Universal City Florida, 8.375%, 5/1/10	1,705,000	1,777
Total		4,757

High Yield Bond Portfolio

77

High Yield Bond Portfolio

Bonds (92.4%)	Shares/ $ Par	Value $ (000’s)
Lodging (2.1%)
Corrections Corp. of America, 6.25%, 3/15/13	2,178,000	2,161
Host Marriot LP, 7.125%, 11/1/13	2,640,000	2,751
Total		4,912
Total Gaming/Leisure/Lodging		22,476
Healthcare/Pharmaceuticals (5.7%)
Alliance Imaging, Inc., 7.25%, 12/15/12	625,000	591
Fisher Scientific International, Inc., 6.125%, 7/1/15 144A	2,786,000	2,788
General Nutrition Centers, Inc., 8.50%, 12/1/10	1,500,000	1,200
General Nutrition Centers, Inc., 8.625%, 1/15/11 144A	748,000	692
HCA, Inc., 6.95%, 5/1/12	1,885,000	2,003
Iasis Healthcare Corp., 8.75%, 6/15/14	1,547,000	1,678
Omega Healthcare Investors, 7.00%, 4/1/14	750,000	756
Tenet Healthcare Corp., 9.875%, 7/1/14	1,124,000	1,205
US Oncology, Inc., 9.00%, 8/15/12	940,000	1,006
Ventas Realty, LP, 6.75%, 6/1/10 144A	605,000	628
Ventas Realty, LP, 9.00%, 5/1/12	750,000	863
Total Healthcare/Pharmaceuticals		13,410
Media (7.8%)
Broadcasting (0.3%)
Sinclair Broadcast Group, 8.00%, 3/15/12	755,000	774
Total		774
Cable/Satellite (7.5%)
Cablevision Systems Corp., 8.00%, 4/15/12	1,875,000	1,838
CSC Holdings, Inc., 7.625%, 4/1/11	1,705,000	1,684
The DIRECTV Group, Inc., 8.375%, 3/15/13	375,000	415
The DIRECTV Group, Inc., 6.375%, 6/15/15 144A	3,780,000	3,760
Echostar DBS Corp., 6.375%, 10/1/11	1,885,000	1,869
Echostar DBS Corp., 6.625%, 10/1/14	1,450,000	1,432
Intelsat Bermuda Ltd., 8.25%, 1/15/13 144A	1,399,000	1,444
Kabel Deutschland GMBH, 10.625%, 7/1/14 144A	1,500,000	1,628
Panamsat Corp., 9.00%, 8/15/14	812,000	886
Rogers Cable, Inc., 6.25%, 6/15/13	776,000	774
Rogers Cable, Inc., 6.75%, 3/15/15	1,127,000	1,150
Rogers Cable, Inc., 7.875%, 5/1/12	755,000	819
Total		17,699
Total Media		18,473
Real Estate (0.9%)
Trustreet Properties, Inc., 7.50%, 4/1/15 144A	2,180,000	2,229
Total Real Estate		2,229

Bonds (92.4%)	Shares/ $ Par	Value $ (000’s)
Services (3.8%)
Environmental Services (1.5%)
Allied Waste North America, 6.375%, 4/15/11	1,150,000	1,104
Allied Waste North America, 7.25%, 3/15/15 144A	2,621,000	2,536
Total		3,640
Services-Other (2.3%)
Buhrmann US, Inc., 7.875%, 3/1/15 144A	743,000	724
Knowledge Learning Center, 7.75%, 2/1/15 144A	1,495,000	1,428
United Rentals North America, Inc., 6.50%, 2/15/12	2,295,000	2,258
United Rentals North America, Inc., 7.00%, 2/15/14	919,000	875
Total		5,285
Total Services		8,925
Technology (2.3%)
Amkor Technologies, Inc., 7.125%, 3/15/11	750,000	649
Flextronics International Ltd., 6.50%, 5/15/13	1,130,000	1,170
Stats Chippac, Inc., 6.75%, 11/15/11	1,062,000	1,020
Unisys Corp., 6.875%, 3/15/10	1,883,000	1,849
Xerox Corp., 7.20%, 4/1/16	751,000	811
Total Technology		5,499
Telecommunications (4.3%)
Telecommunications-Wireless (0.9%)
Rogers Wireless, Inc., 6.375%, 3/1/14	938,000	954
Rogers Wireless, Inc., 7.25%, 12/15/12	501,000	541
Rogers Wireless, Inc., 8.00%, 12/15/12	470,000	506
Total		2,001
Telecommunications-Wireline (3.4%)
Citizens Communications, 9.00%, 8/15/31	1,879,000	1,927
GCI, Inc., 7.25%, 2/15/14	745,000	715
MCI, Inc., 8.735%, 5/1/14	1,410,000	1,581
Qwest Communications International, Inc., 7.50%, 11/1/08	375,000	358
Qwest Corp., 7.625%, 6/15/15 144A	1,008,000	1,029
Qwest Corp., 7.875%, 9/1/11 144A	2,317,000	2,416
Total		8,026
Total Telecommunications		10,027
Transportation-Rail & Other (4.1%)
Grupo Transportacion Ferroviaria Mexicana, SA de CV (TFM), 6.625%, 1/15/16 144A	1,223,000	1,272
Grupo Transportacion Ferroviaria Mexicana, SA de CV (TFM), 12.50%, 6/15/12	750,000	878
Laidlaw International, Inc., 10.75%, 6/15/11	708,000	830
OMI Corp., 7.625%, 12/1/13	1,125,000	1,121
Progress Rail, 7.75%, 4/1/12 144A	935,000	947

78

High Yield Bond Portfolio

High Yield Bond Portfolio

Bonds (92.4%)	Shares/ $ Par	Value $ (000’s)
Transportation-Rail & Other continued
Ship Finance International, Ltd., 8.50%, 12/15/13	1,970,000	1,873
Stena AB, 7.50%, 11/1/13	1,515,000	1,491
Stena AB, 9.625%, 12/1/12	1,075,000	1,172
Total Transportation-Rail & Other		9,584
Utilities (3.4%)
Aquila, Inc., 9.95%, 2/1/11	1,125,000	1,221
Midwest Generation LLC, 8.75%, 5/1/34	935,000	1,047
NRG Energy, Inc., 8.00%, 12/15/13 144A	704,000	743
Reliant Energy, Inc., 6.75%, 12/15/14	1,223,000	1,195
Sierra Pacific Resources, 8.625%, 3/15/14	1,125,000	1,243
Teco Energy, Inc., 6.75%, 5/1/15 144A	565,000	599
Tenaska Alabama II Partners LP, 7.00%, 6/30/21 144A	1,035,000	1,048
Utilicorp Canada Finance, 7.75% 6/15/11	940,000	968
Total Utilities		8,064
Total Bonds (Cost: $217,876)		217,412
Preferred Stocks (0.0%)
Media (0.0%)
PTV, Inc.	23	0
Total Preferred Stocks (Cost: $0)		0
Common Stocks and Warrants (0.4%)
Foods (0.4%)
B&G Foods, Inc. — EIS	60,223	882
Total Foods		882
Media (0.0%)
NTL, Inc.	12	0
Total Media		0
Telecommunications (0.0%)
American Tower Corp. — Warrants	2,900	86
Horizon PCS, Inc. — Warrants 144A	2,000	0
IWO Holdings, Inc. 144A	1,150	0
Total Telecommunications		86
Transportation-Rail & Other (0.0%)
RailAmerica Transportation Corp.	1,400	83
Total Transportation-Rail & Other		83
Total Common Stocks and Warrants (Cost: $1,308)		1,051

Money Market Investments (5.5%)	Shares/ $ Par	Value $ (000’s)
National Commercial Banks (3.0%)
UBS Finance Delaware LLC, 3.37%, 7/1/05	7,000,000	7,000
Total National Commercial Banks		7,000
Utilities (2.5%)
(b)National Rural Utility, 3.27%, 7/28/05	6,000,000	5,985
Total Utilities		5,985
Total Money Market Investments (Cost: $12,985)		12,985
Total Investments (98.3%) (Cost $232,169)(a)		231,448
Other Assets, Less Liabilities (1.7%)		3,914
Total Net Assets (100.0%)		235,362

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, 2005 the value of these securities (in thousands) was $62,337 representing 26.49% of the net assets.

(a) At June 30, 2005 the aggregate cost of securities for federal tax purposes (in thousands) was $232,169 and the net unrealized depreciation of investments based on that cost was $721 which is comprised of $5,015 aggregate gross unrealized appreciation and $5,736 aggregate gross unrealized depreciation.

(b) All or a portion of the securities have been committed as collateral for when-issued securities.

(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.

(f) Euro Foreign Bond

The Accompanying Notes are an Integral Part of the Financial Statements

High Yield Bond Portfolio

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Sector Allocation is based on Net Assets.

Sector Allocation is subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value January 1, 2005		Ending Account Value June 30, 2005		Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual	$	1,000.00	$	1,020.50	$	1.50
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.00	$	1.50

* Expenses are equal to the Fund’s annualized expense ratio of 0.30%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

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Northwestern Mutual Series Fund, Inc.

Schedule of Investments

June 30, 2005 (unaudited)

Revenue Bonds (0.4%)	Shares/ $ Par	Value $ (000’s)
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	3,181
Total Revenue Bonds (Cost: $2,897)		3,181
Corporate Bonds (36.1%)
Aerospace/Defense (2.0%)
Boeing Capital Corp., 4.75%, 8/25/08	3,067,000	3,121
General Dynamics Corp., 3.00%, 5/15/08	3,660,000	3,549
L-3 Communications Corp., 5.875%, 1/15/15	1,550,000	1,504
Lockheed Martin Corp., 8.50%, 12/1/29	1,515,000	2,188
Raytheon Co., 5.50%, 11/15/12	3,680,000	3,872
Total		14,234
Auto Manufacturing (0.4%)
General Motors Acceptance Corp., 5.625%, 5/15/09	2,450,000	2,295
General Motors Acceptance Corp., 6.75%, 12/1/14	385,000	344
Total		2,639
Banking (5.2%)
Bank of America Corp., 7.40%, 1/15/11	4,233,000	4,844
Bank One Corp., 5.25%, 1/30/13	4,000,000	4,138
Chuo Mitsui Trust and Banking Co., 5.506%, 4/15/15 144A	3,055,000	3,001
Citigroup, Inc., 4.50%, 7/29/09	3,450,000	3,462
Compass Bank, 5.50%, 4/1/20	1,750,000	1,828
National Australia Bank, Ltd., 4.80%, 4/6/10 144A	2,449,000	2,501
PNC Bank NA, 5.25%, 1/15/17	1,160,000	1,201
Rabobank Capital Fund II, 5.26%, 12/31/13 144A	805,000	828
U.S. Central Credit Union, 2.75%, 5/30/08	2,600,000	2,524
UnionBanCal Corp., 5.25%, 12/16/13	500,000	517
US Bank NA, 4.95%, 10/30/14	3,065,000	3,150
Wachovia Bank NA, 4.80%, 11/1/14	2,845,000	2,878
Washington Mutual, Inc., 5.00%, 3/22/12	3,070,000	3,130
World Savings Bank FSB, 4.125%, 12/15/09	4,000,000	3,983
Total		37,985
Beverage/Bottling (2.2%)
Anheuser-Busch Companies, Inc., 7.00%, 12/1/25	4,200,000	4,388
Anheuser-Busch Companies, Inc., 7.50%, 3/15/12	378,000	448

Corporate Bonds (36.1%)	Shares/ $ Par	Value $ (000’s)
Beverage/Bottling continued
Coca-Cola Enterprises, Inc., 5.25%, 5/15/07	5,000,000	5,109
Coca-Cola Enterprises, Inc., 5.375%, 8/15/06	1,500,000	1,517
Diageo PLC, 4.375%, 5/3/10	2,780,000	2,794
PepsiAmericas, Inc., 4.875%, 1/15/15	1,710,000	1,742
Total		15,998
Cable/Media/Broadcasting/Satellite (3.0%)
Clear Channel Communications, Inc., 5.50%, 9/15/14	2,155,000	2,044
Clear Channel Communications, Inc., 5.50%, 12/15/16	2,590,000	2,394
Comcast Corp., 5.30%, 1/15/14	4,000,000	4,111
CSC Holdings, Inc., 7.25%, 7/15/08	1,555,000	1,559
Echostar Corp., 6.375%, 10/1/11	2,310,000	2,290
Roger’s Cable, Inc., 6.25%, 6/15/13	1,550,000	1,546
Time Warner Entertainment Co. LP, 7.25%, 9/1/08	3,110,000	3,368
Time Warner Entertainment Co. LP, 8.375%, 7/15/33	830,000	1,102
Time Warner Entertainment Co. LP, 8.875%, 10/1/12	1,500,000	1,852
Viacom, Inc., 7.875%, 7/30/30	1,160,000	1,361
Total		21,627
Conglomerate/Diversified Manufacturing (0.7%)
Cooper Industries, Inc., 5.50%, 11/1/09	4,000,000	4,168
Textron Financial Corp., 2.75%, 6/1/06	1,300,000	1,287
Total		5,455
Consumer Products (0.7%)
The Clorox Co., 4.20%, 1/15/10	2,200,000	2,204
The Gillette Co., 2.50%, 6/1/08	3,300,000	3,171
Total		5,375
Electric Utilities (5.0%)
Consumer Energy Co., 4.80%, 2/17/09	3,675,000	3,721
DTE Energy Co., 7.05%, 6/1/11	4,400,000	4,926
FPL Group Capital, Inc., 4.086%, 2/16/07	1,870,000	1,869
Indiana Michigan Power, 5.05%, 11/15/14	1,560,000	1,578
Kiowa Power Partners LLC, 4.811%, 12/30/13 144A	874,230	868
Kiowa Power Partners LLC, 5.737%, 3/30/21 144A	2,525,000	2,578
Oncor Electric Delivery, 6.375%, 1/15/15	810,000	898
PacifiCorp, 5.45%, 9/15/13	3,000,000	3,173
PPL Electric Utilities Corp., 4.30%, 6/1/13	4,900,000	4,774
Progress Energy, Inc., 4.50%, 6/1/10	2,115,000	2,129

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Corporate Bonds (36.1%)	Shares/ $ Par	Value $ (000’s)
Electric Utilities continued
Public Service Electric & Gas Corp., 5.00%, 1/1/13	1,000,000	1,032
Puget Energy, Inc., 3.363%, 6/1/08	1,380,000	1,343
Southern California Edison, 8.00%, 2/15/07	4,685,000	4,974
Virginia Electric & Power Co., 5.25%, 12/15/15	2,275,000	2,341
Total		36,204
Gas Pipelines (1.0%)
Consolidated Natural Gas Co., 5.00%, 12/1/14	2,345,000	2,372
Enterprise Products Operating L.P., 4.95%, 6/1/10	4,720,000	4,742
Total		7,114
Health Care (0.3%)
Abbott Laboratories, 3.75%, 3/15/11	2,480,000	2,418
Total		2,418
Independent Finance (1.3%)
Household Finance Corp., 4.125%, 11/16/09	2,330,000	2,305
International Lease Finance Corp., 4.75%, 1/13/12	3,010,000	3,000
iStar Financial, Inc., 5.15%, 3/1/12	4,595,000	4,541
Total		9,846
Oil and Gas (1.8%)
Conoco Funding Co., 6.35%, 10/15/11	3,330,000	3,688
Kerr-McGee Corp., 6.95%, 7/1/24	1,520,000	1,571
Occidental Petroleum, 4.00%, 11/30/07	1,500,000	1,495
Occidental Petroleum, 8.45%, 2/15/29	1,430,000	2,065
Occidental Petroleum, 10.125%, 9/15/09	1,000,000	1,208
Valero Energy Corp., 4.75%, 6/15/13	1,670,000	1,653
XTO Energy, Inc., 5.00%, 1/31/15	1,670,000	1,666
Total		13,346
Other Finance (0.4%)
SLM Corp., 4.00%, 1/15/10	3,020,000	2,983
Total		2,983
Paper and Forest Products (0.6%)
Georgia-Pacific Corp., 7.70%, 6/15/15	1,550,000	1,767
Weyerhaeuser Co., 7.375%, 3/15/32	2,325,000	2,742
Total		4,509
Pharmaceuticals (0.3%)
Pfizer, Inc., 5.625%, 2/1/06	1,875,000	1,894
Total		1,894
Property and Casualty Insurance (0.7%)
Berkley (WR) Corp., 9.875%, 5/15/08	2,860,000	3,284
Berkshire Hathaway Finance, 3.40%, 7/2/07	1,500,000	1,481
Total		4,765

Corporate Bonds (36.1%)	Shares/ $ Par	Value $ (000’s)
Railroads (1.3%)
Burlington Northern Santa Fe, 6.125%, 3/15/09	3,000,000	3,185
Union Pacific Corp., 3.875%, 2/15/09	3,000,000	2,953
Union Pacific Corp., 7.375%, 9/15/09	3,000,000	3,336
Total		9,474
Real Estate Investment Trusts (0.7%)
ERP Operating LP, 5.25%, 9/15/14	3,400,000	3,470
First Industrial LP, 5.25%, 6/15/09	1,275,000	1,295
Total		4,765
Retail Food and Drug (1.5%)
Albertson’s, Inc., 7.50%, 2/15/11	3,070,000	3,458
CVS Corp., 4.00%, 9/15/09	2,801,000	2,775
Delhaize America Inc., 8.125%, 4/15/11	1,555,000	1,744
Safeway, Inc., 6.50%, 3/1/11	3,075,000	3,324
Total		11,301
Retail Stores (1.4%)
Federated Department Stores, 6.30%, 4/1/09	3,790,000	4,025
May Department Stores Co., 6.70%, 7/15/34	1,555,000	1,739
Target Corp., 5.40%, 10/1/08	4,555,000	4,736
Total		10,500
Security Brokers and Dealers (2.0%)
Credit Suisse First Boston USA, Inc., 4.70%, 6/1/09	1,685,000	1,712
Goldman Sachs Group, Inc., 5.15%, 1/15/14	4,500,000	4,611
Lehman Brothers Holdings, 4.25%, 1/27/10	3,875,000	3,864
Morgan Stanley, 5.30%, 3/1/13	4,075,000	4,235
Total		14,422
Telecommunications (3.0%)
ALLTELL Corp., 4.656%, 5/17/07	1,190,000	1,199
BellSouth Corp., 5.20%, 9/15/14	1,250,000	1,288
BellSouth Corp., 6.55%, 6/15/34	1,565,000	1,782
Cingular Wireless LLC, 6.50%, 12/15/11	1,500,000	1,657
Cingular Wireless LLC, 7.125%, 12/15/31	1,535,000	1,839
France Telecom SA, 8.00%, 3/1/11	3,105,000	3,603
SBC Communications, Inc., 6.15%, 9/15/34	785,000	850
Sprint Capital Corp., 8.375%, 3/15/12	3,330,000	4,006
Telecom Italia Capital SA, 4.00%, 1/15/10 144A	3,105,000	3,017
Telecom Italia Capital SA, 6.00%, 9/30/34 144A	630,000	643
Verizon Global Funding Corp., 4.375%, 6/1/13	1,000,000	989
Verizon Global Funding Corp., 7.75%, 12/1/30	940,000	1,214
Total		22,087

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Corporate Bonds (36.1%)	Shares/ $ Par	Value $ (000’s)
Yankee Sovereign (0.6%)
State of Israel, 7.25%, 12/15/28	3,465,000	4,145
Total		4,145
Total Corporate Bonds (Cost: $260,508)		263,086
Governments (27.3%)
Governments (27.3%)
Aid-Israel, 5.50%, 4/26/24	1,910,000	2,140
(e)BECCS, 14.00%, 11/15/11	5,600,000	5,312
Federal Home Loan Bank, 5.54%, 1/8/09	3,700,000	3,900
Federal Home Loan Bank, 6.00%, 5/13/13	2,445,000	2,406
Housing & Urban Development, 6.08%, 8/1/13	4,000,000	4,413
Housing & Urban Development, 6.17%, 8/1/14	3,000,000	3,361
Overseas Private Investment, 4.10%, 11/15/14	2,732,400	2,711
(e)Tennessee Valley Authority Stripped, 8.25%, 4/15/42	3,600,000	2,826
US Treasury, 2.25%, 4/30/06	32,503,000	32,170
US Treasury, 2.50%, 10/31/06	25,950,000	25,581
US Treasury, 2.875%, 11/30/06	680,000	673
US Treasury, 3.125%, 1/31/07	8,921,000	8,851
US Treasury, 3.50%, 5/31/07	10,825,000	10,792
US Treasury, 3.625%, 6/10/05	3,410,000	3,395
US Treasury, 3.625%, 4/30/07	13,959,000	13,951
US Treasury, 3.75%, 3/31/07	4,040,000	4,046
(g)US Treasury, 3.875%, 5/15/10	22,493,000	22,621
US Treasury, 4.00%, 2/15/15	17,126,000	17,187
US Treasury, 4.125%, 5/15/15	5,271,000	5,348
US Treasury, 5.00%, 2/15/11	4,015,000	4,266
(g)US Treasury, 5.375%, 2/15/31	19,955,000	23,547
Total Governments (Cost: $198,093)		199,497
Structured Products (31.5%)
Structured Products (31.5%)
Asset Securitization Corp., Series 1997-D5, Class PS1, 1.62%, 2/14/43 IO	10,112,662	552
Banc of America Securities Auto Trust, Series 2005-WF1, Class A2, 3.89%, 6/18/08	10,043,000	10,043
Chase Manhattan Auto Owner Trust, Series 2005-A, Class A2, 3.72%, 12/15/07	10,423,000	10,406
Commercial Mortgage Acceptance Corp., Series 1997-ML1, Class B, 6.64%, 12/15/30	2,000,000	2,106
Criimi Mae Commercial Mortgage Trust, Series 1998-C1, Class A1, 7.00%, 11/2/06 144A	2,844,391	2,855

Structured Products (31.5%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Criimi Mae Commercial Mortgage Trust, Series 1998-C1, Class B, 7.00%, 11/2/11 144A	4,000,000	4,416
DLJ Commercial Mortgage Corp., Series 1998-CF1, Class S, 0.70%, 1/15/18 IO	102,547,859	2,678
DLJ Mortgage Acceptance Corp., Series 1997-CF2, Class S, 0.35%, 10/15/30 IO 144A	69,405,696	1,045
Enterprise Mortgage Acceptance Co., Series 1998-1, Class IO, 1.37%, 1/15/25 IO 144A	20,123,837	855
Federal Home Loan Mortgage Corp., 4.50%, 5/1/19	2,764,448	2,755
Federal Home Loan Mortgage Corp., 4.50%, 5/1/35	13,579,000	13,275
Federal Home Loan Mortgage Corp., 5.00%, 10/1/19	3,843,937	3,889
Federal Home Loan Mortgage Corp., 5.00%, 2/1/20	698,107	706
Federal Home Loan Mortgage Corp., 5.00%, 5/1/20	2,454,300	2,483
Federal Home Loan Mortgage Corp., 5.50%, 9/1/19	1,366,616	1,403
Federal Home Loan Mortgage Corp., 5.50%, 11/1/19	3,741,907	3,843
Federal Home Loan Mortgage Corp., 5.50%, 12/1/19	657,738	675
Federal Home Loan Mortgage Corp., 5.50%, 3/1/20	4,707,235	4,833
Federal Home Loan Mortgage Corp., 6.50%, 5/1/34	2,111,718	2,187
Federal Home Loan Mortgage Corp., 7.50%, 10/1/27	472,322	507
Federal Home Loan Mortgage Corp. TBA, 5.50%, 7/1/35	22,909,000	23,224
Federal National Mortgage Association, 4.00%, 6/1/19	1,427,521	1,399
Federal National Mortgage Association, 4.50%, 6/1/19	8,454,649	8,423
Federal National Mortgage Association, 4.50%, 8/1/19	1,482,168	1,477
Federal National Mortgage Association, 4.50%, 12/1/19	899,965	897
Federal National Mortgage Association, 5.00%, 3/1/20	2,903,304	2,938
Federal National Mortgage Association, 5.00%, 4/1/20	1,122,157	1,135
Federal National Mortgage Association, 5.00%, 5/1/20	2,091,199	2,116
Federal National Mortgage Association, 5.00%, 4/1/35	3,099,875	3,103
Federal National Mortgage Association, 5.50%, 9/1/34	9,983,517	10,126
Federal National Mortgage Association, 5.50%, 3/1/35	6,631,121	6,726
Federal National Mortgage Association, 6.00%, 11/1/34	129,543	133

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Structured Products (31.5%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Federal National Mortgage Association, 6.00%, 5/1/35	4,626,705	4,745
Federal National Mortgage Association, 6.00%, 6/1/35	12,751,891	13,081
Federal National Mortgage Association, 6.00%, 7/1/35	8,267,000	8,478
Federal National Mortgage Association, 6.75%, 4/25/18	1,683,734	1,760
Federal National Mortgage Association, 6.75%, 12/25/23	280,091	281
Federal National Mortgage Association, 11.00%, 12/1/12	12,106	13
Federal National Mortgage Association, 11.00%, 9/1/17	42,246	46
Federal National Mortgage Association, 11.00%, 12/1/17	6,686	7
Federal National Mortgage Association, 11.00%, 2/1/18	25,143	28
Federal National Mortgage Association, 11.50%, 4/1/18	13,871	15
Federal National Mortgage Association, 12.00%, 9/1/12	93,115	103
Federal National Mortgage Association, 12.00%, 12/1/12	41,593	46
Federal National Mortgage Association, 12.00%, 9/1/17	20,401	23
Federal National Mortgage Association, 12.00%, 10/1/17	21,697	24
Federal National Mortgage Association, 12.00%, 12/1/17	10,278	11
Federal National Mortgage Association, 12.00%, 2/1/18	35,219	39
Federal National Mortgage Association, 12.25%, 1/1/18	18,681	21
Federal National Mortgage Association, 12.50%, 4/1/18	1,083	1
Federal National Mortgage Association, 13.00%, 11/1/12	25,103	28
Federal National Mortgage Association, 13.00%, 11/1/17	8,766	10
Federal National Mortgage Association, 13.00%, 12/1/17	7,055	8
Federal National Mortgage Association, 13.00%, 2/1/18	24,774	28
Federal National Mortgage Association TBA, 5.00%, 8/1/35	36,659,732	36,581
Federal National Mortgage Association TBA, 5.50%, 7/1/35	4,928,000	4,994
Government National Mortgage Association, 5.50%, 10/15/31	91,752	94
Government National Mortgage Association, 5.50%, 11/15/31	18,991	19
Government National Mortgage Association, 5.50%, 12/15/31	330,701	338
Government National Mortgage Association, 5.50%, 1/15/32	620,171	633
Government National Mortgage Association, 5.50%, 2/15/32	275,785	281

Structured Products (31.5%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Government National Mortgage Association, 5.50%, 3/15/32	327,897	335
Government National Mortgage Association, 5.50%, 4/15/32	23,203	24
Government National Mortgage Association, 5.50%, 7/15/32	36,787	38
Government National Mortgage Association, 5.50%, 9/15/32	6,563,517	6,711
Government National Mortgage Association, 7.00%, 5/15/23	33,084	35
Government National Mortgage Association, 7.50%, 4/15/22	14,396	16
Government National Mortgage Association, 7.50%, 10/15/23	52,646	57
Government National Mortgage Association, 7.50%, 11/15/25	854	1
Government National Mortgage Association, 7.50%, 5/15/26	1,605	2
Government National Mortgage Association, 7.50%, 1/15/27	14,550	16
Government National Mortgage Association, 7.50%, 2/15/27	31,113	33
Government National Mortgage Association, 7.50%, 3/15/27	6,573	7
Government National Mortgage Association, 7.50%, 4/15/27	7,010	8
Government National Mortgage Association, 7.50%, 8/15/27	503	1
Government National Mortgage Association, 7.50%, 6/15/28	29,392	32
Government National Mortgage Association, 8.00%, 1/15/26	36,093	39
Government National Mortgage Association, 8.00%, 2/15/26	30,246	33
Government National Mortgage Association, 8.00%, 8/15/26	63,991	70
Government National Mortgage Association, 8.00%, 9/15/26	21,487	23
Government National Mortgage Association, 8.00%, 12/15/26	8,622	9
Government National Mortgage Association, 8.00%, 3/15/27	33,125	36
Government National Mortgage Association, 8.00%, 4/15/27	141,471	153
Government National Mortgage Association, 8.00%, 6/15/27	29,437	32
Government National Mortgage Association, 8.00%, 7/15/27	9,594	10
Government National Mortgage Association, 8.00%, 9/15/27	12,830	14
Government National Mortgage Association, 8.50%, 3/15/23	377	0
Government National Mortgage Association, 8.50%, 6/15/24	17,990	20
Government National Mortgage Association, 8.50%, 7/15/24	11,373	13
Government National Mortgage Association, 8.50%, 11/15/24	48,670	54

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Structured Products (31.5%)	Shares/ $ Par	Value $ (000’s)
Structured Products continued
Government National Mortgage Association, 8.50%, 2/15/25	14,954	17
Government National Mortgage Association, 11.00%, 1/15/18	802,397	889
Honda Auto Receivables Owner Trust, Series 2005-3, Class A2, 3.73%, 10/18/07	10,062,000	10,046
Merrill Auto Trust Securitization, Series 2005-1, Class A2A, 3.90%, 4/25/08	5,006,000	5,006
Mid-State Trust, Series 6, Class A3, 7.54%, 7/1/35	549,282	586
Midland Realty Acceptance Corp., Series 1996-C2, Class AEC, 1.35%, 1/25/29 IO 144A	4,253,241	94
(d)RMF Commercial Mortgage Pass-Through, Series 1997-1, Class F, 7.47%, 1/15/19 144A	1,800,000	180
Rural Housing Trust 1987-1, Series 1, Class D, 6.33%, 4/1/26	197,622	198
Total Structured Products (Cost: $230,525)		229,783
Money Market Investments (20.4%)
Federal Government & Agencies (11.8%)
(b)Federal National Mortgage Association, 2.98%, 7/14/05	15,000,000	14,984
(b)Federal National Mortgage Association, 3.02%, 7/13/05	70,000,000	69,930
(b)Freddie Discount, 3.29%, 9/20/05	1,800,000	1,786
Total		86,700
Finance Lessors (1.4%)
(b)Ranger Funding Co. LLC, 3.25%, 7/22/05	5,000,000	4,991
(b)Windmill Funding Corp., 3.22%, 7/20/05	5,000,000	4,991
Total		9,982
Finance Services (0.7%)
(b)Preferred Receivable Funding, 3.28%, 8/8/05	5,000,000	4,983
Total		4,983
Miscellaneous Business Credit Institutions (1.3%)
(b)Caterpillar Inc., 3.24%, 7/8/05	5,000,000	4,997
(b)Paccar Financial Corp., 3.26%, 7/7/05	5,000,000	4,997
Total		9,994
National Commercial Banks (0.3%)
UBS Finance Delaware LLC, 3.37%, 7/1/05	2,430,000	2,430
Total		2,430

Money Market Investments (20.4%)	Shares/ $ Par	Value $ (000’s)
Personal Credit Institutions (0.7%)
American Express Credit, 3.22%, 7/14/05	5,000,000	4,994
Total		4,994
Phone Communications Except Radiophone (0.7%)
Verizon Global Funding, 3.18%, 7/11/05	5,000,000	4,996
Total		4,996
Security Brokers and Dealers (1.4%)
The Goldman Sachs Group, 3.27%, 7/25/05	5,000,000	4,989
Morgan Stanley Dean Witter, 3.27%, 7/26/05	5,000,000	4,989
Total		9,978
Short Term Business Credit (1.4%)
Old Line Funding Corp., 3.12%, 7/15/05	5,000,000	4,993
Sheffield Receivables, 3.22%, 7/20/05	5,000,000	4,992
Total		9,985
Utilities (0.7%)
National Rural Utility, 3.24%, 7/21/05	5,000,000	4,991
Total		4,991
Total Money Market Investments (Cost: $149,033)		149,033
Total Investments (115.7%) (Cost $841,056)(a)		844,580
Other Assets, Less Liabilities (-15.7%)		(114,638	)
Total Net Assets (100.0%)		729,942

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, 2005 the value of these securities (in thousands) was $22,881 representing 3.13% of the net assets.

IO — Interest Only Security

RB — Revenue Bond

(a) At June 30, 2005 the aggregate cost of securities for federal tax purposes (in thousands) was $841,056 and the net unrealized appreciation of investments based on that cost was $3,524 which is comprised of $8,651 aggregate gross unrealized appreciation and $5,127 aggregate gross unrealized depreciation.

Select Bond Portfolio

85

Select Bond Portfolio

(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.

Issuer (000’s)	Number of Contracts	Expiration Date	Unrealized Appreciation/ (Depreciation) (000’s)
US Ten Year Treasury Note Futures (Short)	105	9/05	$	47
(Total Notional Value at June 30, 2005, $11,962 )

(d) Defaulted Security

(e) Step bond security that presently receives no coupon payments. At the predetermined date the stated coupon rate becomes effective.

(g) All or portion of the securities have been loaned. See note 6.

The Accompanying Notes are an Integral Part of the Financial Statements

86

Select Bond Portfolio

Money Market Portfolio

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value January 1, 2005		Ending Account Value June 30, 2005		Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual	$	1,000.00	$	1,012.20	$	1.50
Hypothetical (5% return before expenses)	$	1,000.00	$	1,023.00	$	1.50

* Expenses are equal to the Fund’s annualized expense ratio of 0.30%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Money Market Portfolio

87

Money Market Portfolio

Northwestern Mutual Series Fund, Inc.

Schedule of Investments

June 30, 2005 (unaudited)

Money Market Investments (99.8%)	Shares/ $ Par	Value $ (000’s)
Autos (14.0%)
Daimler Chrysler Auto, 3.24%, 7/22/05	5,000,000	4,991
Daimler Chrysler Auto, 3.27%, 7/20/05	7,000,000	6,988
Daimler Chrysler Auto, 3.30%, 8/22/05	4,000,000	3,981
Fcar Owner Trust I, 3.18%, 8/3/05	8,000,000	7,977
Fcar Owner Trust I, 3.26%, 8/9/05	8,000,000	7,972
New Center Asset Trust, 3.04%, 7/1/05	8,000,000	7,999
New Center Asset Trust, 3.24%, 8/12/05	8,000,000	7,970
Total		47,878
Finance Lessors (12.2%)
Ranger Funding Co. LLC, 3.11%, 7/12/05	8,000,000	7,992
Ranger Funding Co. LLC, 3.24%, 7/18/05	8,000,000	7,988
Thunder Bay Funding, Inc., 3.09%, 7/7/05	4,000,000	3,998
Thunder Bay Funding, Inc., 3.15%, 7/25/05	6,000,000	5,987
Windmill Funding Corp., 3.15%, 7/18/05	3,000,000	2,996
Windmill Funding Corp., 3.15%, 7/25/05	5,000,000	4,990
Windmill Funding Corp., 3.26%, 8/15/05	8,000,000	7,967
Total		41,918
Finance Services (10.3%)
Ciesco LP, 3.21%, 8/4/05	8,000,000	7,976
Ciesco LP, 3.24%, 8/16/05	8,000,000	7,967
HBOS Treasury Services, 2.95%, 12/30/05	3,450,000	3,447
Preferred Receivable Funding, 3.21%, 7/21/05	5,000,000	4,991
Preferred Receivable Funding, 3.25%, 7/25/05	8,000,000	7,982
Preferred Receivable Funding, 3.27%, 7/28/05	3,000,000	2,993
Total		35,356
Miscellaneous Business Credit Institutions (4.8%)
Caterpillar Financial, 3.11%, 7/12/05	8,000,000	7,993
Caterpillar Financial, 3.28%, 8/10/05	3,500,000	3,487
General Electric, 3.19%, 7/9/07	5,000,000	5,000
Total		16,480
National Commercial Banks (8.6%)
Bank of America Corp., 3.13%, 7/7/05	8,000,000	7,996
Citigroup Inc., 6.75%, 12/1/05	2,300,000	2,334
First Union Corp., 7.55%, 8/18/05	2,200,000	2,215
UBS Finance Delaware LLC, 3.35%, 7/1/05	9,870,000	9,870
Wells Fargo Co., 6.20%, 12/1/05	3,500,000	3,549
Wells Fargo Co., 6.875%, 4/1/06	3,400,000	3,475
Total		29,439

Money Market Investments (99.8%)	Shares/ $ Par	Value $ (000’s)
Personal Credit Institutions (13.3%)
American Express Credit, 3.22%, 7/14/05	8,000,000	7,991
American General Financial Corp., 3.20%, 7/14/05	5,000,000	4,993
American General Financial Corp., 3.24%, 7/29/05	5,100,000	5,087
American General Financial Corp., 3.33%, 8/17/05	5,500,000	5,476
Household Finance Corp., 6.50%, 1/24/06	6,050,000	6,163
Rabobank Financial Corp., 3.35%, 7/1/05	16,000,000	16,000
Total		45,710
Pharmaceutical Preparations (1.1%)
Pharmacia Corp., 5.75%, 12/1/05	3,820,000	3,862
Total		3,862
Phone Communications Except Radiophone (4.7%)
Verizon Global Funding, 3.11%, 7/5/05	8,000,000	7,997
Verizon Global Funding, 3.23%, 8/8/05	8,000,000	7,973
Total		15,970
Security Brokers and Dealers (14.9%)
Bear Stearns Co., Inc., 3.27%, 8/2/05	8,000,000	7,976
Bear Stearns Co., Inc., 3.27%, 8/8/05	8,000,000	7,972
Goldman Sachs Group, 3.10%, 7/8/05	8,000,000	7,994
Goldman Sachs Group LP, 6.75%, 2/15/06 144A	4,600,000	4,699
Merrill Lynch & Co., 3.47%, 3/17/06	2,760,000	2,762
Merrill Lynch & Co., 7.00%, 3/15/06	5,100,000	5,214
Morgan Stanley, 3.75%, 3/27/06	3,400,000	3,408
Morgan Stanley Dean Witter, 3.23%, 8/8/05	6,000,000	5,980
Morgan Stanley Dean Witter, 3.35%, 8/22/05	5,000,000	4,976
Total		50,981
Short Term Business Credit (11.2%)
Cit Group Inc., 6.50%, 2/7/06	2,300,000	2,343
HSBC Finance Corp., 3.22%, 7/22/05	8,000,000	7,985
Old Line Funding Corp., 3.06%, 7/5/05	7,980,000	7,977
Old Line Funding Corp., 3.15%, 7/25/05	5,014,000	5,003
Sheffield Receivables, 3.05%, 7/1/05	8,000,000	8,001
Sheffield Receivables, 3.13%, 7/11/05	6,974,000	6,968
Total		38,277

88

Money Market Portfolio

Money Market Portfolio

Money Market Investments (99.8%)	Shares/ $ Par	Value $ (000’s)
Utilities (4.7%)
National Rural Utility, 3.21%, 7/21/05	4,000,000	3,993
National Rural Utility, 3.27%, 7/27/05	12,000,000	11,972
Total		15,965
Total Money Market Investments (Cost: $341,836)		341,836
Total Investments (99.8%) (Cost $341,836)		341,836
Other Assets, Less Liabilities (0.2%)		615
Total Net Assets (100.0%)		342,451

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, 2005 the value of these securities (in thousands) was $4,699, representing 1.37% of the net assets.

The Accompanying Notes are an Integral Part of the Financial Statements

Money Market Portfolio

89

Statement of Assets and Liabilities

Northwestern Mutual Series Fund, Inc.

June 30, 2005

(in thousands, except per share data)

	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
Assets
Investments, at value (1)	$	464,271		$	215,637	$	1,190,434		$	115,784		$	1,002,301		$	83,526	$	447,386
Cash		—			17		1,927			126			104			358		—
Due from Sale of Securities		5,204			331		11,174			4,095			4,400			91		—
Due from Sale of Foreign Currency		—			—		—			753			566			—		—
Dividends and Interest Receivables		79			276		227			265			3,085			85		332
Total Assets		469,554			216,261		1,203,762			121,023			1,010,456			84,060		447,718
Liabilities
Due on Purchase of Securities and Securities Lending Collateral		4,871			441		5,328			623			4,969			410		37
Due on Purchase of Foreign Currency		—			—		—			5,471			566			—		—
Due to Investment Advisor		205			148		510			69			548			57		91
Accrued Expenses		28			41		20			28			54			13		49
Futures Variation Margin		—			—		—									—		119
Total Liabilities		5,104			630		5,858			6,191			6,137			480		296
Net Assets	$	464,450		$	215,631	$	1,197,904		$	114,832		$	1,004,319		$	83,580	$	447,422
Represented By:
Aggregate Paid in Capital (2), (3)	$	350,137		$	167,049	$	1,087,922		$	86,414		$	850,339		$	68,686	$	355,421
Undistributed Net Investment Income (Loss)		(362	)		391		123			1,107			18,695			160		2,793
Undistributed Accumulated Net Realized Gain (Loss) on Investments		37,219			1,674		(65,749	)		3,250			(62,193	)		2,813		5,211
Net Unrealized Appreciation (Depreciation) of:
Investment Securities		77,456			46,517		175,608			24,066			197,505			11,921		83,898
Futures Contracts		—			—		—									—		99
Foreign Currency Transactions		—			—		—			(5	)		(27	)		—		—
Net Assets for Shares Outstanding (2)	$	464,450		$	215,631	$	1,197,904		$	114,832		$	1,004,319		$	83,580	$	447,422
Net Asset Value, Offering and Redemption Price per Share	$	2.39		$	1.52	$	3.03		$	1.33		$	1.62		$	1.45	$	1.43
(1) Investments, at cost	$	386,815		$	169,120	$	1,014,826		$	91,718		$	804,796		$	71,605	$	363,488
(2) Shares outstanding		194,359			142,080		395,509			86,160			621,096			57,465		313,115
(3) Shares authorized, $.01 par value		2,000,000			2,000,000		2,000,000			2,000,000			2,000,000			2,000,000		2,000,000

The Accompanying Notes are an Integral Part of the Financial Statements.

(Prepared from Unaudited Figures)

90

Statements of Assets and Liabilities

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
$	88,773	$	672,212		$	472,071		$	254,459	$	113,031	$	1,843,025		$	219,369		$	3,086,529		$	231,448		$	844,580		$	341,836
	21		516			356			523		11		—			—			—			593			—			7
	54		—			—			104		168		—			6,823			108,113			4,826			70,357			—
	—		—			—			—		—		—			206			—			—			—			—
	50		737			627			455		203		2,501			929			13,167			3,890			6,124			693
	88,898		673,465			473,054			255,541		113,413		1,845,526			227,327			3,207,809			240,757			921,061			342,536
	—		1,841			1,423			1,306		627		282			11,329			299,561			5,277			190,909			—
	—		—			—			—		—		—			—			—			—			—			—
	57		235			168			122		60		306			97			720			89			179			85
	12		29			24			16		25		47			70			917			29			10			—
	—		56			—			—		—		198			103			15			—			21			—
	69		2,161			1,615			1,444		712		833			11,599			301,213			5,395			191,119			85
$	88,829	$	671,304		$	471,439		$	254,097	$	112,701	$	1,844,693		$	215,728		$	2,906,596		$	235,362		$	729,942		$	342,451
$	70,658	$	646,197		$	562,780		$	218,704	$	99,672	$	1,377,085		$	192,080		$	2,231,465		$	292,526		$	718,452		$	342,451
	107		2,797			2,690			2,056		824		15,024			2,285			38,684			8,533			13,763			—
	1,567		(62,725	)		(164,693	)		5,035		2,166		26,070			2,141			4,893			(64,975	)		(5,844	)		—
	16,497		85,118			70,662			28,302		10,039		426,785			19,351			632,660			(721	)		3,524			—
	—		(83	)		—			—		—		(271	)		(128	)		(1,106	)		—			47			—
	—		—			—			—		—		—			(1	)		—			(1	)		—			—
$	88,829	$	671,304		$	471,439		$	254,097	$	112,701	$	1,844,693		$	215,728		$	2,906,596		$	235,362		$	729,942		$	342,451
$	1.50	$	1.98		$	1.14		$	1.13	$	1.34	$	2.81		$	1.09		$	1.80		$	0.70		$	1.20		$	1.00
$	72,276	$	587,094		$	401,409		$	226,157	$	102,992	$	1,416,240		$	200,018		$	2,453,869		$	232,169		$	841,056		$	341,836
	59,064		339,417			411,741			224,434		84,382		655,855			197,228			1,613,544			333,976			607,903			342,465
	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

The Accompanying Notes are an Integral Part of the Financial Statements.

(Prepared from Unaudited Figures)

Statements of Assets and Liabilities

91

Statement of Operations

Northwestern Mutual Series Fund, Inc.

For the Six Months Ended June 30, 2005

(in thousands)

	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
Investment Income
Income
Interest	$	293		$	96		$	364		$	77		$	828		$	48		$	596
Dividends (1)		545			1,162			2,860			1,636			20,823			436			2,814
Total Income		838			1,258			3,224			1,713			21,651			484			3,410
Expenses
Management Fees		1,186			848			3,086			405			3,264			318			527
Custodian Fees		7			13			7			83			229			1			18
Audit Fees		9			7			9			9			13			5			8
Other Expenses		—			—			—			29			—			—			—
Total Expenses		1,202			868			3,102			526			3,506			324			553
Less Waived Fees:
Paid Indirectly		(1	)		—			(1	)		—			—			—			(1	)
Total Net Expenses		1,201			868			3,101			526			3,506			324			552
Net Investment Income (Loss)		(363	)		390			123			1,187			18,145			160			2,858
Realized and Unrealized Gain (Loss) on Investments and Foreign Currencies
Net Realized Gain (Loss) on:
Investment Securities		37,753			1,784			46,586			4,090			7,510			2,819			6,637
Futures Contracts		189			—			(2	)		—			—			—			2,589
Foreign Currency Transactions		—			—			—			(25	)		(261	)		—			—
Net Realized Gain (Loss) on Investments and Foreign Currencies		37,942			1,784			46,584			4,065			7,249			2,819			9,226
Net Unrealized Appreciation (Depreciation) of:
Investment Securities		(14,869	)		(3,059	)		(79,669	)		(4,156	)		(29,952	)		(2,380	)		5,701
Futures Contracts		(497	)		—			(126	)		—			—			—			(1,313	)
Foreign Currency Transactions		—			—			—			(13	)		(80	)		—			—
Net Change in Unrealized Appreciation (Depreciation) on Investments		(15,366	)		(3,059	)		(79,795	)		(4,169	)		(30,032	)		(2,380	)		4,388
Net Gain (Loss) on Investments		22,576			(1,275	)		(33,211	)		(104	)		(22,783	)		439			13,614
Net Increase (Decrease) in Net Assets Resulting from Operations	$	22,213		$	(885	)	$	(33,038	)	$	1,083		$	(4,638	)	$	599		$	16,472
(1) Less Foreign Dividend Tax	$	—		$	—		$	—		$	74		$	884		$	1		$	—

The Accompanying Notes are an Integral Part of the Financial Statements.

(Prepared from Unaudited Figures)

92

Statement of Operations

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
$	136	$	401		$	114		$	162		$	76		$	328		$	2,076		$	30,881		$	9,075		$	15,145		$	4,674
	253		3,815			3,588			2,579			1,087			16,557			847			12,639			52			—			—
	389		4,216			3,702			2,741			1,163			16,885			2,923			43,520			9,127			15,145			4,674
	278		1,403			997			676			324			1,837			557			4,339			533			1,028			511
	—		7			6			3			10			16			40			—			5			—			—
	5		9			9			6			5			9			8			—			11			—			—
	—		—			—			—			—			—			—			—			—			—			—
	283		1,419			1,012			685			339			1,862			605			4,339			549			1,028			511
	—		—			(1	)		—			—			—			—			—			(2	)		—			—
	283		1,419			1,011			685			339			1,862			605			4,339			547			1,028			511
	106		2,797			2,691			2,056			824			15,023			2,318			39,181			8,580			14,117			4,163
	2,132		2,925			1,875			5,070			2,173			30,686			2,751			15,371			423			(464	)		—
	—		43			(44	)		—			—			13			202			2,681			—			223			—
	—		—			—			—			—			—			(30	)		(546	)		—			(325	)		—
	2,132		2,968			1,831			5,070			2,173			30,699			2,923			17,506			423			(566	)		—
	1,877		(167	)		3,118			(4,276	)		(3,196	)		(61,905	)		(2,669	)		(39,457	)		(9,797	)		887			—
	—		(586	)		(118	)		—			—			(742	)		(557	)		(8,701	)		—			23			—
	—		—			—			—			—			—			(5	)		—			—			—			—
	1,877		(753	)		3,000			(4,276	)		(3,196	)		(62,647	)		(3,231	)		(48,158	)		(9,797	)		910			—
	4,009		2,215			4,831			794			(1,023	)		(31,848	)		(308	)		(30,652	)		(9,374	)		344			—
$	4,115	$	5,012		$	7,522		$	2,850		$	(199	)	$	(16,925	)	$	2,010		$	8,529		$	(794	)	$	14,461		$	4,163
$	—	$	21		$	5		$	38		$	14		$	(8	)	$	65		$	(8	)	$	—		$	—		$	—

The Accompanying Notes are an Integral Part of the Financial Statements.

(Prepared from Unaudited Figures)

Statement of Operations

93

Statement of Changes in Net Assets

Northwestern Mutual Series Fund, Inc.

Small Cap Growth Stock Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004
	(In thousands)
Change in Net Assets
Operations
Net Investment Income (Loss)	$	(363	)	$	(1,159	)
Net Realized Gain (Loss) on Investments		37,942			31,386
Net Change in Unrealized Appreciation (Depreciation) of Investments		(15,366	)		39,227
Net Increase (Decrease) in Net Assets Resulting from Operations		22,213			69,454
Distributions to Shareholders from:
Net Realized Gain on Investments		(4,453	)		—
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(4,453	)		—
Fund Share Transactions:
Proceeds from Sale of 11,105 and 28,670 Shares		24,836			58,058
Proceeds from Shares Issued on Reinvestment of Distributions Paid (2,068 and 0 shares, respectively)		4,453			—
Payments for 11,177 and 25,634 Shares Redeemed		(25,019	)		(51,704	)
Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (1,996 and 3,036 shares, respectively)		4,270			6,354
Total Increase (Decrease) in Net Assets		22,030			75,808
Net Assets
Beginning of Period		442,420			366,612
End of Period (Includes undistributed net investment income on $(362) and $0 respectively)	$	464,450		$	442,420

T. Rowe Price Small Cap Value Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004
	(In thousands)
Change in Net Assets
Operations
Net Investment Income (Loss)	$	390		$	1,239
Net Realized Gain (Loss) on Investments		1,784			5,350
Net Change in Unrealized Appreciation (Depreciation) of Investments		(3,059	)		28,984
Net Increase (Decrease) in Net Assets Resulting from Operations		(885	)		35,573
Distributions to Shareholders from:
Net Investment Income		(685	)		(331	)
Net Realized Gain on Investments		(5,796	)		(1,925	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(6,481	)		(2,256	)
Fund Share Transactions:
Proceeds from Sale of 19,561 and 41,747 Shares		29,616			58,312
Proceeds from Shares Issued on Reinvestment of Distributions Paid (4,516 and 1,702 shares, respectively)		6,481			2,256
Payments for 8,786 and 11,365 Shares Redeemed		(13,243	)		(15,686	)
Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (15,291 and 32,084 shares, respectively)		22,854			44,882
Total Increase (Decrease) in Net Assets		15,488			78,199
Net Assets
Beginning of Period		200,143			121,944
End of Period (Includes undistributed net investment income on $391 and $702 respectively)	$	215,631		$	200,143

The Accompanying Notes are an Integral Part of the Financial Statements.

94

Statement of Changes in Net Assets

Statement of Changes in Net Assets

Northwestern Mutual Series Fund, Inc.

Aggressive Growth Stock Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004
	(In thousands)
Change in Net Assets
Operations
Net Investment Income (Loss)	$	123		$	635
Net Realized Gain (Loss) on Investments		46,584			103,480
Net Change in Unrealized Appreciation (Depreciation) of Investments		(79,795	)		57,299
Net Increase (Decrease) in Net Assets Resulting from Operations		(33,088	)		161,414
Distributions to Shareholders from:
Net Investment Income		(602	)		—
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(602	)		—
Fund Share Transactions:
Proceeds from Sale of 10,428 and 25,228 Shares		30,935			70,609
Proceeds from Shares Issued on Reinvestment of Distributions Paid (211 and 0 shares, respectively)		602			—
Payments for 26,414 and 50,196 Shares Redeemed		(78,438	)		(141,070	)
Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions ((15,775) and (24,968) shares, respectively)		(46,901	)		(70,461	)
Total Increase (Decrease) in Net Assets		(80,591	)		90,953
Net Assets
Beginning of Period		1,278,495			1,187,542
End of Period (Includes undistributed net investment income on $123 and $635 respectively)	$	1,197,904		$	1,278,495

International Growth Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004
	(In thousands)
Increase in Net Assets
Operations
Net Investment Income	$	1,187		$	674
Net Realized Gain on Investments and Foreign Currencies		4,065			4,703
Net Unrealized Appreciation (Depreciation) of Investments for the Period		(4,169	)		12,645
Net Increase in Net Assets Resulting from Operations		1,083			18,022
Distributions to Shareholders from:
Net Investment Income		(78	)		(625	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(78	)		(625	)
Fund Share Transactions
Proceeds from Sale of 23,381 and 33,565 Shares		31,076			39,016
Proceeds from Shares Issued on Reinvestment of Dividends Paid (60 shares, and 475 shares, respectively)		78			625
Payments for 21,062 and 11,379 Shares Redeemed		(27,825	)		(13,230	)
Net Increase in Net Assets Resulting from Fund Share Transactions (2,379 and 22,661 shares, respectively)		3,329			26,411
Total Increase in Net Assets		4,334			43,808
Net Assets
Beginning of Period		110,498			66,690
End of Period (includes undistributed net investment income of 1,107 and $(16) respectively)	$	114,832		$	110,498

The Accompanying Notes are an Integral Part of the Financial Statements.

Statement of Changes in Net Assets

95

Statement of Changes in Net Assets

Northwestern Mutual Series Fund, Inc.

Franklin Templeton International Equity Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004
	(In thousands)
Increase in Net Assets
Operations
Net Investment Income	$	18,145		$	18,957
Net Realized Gain on Investments and Foreign Currencies		7,249			52,897
Net Unrealized Appreciation (Depreciation) of Investments for the Period		(30,032	)		85,995
Net Increase in Net Assets Resulting from Operations		(4,638	)		157,849
Distributions to Shareholders from:
Net Investment Income		(18,202	)		(14,573	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(18,202	)		(14,573	)
Fund Share Transactions
Proceeds from Sale of 42,476 and 71,383 Shares		69,920			104,132
Proceeds from Shares Issued on Reinvestment of Dividends Paid (11,284 shares, and 10,380 shares, respectively)		18,202			14,574
Payments for 25,557 and 52,582 Shares Redeemed		(41,940	)		(76,712	)
Net Increase in Net Assets Resulting from Fund Share Transactions (28,203 and 29,181 shares, respectively)		46,182			41,994
Total Increase in Net Assets		23,342			185,270
Net Assets
Beginning of Period		980,977			795,707
End of Period (includes undistributed net investment income of 18,695 and 18,101 respectively)	$	1,004,319		$	980,977

AllianceBernstein Mid Cap Value Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004
	(In thousands)
Change in Net Assets
Operations
Net Investment Income (Loss)	$	160		$	551
Net Realized Gain (Loss) on Investments		2,819			4,460
Net Change in Unrealized Appreciation (Depreciation) of Investments		(2,380	)		5,278
Net Increase (Decrease) in Net Assets Resulting from Operations		599			10,289
Distributions to Shareholders from:
Net Investment Income		(7	)		(543	)
Net Realized Gain on Investments		(325	)		(4,226	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(332	)		(4,769	)
Fund Share Transactions:
Proceeds from Sale of 9,048 and 16,224 Shares		12,802			22,455
Proceeds from Shares Issued on Reinvestment of Distributions Paid (241 and 3,308 shares, respectively)		332			4,769
Payments for 1,399 and 3,477 Shares Redeemed		(1,952	)		(4,704	)
Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (7,890 and 16,055 shares, respectively)		11,182			22,520
Total Increase (Decrease) in Net Assets		11,449			28,040
Net Assets
Beginning of Period		72,131			44,091
End of Period (Includes undistributed net investment income on $160 and $6 respectively)	$	83,580		$	72,131

The Accompanying Notes are an Integral Part of the Financial Statements.

96

Statement of Changes in Net Assets

Statement of Changes in Net Assets

Northwestern Mutual Series Fund, Inc.

Index 400 Stock Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004
	(In thousands)
Change in Net Assets
Operations
Net Investment Income (Loss)	$	2,858		$	3,603
Net Realized Gain (Loss) on Investments		9,226			20,420
Net Change in Unrealized Appreciation (Depreciation) of Investments		4,388			34,412
Net Increase (Decrease) in Net Assets Resulting from Operations		16,472			58,435
Distributions to Shareholders from:
Net Investment Income		(3,439	)		(2,524	)
Net Realized Gain on Investments		(21,218	)		(2,268	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(24,657	)		(4,792	)
Fund Share Transactions:
Proceeds from Sale of 19,281 and 48,930 Shares		27,456			64,564
Proceeds from Shares Issued on Reinvestment of Distributions Paid (18,359 and 3,734 shares, respectively)		24,657			4,792
Payments for 16,365 and 29,429 Shares Redeemed		(23,333	)		(38,672	)
Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (21,275 and 23,235 shares, respectively)		28,780			30,684
Total Increase (Decrease) in Net Assets		20,595			84,327
Net Assets
Beginning of Period		426,827			342,500
End of Period (Includes undistributed net investment income on $2,793 and $3,406 respectively)	$	447,422		$	426,827

Janus Capital Appreciation Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004
	(In thousands)
Change in Net Assets
Operations
Net Investment Income (Loss)	$	106		$	(11	)
Net Realized Gain (Loss) on Investments		2,132			(454	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		1,877			8,982
Net Increase (Decrease) in Net Assets Resulting from Operations		4,115			8,517
Distributions to Shareholders from:
Net Investment Income		—			(51	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		—			(51	)
Fund Share Transactions:
Proceeds from Sale of 20,343 and 11,304 Shares		29,349			14,424
Proceeds from Shares Issued on Reinvestment of Distributions Paid (0 and 36 shares, respectively)		—			51
Payments for 919 and 2,404 Shares Redeemed		(1,325	)		(2,981	)
Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (19,424 and 8,936 shares, respectively)		28,024			11,494
Total Increase (Decrease) in Net Assets		32,139			19,960
Net Assets
Beginning of Period		56,690			36,730
End of Period (Includes undistributed net investment income on $107 and $0 respectively)	$	88,829		$	56,690

The Accompanying Notes are an Integral Part of the Financial Statements.

Statement of Changes in Net Assets

97

Statement of Changes in Net Assets

Northwestern Mutual Series Fund, Inc.

Growth Stock Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004
		(In thousands)
Change in Net Assets
Operations
Net Investment Income (Loss)	$	2,797		$	7,067
Net Realized Gain (Loss) on Investments		2,968			30,411
Net Change in Unrealized Appreciation (Depreciation) of Investments		(753	)		5,735
Net Increase (Decrease) in Net Assets Resulting from Operations		5,012			43,213
Distributions to Shareholders from:
Net Investment Income		(7,061	)		(4,542	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(7,061	)		(4,542	)
Fund Share Transactions:
Proceeds from Sale of 11,936 and 29,901 Shares		23,329			55,981
Proceeds from Shares Issued on Reinvestment of Distributions Paid (3,679 and 2,471 shares, respectively)		7,061			4,542
Payments for 22,463 and 41,710 Shares Redeemed		(43,886	)		(78,216	)
Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions ((6,848) and (9,338) shares, respectively)		(13,496	)		(17,693	)
Total Increase (Decrease) in Net Assets		(15,545	)		20,978
Net Assets
Beginning of Period		686,849			665,871
End of Period (Includes undistributed net investment income on $2,797 and $7,067 respectively)	$	671,304		$	686,849

Large Cap Core Stock Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004
		(In thousands)
Change in Net Assets
Operations
Net Investment Income (Loss)	$	2,691		$	6,281
Net Realized Gain (Loss) on Investments		1,831			(480	)
Net Change in Unrealized Appreciation (Depreciation) of Investments		3,000			29,636
Net Increase (Decrease) in Net Assets Resulting from Operations		7,522			35,437
Distributions to Shareholders from:
Net Investment Income		(6,143	)		(4,200	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(6,143	)		(4,200	)
Fund Share Transactions:
Proceeds from Sale of 17,036 and 37,334 Shares		19,259			39,932
Proceeds from Shares Issued on Reinvestment of Distributions Paid (5,534 and 4,016 shares, respectively)		6,143			4,200
Payments for 22,314 and 49,534 Shares Redeemed		(25,277	)		(52,988	)
Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (256 and (8,184) shares, respectively)		125			(8,856	)
Total Increase (Decrease) in Net Assets		1,504			22,381
Net Assets
Beginning of Period		469,935			447,554
End of Period (Includes undistributed net investment income on $2,690 and $6,146 respectively)	$	471,439		$	469,935

The Accompanying Notes are an Integral Part of the Financial Statements.

98

Statement of Changes in Net Assets

Statement of Changes in Net Assets

Northwestern Mutual Series Fund, Inc.

Capital Guardian Domestic Equity Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004
		(In thousands)
Change in Net Assets
Operations
Net Investment Income (Loss)	$	2,056		$	2,700
Net Realized Gain (Loss) on Investments		5,070			11,200
Net Change in Unrealized Appreciation (Depreciation) of Investments		(4,276	)		14,404
Net Increase (Decrease) in Net Assets Resulting from Operations		2,850			28,304
Distributions to Shareholders from:
Net Investment Income		(59	)		(2,660	)
Net Realized Gain on Investments		(4,773	)		(2,783	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(4,832	)		(5,443	)
Fund Share Transactions:
Proceeds from Sale of 41,816 and 55,988 Shares		47,199			59,051
Proceeds from Shares Issued on Reinvestment of Distributions Paid (4,365 and 4,768 shares, respectively)		4,832			5,443
Payments for 7,032 and 10,950 Shares Redeemed		(7,929	)		(11,477	)
Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (39,149 and 49,806 shares, respectively)		44,102			53,017
Total Increase (Decrease) in Net Assets		42,120			75,878
Net Assets
Beginning of Period		211,977			136,099
End of Period (Includes undistributed net investment income on $2,056 and $59 respectively)	$	254,097		$	211,977

T. Rowe Price Equity Income Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004
		(In thousands)
Change in Net Assets
Operations
Net Investment Income (Loss)	$	824		$	1,147
Net Realized Gain (Loss) on Investments		2,173			2,719
Net Change in Unrealized Appreciation (Depreciation) of Investments		(3,196	)		6,583
Net Increase (Decrease) in Net Assets Resulting from Operations		(199	)		10,449
Distributions to Shareholders from:
Net Investment Income		(11	)		(1,138	)
Net Realized Gain on Investments		(737	)		(2,181	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(748	)		(3,319	)
Fund Share Transactions:
Proceeds from Sale of 19,298 and 27,239 Shares		25,780			34,607
Proceeds from Shares Issued on Reinvestment of Distributions Paid (566 and 2,475 shares, respectively)		748			3,319
Payments for 1,967 and 2,336 Shares Redeemed		(2,627	)		(2,973	)
Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (17,897 and 27,378 shares, respectively)		23,901			34,953
Total Increase (Decrease) in Net Assets		22,954			42,083
Net Assets
Beginning of Period		89,747			47,664
End of Period (Includes undistributed net investment income on $824 and $11 respectively)	$	112,701		$	89,747

The Accompanying Notes are an Integral Part of the Financial Statements.

Statement of Changes in Net Assets

99

Statement of Changes in Net Assets

Northwestern Mutual Series Fund, Inc.

Index 500 Stock Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004
		(In thousands)
Change in Net Assets
Operations
Net Investment Income (Loss)	$	15,023		$	32,765
Net Realized Gain (Loss) on Investments		30,699			32,945
Net Change in Unrealized Appreciation (Depreciation) of Investments		(62,647	)		119,214
Net Increase (Decrease) in Net Assets Resulting from Operations		(16,925	)		184,924
Distributions to Shareholders from:
Net Investment Income		(32,436	)		(23,734	)
Net Realized Gain on Investments		(32,687	)		(19,343	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(65,123	)		(43,077	)
Fund Share Transactions:
Proceeds from Sale of 22,283 and 53,590 Shares		63,728			147,360
Proceeds from Shares Issued on Reinvestment of Distributions Paid (23,595 and 16,097 shares, respectively)		65,123			43,077
Payments for 37,130 and 67,111 Shares Redeemed		(106,232	)		(184,282	)
Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (8,748 and 2,576 shares, respectively)		22,619			6,155
Total Increase (Decrease) in Net Assets		(59,429	)		148,002
Net Assets
Beginning of Period		1,904,122			1,756,120
End of Period (Includes undistributed net investment income on $15,024 and $32,479 respectively)	$	1,844,693		$	1,904,122

Asset Allocation Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004
		(In thousands)
Change in Net Assets
Operations
Net Investment Income (Loss)	$	2,318		$	3,101
Net Realized Gain (Loss) on Investments and Foreign Currencies		2,923			4,055
Net Change in Unrealized Appreciation (Depreciation) of Investments		(3,231	)		9,663
Net Increase (Decrease) in Net Assets Resulting from Operations		2,010			16,819
Distributions to Shareholders from:
Net Investment Income		(3,102	)		—
Net Realized Gain on Investments		(3,520	)		—
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(6,622	)		—
Fund Share Transactions:
Proceeds from Sale of 24,660 and 62,501 Shares		27,210			65,021
Proceeds from Shares Issued on Reinvestment of Distributions Paid (6,206 and 0 shares, respectively)		6,622			—
Payments for 9,129 and 15,192 Shares Redeemed		(10,060	)		(15,750	)
Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (21,737 and 47,309 shares, respectively)		23,772			49,271
Total Increase (Decrease) in Net Assets		19,160			66,090
Net Assets
Beginning of Period		196,568			130,478
End of Period (Includes undistributed net investment income on $2,285 and $3,070 respectively)	$	215,728		$	196,568

The Accompanying Notes are an Integral Part of the Financial Statements.

100

Statement of Changes in Net Assets

Statement of Changes in Net Assets

Northwestern Mutual Series Fund, Inc.

Balanced Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004
		(In thousands)
Change in Net Assets
Operations
Net Investment Income (Loss)	$	39,181		$	78,448
Net Realized Gain (Loss) on Investments		17,506			54,164
Net Change in Unrealized Appreciation (Depreciation) of Investments		(48,158	)		89,460
Net Increase (Decrease) in Net Assets Resulting from Operations		8,529			222,072
Distributions to Shareholders from:
Net Investment Income		(77,091	)		(73,596	)
Net Realized Gain on Investments		(42,386	)		(103,896	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(119,477	)		(177,492	)
Fund Share Transactions:
Proceeds from Sale of 49,690 and 95,815 Shares		91,190			174,463
Proceeds from Shares Issued on Reinvestment of Distributions Paid (67,424 and 102,300 shares, respectively)		119,477			177,492
Payments for 96,105 and 167,929 Shares Redeemed		(176,302	)		(304,844	)
Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (21,009 and 30,186 shares, respectively)		34,365			47,111
Total Increase (Decrease) in Net Assets		(76,583	)		91,691
Net Assets
Beginning of Period		2,983,179			2,891,488
End of Period (Includes undistributed net investment income on $38,684 and $76,800 respectively)	$	2,906,596		$	2,983,179

High Yield Bond Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004
		(In thousands)
Change in Net Assets
Operations
Net Investment Income (Loss)	$	8,580		$	15,568
Net Realized Gain (Loss) on Investments		423			11,051
Net Change in Unrealized Appreciation (Depreciation) of Investments		(9,797	)		(1,107	)
Net Increase (Decrease) in Net Assets Resulting from Operations		(794	)		25,512
Distributions to Shareholders from:
Net Investment Income		(15,557	)		(14,554	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(15,557	)		(14,554	)
Fund Share Transactions:
Proceeds from Sale of 27,640 and 49,668 Shares		20,407			35,967
Proceeds from Shares Issued on Reinvestment of Distributions Paid (22,677 and 21,213 shares, respectively)		15,557			14,554
Payments for 18,470 and 43,729 Shares Redeemed		(13,563	)		(31,538	)
Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (31,847 and 27,152 shares, respectively)		22,401			18,983
Total Increase (Decrease) in Net Assets		6,050			29,941
Net Assets
Beginning of Period		229,312			199,371
End of Period (Includes undistributed net investment income on $8,533 and $15,509 respectively)	$	235,362		$	229,312

The Accompanying Notes are an Integral Part of the Financial Statements.

Statement of Changes in Net Assets

101

Statement of Changes in Net Assets

Northwestern Mutual Series Fund, Inc.

Select Bond Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004
		(In thousands)
Change in Net Assets
Operations
Net Investment Income (Loss)	$	14,117		$	25,092
Net Realized Gain (Loss) on Investments		(566	)		8,052
Net Change in Unrealized Appreciation (Depreciation) of Investments		910			(4,113	)
Net Increase (Decrease) in Net Assets Resulting from Operations		14,461			29,031
Distributions to Shareholders from:
Net Investment Income		(25,094	)		(25,605	)
Net Realized Gain on Investments		(4,251	)		(17,701	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(29,345	)		(43,306	)
Fund Share Transactions:
Proceeds from Sale of 74,472 and 88,198 Shares		90,629			108,312
Proceeds from Shares Issued on Reinvestment of Distributions Paid (24,764 and 37,204 shares, respectively)		29,345			43,306
Payments for 29,748 and 79,381 Shares Redeemed		(36,175	)		(97,641	)
Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (69,488 and 46,021 shares, respectively)		83,799			53,977
Total Increase (Decrease) in Net Assets		68,915			39,702
Net Assets
Beginning of Period		661,027			621,325
End of Period (Includes undistributed net investment income on $13,763 and $24,741 respectively)	$	729,942		$	661,027

Money Market Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004
		(In thousands)
Change in Net Assets
Operations
Net Investment Income (Loss)	$	4,163		$	5,155
Net Increase (Decrease) in Net Assets Resulting from Operations		4,163			5,155
Distributions to Shareholders from:
Net Investment Income		(4,163	)		(5,155	)
Net Decrease in Net Assets Resulting from Distributions to Shareholders		(4,163	)		(5,155	)
Fund Share Transactions:
Proceeds from Sale of 78,375 and 156,221 Shares		78,375			156,229
Proceeds from Shares Issued on Reinvestment of Distributions Paid (4,163 and 5,155 shares, respectively)		4,163			5,155
Payments for 84,555 and 216,789 Shares Redeemed		(84,555	)		(216,789	)
Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions ((2,017) and (55,413) shares, respectively)		(2,017	)		(55,405	)
Total Increase (Decrease) in Net Assets		(2,017	)		(55,405	)
Net Assets
Beginning of Period		344,468			399,873
End of Period (Includes undistributed net investment income on $ — and $0 respectively)	$	342,451		$	344,468

The Accompanying Notes are an Integral Part of the Financial Statements.

102

Statement of Changes in Net Assets

Financial Highlights

Northwestern Mutual Series Fund, Inc.

Small Cap Growth Stock Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31,
(For a share outstanding throughout the period)				2004			2003			2002			2001			2000
Selected Per Share Data
Net Asset Value, Beginning of Period	$	2.30		$	1.94		$	1.46		$	1.79		$	1.86		$	1.79
Income from Investment Operations:
Net Investment Income		(0.00	)(e)		(0.01	)		—			—			—			—
Net Realized and Unrealized Gains (Losses) on Investments		0.11			0.37			0.48			(0.33	)		(0.07	)		0.13
Total from Investment Operations		0.11			0.36			0.48			(0.33	)		(0.07	)		0.13
Less Distributions:
Distributions from Net Investment Income		—			—			—			—			—			—
Distributions from Realized Gains on Investments		(0.02	)		—			—			—			—			(0.06	)
Total Distributions		(0.02	)		—			—			—			—			(0.06	)
Net Asset Value, End of Period	$	2.39		$	2.30		$	1.94		$	1.46		$	1.79		$	1.86
Total Return(d)		5.03%			18.80%			33.06%			(18.42%	)		(3.76%	)		6.71%
Ratios and Supplemental Data
Net Assets, End of Period (in thousands)	$	464,450		$	442,420		$	366,612		$	254,880		$	291,448		$	250,314
Ratio of Expenses to Average Net Assets		0.56%	(c)		0.57%			0.59%			0.60%			0.60%			0.67%
Ratio of Net Investment Income (Loss) to Average Net Assets		(0.17%	)(c)		(0.30%	)		(0.35%	)		(0.26%	)		0.17%			0.19%
Portfolio Turnover Rate		32.39%			87.74%			84.20%			41.87%			70.58%			86.13%

T. Rowe Price Small Cap Value Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31,								For the Period July 31, 2001(a) through December 31, 2001
(For a share outstanding throughout the period)				2004			2003		2002
Selected Per Share Data
Net Asset Value, Beginning of Period	$	1.58		$	1.29		$	0.95	$	1.02		$	1.00
Income from Investment Operations:
Net Investment Income		0.01			0.01			0.01		0.01			—
Net Realized and Unrealized Gains on Investments		(0.02	)		0.30			0.33		(0.07	)		0.02
Total from Investment Operations		(0.01	)		0.31			0.34		(0.06	)		0.02
Less Distributions:
Distributions from Net Investment Income		(0.01	)		—			—		(0.01	)		—
Distributions from Realized Gains on Investments		(0.04	)		(0.02	)		—		—			—
Total Distributions		(0.05	)		(0.02	)		—		(0.01	)		—
Net Asset Value, End of Period	$	1.52		$	1.58		$	1.29	$	0.95		$	1.02
Total Return(d)		(0.64%	)		24.57%			35.15%		(5.58%	)		1.76%
Ratios and Supplemental Data
Net Assets, End of Period (in thousands)	$	215,631		$	200,143		$	121,944	$	63,083		$	21,003
Ratio of Gross Expenses to Average Net Assets		0.87%	(c)		0.88%			0.90%		1.02%			1.36%	(c)
Ratio of Net Expenses to Average Net Assets		0.87%	(c)		0.88%			0.90%		1.00%			1.00%	(c)
Ratio of Net Investment Income (Losses) to Average Net Assets		0.39%	(c)		0.81%			0.65%		0.54%			1.03%	(c)
Portfolio Turnover Rate		4.84%			19.22%			33.78%		28.26%			49.70%

(a) Portfolio commenced operations July 31, 2001.

(c) Computed on an annualized basis.

(d) 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.

(e) Amount is less than $0.005.

The Accompanying Notes are an Integral Part of the Financial Statements.

Financial Highlights

103

Financial Highlights

Northwestern Mutual Series Fund, Inc.

Aggressive Growth Stock Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31,
(For a share outstanding throughout the period)				2004			2003			2002			2001			2000
Selected Per Share Data
Net Asset Value, Beginning of Period	$	3.11		$	2.72		$	2.18		$	2.82		$	4.47		$	4.81
Income from Investment Operations:
Net Investment Income		0.00	(e)		0.00	(e)		—			—			—			—
Net Realized and Unrealized Gains (Losses) on Investments		(0.08	)		0.39			0.54			(0.59	)		(0.83	)		0.29
Total from Investment Operations		(0.08	)		0.39			0.54			(0.59	)		(0.83	)		0.29
Less Distributions:
Distributions from Net Investment Income		(0.00	)(e)		—			—			—			—			—
Distributions from Realized Gains on Investments		—			—			—			(0.05	)		(0.82	)		(0.63	)
Total Distributions		(0.00	)(e)		—			—			(0.05	)		(0.82	)		(0.63	)
Net Asset Value, End of Period	$	3.03		$	3.11		$	2.72		$	2.18		$	2.82		$	4.47
Total Return(d)		(2.52%	)		14.22%			24.69%			(21.15%	)		(19.87%	)		6.18%
Ratios and Supplemental Data
Net Assets, End of Period (in thousands)	$	1,197,904		$	1,278,495		$	1,187,542		$	994,075		$	1,341,876		$	1,696,013
Ratio of Expenses to Average Net Assets		0.52%	(c)		0.52%			0.52%			0.52%			0.52%			0.52%
Ratio of Net Investment Income (Loss) to Average Net Assets		0.02%	(c)		0.05%			(0.10%	)		(0.11%	)		0.08%			0.09%
Portfolio Turnover Rate		32.48%			71.24%			63.21%			43.37%			70.40%			63.18%

International Growth Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31,									For the Period July 31, 2001(a) through December 31, 2001
(For a share outstanding throughout the period)				2004			2003			2002
Selected Per Share Data
Net Asset Value, Beginning of Period	$	1.32		$	1.09		$	0.79		$	0.91		$	1.00
Income from Investment Operations:
Net Investment Income		0.02			0.01			0.01			—			—
Net Realized and Unrealized Gains (Losses) on Investments		(0.00	)(e)		0.23			0.30			(0.12	)		(0.09	)
Total from Investment Operations		0.02			0.24			0.31			(0.12	)		(0.09	)
Less Distributions:
Distributions from Net Investment Income		(0.00	)(e)		(0.01	)		(0.01	)		—			—
Distributions from Realized Gains on Investments		(0.01	)		—			—			—			—
Total Distributions		(0.01	)		(0.01	)		(0.01	)		—			—
Net Asset Value, End of Period	$	1.33		$	1.32		$	1.09		$	0.79		$	0.91
Total Return(d)		1.13%			21.59%			38.99%			(12.34%	)		(9.40%	)
Ratios and Supplemental Data
Net Assets, End of Period (in thousands)	$	114,832		$	110,498		$	66,690		$	35,373		$	26,900
Ratio of Gross Expenses to Average Net Assets		0.96%	(c)		0.98%			1.25%			1.15%			1.25%	(c)
Ratio of Net Expenses to Average Net Assets		0.96%	(c)		0.98%			1.10%			1.10%			1.10%	(c)
Ratio of Net Investment Income (Loss) to Average Net Assets		2.17%	(c)		0.81%			0.79%			0.62%			0.05%	(c)
Portfolio Turnover Rate		30.83%			70.84%			58.09%			27.28%			18.45%

(a) Portfolio commenced operations July 31, 2001.

(c) Computed on an annualized basis.

(d) 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.

(e) Amount is less than $0.005.

The Accompanying Notes are an Integral Part of the Financial Statements.

104

Financial Highlights

Financial Highlights

Northwestern Mutual Series Fund, Inc.

Franklin Templeton International Equity Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31,
(For a share outstanding throughout the period)				2004			2003			2002			2001			2000
Selected Per Share Data
Net Asset Value, Beginning of Period	$	1.65		$	1.41		$	1.02		$	1.26		$	1.63		$	1.78
Income from Investment Operations:
Net Investment Income		0.03			0.03			0.03			0.02			0.02			0.02
Net Realized and Unrealized Gains (Losses) on Investments		(0.03	)		0.24			0.38			(0.24	)		(0.23	)		(0.04	)
Total from Investment Operations		—			0.27			0.41			(0.22	)		(0.21	)		(0.02	)
Less Distributions:
Distributions from Net Investment Income		(0.03	)		(0.03	)		(0.02	)		(0.02	)		(0.03	)		(0.04	)
Distributions from Realized Gains on Investments		—			—			—			—			(0.13	)		(0.09	)
Total Distributions		(0.03	)		(0.03	)		(0.02	)		(0.02	)		(0.16	)		(0.13	)
Net Asset Value, End of Period	$	1.62		$	1.65		$	1.41		$	1.02		$	1.26		$	1.63
Total Return(d)		(0.48%	)		19.33%			40.46%			(17.40%	)		(14.00%	)		(0.79%	)
Ratios and Supplemental Data
Net Assets, End of Period (in thousands)	$	1,004,319		$	980,977		$	795,707		$	563,102		$	716,413		$	809,617
Ratio of Expenses to Average Net Assets		0.71%	(c)		0.72%			0.74%			0.74%			0.74%			0.73%
Ratio of Net Investment Income (Loss) to Average Net Assets		3.67%	(c)		2.23%			2.33%			1.72%			1.99%			1.77%
Portfolio Turnover Rate		2.19%			18.65%			24.87%			30.94%			34.52%			26.95%

AllianceBernstein Mid Cap Value Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004			For the Period May 1, 2003(b) through December 31, 2003
(For a share outstanding throughout the period)
Selected Per Share Data
Net Asset Value, Beginning of Period	$	1.45		$	1.32		$	1.00
Income from Investment Operations:
Net Investment Income		0.00	(e)		0.01			0.01
Net Realized and Unrealized Gains (Losses) on Investments		0.01			0.22			0.32
Total from Investment Operations		0.01			0.23			0.33
Less Distributions:
Distributions from Net Investment Income		(0.00	)(e)		(0.01	)		(0.00	)(e)
Distributions from Realized Gains on Investments		(0.01	)		(0.09	)		(0.01	)
Total Distributions		(0.01	)		(0.10	)		(0.01	)
Net Asset Value, End of Period	$	1.45		$	1.45		$	1.32
Total Return(d)		0.37%			18.67%			33.16%
Ratios and Supplemental Data
Net Assets, End of Period (in thousands)	$	83,580		$	72,131		$	44,091
Ratio of Gross Expenses to Average Net Assets		0.87%	(c)		0.89%			0.94%	(c)
Ratio of Net Expenses to Average Net Assets		0.87%	(c)		0.89%			0.93%	(c)
Ratio of Net Investment Income (Loss) to Average Net Assets		0.43%	(c)		1.00%			0.70%	(c)
Portfolio Turnover Rate		13.69%			33.05%			9.68%

(b) Portfolio commenced operations on May 1, 2003.

(c) Computed on an annualized basis.

(d) 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.

(e) Amount is less than $0.005.

The Accompanying Notes are an Integral Part of the Financial Statements.

Financial Highlights

105

Financial Highlights

Northwestern Mutual Series Fund, Inc.

Index 400 Stock Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31,
(For a share outstanding throughout the period)				2004			2003			2002			2001			2000
Selected Per Share Data
Net Asset Value, Beginning of Period	$	1.46		$	1.28		$	0.95		$	1.12		$	1.14		$	1.11
Income from Investment Operations:
Net Investment Income (Loss)		0.02			0.01			0.01			0.01			—			0.02
Net Realized and Unrealized Gains (Losses) on Investments		0.03			0.19			0.33			(0.17	)		(0.01	)		0.16
Total from Investment Operations		0.05			0.20			0.34			(0.16	)		(0.01	)		0.18
Less Distributions:
Distributions from Net Investment Income		(0.01	)		(0.01	)		(0.01	)		(0.01	)		—			(0.02	)
Distributions from Realized Gains on Investments		(0.07	)		(0.01	)		—			—			(0.01	)		(0.13	)
Total Distributions		(0.08	)		(0.02	)		(0.01	)		(0.01	)		(0.01	)		(0.15	)
Net Asset Value, End of Period	$	1.43		$	1.46		$	1.28		$	0.95		$	1.12		$	1.14
Total Return(d)		3.80%			16.26%			35.01%			(14.54%	)		(0.65%	)		17.21%
Ratios and Supplemental Data
Net Assets, End of Period (in thousands)	$	447,422		$	426,827		$	342,500		$	225,410		$	210,734		$	137,616
Ratio of Expenses to Average Net Assets		0.26%	(c)		0.26%			0.27%			0.28%			0.31%			0.32%
Ratio of Net Investment Income to Average Net Assets		1.35%	(c)		0.96%			0.92%			0.86%			1.06%			1.71%
Portfolio Turnover Rate		5.99%			16.46%			9.74%			15.60%			19.06%			54.60%

Janus Capital Appreciation Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004			For the Period May 1, 2003(b) through December 31, 2003
(For a share outstanding throughout the period)
Selected Per Share Data
Net Asset Value, Beginning of Period	$	1.43		$	1.20		$	1.00
Income from Investment Operations:
Net Investment Income (Loss)		0.00	(e)		0.00	(e)		—
Net Realized and Unrealized Gains (Losses) on Investments		0.07			0.23			0.20
Total from Investment Operations		0.07			0.23			0.20
Less Distributions:
Distributions from Net Investment Income		—			—			(0.00	)(e)
Distributions from Realized Gains on Investments		—			—			(0.00	)(e)
Total Distributions		—			—			(0.00	)(e)
Net Asset Value, End of Period	$	1.50		$	1.43		$	1.20
Total Return(d)		5.17%			19.67%			19.90%
Ratios and Supplemental Data
Net Assets, End of Period (in thousands)	$	88,829		$	56,690		$	36,730
Ratio of Expenses to Average Net Assets		0.82%	(c)		0.84%			0.90%	(c)
Ratio of Net Investment Income to Average Net Assets		0.31%	(c)		(0.03%	)		0.07%	(c)
Portfolio Turnover Rate		25.50%			25.42%			33.68%

(b) Portfolio commenced operations on May 1, 2003.

(c) Computed on an annualized basis.

(d) 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.

(e) Amount is less than $0.005.

The Accompanying Notes are an Integral Part of the Financial Statements.

106

Financial Highlights

Financial Highlights

Northwestern Mutual Series Fund, Inc.

Growth Stock Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31,
(For a share outstanding throughout the period)				2004			2003			2002			2001			2000
Selected Per Share Data
Net Asset Value, Beginning of Period	$	1.98		$	1.87		$	1.59		$	2.03		$	2.47		$	2.66
Income from Investment Operations:
Net Investment Income (Loss)		0.01			0.02			0.01			0.01			0.02			0.03
Net Realized and Unrealized Gains (Losses) on Investments		0.01			0.10			0.28			(0.43	)		(0.36	)		(0.09	)
Total from Investment Operations		0.02			0.12			0.29			(0.42	)		(0.34	)		(0.06	)
Less Distributions:
Distributions from Net Investment Income		(0.02	)		(0.01	)		(0.01	)		(0.02	)		(0.02	)		(0.02	)
Distributions from Realized Gains on Investments		—			—			—			—			(0.08	)		(0.11	)
Total Distributions		(0.02	)		(0.01	)		(0.01	)		(0.02	)		(0.10	)		(0.13	)
Net Asset Value, End of Period	$	1.98		$	1.98		$	1.87		$	1.59		$	2.03		$	2.47
Total Return(d)		0.78%			6.67%			18.94%			(20.83%	)		(14.22%	)		(2.49%	)
Ratios and Supplemental Data
Net Assets, End of Period (in thousands)	$	671,304		$	686,849		$	665,871		$	551,421		$	696,578		$	770,816
Ratio of Expenses to Average Net Assets		0.43%	(c)		0.43%			0.43%			0.43%			0.43%			0.43%
Ratio of Net Investment Income to Average Net Assets		0.84%	(c)		1.07%			0.77%			0.76%			1.01%			1.12%
Portfolio Turnover Rate		12.00%			34.53%			40.89%			28.06%			27.98%			28.01%

Large Cap Core Stock Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31,
(For a share outstanding throughout the period)				2004			2003			2002			2001			2000
Selected Per Share Data
Net Asset Value, Beginning of Period	$	1.14		$	1.07		$	0.87		$	1.22		$	1.37		$	1.56
Income from Investment Operations:
Net Investment Income (Loss)		0.01			0.02			0.01			0.01			0.01			0.01
Net Realized and Unrealized Gains (Losses) on Investments		0.01			0.06			0.20			(0.35	)		(0.11	)		(0.11	)
Total from Investment Operations		0.02			0.08			0.21			(0.34	)		(0.10	)		(0.10	)
Less Distributions:
Distributions from Net Investment Income		(0.02	)		(0.01	)		(0.01	)		(0.01	)		(0.01	)		(0.01	)
Distributions from Realized Gains on Investments		—			—			—			—			(0.04	)		(0.08	)
Total Distributions		(0.02	)		(0.01	)		(0.01	)		(0.01	)		(0.05	)		(0.09	)
Net Asset Value, End of Period	$	1.14		$	1.14		$	1.07		$	0.87		$	1.22		$	1.37
Total Return(d)		1.62%			8.16%			24.05%			(28.20%	)		(7.77%	)		(6.97%	)
Ratios and Supplemental Data
Net Assets, End of Period (in thousands)	$	471,439		$	469,935		$	447,554		$	365,944		$	548,672		$	579,981
Ratio of Expenses to Average Net Assets		0.44%	(c)		0.44%			0.46%			0.58%			0.58%			0.57%
Ratio of Net Investment Income to Average Net Assets		1.17%	(c)		1.41%			1.07%			0.85%			0.75%			0.68%
Portfolio Turnover Rate		10.99%			33.64%			58.90%			29.20%			44.37%			47.67%

(d) 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.

Financial Highlights

107

Financial Highlights

Northwestern Mutual Series Fund, Inc.

Capital Guardian Domestic Equity Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31,									For the Period July 31, 2001(a) through December 31, 2001
(For a share outstanding throughout the period)				2004			2003			2002
Selected Per Share Data
Net Asset Value, Beginning of Period	$	1.14		$	1.00		$	0.76		$	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		0.00	(e)		0.15			0.24			(0.21	)		(0.03	)
Total from Investment Operations		0.01			0.17			0.25			(0.20	)		(0.03	)
Less Distributions:
Distributions from Net Investment Income		(0.00	)(e)		(0.01	)		(0.01	)		(0.01	)		—
Distributions from Realized Gains on Investments		(0.02	)		(0.02	)		—			—			—
Total Distributions		(0.02	)		(0.03	)		(0.01	)		(0.01	)		—
Net Asset Value, End of Period	$	1.13		$	1.14		$	1.00		$	0.76		$	0.97
Total Return(d)		1.00%			16.85%			34.41%			(21.24%	)		(2.19%	)
Ratios and Supplemental Data
Net Assets, End of Period (in thousands)	$	254,097		$	211,977		$	136,099		$	74,274		$	40,722
Ratio of Gross Expenses to Average Net Assets		0.60%	(c)		0.62%			0.67%			0.70%			0.90%	(c)
Ratio of Net Expenses to Average Net Assets		0.60%	(c)		0.62%			0.67%			0.70%			0.75%	(c)
Ratio of Net Investment Income to Average Net Assets		1.80%	(c)		1.63%			1.84%			1.54%			1.32%	(c)
Portfolio Turnover Rate		12.84%			32.97%			29.20%			22.42%			18.98%

T. Rowe Price Equity Income Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31, 2004			For the Period May 1, 2003(b) through December 31, 2003
(For a share outstanding throughout the period)
Selected Per Share Data
Net Asset Value, Beginning of Period	$	1.35		$	1.22		$	1.00
Income from Investment Operations:
Net Investment Income		0.01			0.02			0.01
Net Realized and Unrealized Gains (Losses) on Investments		(0.01	)		0.17			0.23
Total from Investment Operations		0.00			0.19			0.24
Less Distributions:
Distributions from Net Investment Income		(0.00	)(e)		(0.02	)		(0.01	)
Distributions from Realized Gains on Investments		(0.01	)		(0.04	)		(0.01	)
Total Distributions		(0.01	)		(0.06	)		(0.02	)
Net Asset Value, End of Period	$	1.34		$	1.35		$	1.22
Total Return(d)		(0.33%	)		15.16%			23.64%
Ratios and Supplemental Data
Net Assets, End of Period (in thousands)	$	112,701		$	89,747		$	47,664
Ratio of Gross Expenses to Average Net Assets		0.68%	(c)		0.69%			0.77%	(c)
Ratio of Net Expenses to Average Net Assets		0.68%	(c)		0.69%			0.75%	(c)
Ratio of Net Investment Income to Average Net Assets		1.65%	(c)		1.74%			1.88%	(c)
Portfolio Turnover Rate		7.89%			15.21%			27.27%

(a) Portfolio commenced operations July 31, 2001.

(b) Portfolio commenced operations on May 1, 2003.

(c) Computed on an annualized basis.

(d) 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.

(e) Amount is less than $0.005.

The Accompanying Notes are an Integral Part of the Financial Statements.

108

Financial Highlights

Financial Highlights

Northwestern Mutual Series Fund, Inc.

Index 500 Stock Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31,
(For a share outstanding throughout the period)				2004			2003			2002			2001			2000
Selected Per Share Data
Net Asset Value, Beginning of Period	$	2.94		$	2.72		$	2.17		$	2.87		$	3.41		$	3.89
Income from Investment Operations:
Net Investment Income (Loss)		0.02			0.05			0.04			0.03			0.03			0.04
Net Realized and Unrealized Gains (Losses) on Investments		(0.05	)		0.24			0.56			(0.64	)		(0.43	)		(0.37	)
Total from Investment Operations		(0.03	)		0.29			0.60			(0.61	)		(0.40	)		(0.33	)
Less Distributions:
Distributions from Net Investment Income		(0.05	)		(0.04	)		(0.04	)		(0.03	)		(0.04	)		(0.04	)
Distributions from Realized Gains on Investments		(0.05	)		(0.03	)		(0.01	)		(0.06	)		(0.10	)		(0.11	)
Total Distributions		(0.10	)		(0.07	)		(0.05	)		(0.09	)		(0.14	)		(0.15	)
Net Asset Value, End of Period	$	2.81		$	2.94		$	2.72		$	2.17		$	2.87		$	3.41
Total Return(d)		(0.88%	)		10.70%			28.43%			(22.07%	)		(11.88%	)		(8.75%	)
Ratios and Supplemental Data
Net Assets, End of Period (in thousands)	$	1,844,693		$	1,904,122		$	1,756,120		$	1,362,881		$	1,821,875		$	2,072,937
Ratio of Expenses to Average Net Assets		0.20%	(c)		0.20%			0.20%			0.21%			0.21%			0.20%
Ratio of Net Investment Income to Average Net Assets		1.64%	(c)		1.83%			1.59%			1.40%			1.13%			1.08%
Portfolio Turnover Rate		1.75%			3.45%			2.44%			6.55%			2.92%			6.47%

Asset Allocation Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31,								For the Period July 31, 2001(a) through December 31, 2001
(For a share outstanding throughout the period)				2004		2003			2002
Selected Per Share Data
Net Asset Value, Beginning of Period	$	1.12		$	1.02	$	0.86		$	0.97		$	1.00
Income from Investment Operations:
Net Investment Income		0.01			0.02		0.02			0.01			0.01
Net Realized and Unrealized Gains (Losses) on Investments		0.00	(e)		0.08		0.16			(0.11	)		(0.03	)
Total from Investment Operations		0.01			0.10		0.18			(0.10	)		(0.02	)
Less Distributions:
Distributions from Net Investment Income		(0.02	)		—		(0.02	)		(0.01	)		(0.01	)
Distributions from Realized Gains on Investments		(0.02	)		—		—			—			—
Total Distributions		(0.04	)		—		(0.02	)		(0.01	)		(0.01	)
Net Asset Value, End of Period	$	1.09		$	1.12	$	1.02		$	0.86		$	0.97
Total Return(d)		0.91%			10.02%		20.63%			(10.26%	)		(2.10%	)
Ratios and Supplemental Data
Net Assets, End of Period (in thousands)	$	215,728		$	196,568	$	130,478		$	87,260		$	40,116
Ratio of Gross Expenses to Average Net Assets		0.60%	(c)		0.64%		0.73%			0.87%			0.92%	(c)
Ratio of Net Expenses to Average Net Assets		0.60%	(c)		0.64%		0.73%			0.75%			0.75%	(c)
Ratio of Net Investment Income to Average Net Assets		2.29%	(c)		1.90%		1.83%			2.18%			2.19%	(c)
Portfolio Turnover Rate		55.18%			116.65%		103.77%			112.73%			55.88%

(a) Portfolio commenced operations July 31, 2001.

(c) Computed on an annualized basis.

(d) 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.

(e) Amount is less than $0.005.

The Accompanying Notes are an Integral Part of the Financial Statements.

Financial Highlights

109

Financial Highlights

Northwestern Mutual Series Fund, Inc.

Balanced Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31,
(For a share outstanding throughout the period)				2004			2003			2002			2001			2000
Selected Per Share Data
Net Asset Value, Beginning of Period	$	1.87		$	1.85		$	1.62		$	1.82		$	2.03		$	2.22
Income from Investment Operations:
Net Investment Income (Loss)		0.03			0.05			0.05			0.06			0.08			0.08
Net Realized and Unrealized Gains (Losses) on Investments		(0.02	)		0.09			0.24			(0.20	)		(0.13	)		(0.09	)
Total from Investment Operations		0.01			0.14			0.29			(0.14	)		(0.05	)		(0.01	)
Less Distributions:
Distributions from Net Investment Income		(0.05	)		(0.05	)		(0.06	)		(0.06	)		(0.08	)		(0.07	)
Distributions from Realized Gains on Investments		(0.03	)		(0.07	)		—			—			(0.08	)		(0.11	)
Total Distributions		(0.08	)		(0.12	)		(0.06	)		(0.06	)		(0.16	)		(0.18	)
Net Asset Value, End of Period	$	1.80		$	1.87		$	1.85		$	1.62		$	1.82		$	2.03
Total Return(d)		0.31%			7.89%			17.99%			(7.54%	)		(3.15%	)		(0.17%	)
Ratios and Supplemental Data
Net Assets, End of Period (in thousands)	$	2,906,596		$	2,983,179		$	2,891,488		$	2,561,529		$	3,011,137		$	3,253,199
Ratio of Expenses to Average Net Assets		0.30%	(c)		0.30%			0.30%			0.30%			0.30%			0.30%
Ratio of Net Investment Income to Average Net Assets		2.71%	(c)		2.71%			2.74%			3.08%			3.75%			3.47%
Portfolio Turnover Rate		58.99%			100.02%			69.56%			53.12%			50.37%			24.36%

High Yield Bond Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31,
(For a share outstanding throughout the period)				2004			2003			2002			2001			2000
Selected Per Share Data
Net Asset Value, Beginning of Period	$	0.76		$	0.73		$	0.56		$	0.65		$	0.69		$	0.82
Income from Investment Operations:
Net Investment Income		0.02			0.05			0.05			0.07			0.08			0.09
Net Realized and Unrealized Gains (Losses) on Investments		(0.03	)		0.03			0.12			(0.09	)		(0.04	)		(0.13	)
Total from Investment Operations		(0.01	)		0.08			0.17			(0.02	)		0.04			(0.04	)
Less Distributions:
Distributions from Net Investment Income		(0.05	)		(0.05	)		(0.00	)(e)		(0.07	)		(0.08	)		(0.09	)
Distributions from Realized Gains on Investments		—			—			—			—			—			—
Total Distributions		(0.05	)		(0.05	)		(0.00	)(e)		(0.07	)		(0.08	)		(0.09	)
Net Asset Value, End of Period	$	0.70		$	0.76		$	0.73		$	0.56		$	0.65		$	0.69
Total Return(d)		(0.31%	)		12.76%			29.06%			(2.89%	)		5.03%			(4.60%	)
Ratios and Supplemental Data
Net Assets, End of Period (in thousands)	$	235,362		$	229,312		$	199,371		$	137,553		$	147,670		$	138,207
Ratio of Gross Expenses to Average Net Assets		0.48%	(c)		0.50%			0.52%			0.54%			0.53%			0.53%
Ratio of Net Expenses to Average Net Assets		0.48%	(c)		0.50%			0.52%			0.54%			0.53%			0.52%
Ratio of Net Investment Income to Average Net Assets		7.49%	(c)		7.42%			8.66%			10.37%			10.48%			10.90%
Portfolio Turnover Rate		69.97%			162.00%			182.10%			89.20%			96.41%			124.91%

(d) 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.

(e) Amount is less than $0.005.

The Accompanying Notes are an Integral Part of the Financial Statements.

110

Financial Highlights

Financial Highlights

Northwestern Mutual Series Fund, Inc.

Select Bond Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31,
(For a share outstanding throughout the period)				2004			2003			2002			2001			2000
Selected Per Share Data
Net Asset Value, Beginning of Period	$	1.23		$	1.26		$	1.27		$	1.20		$	1.16		$	1.13
Income from Investment Operations:
Net Investment Income		0.02			0.05			0.05			0.05			0.06			0.08
Net Realized and Unrealized Gains (Losses) on Investments		0.00	(e)		0.01			0.02			0.09			0.05			0.03
Total from Investment Operations		0.02			0.06			0.07			0.14			0.11			0.11
Less Distributions:
Distributions from Net Investment Income		(0.04	)		(0.05	)		(0.05	)		(0.06	)		(0.07	)		(0.08	)
Distributions from Realized Gains on Investments		(0.01	)		(0.04	)		(0.03	)		(0.01	)		—			—
Total Distributions		(0.05	)		(0.09	)		(0.08	)		(0.07	)		(0.07	)		(0.08	)
Net Asset Value, End of Period	$	1.20		$	1.23		$	1.26		$	1.27		$	1.20		$	1.16
Total Return(d)		2.05%			4.75%			5.49%			12.09%			10.37%			10.21%
Ratios and Supplemental Data
Net Assets, End of Period (in thousands)	$	729,942		$	661,027		$	621,325		$	584,018		$	405,406		$	291,678
Ratio of Expenses to Average Net Assets		0.30%	(c)		0.30%			0.30%			0.30%			0.30%			0.30%
Ratio of Net Investment Income to Average Net Assets		4.12%	(c)		3.99%			4.03%			5.01%			6.15%			6.84%
Portfolio Turnover Rate		133.11%			213.87%			137.05%			184.37%			151.27%			139.89%

Money Market Portfolio	For the Six Months Ended June 30, 2005 (Unaudited)			For the Year Ended December 31,
(For a share outstanding throughout the period)				2004			2003			2002			2001			2000
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			0.01			0.02			0.04			0.06
Total from Investment Operations		0.01			0.01			0.01			0.02			0.04			0.06
Less Distributions:
Distributions from Net Investment Income		(0.01	)		(0.01	)		(0.01	)		(0.02	)		(0.04	)		(0.06	)
Total Distributions		(0.01	)		(0.01	)		(0.01	)		(0.02	)		(0.04	)		(0.06	)
Net Asset Value, End of Period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Return(d)		1.22%			1.43%			1.23%			1.65%			3.91%			6.28%
Ratios and Supplemental Data
Net Assets, End of Period (in thousands)	$	342,451		$	344,468		$	399,873		$	501,313		$	458,689		$	384,455
Ratio of Gross Expenses to Average Net Assets(f)		0.30%	(c)		0.30%			0.30%			0.30%			0.30%			0.30%
Ratio of Net Expenses to Average Net Assets(f)		0.30%	(c)		0.00%			0.00%			0.27%			0.30%			0.30%
Ratio of Net Investment Income to Average Net Assets		2.44%	(c)		1.41%			1.23%			1.63%			3.76%			6.08%

(c) Computed on an annualized basis.

(d) 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. For the Money Market Portfolio, total return includes the effect of a management fee waiver from December 2, 2002 through December 31, 2004, which ended on December 31, 2004. In the absence of such fee waiver, the total return would be less.

(e) Amount is less than $0.005.

(f) For the Money Market Portfolio, expense ratios reflect total expenses before a management fee waiver in effect for the period December 2, 2002 through December 31, 2004 (“Gross Expense Ratio”) and after such waiver (“Net Expense Ratio”). The fee waiver ended on December 31, 2004.

The Accompanying Notes are an Integral Part of the Financial Statements.

Financial Highlights

111

Notes to Financial Statements

Northwestern Mutual Series Fund, Inc.

June 30, 2005

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. When a contract is closed, the Portfolios record a realized gain or loss

112

Notes to Financial Statements

Notes to Financial Statements

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. For the period ended June 30, 2005, the Balanced and Select Bond Portfolios earned $187,583 and $87,833, respectively, in interest from securities lending activity. 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. As of June 30, 2005, the value of outstanding securities on loan and the value of collateral amounted to the following:

Portfolio	Value of Securities on Loan		Value of Collateral
Balanced	$	48,487,900	$	49,494,500
Select Bond		35,105,400		35,983,750

As of June 30, 2005, 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, 2005, the following mortgage dollar rolls were outstanding:

Portfolio	Cost		Value		Obligation Liability
Asset Allocation	$	3,465,618	$	3,469,404	$	3,471,153
Balanced		101,581,548		101,683,888		101,752,537
Select Bond		64,728,759		64,797,742		64,834,962

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 contractual maturities ranging from 7/1/35 to 8/1/35. The weighted average interest rate was 5.19% for the Asset Allocation Portfolio, 5.27% for the Balanced Portfolio, and 5.23% 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 period ended June 30, 2005, transactions in securities other than money market investments were:

Portfolio	Total Security Purchases		U.S. Govt. Security Purchases		Total Security Sales/ Maturities		U.S. Govt. Security Sales/ Maturities
	(Amounts in thousands)
Small Cap Growth Stock	$	151,424	$	—	$	135,082	$	—
T. Rowe Price Small Cap Value		27,628		—		9,481		—
Aggressive Growth Stock		384,340		—		438,214		—
International Growth		38,326		—		32,127		—
Franklin Templeton International Equity		39,563		—		20,441		—
AllianceBernstein Mid Cap Value		20,075		—		9,852		—
Index 400 Stock		34,367		—		23,040		—
Janus Capital Appreciation		45,195		—		15,612		—
Growth Stock		79,487		—		76,837		—
Large Cap Core Stock		50,266		—		55,186		—
Capital Guardian Domestic Equity		71,547		—		28,081		—
T. Rowe Price Equity Income		31,096		—		7,562		—
Index 500 Stock		32,020		—		61,366		—
Asset Allocation		65,726		51,359		50,268		48,997
Balanced		439,130		1,106,981		447,769		1,100,842
High Yield Bond		163,481		—		150,846		—
Select Bond		225,128		731,914		220,880		662,127

Notes to Financial Statements

113

Notes to Financial Statements

Note 9 — The Series Fund and its Portfolios are parties to annually renewable contracts pursuant to which each Portfolio pays a charge for investment management and administrative services. Certain Portfolios, listed below, pay at a fixed annual rate based on the average daily net asset values of the Portfolio.

Portfolio	Fee
T. Rowe Price Small Cap Value	.85%
AllianceBernstein Mid Cap Value	.85%
Index 400 Stock	.25%
Index 500 Stock	.20%
Balanced	.30%
Select Bond	.30%
Money Market	.30%

For the other Portfolios the rate for the investment advisory fee is graded by the asset size of the Portfolio according to the following schedules:

Portfolio	First $50 Million	Next $50 Million	Excess
Small Cap Growth Stock	.80%	.65%	.50%
Aggressive Growth Stock	.80%	.65%	.50%
Franklin Templeton International Equity	.85%	.65%	.65%
Growth Stock	.60%	.50%	.40%
Large Cap Core Stock	.60%	.50%	.40%
High Yield Bond	.60%	.50%	.40%
Portfolio	First $100 Million	Next $150 Million	Excess
International Growth	.75%	.65%	.55%
Capital Guardian Domestic Equity	.65%	.55%	.50%
Asset Allocation	.60%	.50%	.40%
Portfolio	First $500 Million	Excess
T. Rowe Price Equity Income	.65%	.60%
Portfolio	First $100 Million	Next $400 Million	Excess
Janus Capital Appreciation	.80%	.75%	.70%

Mason Street Advisors, LLC (“MSA”), a wholly owned subsidiary of Northwestern Mutual and the manager and investment adviser of the Series Fund, contractually agreed to waive the management fee and absorb certain other operating expenses to the extent necessary so that Total Operating Expenses will not exceed the following amounts:

Portfolio		Expiration
T. Rowe Price Small Cap Value	1.00%	December 31, 2006
International Growth	1.10%	December 31, 2006
AllianceBernstein Mid Cap Value	1.00%	December 31, 2008
Janus Capital Appreciation	0.90%	December 31, 2008
Capital Guardian Domestic Equity	0.75%	December 31, 2006
T. Rowe Price Equity Income	0.75%	December 31, 2008
Asset Allocation	0.75%	December 31, 2006

MSA voluntarily waived its management fee from December 2, 2002 to December 31, 2004 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 period ended June 30, 2005, the amounts paid through expense offset arrangements were as follows:

Portfolio	Amount
Small Cap Growth Stock	$	1,097
T. Rowe Price Small Cap Value		386
Aggressive Growth Stock		1,272
AllianceBernstein Mid Cap Value		344
Index 400 Stock		1,213
Janus Capital Appreciation		71
Growth Stock		299
Large Cap Core Stock		1,126
Capital Guardian Domestic Equity		487
T. Rowe Price Equity Income		25
Index 500 Stock		123
Asset Allocation		476
High Yield Bond		1,927

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 $25 million of the Portfolio’s assets, .54% on the next $225 million, and .50% in excess of $250 million, with a 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

114

Notes to Financial Statements

Notes to Financial Statements

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 period ended June 30, 2005, were as follows:

Portfolio	Amount
AllianceBernstein Mid Cap Value	$	6,498

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 31st 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, 2004 is provided below:

	Post-October Losses				Capital Loss Carryovers
Portfolio	Capital		Foreign Currency		Amount		Expiration	Utilized in 2004
	(Amounts in Thousands)
Small Cap Growth Stock	$	—	$	—	$	—	—	$	25,605
T. Rowe Price Small Cap Value		—		—		—	—		—
Aggressive Growth Stock		—		—		108,215	2010-2011		95,296
International Growth		—		—		597	2011		4,716
Franklin Templeton International Equity		—		24		66,733	2010-2011		53,475
AllianceBernstein Mid Cap Value		—		—		—	—		—
Index 400 Stock		—		—		—	—		—
Janus Capital Appreciation		40		—		507	2012		—
Growth Stock		—		—		65,078	2009-2010		30,055
Large Cap Core Stock		—		—		165,188	2009-2012		—
Capital Guardian Domestic Equity		—		—		—	—		3,619
T. Rowe Price Equity Income		—		—		—	—		—
Index 500 Stock		—		—		—	—		—
Asset Allocation		—		—		—	—		556
Balanced		—		—		—	—		—
High Yield Bond		—		—		65,399	2007-2010		11,029
Select Bond		1,092		—		—	—		—

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 period ended June 30, 2005 and the year ended December 31, 2004 are summarized below:

Portfolio	2005 Reimbursements		2004 Reimbursements
International Growth	$	134,014	$	101,251
Franklin Templeton International Equity		1,701,453		1,778,426

Notes to Financial Statements

115

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, 2005 and December 31, 2004 were as follows:

	2005 Distributions Paid From:				2004 Distributions Paid From:
Portfolio	Ordinary Income		Long-term Capital Gain		Ordinary Income		Long-term Capital Gain
	(Amounts in Thousands)
Small Cap Growth Stock	$	—	$	4,453	$	—	$	—
T. Rowe Price Small Cap Value		3,933		2,549		902		1,354
Aggressive Growth Stock		602		—		—		—
International Growth		78		—		625		—
Franklin Templeton International Equity		18,202		—		14,573		—
AllianceBernstein Mid Cap Value		72		260		2,223		2,546
Index 400 Stock		6,166		18,491		2,523		2,269
Janus Capital Appreciation		—		—		51		—
Growth Stock		7,061		—		4,542		—
Large Cap Core Stock		6,143		—		4,200		—
Capital Guardian Domestic Equity		59		4,773		2,660		2,783
T. Rowe Price Equity Income		165		583		2,041		1,278
Index 500 Stock		33,460		31,663		27,018		16,059
Asset Allocation		3,232		3,390		—		—
Balanced		103,327		16,150		79,236		98,256
High Yield Bond		15,557		—		14,554		—
Select Bond		29,345		—		39,008		4,298
Money Market		4,163		—		5,155		—

As of December 31, 2004, the tax basis amounts were as follows:

Portfolio	Undistributed Ordinary Income		Undistributed Long-term Gains		Accumulated Losses			Unrealized Appreciation (Depreciation)
	(Amounts in Thousands)
Small Cap Growth Stock	$	—	$	4,453	$	—		$	92,100
T. Rowe Price Small Cap Value		3,947		2,533		—			49,467
Aggressive Growth Stock		634		—		(108,215	)		251,252
International Growth		77		—		(597	)		27,931
Franklin Templeton International Equity		18,202		—		(66,757	)		225,375
AllianceBernstein Mid Cap Value		72		260		—			14,295
Index 400 Stock		6,204		18,537		—			75,445
Janus Capital Appreciation		—		—		(547	)		14,602
Growth Stock		7,067		—		(65,078	)		85,167
Large Cap Core Stock		6,146		—		(165,188	)		66,322
Capital Guardian Domestic Equity		59		4,773		—			32,543
T. Rowe Price Equity Income		165		583		—			13,229
Index 500 Stock		33,494		31,634		—			484,526
Asset Allocation		3,233		3,390		—			21,636
Balanced		103,513		15,994		—			666,572
High Yield Bond		15,558		—		(65,399	)		9,028
Select Bond		29,345		—		(1,092	)		(1,879	)

116

Notes to Financial Statements

Proxy Voting and Portfolio Holdings

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.

Information regarding how the fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 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.

Quarterly Filing of Portfolio Holdings

The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available (i) on the Commission’s website at http://www.sec.gov and (ii) at the Commission’s Public Reference Room.

Proxy Voting and Portfolio Holdings

117

Director and Officer Information (Unaudited)

Northwestern Mutual Series Fund, Inc.

The name, age and address of the directors, as well as their affiliations, positions held with the Fund, principal occupations during the past five years and the number of portfolios overseen in the Northwestern Mutual fund complex, are shown below as of April 29, 2005 through June 30, 2005. Effective May 1, 2003, each director shall serve for a twelve-year term commencing May 1, 2003 or until their earlier death, resignation, retirement or removal from office and election and qualification of their successors. The statement of additional information contains additional information about Fund directors and is available without charge, upon request, by calling 1-888-627-6678.

Independent Directors
Name Age and Address	Position	Length of Time Served	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held
Louis A. Holland (63) Suite 700 1 North Wacker Drive Chicago, IL 60606	Director	Since 2003	29	Packaging Corporation of America; Lou Holland Trust; AmerUs Group Co.
Principal Occupation During Past 5 Years: Managing Partner and Chief Investment Officer, Holland Capital Management, L.P.; Portfolio Manager, Lou Holland Growth Fund
Elizabeth L. Majers (46) 370 Shadowood Lane Northfield, IL 60093	Director	Since 2003	29	None
Principal Occupation During Past 5 Years: Partner, McDermott, Will & Emery (international law firm)
William A. McIntosh (66) 525 Sheridan Road Kenilworth, IL 60043	Director	Since 1997	29	MGIC Investment Corporation
Principal Occupation During Past 5 Years: Financial consulting since 1998; Adjunct Faculty Member, Howard University
Michael G. Smith (61) 614 Lenox Road Glen Ellyn, IL 60137	Director	Since 2003	29	Trustee of Ivy Funds
Principal Occupation During Past 5 Years: Private investor; retired since 1999. From 1987 to 1999, Managing Director, Corporate and Institutional Client Group, Central Region, Merrill Lynch and Co., Inc.
Martin F. Stein (68) 1800 East Capitol Drive Milwaukee, WI 53211	Director	Since 1995	29	Koss Corporation
Principal Occupation During Past 5 Years: Former Chairman of Eyecare One, Inc., which includes Stein Optical and Eye Q optical centers (retail sales of eyewear)
Other Directors
Name Age and Address	Position	Length of Time Served	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held
Edward J. Zore (60) 720 East Wisconsin Avenue Milwaukee, WI 53202	Chairman and Director	Since 2000	29	Manpower, Inc.; Trustee of Northwestern Mutual
Principal Occupation During Past 5 Years: President and Chief Executive Officer of Northwestern Mutual since 2001; President, 2000-2001; prior thereto, Executive Vice President
Officers
Mark G. Doll				President
Walter M. Givler				Chief Financial Officer
Michael W. Zielinski				Secretary
Barbara E. Courtney				Controller

118

Director and Other Information

Continuance of the Investment Advisory and Sub-Advisory Agreements

Northwestern Mutual Series Fund, Inc.

At its meeting on February 17, 2005, the Board of Directors of the Northwestern Mutual Series Fund, Inc. (the “Fund”) unanimously approved the continuance of the Investment Advisory Agreement between the Fund and Mason Street Advisors, LLC (the “Advisory Agreement”), and the Investment Sub-Advisory Agreements between Mason Street Advisors, LLC (“MSA”) and the sub-advisors to certain of the Fund’s portfolios (the “Sub-Advisory Agreements). (Each portfolio comprising the Fund is referred to as a “Portfolio” and collectively as the “Portfolios”). In preparation for the meeting, the directors requested and received extensive information from MSA and the sub-advisors to assist them in their evaluation. The independent directors also received a memorandum from their counsel advising the directors of their responsibilities in connection with the annual review of the Advisory and the Sub-Advisory Agreements, and summarizing the legal standards governing the renewal of these Agreements. Prior to the Board meeting, the independent directors reviewed the proposed continuance of the Advisory and the Sub-Advisory Agreements with their legal counsel, who is independent of MSA and the sub-advisors, in two separate private sessions at which no representatives of MSA, the sub-advisors or their affiliates were present.

While particular focus is given to an evaluation of the services, performance, fees, costs, and other relevant information under the Advisory and the Sub-Advisory Agreements at the meeting at which their continuation is formally considered, the evaluation process with respect to MSA and the sub-advisers and the nature, extent and quality of the services they provide the Portfolios, is an ongoing one. For example, the directors received information from portfolio managers monthly regarding market developments, Portfolio performance and portfolio analysis. The directors also received additional information about the Portfolios, their performance, and certain operational and related matters at their regular quarterly meetings and at quarterly meetings of the Fund’s Audit Committee. As a result, the directors’ consideration of the nature, extent and quality of services included deliberations at other meetings in addition to the annual renewal meeting at which each agreement is formally considered for continuation.

Continuance of the Advisory Agreement Between the Fund and MSA.

The material factors and conclusions that formed the basis for the Board’s determination to approve the continuance of the Advisory Agreement with respect to each Portfolio are discussed below. In addition to the information provided to them, the directors considered their experience with and knowledge of the nature and quality of services provided by MSA to the Portfolios and their interactions with representatives of MSA and its affiliates. The directors evaluated the information they deemed relevant on a Portfolio by Portfolio basis. No one particular factor was identified as controlling, but rather it was a combination of all the factors and conclusions that formed the basis for the determinations made by the directors.

Nature, Extent and Quality of Services. In considering the nature, extent and quality of MSA’s services, factors considered by the directors included the scope of the services provided by MSA, MSA’s experience, its assets under management, MSA’s investment personnel, the experience of the portfolio managers of the Portfolios, the reorganization of various groups within the fixed income division of MSA in order to enhance its investment process, and changes in professional personnel including additions to the administrative, compliance and legal staffs. The directors recognized that in addition to the investment advisory services provided by MSA, MSA and its affiliates provide administrative services, shareholder servicing, oversight of other service providers, assistance in meeting legal and regulatory requirements, and other services necessary for the operation of the Fund.

Based on its review of these factors and their experience with MSA’s services for the Portfolios, the directors concluded that they were satisfied with the nature, extent and quality of services provided by MSA with respect to each Portfolio, and the resources committed by MSA in providing those services.

Investment Performance. The directors considered the investment performance of each of the Portfolios over a variety of periods. In addition to absolute performance for each Portfolio for both short and long-term periods, the directors considered (i) a comparison of each Portfolio’s one-, three- and five-year performance to the returns of appropriate peer groups and benchmarks and to the performance averages of each Portfolio’s respective Morningstar and Lipper categories for the same periods, (ii) the Morningstar overall star rating for each Portfolio, and (iii) the Morningstar and the Lipper rankings for each Portfolio for one-, three- and five-year periods. The directors also considered the reports of the portfolio managers on the market and the factors contributing to each Portfolio’s performance for 2004, and the presentations at the meeting by the managing directors of the fixed income and equity divisions of MSA. In addition to performance information presented at the meeting, the directors considered the detailed performance information, market commentary and portfolio analysis they received periodically throughout the year. The directors also considered the effects on rankings of Portfolios depending on the categories in which the rating agencies place the Portfolios.

The directors noted, in particular, that based on average annual returns for the one-, three- or five-year period (which ever was longer for each respective Portfolio) ended December 31, 2004, all but two of the Portfolios ranked in the top third of their appropriate investment categories by either Lipper or Morningstar. Regarding the relative performance of the Alliance Bernstein Mid Cap Value Portfolio, the Board considered that the Portfolio commenced operations on May 1, 2003, that it was ranked in the top 40% in its respective investment category based on one-year performance, and that it outperformed the Morningstar and Lipper averages for the category for that period. Regarding the relative performance of the Large Cap Core Portfolio, the directors considered the fact that the performance reflects only two years of MSA performance with the balance reflecting the performance of the Portfolio’s predecessor investment manager. Based on its review of the various measures and periods of investment performance for these Portfolios, the

Continuance of the Investment Advisory and Sub-Advisory Agreements

119

Continuance of the Investment Advisory and Sub-Advisory Agreements

Northwestern Mutual Series Fund, Inc.

Board concluded that it was satisfied with the relative investment performance of the Portfolios.

Management Fees and Other Expenses. In evaluating the management fees paid by the Portfolios, the directors considered the fees paid by each Portfolio under the Advisory Agreement, the caps on total net operating expenses for certain of the Portfolios, and the management fees paid by a peer group of mutual funds for each of the Portfolios. The directors also considered the total operating expenses of each Portfolio and a comparison of those expenses with averages of each Portfolio’s respective investment category and with each Portfolio’s respective peer group. The rank of each Portfolio within its respective investment category was also considered. The directors noted the fees charged to MSA’s other mutual fund family. However, they did not consider the management fees charged to other MSA clients as relevant because substantially all of those accounts were managed for affiliates of MSA and, as such, they were priced based on different factors and considerations, and they have investment objectives and policies different than the Portfolios.

The directors noted that the management fees for each of the Portfolios were generally in the lower end of the range of management fees of a peer group of funds and, with the exception of the International Growth (38%) and the Asset Allocation Portfolios (39%), all of the non-sub-advised Portfolios were in the top 5% of their category based on total net operating expenses. It was recognized that all of the sub-advised Portfolios did have higher expenses though they were all within the top 19-40% of their respective investment classes.

The directors considered the various expenses relating to the investment and non-investment operations of the Portfolios that are assumed by MSA. The directors also considered the increases in costs of investment management firms as a result of the increased complexity of portfolio management, shareholder servicing and compliance matters as well as the increased compensation levels of investment personnel. The directors recognized that MSA had absorbed the increased compliance costs associated with providing services to the Portfolios. The additional services provided by MSA and its affiliates were also taken into account. In considering the level of management fees for those Portfolios that do not contain breakpoints, the directors considered the operating expenses assumed by MSA and the total expenses of these Portfolios compared to industry averages for similar portfolios.

Based on its review of the management and other expenses, the comparative data, the performance of each Portfolio, and other factors deemed relevant by the directors, the directors concluded that the management fees and total operating expenses of each of the Portfolios are reasonable in light of the nature, scope and quality of services provided and the performance of the Portfolios.

Costs and Profitability. The directors also considered the financial condition of MSA and information concerning the costs and profitability of MSA with respect to its relationship with the Portfolios. MSA provided a profitability analysis for each Portfolio which included the expense allocation methodology used, net income by Portfolio individually and in the aggregate, net income of MSA for all of its clients in the aggregate, and net profit margins for each Portfolio individually and in the aggregate and of MSA in the aggregate. The directors received information on soft dollar arrangements including MSA’s policies with respect to such arrangements. The Board considered these “fall-out” benefits as part of its evaluation. The directors also considered the non-investment related operating expenses of the Portfolios assumed by MSA.

The directors recognized that there are limitations inherent in allocating costs and calculating profitability for an organization such as MSA, and that it is difficult to make comparisons of profitability among investment advisors and clients because comparative information is not generally publicly available and, when available, its utility is subject to various assumptions and other factors. Based on its review of the profitability analysis for each Portfolio, the directors concluded that they were satisfied that MSA’s level of profitability from its relationship with each Portfolio was not excessive.

Continuance of the Sub-Advisory Agreements Between MSA and the Sub-Advisors.

At its meeting on February 17, 2005, the Board unanimously approved the Sub-Advisory Agreements between MSA and the following sub-advisors: T. Rowe Price Associates, Inc. (Small Cap Value and Equity Income Portfolios), Templeton Investment Counsel, LLC (International Equity Portfolio), Alliance Capital Management LP (Mid Cap Value Portfolio), Janus Capital Management LLC (Capital Appreciation Portfolio), and Capital Guardian Trust Company (Domestic Equity Portfolio) (the sub-advisors are collectively referred to herein as the “Sub-Advisors” and the sub-advised Portfolios are collectively referred to as the “Sub-Advised Portfolios”). The material factors and conclusions that formed the basis for the Board’s determination to approve the continuance of each of the Sub-Advisory Agreements with respect to each Sub-Advised Portfolios are discussed below. In addition to the information provided to them, the directors considered their experience with and knowledge of the nature and quality of services provided by the Sub-Advisors and their interactions with representatives of the Sub-Advisors. The directors evaluated the information they deemed relevant on a Portfolio by Portfolio basis. No one particular factor was identified as controlling, but rather it was a combination of all the factors and conclusions that formed the basis for the determinations made by the directors.

The directors considered the services provided by the Sub-Advisors and their experience in providing investment management services. Consideration was given to the reputation of the Sub-Advisors as leaders in their respective investment disciplines. Based on their review and discussion, the directors concluded that they were satisfied with the nature and extent of the services provided by each of the Sub-Advisors. The directors also considered the performance of each of the Sub-Advised Portfolios (as described above) and the performance of accounts managed in a similar manner by certain of

120

Continuance of the Investment Advisory and Sub-Advisory Agreements

Continuance of the Investment Advisory and Sub-Advisory Agreements

Northwestern Mutual Series Fund, Inc.

the Sub-Advisors. For the reasons summarized above, the directors concluded that they were satisfied with the relative investment performance of each of the Sub-Advised Portfolios.

The directors considered each Portfolio’s total expenses as discussed above. The directors also considered the sub-advisory fees which fees are paid by MSA out of its investment management fee, including a comparison of those fees with fees charged by certain of the Sub-Advisors for similarly managed sub-advised accounts. The directors also considered the breakpoints that are part of the sub-advisory fee schedules of the Sub-Advised Portfolios, and the relatively small asset size of the T. Rowe Price Small Cap Value Portfolio, which does not have breakpoints. The directors also considered certain financial data provided by certain Sub-Advisers relative to their profitability. The directors also considered information relating to pending regulatory and litigation matters for certain of the Sub-Advisors. Based on its review, the directors concluded that the fees charged by each of the Sub-Advisors and the total operating expenses of each of the Sub-Advised Portfolios were reasonable in light of the nature, scope and quality of services provided and the performance of the Sub-Advised Portfolios over time.

Going forward, the directors will consider the continuance of each Sub-Advisory Agreement on a staggered schedule at their May, August and November meetings. This will afford the directors the opportunity to focus on a smaller number of relationships at any one meeting. At its meeting on May 5, 2005, the Board of Directors reviewed the Sub-Advisory Agreements between MSA, Templeton Investment Counsel, LLC and Capital Guardian Trust Company for each Sub-Advisor’s respective Portfolio. The directors considered updated information for the period ended March 31, 2005, including the nature, extent and quality of services provided by the Sub-Advisors to the Portfolios, investment performance information for each Portfolio, management fees paid by the Portfolios and the cost and profitability of the Sub-Advisors with respect to its relationship with each Portfolio. Based on its review of these factors, in addition to other information provided to them, the directors concluded that they were satisfied that the nature and extent of the services provided by each of the Sub-Advisors, the relative investment performance of each of the Sub-Advised Portfolios, the fees charged by each Sub-Advisor and the total operating expenses of each Sub-Advised Portfolio, were reasonable in light of the nature, scope and quality of services provided. For the reasons summarized above, the Board of Directors unanimously approved the continuance of the Sub-Advisory Agreements between MSA, Templeton Investment Counsel, LLC and Capital Guardian Trust Company, respectively.

Continuance of the Investment Advisory and Sub-Advisory Agreements

121

Semi-Annual Report June 30, 2005

Northwestern Mutual Variable Life Account

Financial Statements

Northwestern Mutual Variable Life Account Financial Statements

Table of Contents

Northwestern Mutual Variable Life Account
Statement of Assets and Liabilities	1
Statement of Operations	4
Statements of Changes in Net Assets	6
Notes to Financial Statements	10

Statement of Assets and Liabilities

Northwestern Mutual Variable Life Account

June 30, 2005 (unaudited)

(in thousands, except accumulation unit values and units)

	Small Cap Growth Stock		T. Rowe Price Small Cap Value		Aggressive Growth Stock		International Growth		Franklin Templeton International Equity		AllianceBernstein Mid Cap Value		Index 400 Stock
Assets:
Investments at Market Value (1)(2)
Northwestern Mutual Series Fund, Inc	$	189,884	$	87,721	$	374,974	$	33,925	$	346,448	$	14,000	$	165,589
Fidelity Variable Insurance Products Fund III
Russell Investment Funds
Due from Northwestern Mutual Life Insurance Company		9		2		4		13		—		6		7
Total Assets		189,893		87,723		374,978		33,938		346,448		14,006		165,596
Liabilities:
Due to Northwestern Mutual Life Insurance Company		17		7		13		4		12		—		9
Total Liabilities		17		7		13		4		12		—		9
Total Net Assets	$	189,876	$	87,716	$	374,965	$	33,934	$	346,436	$	14,006	$	165,587
Net Assets:
Variable Life Policies Issued
Before October 11, 1995
Policyowners’ Equity	$	11,149	$	8,018	$	55,594	$	2,258	$	53,428	$	1,235	$	10,682
Northwestern Mutual’s Equity		363		210		1,971		50		1,710		43		259
Variable Complife Policies Issued
On or After October 11, 1995 (3)
Policyowners’ Equity		149,575		63,092		277,960		25,026		248,562		10,270		126,505
Northwestern Mutual’s Equity		17,313		7,430		28,072		3,140		25,745		1,208		14,234
Variable Executive Life Policies Issued
On or After March 2, 1998
Policyowners’ Equity (4)		4,416		3,777		5,408		1,598		7,189		378		5,760
Variable Joint Life Policies Issued
On or After December 10, 1998
Policyowners’ Equity (5)		7,060		5,189		5,960		1,862		9,802		872		8,147
Total Net Assets	$	189,876	$	87,716	$	374,965	$	33,934	$	346,436	$	14,006	$	165,587
(1) Investments, at cost	$	143,884	$	69,809	$	386,812	$	28,078	$	307,385	$	13,223	$	133,256
(2) Shares Outstanding		79,449		57,787		123,795		25,450		214,254		9,629		115,877
(3) Accumulation Unit Value	$	2.065502	$	1.570006	$	2.002617	$	1.326014	$	1.998836	$	1.565588	$	1.672888
Units Outstanding*		80,798,850		44,918,927		152,816,188		21,241,389		137,232,853		7,331,564		84,129,039
(4) Accumulation Unit Value	$	25.885396	$	16.072187	$	53.366843	$	13.574773	$	2.935427	$	15.860040	$	18.294678
Units Outstanding*		170,592		235,018		101,347		117,744		2,449,065		23,816		314,817
(5) Accumulation Unit Value	$	25.885396	$	16.072187	$	53.366843	$	13.574773	$	2.935427	$	15.860040	$	18.294678
Units Outstanding*		272,743		322,838		111,674		137,134		3,339,283		55,000		445,300

* Units outstanding have been rounded for presentation purposes.

The Accompanying Notes are an Integral Part of the Financial Statements

Statement of Assets and Liabilities

1

Statement of Assets and Liabilities

Northwestern Mutual Variable Life Account

June 30, 2005 (unaudited)

(in thousands, except accumulation unit values and units)

	Janus Capital Appreciation		Growth Stock		Large Cap Core Stock		Capital Guardian Domestic Equity		T. Rowe Price Equity Income		Index 500 Stock		Asset Allocation
Assets:
Investments at Market Value (1)(2)
Northwestern Mutual Series Fund, Inc	$	18,228	$	273,986	$	176,368	$	79,523	$	26,302	$	663,393	$	27,826
Fidelity Variable Insurance Products Fund III
Russell Investment Funds
Due from Northwestern Mutual Life Insurance Company		5		25		27		12		4		—		1
Total Assets		18,233		274,011		176,395		79,535		26,306		663,393		27,827
Liabilities:
Due to Northwestern Mutual Life Insurance Company		—		9		4		5		—		25		—
Total Liabilities		—		9		4		5		—		25		—
Total Net Assets	$	18,233	$	274,002	$	176,391	$	79,530	$	26,306	$	663,368	$	27,827
Net Assets:
Variable Life Policies Issued
Before October 11, 1995
Policyowners’ Equity	$	1,405	$	26,112	$	22,235	$	7,216	$	3,760	$	107,420	$	4,045
Northwestern Mutual’s Equity		35		928		835		215		116		3,331		110
Variable Complife Policies Issued
On or After October 11, 1995 (3)
Policyowners’ Equity		13,374		208,082		130,469		55,895		18,745		460,236		18,667
Northwestern Mutual’s Equity		1,734		22,635		13,740		7,024		1,853		48,610		2,195
Variable Executive Life Policies Issued
On or After March 2, 1998
Policyowners’ Equity (4)		924		8,859		4,971		3,022		499		12,736		1,180
Variable Joint Life Policies Issued
On or After December 10, 1998
Policyowners’ Equity (5)		761		7,386		4,141		6,158		1,333		31,035		1,630
Total Net Assets	$	18,233	$	274,002	$	176,391	$	79,530	$	26,306	$	663,368	$	27,827
(1) Investments, at cost	$	16,424	$	274,469	$	190,913	$	67,465	$	25,063	$	648,697	$	25,064
(2) Shares Outstanding		12,120		138,516		154,033		70,250		19,687		235,831		25,435
(3) Accumulation Unit Value	$	1.489755	$	2.072752	$	1.741665	$	1.193728	$	1.400877	$	2.263346	$	1.149313
Units Outstanding*		10,141,509		111,308,824		82,798,700		52,707,683		14,703,801		224,818,651		18,151,516
(4) Accumulation Unit Value	$	15.091616	$	27.383219	$	22.794427	$	12.220382	$	14.191365	$	49.672176	$	11.765640
Units Outstanding*		61,187		323,520		218,065		247,301		35,163		256,399		100,307
(5) Accumulation Unit Value	$	15.091616	$	27.383219	$	22.794427	$	12.220382	$	14.191365	$	49.672176	$	11.765640
Units Outstanding*		50,416		269,726		181,659		503,954		93,915		624,798		138,580

* Units outstanding have been rounded for presentation purposes.

The Accompanying Notes are an Integral Part of the Financial Statements

Statement of Assets and Liabilities

2

Balanced		High Yield Bond		Select Bond		Money Market		Fidelity VIP Mid Cap		Russell Multi-Style Equity		Russell Aggressive Equity		Russell Non-US		Russell Core Bond		Russell Real Estate Securities
$	294,741	$	59,050	$	110,723	$	119,835
								$	35,471
										$	137,156	$	73,123	$	95,158	$	49,595	$	99,908
	—		—		27		14		1		2		—		—		—		—
	294,741		59,050		110,750		119,849		35,472		137,158		73,123		95,158		49,595		99,908
	31		—		1		4		6		4		9		3		1		19
	31		—		1		4		6		4		9		3		1		19
$	294,710	$	59,050	$	110,749	$	119,845	$	35,466	$	137,154	$	73,114	$	95,155	$	49,594	$	99,889
$	145,166	$	5,735	$	14,095	$	7,384	$	3,657	$	6,133	$	4,605	$	4,694	$	2,156	$	7,909
	3,097		191		410		165		106		190		128		146		77		161
	121,949		44,311		71,619		80,885		25,682		97,446		53,092		65,933		22,133		74,315
	13,549		4,554		8,041		16,563		3,097		11,479		6,061		7,547		2,698		8,615
	3,656		2,703		11,713		9,667		814		14,765		6,245		11,700		20,088		4,479
	7,293		1,556		4,871		5,181		2,110		7,141		2,983		5,135		2,442		4,410
$	294,710	$	59,050	$	110,749	$	119,845	$	35,466	$	137,154	$	73,114	$	95,155	$	49,594	$	99,889
$	287,913	$	58,022	$	112,684	$	119,835	$	31,634	$	129,997	$	60,731	$	80,686	$	49,102	$	74,140
	163,654		83,759		92,193		119,835		1,173		10,911		5,099		8,573		4,705		5,657
$	2.063297	$	1.824189	$	1.804509	$	1.371502	$	1.781192	$	0.827739	$	1.319285	$	1.103983	$	1.417132	$	2.534957
	65,670,788		26,787,200		44,145,003		71,052,124		16,157,336		131,592,058		44,837,565		66,559,231		17,521,876		32,714,481
$	107.887232	$	23.025621	$	136.756980	$	35.476364	$	18.044036	$	8.835408	$	14.443203	$	11.512623	$	14.489219	$	25.882461
	33,888		117,379		85,652		272,476		45,127		1,671,066		432,411		1,016,224		1,386,405		173,068
$	107.887232	$	23.025621	$	136.756980	$	35.476364	$	18.044036	$	8.835408	$	14.443203	$	11.512623	$	14.489219	$	25.882461
	67,598		67,601		35,616		146,049		116,915		808,231		206,526		446,062		168,577		170,369

The Accompanying Notes are an Integral Part of the Financial Statements

Statement of Assets and Liabilities

3

Statement of Operations

Northwestern Mutual Variable Life Account

For the Six Months Ended June 30, 2005 (unaudited)

(in thousands)

	Small Cap Growth Stock Division			T. Rowe Price Small Cap Value Stock Division			Aggressive Growth Stock Division			International Growth Stock Division
Income:
Dividend Income	$	—		$	278		$	186		$	23
Expenses:
Mortality and Expense Risk Charges		485			214			1,032			79
Taxes		11			8			57			2
Net Investment Income (Loss)		(496	)		56			(903	)		(58	)
Realized gain (losses) on investments:
Realized Gain (Loss) on Sale of Fund Shares		838			1,171			(1,864	)		465
Realized gain distributions		1,815			2,354			—			—
Realized gains (losses)		2,653			3,525			(1,864	)		465
Change in unrealized appreciation (depreciation) of Investments during the period		6,530			(4,133	)		(8,037	)		(182	)
Net increase (decrease) in net assets resulting from operations	$	8,687		$	(552	)	$	(10,804	)	$	225
	Index 500 Stock Division			Asset Allocation Division			Balanced Division			High Yield Bond Division
Income:
Dividend Income	$	11,555		$	402		$	7,707		$	3,934
Expenses:
Mortality and Expense Risk Charges		1,763			70			755			159
Taxes		110			4			145			6
Net Investment Income (Loss)		9,682			328			6,807			3,769
Realized gain (losses) on investments:
Realized Gain (Loss) on Sale of Fund Shares		(411	)		227			263			(418	)
Realized gain distributions		11,645			456			4,237			—
Realized gains (losses)		11,234			683			4,500			(418	)
Change in unrealized appreciation (depreciation) of Investments during the period		(28,573	)		(834	)		(11,295	)		(3,697	)
Net increase (decrease) in net assets resulting from operations	$	(7,657	)	$	177		$	12		$	(346	)

The Accompanying Notes are an Integral Part of the Financial Statements

4

Statement of Operations

Franklin Templeton International Equity Division			AllianceBernstein Mid Cap Value Division			Index 400 Stock Division			Janus Capital Appreciation Division			Growth Stock Division			Large Cap Core Stock Division			Capital Guardian Domestic Equity Division			T. Rowe Price Equity Income Division
$	6,243		$	1		$	1,267		$	—		$	2,861		$	2,280		$	19		$	2
	939			31			420			32			744			472			184			60
	55			1			10			1			27			23			7			4
	5,249			(31	)		837			(33	)		2,090			1,785			(172	)		(62	)
	211			24			1,046			44			(1,337	)		(1,239	)		224			93
	—			52			7,815			—			—			—			1,506			169
	211			76			8,861			44			(1,337	)		(1,239	)		1,730			262
	(8,109	)		62			(4,075	)		805			524			1,796			(834	)		(283	)
$	(2,649	)	$	107		$	5,623		$	816		$	1,277		$	2,342		$	724		$	(83	)
Select Bond Division			Money Market Division			Fidelity VIP Mid Cap Division			Russell Multi-Style Equity Division			Russell Aggressive Equity Division			Russell Non-U.S. Division			Russell Core Bond Division			Russell Real Estate Securities Division
$	3,851		$	1,449		$	—		$	788		$	—		$	770		$	380		$	608
	255			305			79			325			179			221			71			233
	14			7			3			6			4			5			2			7
	3,582			1,137			(82	)		457			(183	)		544			307			368
	49			—			397			(557	)		516			(29	)		40			1,031
	653			—			444			—			2,200			—			421			1,439
	702			—			841			(557	)		2,716			(29	)		461			2,470
	(2,341	)		—			88			404			(3,134	)		(1,783	)		220			2,721
$	1,943		$	1,137		$	847		$	304		$	(601	)	$	(1,268	)	$	988		$	5,559

The Accompanying Notes are an Integral Part of the Financial Statements

Statements of Operations

5

Statements of Changes in Net Assets

Northwestern Mutual Variable Life Account

(in thousands)

	Small Cap Growth Stock Division						T. Rowe Price Small Cap Value Stock Division
	Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004			Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004
Operations:
Net investment income (loss)	$	(496	)	$	(865	)	$	56		$	(206	)
Net realized gains (losses)		2,653			536			3,525			1,598
Net change in unrealized appreciation (depreciation)		6,530			27,184			(4,133	)		12,855
Net increase (decrease) in net assets resulting from operations		8,687			26,855			(552	)		14,247
Contract Transactions:
Policyowners’ Net Payments		13,511			26,759			6,218			10,189
Policy Loans, Surrenders, and Death Benefits		(6,633	)		(11,703	)		(2,716	)		(3,492	)
Mortality and other (net)		(3,201	)		(6,198	)		(1,363	)		(2,362	)
Transfers from other divisions or sponsor		10,150			21,671			12,846			23,572
Transfers to other divisions or sponsor		(10,914	)		(18,284	)		(8,371	)		(9,593	)
Net increase (decrease) in net assets resulting from contract transactions		2,913			12,245			6,614			18,314
Net increase (decrease) in net assets		11,600			39,100			6,062			32,561
Net Assets:
Beginning of Period		178,276			139,176			81,654			49,093
End of Period	$	189,876		$	178,276		$	87,716		$	81,654
Units issued during the period*		10,904			14,913			10,813			13,476
Units redeemed during the period*		(9,118	)		(7,652	)		(6,544	)		(2,828	)
Net units issued (redeemed) during period*		1,786			7,261			4,269			10,648

	Index 400 Stock Division						Janus Capital Appreciation Division
	Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004			Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004
Operations:
Net investment income (loss)	$	837		$	146		$	(33	)	$	(16	)
Net realized gains (losses)		8,861			1,598			44			108
Net change in unrealized appreciation (depreciation)		(4,075	)		18,751			805			793
Net increase (decrease) in net assets resulting from operations		5,623			20,495			816			885
Contract Transactions:
Policyowners’ Net Payments		10,939			21,327			1,120			299
Policy Loans, Surrenders, and Death Benefits		(5,237	)		(7,997	)		(294	)		(98	)
Mortality and other (net)		(2,571	)		(4,990	)		(258	)		(130	)
Transfers from other divisions or sponsor		11,556			20,935			10,651			5,286
Transfers to other divisions or sponsor		(10,503	)		(14,494	)		(1,063	)		(1,386	)
Net increase (decrease) in net assets resulting from contract transactions		4,184			14,781			10,156			3,971
Net increase (decrease) in net assets		9,807			35,276			10,972			4,856
Net Assets:
Beginning of Period		155,780			120,504			7,261			2,405
End of Period	$	165,587		$	155,780		$	18,233		$	7,261
Units issued during the period*		12,134			16,105			6,950			2,602
Units redeemed during the period*		(9,881	)		(6,417	)		(910	)		(107	)
Net units issued (redeemed) during period*		2,253			9,688			6,040			2,495

* The number of units issued and redeemed do not include Variable Life policies issued before October 11, 1995.

The Accompanying Notes are an Integral Part of the Financial Statements

6

Statements of Changes in Net Assets

Aggressive Growth Stock Division						International Growth Stock Division						Franklin Templeton International Equity Division						AllianceBernstein Mid Cap Value Division
Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004			Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004			Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004			Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004
$	(903	)	$	(2,067	)	$	(58	)	$	53		$	5,249		$	3,177		$	(31	)	$	43
	(1,864	)		(3,751	)		465			644			211			(567	)		76			819
	(8,037	)		51,722			(182	)		3,352			(8,109	)		49,310			62			396
	(10,804	)		45,904			225			4,049			(2,649	)		51,920			107			1,258
	26,311			55,267			2,328			3,252			21,466			39,898			879			1,075
	(13,163	)		(25,925	)		(1,160	)		(1,144	)		(12,547	)		(19,103	)		(214	)		(343	)
	(6,154	)		(12,675	)		(502	)		(821	)		(5,857	)		(10,864	)		(194	)		(218	)
	9,121			20,373			9,698			12,255			19,284			30,170			3,687			7,754
	(16,260	)		(26,901	)		(3,393	)		(4,183	)		(9,049	)		(15,731	)		(594	)		(2,325	)
	(145	)		10,139			6,971			9,359			13,297			24,370			3,564			5,943
	(10,949	)		56,043			7,196			13,408			10,648			76,290			3,671			7,201
	385,914			329,871			26,738			13,330			335,788			259,498			10,335			3,134
$	374,965		$	385,914		$	33,934		$	26,738		$	346,436		$	335,788		$	14,006		$	10,335
	16,734			20,476			7,570			8,078			19,246			24,276			2,704			3,710
	(16,176	)		(14,100	)		(2,530	)		(1,040	)		(12,670	)		(11,518	)		(578	)		(257	)
	558			6,376			5,040			7,038			6,576			12,758			2,126			3,453

Growth Stock Division						Large Cap Core Stock Division						Capital Guardian Domestic Equity Division						T. Rowe Price Equity Income Division
Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004			Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004			Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004			Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004
$	2,090		$	278		$	1,785		$	545		$	(172	)	$	552		$	(62	)	$	171
	(1,337	)		(2,194	)		(1,239	)		(2,159	)		1,730			1,201			262			602
	524			17,740			1,796			13,652			(834	)		6,686			(283	)		1,130
	1,277			15,824			2,342			12,038			724			8,439			(83	)		1,903
	21,580			45,476			13,357			26,742			5,786			8,225			1,450			1,468
	(9,268	)		(19,916	)		(5,889	)		(11,382	)		(2,699	)		(2,570	)		(526	)		(439	)
	(4,957	)		(9,785	)		(3,206	)		(5,680	)		(1,335	)		(1,940	)		(356	)		(379	)
	8,565			16,812			6,339			12,499			13,316			18,054			8,262			13,051
	(18,612	)		(23,240	)		(8,744	)		(12,884	)		(2,032	)		(5,764	)		(1,202	)		(1,873	)
	(2,692	)		9,347			1,857			9,295			13,036			16,005			7,628			11,828
	(1,415	)		25,171			4,199			21,333			13,760			24,444			7,545			13,731
	275,417			250,246			172,192			150,859			65,770			41,326			18,761			5,030
$	274,002		$	275,417		$	176,391		$	172,192		$	79,530		$	65,770		$	26,306		$	18,761
	13,857			16,130			10,308			12,147			13,929			16,364			5,854			7,456
	(14,501	)		(10,405	)		(8,883	)		(7,405	)		(4,562	)		(2,707	)		(1,306	)		(309	)
	(644	)		5,725			1,425			4,742			9,367			13,657			4,548			7,147

The Accompanying Notes are an Integral Part of the Financial Statements

Statements of Changes in Net Assets

7

Statements of Changes in Net Assets

Northwestern Mutual Variable Life Account

(in thousands)

	Index 500 Stock Division						Asset Allocation Division
	Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004			Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004
Operations:
Net investment income (loss)	$	9,682		$	4,425		$	328		$	(116	)
Net realized gains (losses)		11,234			4,625			683			209
Net change in unrealized appreciation (depreciation)		(28,573	)		50,959			(834	)		1,968
Net increase (decrease) in net assets resulting from operations		(7,657	)		60,009			177			2,061
Contract Transactions:
Policyowners’ Net Payments		45,312			92,591			1,860			2,724
Policy Loans, Surrenders, and Death Benefits		(23,755	)		(45,350	)		(1,084	)		(1,180	)
Mortality and other (net)		(11,495	)		(22,429	)		(492	)		(792	)
Transfers from other divisions or sponsor		20,639			44,579			3,146			7,373
Transfers to other divisions or sponsor		(23,435	)		(37,870	)		(1,358	)		(2,124	)
Net increase (decrease) in net assets resulting from contract transactions		7,266			31,521			2,072			6,001
Net increase (decrease) in net assets		(391	)		91,530			2,249			8,062
Net Assets:
Beginning of Period		663,759			572,229			25,578			17,516
End of Period	$	663,368		$	663,759		$	27,827		$	25,578
Units issued during the period*		26,420			34,971			3,832			5,775
Units redeemed during the period*		(23,173	)		(18,637	)		(2,403	)		(1,332	)
Net units issued (redeemed) during period*		3,247			16,334			1,429			4,443

	Fidelity VIP Mid Cap Division						Russell Multi-Style Equity Division
	Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004			Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004
Operations:
Net investment income (loss)	$	(82	)	$	(64	)	$	457		$	257
Net realized gains (losses)		841			227			(557	)		(1,052	)
Net change in unrealized appreciation (depreciation)		88			3,202			404			11,556
Net increase (decrease) in net assets resulting from operations		847			3,365			304			10,761
Contract Transactions:
Policyowners’ Net Payments		2,209			1,826			10,822			19,802
Policy Loans, Surrenders, and Death Benefits		(743	)		(468	)		(4,513	)		(8,514	)
Mortality and other (net)		(493	)		(410	)		(2,157	)		(4,366	)
Transfers from other divisions or sponsor		14,108			18,090			9,125			17,916
Transfers to other divisions or sponsor		(3,935	)		(3,314	)		(5,497	)		(6,356	)
Net increase (decrease) in net assets resulting from contract transactions		11,146			15,724			7,780			18,482
Net increase (decrease) in net assets		11,993			19,089			8,084			29,243
Net Assets:
Beginning of Period		23,473			4,384			129,070			99,827
End of Period	$	35,466		$	23,473		$	137,154		$	129,070
Units issued during the period*		7,863			8,728			20,319			33,326
Units redeemed during the period*		(2,287	)		(374	)		(13,014	)		(11,280	)
Net units issued (redeemed) during period*		5,576			8,354			7,305			22,046

* The number of units issued and redeemed do not include Variable Life policies issued before October 11, 1995.

The Accompanying Notes are an Integral Part of the Financial Statements

8

Statements of Changes in Net Assets

Balanced Division						High Yield Bond Division						Select Bond Division						Money Market Division
Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004			Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004			Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004			Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004
$	6,807		$	5,096		$	3,769		$	3,459		$	3,582		$	3,516		$	1,137		$	1,078
	4,500			9,994			(418	)		(1,021	)		702			3,163			—			—
	(11,295	)		4,340			(3,697	)		3,786			(2,341	)		(2,884	)		—			—
	12			19,430			(346	)		6,224			1,943			3,795			1,137			1,078
	15,774			31,258			4,172			7,965			8,644			15,191			81,772			163,891
	(7,803	)		(17,272	)		(2,606	)		(4,128	)		(3,386	)		(8,999	)		(7,538	)		(17,870	)
	(4,710	)		(8,935	)		(1,040	)		(2,074	)		(1,949	)		(3,600	)		(5,720	)		(12,248	)
	8,497			18,137			5,619			9,372			13,346			20,909			19,562			43,324
	(8,087	)		(13,505	)		(5,232	)		(10,845	)		(8,256	)		(19,656	)		(88,048	)		(183,139	)
	3,671			9,683			913			290			8,399			3,845			28			(6,042	)
	3,683			29,113			567			6,514			10,342			7,640			1,165			(4,964	)
	291,027			261,914			58,483			51,969			100,407			92,767			118,680			123,644
$	294,710		$	291,027		$	59,050		$	58,483		$	110,749		$	100,407		$	119,845		$	118,680
	8,254			11,839			4,707			3,260			9,147			8,147			66,317			25,307
	(5,971	)		(5,198	)		(4,068	)		(2,201	)		(4,690	)		(4,055	)		(66,064	)		(28,394	)
	2,283			6,641			639			1,059			4,457			4,092			253			(3,087	)

Russell Aggressive Equity Division						Russell Non- U.S. Division						Russell Core Bond Division						Russell Real Estate Securities Division
Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004			Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004			Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004			Six Months Ended June 30, 2005 (unaudited)			Year Ended December 31, 2004
$	(183	)	$	(219	)	$	544		$	1,163		$	307		$	788		$	368		$	1,166
	2,716			3,269			(29	)		(358	)		461			852			2,470			5,780
	(3,134	)		5,619			(1,783	)		11,965			220			(41	)		2,721			13,291
	(601	)		8,669			(1,268	)		12,770			988			1,599			5,559			20,237
	5,457			9,925			6,807			10,941			4,678			4,318			6,056			9,558
	(2,476	)		(4,560	)		(2,583	)		(4,757	)		(1,075	)		(1,871	)		(3,105	)		(3,907	)
	(1,133	)		(2,332	)		(1,503	)		(2,662	)		(758	)		(1,331	)		(1,495	)		(2,471	)
	4,467			14,858			8,690			15,782			7,721			8,212			14,078			23,749
	(3,919	)		(10,750	)		(3,533	)		(4,368	)		(2,707	)		(3,905	)		(7,729	)		(12,243	)
	2,396			7,141			7,878			14,936			7,859			5,423			7,805			14,686
	1,795			15,810			6,610			27,706			8,847			7,022			13,364			34,923
	71,319			55,509			88,545			60,839			40,747			33,725			86,525			51,602
$	73,114		$	71,319		$	95,155		$	88,545		$	49,594		$	40,747		$	99,889		$	86,525
	6,716			9,324			10,967			18,533			4,900			5,107			7,342			8,388
	(5,162	)		(4,060	)		(5,360	)		(5,238	)		(2,062	)		(1,314	)		(4,096	)		(2,352	)
	1,554			5,264			5,607			13,295			2,838			3,793			3,246			6,036

The Accompanying Notes are an Integral Part of the Financial Statements

Statements of Changes in Net Assets

9

Notes to Financial Statements

Northwestern Mutual Variable Life Account

June 30, 2005

1. Organization — 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.

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 Funds are open-end investment companies registered under the Investment Company Act of 1940.

2. Significant Accounting Policies — 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.

The shares are valued at the Funds’ offering and redemption prices per share. 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. Dividend income and distributions of net realized gains from the Funds are recorded on the ex-date of the dividends. Dividends and distributions received are reinvested in additional shares of the respective portfolios of the Funds.

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 0.2% 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.

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.

3. Purchases and Sales of Investments — Purchase and sales of the Funds’ shares for the period ended June 30, 2005 (unaudited) by each Division are shown as follows: (in thousands)

Division	Purchases		Sales
Small Cap Growth Stock	$	10,506	$	8,087
T. Rowe Price Small Cap Value		9,907		3,502
Aggressive Growth Stock		14,636		15,870
International Growth		8,403		1,525
Franklin Templeton International Equity		27,691		15,372
AllianceBernstein Mid Cap Value		3,827		302
Index 400 Stock		10,149		6,381
Janus Capital Appreciation		10,659		539
Growth Stock		7,835		11,282
Large Cap Core Stock		8,578		7,236
Capital Guardian Domestic Equity		16,160		3,308
T. Rowe Price Equity Income		8,236		676
Index 500 Stock		33,981		28,484
Asset Allocation		3,373		1,370
Balanced		12,759		9,908
High Yield Bond		3,714		2,956
Select Bond		12,649		4,532
Money Market		22,760		23,041
Fidelity VIP Mid Cap		12,014		946
Russell Multi-Style Equity		13,210		5,769
Russell Aggressive Equity		5,346		3,126
Russell Non-U.S.		11,204		3,549
Russell Core Bond		9,467		1,679
Russell Real Estate Securities		11,441		3,870

4. Expenses and Related Party Transactions — 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 0.5% and 0.6%, 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 0.75% of the amount invested in the Account for the Policy for the first ten Policy years, and 0.32% thereafter for policies with the Cash Value Amendment, or 0.3% thereafter for policies without the Cash 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 0.2% 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.

10

Notes to Financial Statements

Notes to Financial Statements

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 5. Financial Highlights

(For a unit outstanding during the period)

	As of the respective period end date:			For the respective period ended:
Division	Units Outstanding	Unit Value, Lowest to Highest	Net Assets (000’s)	Dividend Income as a % of Average Net Assets	Expense Ratio, Lowest to Highest	Total Return, Lowest to Highest (4)
Small Cap Growth Stock
Six Months Ended 6/30/05 (unaudited)	81,242,185	$2.053041 to $25.885396	$189,876	0.00%	0.20% to 0.75%	4.67%  to    5.03%
Year Ended 12/31/04	79,456,162	$1.961525 to $24.646196	$178,276	0.00%	0.20% to 0.75%	17.97%  to  18.80%
Year Ended 12/31/03	72,194,943	$1.662679 to $20.745671	$139,176	0.00%	0.20% to 0.75%	32.13%  to  33.06%
Year Ended 12/31/02	60,443,824	$1.258323 to $15.591407	$  88,739	0.15%	0.20% to 0.75%	(18.99%) to (18.42%)
Year Ended 12/31/01	44,327,034	$1.553320 to $19.112629	$  82,643	0.01%	0.20% to 0.75%	(4.44%) to   (3.76%)
T. Rowe Price Small Cap Value (1)
Six Months Ended 6/30/05 (unaudited)	45,476,783	$1.563881 to $16.072187	$  87,716	0.34%	0.20% to 0.75%	(0.98%) to   (0.64%)
Year Ended 12/31/04	41,207,427	$1.579431 to $16.175980	$  81,654	0.21%	0.20% to 0.75%	23.70%  to  24.57%
Year Ended 12/31/03	30,559,520	$1.276782 to $12.985287	$  49,093	0.00%	0.20% to 0.75%	34.21%  to  35.15%
Year Ended 12/31/02	19,429,222	$0.951303 to $  9.607906	$  23,643	0.72%	0.20% to 0.75%	(6.24%) to   (5.58%)
Year Ended 12/31/01	4,080,283	$1.014592 to $10.175772	$    6,302	0.42%	0.20% to 0.75%	1.46%  to    1.76%
Aggressive Growth Stock
Six Months Ended 6/30/05 (unaudited)	153,029,209	$2.002617 to $53.366843	$374,965	0.05%	0.20% to 0.75%	(2.86%) to   (2.52%)
Year Ended 12/31/04	152,471,021	$2.060530 to $54.747494	$385,914	0.00%	0.20% to 0.75%	13.42%  to  14.22%
Year Ended 12/31/03	146,094,669	$1.814891 to $47.932675	$329,871	0.00%	0.20% to 0.75%	23.83%  to  24.69%
Year Ended 12/31/02	132,328,675	$1.464237 to $38.441232	$245,570	0.09%	0.20% to 0.75%	(21.70%) to (21.15%)
Year Ended 12/31/01	112,593,889	$1.868189 to $48.753408	$274,896	0.10%	0.20% to 0.75%	(20.44%) to (19.87%)
International Growth Stock (1)
Six Months Ended 6/30/05 (unaudited)	21,496,267	$1.320860 to $13.574773	$  33,934	0.07%	0.20% to 0.75%	0.79%  to    1.13%
Year Ended 12/31/04	16,456,725	$1.310570 to $13.422496	$  26,738	0.77%	0.20% to 0.75%	20.74%  to  21.59%
Year Ended 12/31/03	9,418,973	$1.085420 to $11.039080	$  13,330	1.06%	0.20% to 0.75%	38.02%  to  38.99%
Year Ended 12/31/02	4,451,659	$0.786402 to $  7.942434	$    4,429	0.78%	0.20% to 0.75%	(12.95%) to (12.34%)
Year Ended 12/31/01	861,303	$0.903343 to $  9.060000	$    1,136	0.00%	0.20% to 0.75%	(9.67%) to   (9.40%)
Franklin Templeton International Equity
Six Months Ended 6/30/05 (unaudited)	143,021,201	$1.998836 to $  2.935427	$346,436	1.82%	0.20% to 0.75%	(0.83%) to   (0.48%)
Year Ended 12/31/04	136,444,575	$2.014473 to $  2.949634	$335,788	1.69%	0.20% to 0.75%	18.50%  to  19.33%
Year Ended 12/31/03	123,686,498	$1.698301 to $  2.471833	$259,498	1.64%	0.20% to 0.75%	39.49%  to  40.46%
Year Ended 12/31/02	106,520,706	$1.216308 to $  1.759773	$163,460	1.99%	0.20% to 0.75%	(17.98%) to (17.40%)
Year Ended 12/31/01	88,517,110	$1.481423 to $  2.130553	$170,668	1.68%	0.20% to 0.75%	(14.60%) to (14.00%)

(1) Division commenced operations on July 31, 2001.

(2) Division commenced operations on May 1, 2003.

(3) Prior to January 31, 2003 this Division was named the J.P. Morgan Select Growth and Income Division.

(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

Notes to Financial Statements

11

Notes to Financial Statements

	As of the respective period end date:			For the respective period ended:
Division	Units Outstanding	Unit Value, Lowest to Highest	Net Assets (000’s)	Dividend Income as a % of Average Net Assets	Expense Ratio, Lowest to Highest	Total Return, Lowest to Highest (4)
AllianceBernstein Mid Cap Value (2)
Six Months Ended 6/30/05 (unaudited)	7,410,380	$1.562238 to $15.860040	$  14,006	0.01%	0.20% to 0.75%	0.02%  to    0.37%
Year Ended 12/31/04	5,284,631	$1.561859 to $15.801473	$  10,335	1.20%	0.20% to 0.75%	17.84%  to  18.67%
Year Ended 12/31/03	1,831,074	$1.325376 to $13.315544	$    3,134	1.14%	0.20% to 0.75%	32.54%  to  33.16%
Year Ended 12/31/02	n/a	n/a	n/a	n/a	n/a	n/a
Year Ended 12/31/01	n/a	n/a	n/a	n/a	n/a	n/a
Index 400
Six Months Ended 6/30/05 (unaudited)	84,889,156	$1.662817 to $18.294678	$165,587	0.81%	0.20% to 0.75%	3.44%  to    3.80%
Year Ended 12/31/04	82,636,003	$1.607481 to $17.624859	$155,780	0.66%	0.20% to 0.75%	15.45%  to  16.26%
Year Ended 12/31/03	72,947,417	$1.392302 to $15.159273	$120,504	0.70%	0.20% to 0.75%	34.08%  to  35.01%
Year Ended 12/31/02	57,708,028	$1.038438 to $11.227976	$  71,919	0.75%	0.20% to 0.75%	(15.14%) to (14.54%)
Year Ended 12/31/01	36,715,111	$1.223656 to $13.138452	$  54,677	0.01%	0.20% to 0.75%	(1.35%) to   (0.65%)
Janus Capital Appreciation (2)
Six Months Ended 6/30/05 (unaudited)	10,253,112	$1.486550 to $15.091616	$  18,233	0.00%	0.20% to 0.75%	4.81%  to    5.17%
Year Ended 12/31/04	4,213,474	$1.418302 to $14.349081	$    7,261	0.15%	0.20% to 0.75%	18.84%  to  19.67%
Year Ended 12/31/03	1,717,958	$1.193442 to $11.990097	$    2,405	0.09%	0.20% to 0.75%	19.34%  to  19.90%
Year Ended 12/31/02	n/a	n/a	n/a	n/a	n/a	n/a
Year Ended 12/31/01	n/a	n/a	n/a	n/a	n/a	n/a
Growth Stock
Six Months Ended 6/30/05 (unaudited)	111,902,070	$2.072752 to $27.383219	$274,002	1.06%	0.20% to 0.75%	0.43%  to    0.78%
Year Ended 12/31/04	112,545,982	$2.062785 to $27.170823	$275,417	0.68%	0.20% to 0.75%	5.93%  to    6.67%
Year Ended 12/31/03	106,821,471	$1.945424 to $25.471804	$250,246	0.79%	0.20% to 0.75%	18.12%  to  18.94%
Year Ended 12/31/02	92,898,311	$1.645371 to $21.414901	$186,888	1.10%	0.20% to 0.75%	(21.38%) to (20.83%)
Year Ended 12/31/01	74,794,108	$2.090785 to $27.049526	$196,115	0.74%	0.20% to 0.75%	(14.82%) to (14.22%)
Large Cap Core Stock (3)
Six Months Ended 6/30/05 (unaudited)	83,198,424	$1.741665 to $22.794427	$176,391	1.32%	0.20% to 0.75%	1.27%  to    1.62%
Year Ended 12/31/04	81,773,459	$1.718946 to $22.430441	$172,192	0.93%	0.20% to 0.75%	7.41%  to    8.16%
Year Ended 12/31/03	77,030,790	$1.598784 to $20.737771	$150,859	0.94%	0.20% to 0.75%	23.19%  to  24.05%
Year Ended 12/31/02	68,155,499	$1.296529 to $16.717038	$110,027	0.90%	0.20% to 0.75%	(28.70%) to (28.20%)
Year Ended 12/31/01	56,673,920	$1.816535 to $23.281928	$131,656	0.75%	0.20% to 0.75%	(8.42%) to   (7.77%)
Capital Guardian Domestic Equity (1)
Six Months Ended 6/30/05 (unaudited)	53,458,938	$1.189084 to $12.220382	$  79,530	0.03%	0.20% to 0.75%	0.65%  to    1.00%
Year Ended 12/31/04	44,092,091	$1.181356 to $12.099054	$  65,770	1.59%	0.20% to 0.75%	16.04%  to  16.85%
Year Ended 12/31/03	30,434,449	$1.018090 to $10.354264	$  41,326	1.88%	0.20% to 0.75%	33.48%  to  34.41%
Year Ended 12/31/02	17,612,478	$0.762737 to $  7.703469	$  18,831	1.77%	0.20% to 0.75%	(21.79%) to (21.24%)
Year Ended 12/31/01	3,604,793	$0.975250 to $  9.781208	$    5,571	0.73%	0.20% to 0.75%	(2.48%) to   (2.19%)
T. Rowe Price Equity Income (2)
Six Months Ended 6/30/05 (unaudited)	14,832,879	$1.397860 to $14.191365	$  26,306	0.01%	0.20% to 0.75%	(0.67%) to   (0.33%)
Year Ended 12/31/04	10,285,238	$1.407305 to $14.237970	$  18,761	1.99%	0.20% to 0.75%	14.36%  to  15.16%
Year Ended 12/31/03	3,138,528	$1.230617 to $12.363579	$    5,030	2.79%	0.20% to 0.75%	23.06%  to  23.64%
Year Ended 12/31/02	n/a	n/a	n/a	n/a	n/a	n/a
Year Ended 12/31/01	n/a	n/a	n/a	n/a	n/a	n/a

(1) Division commenced operations on July 31, 2001.

(2) Division commenced operations on May 1, 2003.

(3) Prior to January 31, 2003 this Division was named the J.P. Morgan Select Growth and Income Division.

(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

12

Notes to Financial Statements

Notes to Financial Statements

	As of the respective period end date:			For the respective period ended:
Division	Units Outstanding	Unit Value, Lowest to Highest	Net Assets (000’s)	Dividend Income as a % of Average Net Assets	Expense Ratio, Lowest to Highest	Total Return, Lowest to Highest (4)
Index 500 Stock
Six Months Ended 6/30/05 (unaudited)	225,699,848	$2.263346 to $  49.672176	$663,368	1.76%	0.20% to 0.75%	(1.22%) to   (0.88%)
Year Ended 12/31/04	222,453,307	$2.290186 to $  50.112283	$663,759	1.31%	0.20% to 0.75%	9.93%  to  10.70%
Year Ended 12/31/03	206,119,318	$2.081264 to $  45.268617	$572,229	1.43%	0.20% to 0.75%	27.54%  to  28.43%
Year Ended 12/31/02	176,751,515	$1.630187 to $  35.246385	$392,362	1.30%	0.20% to 0.75%	(22.61%) to (22.07%)
Year Ended 12/31/01	142,964,913	$2.104460 to $  45.228886	$425,707	1.23%	0.20% to 0.75%	(12.50%) to (11.88%)
Asset Allocation (1)
Six Months Ended 6/30/05 (unaudited)	18,390,403	$1.144827 to $  11.765640	$  27,827	1.49%	0.20% to 0.75%	0.56%  to    0.91%
Year Ended 12/31/04	16,962,237	$1.138467 to $  11.659896	$  25,578	0.00%	0.20% to 0.75%	9.25%  to  10.02%
Year Ended 12/31/03	12,519,112	$1.042045 to $  10.598020	$  17,516	2.23%	0.20% to 0.75%	19.79%  to  20.63%
Year Ended 12/31/02	6,300,816	$0.869901 to $    8.785751	$    7,900	2.35%	0.20% to 0.75%	(10.88%) to (10.26%)
Year Ended 12/31/01	1,457,433	$0.976111 to $    9.789803	$    2,194	1.19%	0.20% to 0.75%	(2.39%) to   (2.10%)
Balanced
Six Months Ended 6/30/05 (unaudited)	65,772,274	$2.063297 to $107.887232	$294,710	2.66%	0.20% to 0.75%	(0.04%) to    0.31%
Year Ended 12/31/04	63,489,392	$2.063062 to $107.555819	$291,027	2.50%	0.20% to 0.75%	7.14%  to    7.89%
Year Ended 12/31/03	56,847,741	$1.923623 to $  99.686821	$261,914	3.15%	0.20% to 0.75%	17.17%  to  17.99%
Year Ended 12/31/02	48,570,455	$1.640075 to $  84.486469	$209,313	3.70%	0.20% to 0.75%	(8.18%) to   (7.54%)
Year Ended 12/31/01	37,536,887	$1.784400 to $  91.372736	$208,026	4.04%	0.20% to 0.75%	(3.83%) to   (3.15%)
High Yield Bond
Six Months Ended 6/30/05 (unaudited)	26,972,180	$1.824189 to $  23.025621	$  59,050	6.70%	0.20% to 0.75%	(0.65%) to   (0.31%)
Year Ended 12/31/04	26,333,197	$1.835249 to $  23.096633	$  58,483	6.94%	0.20% to 0.75%	11.98%  to  12.76%
Year Ended 12/31/03	25,274,117	$1.637330 to $  20.482734	$  51,969	0.21%	0.20% to 0.75%	28.16%  to  29.06%
Year Ended 12/31/02	20,356,188	$1.276280 to $  15.870922	$  32,717	11.64%	0.20% to 0.75%	(3.57%) to   (2.89%)
Year Ended 12/31/01	16,420,147	$1.322201 to $  16.343831	$  27,597	11.57%	0.20% to 0.75%	4.29%  to    5.03%
Select Bond
Six Months Ended 6/30/05 (unaudited)	44,266,271	$1.804509 to $136.756980	$110,749	3.62%	0.20% to 0.75%	1.70%  to    2.05%
Year Ended 12/31/04	39,808,619	$1.773542 to $134.012483	$100,407	4.16%	0.20% to 0.75%	4.02%  to    4.75%
Year Ended 12/31/03	35,717,304	$1.703354 to $127.939501	$  92,767	3.78%	0.20% to 0.75%	4.76%  to    5.49%
Year Ended 12/31/02	29,273,792	$1.624374 to $121.279756	$  75,496	4.23%	0.20% to 0.75%	11.31%  to  12.09%
Year Ended 12/31/01	15,262,948	$1.457873 to $108.200259	$  43,382	5.07%	0.20% to 0.75%	9.59%  to  10.37%
Money Market
Six Months Ended 6/30/05 (unaudited)	71,470,649	$1.371502 to $  35.476364	$119,845	1.21%	0.20% to 0.75%	0.87%  to    1.22%
Year Ended 12/31/04	71,217,395	$1.359011 to $  35.049174	$118,680	1.43%	0.20% to 0.75%	0.73%  to    1.43%
Year Ended 12/31/03	74,303,772	$1.347874 to $  34.553668	$123,644	1.22%	0.20% to 0.75%	0.53%  to    1.23%
Year Ended 12/31/02	73,836,030	$1.339422 to $  34.132616	$119,904	1.63%	0.20% to 0.75%	0.95%  to    1.65%
Year Ended 12/31/01	65,942,863	$1.325528 to $  33.577318	$107,420	1.10%	0.20% to 0.75%	3.19%  to    3.92%
Fidelity VIP Mid Cap (2)
Six Months Ended 6/30/05 (unaudited)	16,319,378	$1.777354 to $  18.044036	$  35,466	0.00%	0.20% to 0.75%	2.55%  to    2.90%
Year Ended 12/31/04	10,743,611	$1.733216 to $  17.535222	$  23,473	0.00%	0.20% to 0.75%	23.79%  to  24.66%
Year Ended 12/31/03	2,389,722	$1.400160 to $  14.066904	$    4,384	0.00%	0.20% to 0.75%	40.02%  to  40.67%
Year Ended 12/31/02	n/a	n/a	n/a	n/a	n/a	n/a
Year Ended 12/31/01	n/a	n/a	n/a	n/a	n/a	n/a
Russell Multi-Style Equity
Six Months Ended 6/30/05 (unaudited)	134,071,355	$0.822747 to $    8.835408	$137,154	0.60%	0.20% to 0.75%	0.02%  to    0.37%
Year Ended 12/31/04	126,766,433	$0.822570 to $    8.802993	$129,070	0.73%	0.20% to 0.75%	9.04%  to    9.81%
Year Ended 12/31/03	104,720,055	$0.754341 to $    8.016570	$  99,827	0.70%	0.20% to 0.75%	27.96%  to  28.86%
Year Ended 12/31/02	80,826,507	$0.589495 to $    6.221208	$  62,079	0.58%	0.20% to 0.75%	(23.72%) to (23.19%)
Year Ended 12/31/01	58,812,008	$0.772852 to $    8.099453	$  60,864	0.45%	0.20% to 0.75%	(14.81%) to (14.21%)

(1) Division commenced operations on July 31, 2001.

(2) Division commenced operations on May 1, 2003.

(3) Prior to January 31, 2003 this Division was named the J.P. Morgan Select Growth and Income Division.

(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

Notes to Financial Statements

13

Notes to Financial Statements

	As of the respective period end date:			For the respective period ended:
Division	Units Outstanding	Unit Value, Lowest to Highest	Net Assets (000’s)	Dividend Income as a % of Average Net Assets	Expense Ratio, Lowest to Highest	Total Return, Lowest to Highest (4)
Russell Aggressive Equity
Six Months Ended 6/30/05 (unaudited)	45,476,502	$1.311305 to $14.443203	$73,114	0.00%	0.20% to 0.75%	(1.05%) to   (0.70%)
Year Ended 12/31/04	43,921,795	$1.325166 to $14.545498	$71,319	0.17%	0.20% to 0.75%	13.93%  to  14.73%
Year Ended 12/31/03	38,657,387	$1.163121 to $12.677885	$55,509	0.11%	0.20% to 0.75%	44.59%  to  45.60%
Year Ended 12/31/02	29,438,938	$0.804447 to $  8.707578	$30,118	0.00%	0.20% to 0.75%	(19.62%) to (19.06%)
Year Ended 12/31/01	21,611,054	$1.000805 to $10.757522	$29,181	0.11%	0.20% to 0.75%	(3.05%) to   (2.36%)
Russell Non-U.S.
Six Months Ended 6/30/05 (unaudited)	68,021,517	$1.097360 to $11.512623	$95,155	0.84%	0.20% to 0.75%	(1.52%) to   (1.18%)
Year Ended 12/31/04	62,414,715	$1.114327 to $11.650240	$88,545	2.08%	0.20% to 0.75%	17.48%  to  18.30%
Year Ended 12/31/03	49,120,153	$0.948548 to $  9.848016	$60,839	2.98%	0.20% to 0.75%	37.82%  to  38.79%
Year Ended 12/31/02	37,983,089	$0.688244 to $  7.095865	$35,554	1.79%	0.20% to 0.75%	(15.74%) to (15.15%)
Year Ended 12/31/01	28,459,972	$0.816787 to $  8.362558	$32,708	0.67%	0.20% to 0.75%	(22.58%) to (22.03%)
Russell Core Bond
Six Months Ended 6/30/05 (unaudited)	19,076,858	$1.408640 to $14.489219	$49,594	0.85%	0.20% to 0.75%	1.95%  to    2.30%
Year Ended 12/31/04	16,237,920	$1.381724 to $14.163304	$40,747	2.43%	0.20% to 0.75%	3.94%  to    4.66%
Year Ended 12/31/03	12,444,597	$1.329405 to $13.532112	$33,725	3.47%	0.20% to 0.75%	5.41%  to    6.15%
Year Ended 12/31/02	9,838,781	$1.261197 to $12.748590	$34,723	2.67%	0.20% to 0.75%	3.08%  to    3.80%
Year Ended 12/31/01	6,074,413	$1.166871 to $11.713217	$19,035	5.52%	0.20% to 0.75%	7.08%  to    7.84%
Russell Real Estate Securities
Six Months Ended 6/30/05 (unaudited)	33,057,918	$2.519698 to $25.882461	$99,889	0.68%	0.20% to 0.75%	5.52%  to    5.88%
Year Ended 12/31/04	29,811,991	$2.387952 to $24.444468	$86,525	2.31%	0.20% to 0.75%	33.94%  to  34.87%
Year Ended 12/31/03	23,775,925	$1.782914 to $18.123797	$51,602	5.39%	0.20% to 0.75%	36.26%  to  37.21%
Year Ended 12/31/02	17,789,156	$1.308500 to $13.208871	$28,893	5.44%	0.20% to 0.75%	8.08%  to    8.84%
Year Ended 12/31/01	8,971,705	$1.269394 to $12.725061	$15,767	5.23%	0.20% to 0.75%	6.65%  to    7.41%

(1) Division commenced operations on July 31, 2001.

(2) Division commenced operations on May 1, 2003.

(3) Prior to January 31, 2003 this Division was named the J.P. Morgan Select Growth and Income Division.

(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

14

Notes to Financial Statements

The Northwestern Mutual

Life Insurance Company • Milwaukee, WI

www.northwesternmutual.com

90-1899 (0786) (REV 0705)

This booklet contains information about the Northwestern Mutual variable insurance product and the mutual funds identified on the front cover. The mutual funds correspond with the investment divisions available under the variable insurance product (“Product”). The information is prepared for Product owners and does not represent an offer of the Product, nor should it be used in connection with any offer, except when accompanied or preceded by the current Product prospectus and the mutual fund prospectuses, which contain detailed information about mutual fund investment objectives and operations, and applicable fees, expenses and sales charges. Prospectuses may be obtained by calling the telephone number or visiting the website address listed below. The mutual fund reports are prepared from the books and records of the funds. Discussions of investment performance in the reports represent the views of the funds’ portfolio managers as of the dates of the reports. They are not guarantees of investment results, nor should they be relied upon as investment advice or indications of current or future trading strategies of the portfolio managers. Portfolio manager views and security holdings are subject to change at any time.

The Northwestern Mutual Life Insurance Company (Northwestern Mutual)

1-866-664-7737

www.northwesternmutual.com

Product Distributor: Northwestern Mutual Investment Services, LLC (NMIS), member NASD and SIPC

     PO Box 3095      Milwaukee, WI 53201-3095 PRSRT STD US POSTAGE PAID NORTHWESTERN MUTUAL