<PAGE>
[PHOTO]
June 30, 1999
NORTHWESTERN
MUTUAL LIFE-Registered Trademark-
The Quiet Company-Registered Trademark-
SEMI-ANNUAL REPORT
NML VARIABLE ANNUITY ACCOUNT B
Nontax Qualified Annuities
Individual Retirement Annuities
Roth IRAs
Simplified Employee Pension Plan IRAs
SIMPLE IRAs
Tax Deferred Annuities
457 Deferred Compensation Plan Annuities
Non-Transferable Annuities
[PHOTO]
Northwestern Mutual
Series Fund, Inc. and
Russell Insurance Funds
The Northwestern Mutual
Life Insurance Company
720 East Wisconsin Avenue
Milwaukee, WI 53202
<PAGE>
CONTENTS
CONTRACT OWNER PRIVILEGES
FREE TRANSFERS AMONG PORTFOLIOS
You can change your investment allocation or transfer values among the
divisions. Use the NML Express 800 number, or submit the request form found at
the end of this report. If a pre-authorization form was returned to the Home
Office you may also transfer among the portfolios by phone. Same day changes can
also be accomplished if a request form is faxed to the Home Office.
CONTRACT OWNERS COMMUNICATIONS
NML Express give you convenient 24-hour access to the latest information about
your contract. You receive confirmation statements with each transaction,
quarterly summary statements, a VA HISTORICAL PERFORMANCE brochure at year-end
and the ANNUITY ASPECTS newsletter featuring annuity funds, portfolio managers
and other annuity information.
AUTOMATIC INVESTMENT PLAN
You can set-up a convenient method of direct investing under our Electronic
Funds Transfer (EFT) Plan. Your bank can transmit money safely and quickly from
your bank checking or NOW account.
AUTOMATIC DOLLAR COST AVERAGING PLAN
This plan automatically transfers money from the Money Market Portfolio to any
of the portfolios on a monthly or quarterly basis. It theoretically works by
letting the "law of averages" even out marketplace volatility.
PORTFOLIO REBALANCING
To help variable annuity contract owners maintain their asset allocation plan
over time, Northwestern Mutual offers "Portfolio Rebalancing." The service will
automatically readjust investment option allocations on a periodic basis back to
specified allocation percentages.
INTEREST SWEEPS
By electing the Interest Sweeps service, Northwestern Mutual will automatically
sweep or transfer interest earnings periodically from the Guaranteed Interest
Fund (GIF) to any combination of variable investment options. Interest earnings
can be swept monthly, quarterly, semi-annually or annually.
SPECIAL WITHDRAWAL PRIVILEGE
For contracts with a $10,000 balance and money in a surrender category, if any,
you can withdraw an amount without incurring a surrender charge. Beginning on
the first anniversary, the amount available is the lesser of 10% of the contract
accumulation value, or 100% of the contract earnings.
HOW TO GET MORE INFORMATION
- NML EXPRESS:
1-800-519-4NML (1-800-519-4665)
Get up-to-date information about your contract at your convenience with
your contract number and your Personal Identification Number (PIN). Call
toll-free to review contract values and unit values, transfer among
portfolios, change the allocation and obtain fund performance information.
- INFORMATION ON THE INTERNET:
www.northwesternmutual.com
For information about Northwestern Mutual Life, visit us on our Website.
Included is information on Daily Variable Annuity Unit Value Prices,
Quarterly Performance, and Fund Information.
- CONTACT YOUR NORTHWESTERN MUTUAL AGENT. . .if you have questions about
your contract or any of the contract owner privileges.
CONTENTS
Letter to Contract Owners 1
Performance Summary for Separate Accounts 2
Economic Overview and Outlook 4
Series Fund Objectives and Schedule of Investments 5
Small Cap Growth Stock Portfolio 5
Aggressive Growth Stock Portfolio 8
International Equity Portfolio 11
Index 400 Stock Portfolio 15
Growth Stock Portfolio 21
Growth and Income Stock Portfolio 24
Index 500 Stock Portfolio 27
Balanced Portfolio 34
High Yield Bond Portfolio 48
Select Bond Portfolio 53
Money Market Portfolio 58
Series Fund Financial Statements 60
Small Cap Growth Stock Portfolio 60
Aggressive Growth Stock Portfolio 63
International Equity Portfolio 66
Index 400 Stock Portfolio 69
Growth Stock Portfolio 72
Growth and Income Stock Portfolio 75
Index 500 Stock Portfolio 78
Balanced Portfolio 81
High Yield Bond Portfolio 84
Select Bond Portfolio 87
Money Market Portfolio 90
Notes to Series Fund Financial Statements 93
Account B Financial Statements 96
Notes to Account B Financial Statements 101
Directors and Officers 105
<PAGE>
LETTER TO CONTRACT OWNERS
LETTER TO CONTRACT OWNERS
July 31, 1999
During the first six months of 1999, the stock market and the economy continued
their long-term positive trends. As bond yields have risen gradually but
steadily over the last six months, bond prices have trended generally down. The
portfolios underlying Northwestern Mutual's annuity products continued to
perform in line with their stated objectives, providing contract owners returns
that will contribute to achieving long-term financial goals.
In recent months we have introduced several new funds, which provide even more
choice of investment objectives. Following the 1998 acquisition of Frank Russell
Company by Northwestern Mutual, we have added five funds managed by Russell.
These include the Multi-Style Equity Fund, the Aggressive Equity Fund, the
Non-U.S. Fund, the Real Estate Securities Fund and the Core Bond Fund. These
funds, their investment styles, and their performance are discussed in a section
at the back of this publication.
In addition, we have added two funds to the group traditionally offered by
Northwestern Mutual. The new Small Cap Growth Stock Portfolio is managed in a
style similar to that of the Aggressive Growth Stock portfolio, but with an
emphasis on smaller-capitalization stocks. The Index 400 Stock Portfolio
provides an opportunity to participate in the middle-capitalization segment of
the market through a fund designed to match the performance of the S&P 400
MidCap Index.
Economic expansion continued during the first half of 1999, as most of the
problems that affected markets during the closing months of last year seemed to
abate. Economies in Asia appear to have stabilized, and growth has resumed in
most areas, spurring increased demand for raw materials such as oil and steel.
This year, as in the last three years, forecasters began the year with
expectations of a slowdown; early forecasts called for real growth of around 2
percent for the year. With continued positive economic news and Federal Reserve
policy that seems to favor growth, though tempered with some concern about
inflation, forecasts have moved upward. It now appears possible that growth in
1999 will be not much below last year's rate of more than 4 percent.
The next time you receive a report of this type from us, we will have celebrated
the beginning of a new millennium. Between now and then, businesses, governments
and individuals throughout the world will be taking precautions to avoid
possible disruptions caused by computer problems. At Northwestern Mutual, we
have been preparing for the computer requirements associated with the
approaching turn of the century since early 1996. We completed assessment of our
internal systems in 1996, and we have worked with our vendors and business
partners to identify and assess our potential exposure to problems they might
encounter. We have now made the necessary changes and tested our systems, and
each of our departments has prepared a contingency plan. We and our business
partners bear all the costs of identifying and resolving issues associated with
the year 2000; these costs will have no effect on the performance of your
account.
[PHOTO]
We believe that our systems are ready for the year 2000, but issues in this area
carry the risk of unforeseen problems. Performance of the economy and
investments of all types may also be affected by year 2000 issues. For example,
it is possible that companies will purchase larger than normal amounts of
inventory and supplies in the last months of 1999, in anticipation of possible
problems early in 2000. If this happens, economic growth may appear artificially
high at the end of this year, followed by a slowdown next year, as excess
inventories are liquidated. Financial markets may be distorted by these and
other non-recurring events.
We have taken many precautions, in our investments and our business as a whole,
to avoid problems that the turn of the century may bring, and we believe that
any problems that occur will be short-term in duration. In this matter, as in
all aspects of investing, we urge you to take a long-term view, as we do. We
hope that you will continue to invest with Northwestern Mutual in 2000 and for
many years in the future.
The Northwestern Mutual Life Insurance Company
[JAMES D. ERICSON]
James D. Ericson, President and
Chief Executive Officer
--
1
<PAGE>
PERFORMANCE SUMMARY
PERFORMANCE SUMMARY as of June 30, 1999
FRONT LOAD CONTRACT
<TABLE>
<CAPTION>
Growth &
Total return Small Cap Aggressive International Index 400 Growth Income Index 500
at unit value Growth Stock Growth Stk. Equity Stock Stock Stock Stock Balanced
(as of 6/30/99) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
1 year........................ - 2.73% (0.50%) - 14.34% 14.63% 17.48% 9.05%
5 years....................... - 126.63% 75.57% - 181.17% 168.17% 219.97% 114.26%
Annualized.................. - 17.78% 11.91% - 22.97% 21.81% 26.19% 16.46%
10 years...................... - - - - - - - 209.20%
Annualized.................. - - - - - - - 11.95%
Since inception............... 15.99%~ 330.27%* 112.34%^ 1.21%~ 177.74%# 162.22%# 373.51%* -
Annualized.................. - 18.56% 12.99% - 21.90% 20.55% 19.89% -
Current Yield##...............
BACK LOAD CONTRACT WITHOUT SURRENDER
<CAPTION>
Growth &
Total return Small Cap Aggressive International Index 400 Growth Income Index 500
at unit value Growth Stock Growth Stk. Equity Stock Stock Stock Stock Balanced
(as of 6/30/99) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
1 year........................ - 5.99% 2.66% - 17.97% 18.27% 21.21% 12.51%
5 years....................... - 125.05% 74.34% - 179.21% 166.30% 217.74% 112.77%
Annualized.................. - 17.61% 11.76% - 22.80% 21.64% 26.01% 16.30%
10 years...................... - - - - - - - 192.69%
Annualized.................. - - - - - - - 11.34%
Since inception............... 20.65%~ 313.15%* 108.56%^ 5.28%~ 175.43%# 160.04%# 354.69%* -
Annualized.................. - 18.00% 12.66% - 21.70% 20.35% 19.32% -
Current Yield##...............
BACK LOAD CONTRACT WITH SURRENDER
<CAPTION>
Growth &
Total return Small Cap Aggressive International Index 400 Growth Income Index 500
at unit value Growth Stock Growth Stk. Equity Stock Stock Stock Stock Balanced
(as of 6/30/99) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
1 year........................ - (2.01%) (5.34%) - 9.97% 10.27% 13.21% 4.51%
5 years....................... - 121.05% 70.34% - 175.21% 162.30% 213.74% 108.77%
Annualized.................. - 17.19% 11.24% - 22.44% 21.27% 25.69% 15.86%
10 years...................... - - - - - - - 192.69%
Annualized.................. - - - - - - - 11.34%
Since inception............... 12.65%~ 313.15%* 106.56%^ (2.72%)~ 172.43%# 157.04%# 354.69%* -
Annualized.................. - 18.00% 12.48% - 21.44% 20.08% 19.32% -
Current Yield##...............
</TABLE>
All total return figures are for divisions of NML Variable Annuity Account B and
are based on the change in unit value, which reflects expenses, such as account
charges and fees applied at the contract level; figures for the Front Load
contract reflect a maximum sales load of 4%; figures for the Back Load contract
with surrender reflect deductions for a maximum 8% withdrawal charge, declining
at a rate of 1% per year. The data reflects an initial contract size of $10,000
for the Front Load (minimum size) and $1,000 for the Back Load. Performance data
represents past results and is not a guarantee of future results. Future unit
values and investment returns may vary so an investor's units, when redeemed,
may be worth more or less than their original value. Performance for other
separate accounts will differ.
* Inception date of 12/3/90.
# Inception date of 5/3/94.
^ Inception date of 4/30/93.
~ Inception date of 4/30/99. Reflects total return for the two month period
4/30/99 - 6/30/99; not annualized.
+ Inception date of these portfolios in Account B was 4/30/99. Actual fund
inception was 1/2/97. Performance quoted prior to 4/30/99 is based on actual
investment experience, adjusted for expenses of the product. These returns are
not a guarantee of future performance.
## For the seven-day period ended June 30, 1999, the Money Market Portfolio's
yield was 4.83% and was equivalent to a compound effective yield of 4.95%. The
seven-day yield does not include deductions that are included in the separate
accounts. The yield quotation more closely reflects the current earnings of the
Money Market Portfolio than the total return quotation.
Note: "Standard and Poor's 500" and "S&P 500" are trademarks of The McGraw-Hill
Companies, Inc. and have been licensed for use by The Northwestern Mutual
Life Insurance Company. The Series Fund and its Portfolios are not
sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard
& Poor's makes no representation regarding the advisability of investing
in them.
---
2
<PAGE>
<TABLE>
<CAPTION>
Russell
Russell Russell Real
High Yield Select Money Multi-Style Aggressive Russell Estate Russell
Bond Bond Market Equity Equity Non-U.S. Securities Core Bond
Portfolio Portfolio Portfolio Fund+ Fund+ Fund+ Fund Fund+
<S> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
(10.71%) (1.08%) 0.44% 14.67% (8.85%) 2.49% - (2.27%)
53.09% 36.08% 21.96% - - - - -
8.89% 6.36% 4.05% - - - - -
- - 99.40% 53.44% - - - - -
- - 7.15% 4.37% - - - - -
54.67%# - - 76.20% 30.92% 15.19% (5.50%)~ 10.68%
8.82% - - 25.54% 11.42% 5.84% - 4.16%
4.83%
</TABLE>
<TABLE>
<CAPTION>
Russell
Russell Russell Real
High Yield Select Money Multi-Style Aggressive Russell Estate Russell
Bond Bond Market Equity Equity Non-U.S. Securities Core Bond
Portfolio Portfolio Portfolio Fund+ Fund+ Fund+ Fund Fund+
<S> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
(7.87%) 2.06% 3.63% 18.31% (5.96%) 5.75% - 0.83%
52.02% 35.13% 21.11% - - - - -
8.74% 6.21% 3.90% - - - - -
- - 88.75% 45.24% - - - - -
- - 6.56% 3.80% - - - - -
53.38%# - - 79.32% 33.24% 17.22% (1.71%)~ 12.64%
8.65% - - 26.43% 12.21% 6.59% - 4.90%
4.83%
</TABLE>
<TABLE>
<CAPTION>
Russell
Russell Russell Real
High Yield Select Money Multi-Style Aggressive Russell Estate Russell
Bond Bond Market Equity Equity Non-U.S. Securities Core Bond
Portfolio Portfolio Portfolio Fund+ Fund+ Fund+ Fund Fund+
<S> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
(15.87%) (5.94%) (4.37%) 10.31% (13.96%) (2.25%) - (7.17%)
48.02% 31.13% 17.11% - - - - -
8.16% 5.57% 3.21% - - - - -
- - 88.75% 45.24% - - - - -
- - 6.56% 3.80% - - - - -
50.38%# - - 73.32% 27.24% 11.22% (9.71%)~ 6.64%
8.23% - - 24.71% 10.16% 4.36% - 2.61%
4.83%
</TABLE>
---
3
<PAGE>
OVERVIEW AND OUTLOOK
- --------------------------------------------------------------------------------
THE ECONOMY
The current period of economic growth in the United States has now been in place
since 1991, making it the longest peacetime expansion ever, and there are few
signs that growth is abating. A 6.1 percent surge in gross domestic product in
the fourth quarter pushed real growth for the full year 1998 up to 4.3 percent.
Based on continued strength in the early months of this year, with real growth
at a 5.2 percent pace in the first quarter, the consensus estimate for real
growth in 1999 is now just below 4 percent.
Highly encouraging are technology-driven productivity gains, which are
especially beneficial because they enable profits to rise without price
increases. Federal Reserve Chairman Alan Greenspan recently told Congress that
the economy's potential non-inflationary growth rate was now 3 percent, with 2
percentage points attributable to improved productivity and the remaining
percentage point to increased employment. Continued growth above this target
rate, plus some concern about inflation, led to a quarter-point increase in
interest rates by the Federal Reserve at the end of June. The relatively small
move up was accompanied by a statement that the bias for the immediate future is
neutral. This statement, along with reports of no inflation in May and June,
indicates that monetary policy should be favorable for growth in the months
ahead.
Economic Growth
and Inflation
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
REAL GDP CPI-U
<S> <C> <C>
1989 3.4% 4.6%
1990 1.3% 6.1%
1991 -1.0% 3.1%
1992 2.7% 2.9%
1993 2.3% 2.7%
1994 3.5% 2.7%
1995 2.0% 2.5%
1996 2.2% 3.3%
1997 3.8% 1.9%
1998 4.3% 1.7%
</TABLE>
Source: U.S. Department of Commerce. Year-to-year percentage change in
Real Gross Domestic Product is used for real economic growth.
December-to-December percentage change in the Consumer Price Index--
Urban is used for the inflation rate.
- --------------------------------------------------------------------------------
THE EQUITY MARKET
The domestic equity market continued its long-term upward trend during the first
half of 1998, except for a modest correction in May and early June. This
correction can probably be attributed to a Consumer Price Index report for April
that suggested a pick-up in inflation. Inflation reports for May and June
indicated that an inflation rate of zero pushed stock prices higher.
For the 12 months ended June 1999, total return from the Standard & Poor's 500
Index was 22.9%; return for the last six months was 12.38%. Markets responded
favorably to the Federal Reserve's interest rate increase in late June, mainly
because of accompanying statements that eased fears of further tightening. Both
the S&P 500 Index and the NASDAQ Composite ended June at record levels. Most
foreign markets were strong, as well, benefiting from stability in Europe and a
pronounced recovery from Asian financial crisis.
This market strength has broadened in recent months to include stocks beyond the
large growth stocks and technology favorites that have been driving market
performance. The Russell 2000 Index, which measures the performance of
smaller-capitalization issues, delivered a total return of 9.3% for the first
six months of 1999, versus a negative 2.6% for all of 1998.
Annual Total Returns
from S&P 500 Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
6/30/90 16.2%
6/30/91 7.3%
6/30/92 13.4%
6/30/93 13.6%
6/30/94 1.3%
6/30/95 25.9%
6/30/96 25.9%
6/30/97 34.6%
6/30/98 30.0%
6/30/99 22.7%
</TABLE>
Source: Standard & Poor's
- --------------------------------------------------------------------------------
THE BOND MARKET
During the first six months of 1999, interest rates moved up steadily; by the
end of June, the yield on 30-year Treasury bonds was 6.18%, up from 5.0% at the
end of 1998. This movement was driven largely by the market's nervousness about
higher inflation. Inflation fears were fueled by continued strong economic
growth, accompanied by some signs of increasing inflation. The Federal Reserve's
modest tightening at the end of June drove bond prices up because the Fed
announced it did not expect to further tighten monetary policy in the near term.
During the first calendar quarter of 1999, signs of economic recovery in
emerging markets and continued strength in the U.S. economy led to a reversal of
the flight to quality that characterized the bond market in late 1998, making
Treasury securities the worst performing class of bonds for the quarter. In the
second quarter, spreads between corporate and government bonds widened,
resulting in relatively poor performance for corporate bonds and other spread
securities. Mortgages performed well in the first quarter, as rising rates
quelled fears of prepayment; they underperformed in the second quarter, as
volatility increased and durations lengthened in a declining market.
Annual Total Returns from
Merrill Lynch Domestic Master Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
6/30/90 7.3%
<S> <C>
6/30/91 10.9%
6/30/92 14.1%
6/30/93 11.9%
6/30/94 -1.0%
6/30/95 12.6%
6/30/96 5.0%
6/30/97 8.2%
6/30/98 10.7%
6/30/99 3.1%
</TABLE>
Source: Merrill Lynch. The Merrill Lynch Domestic Master Index is an
unmanaged market value weighted index comprised of U.S. Government,
mortgage and investment-grade corporate bonds.
--
4
<PAGE>
SMALL CAP GROWTH STOCK PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
Maximum long-term appreciation of Strive for the highest possible rate of capital $12,993,000
capital appreciation by investing in companies with potential
for rapid growth.
</TABLE>
SMALL CAP GROWTH STOCK PORTFOLIO
The Small Cap Growth Stock Portfolio owns the stocks of emerging growth
companies. The Portfolio is managed with a target of $1 billion median market
capitalization; holdings include both larger and smaller companies. Since
portfolios of small-capitalization stocks tend to react strongly to changes in
financial and economic markets, as well as to changes in the prospects for
individual companies, returns of this Portfolio can vary considerably from time
to time. A higher level of risk (with risk defined as variability of returns
over time) is accepted for the potential of greater long-term returns. The focus
in stock selection is on the individual companies' ability to generate revenue,
expanding profit margins and solid balance sheets; industry sector selection is
of secondary importance.
This new Portfolio, which began operations April 30,1999, benefited in its first
two months from a very healthy environment for small-capitalization stocks,
especially in the technology sector. Clarify, Kent Electronics, QLogic and PMC
Sierra were among the stocks that contributed to the fund's strong performance.
The largest concentration of holdings is in technology, an industry that has
become famous for its growth potential. Other industry themes include consumer
cyclicals, which benefit from a positive consumer environment, and business
services, where the trend to outsourcing is creating growth opportunities.
Sector Allocation
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
TECHNOLOGY 34%
CONSUMER CYCLICAL 14%
FINANCE 9%
ENERGY 9%
INDUSTRIAL & TRANSPORTATION 8%
BUSINESS SERVICES 6%
CONSUMER STAPLES 5%
HEALTH CARE 4%
RUSSELL 2000 INDEX FUTURES 5%
SHORT-TERM INVESTMENTS 6%
</TABLE>
Top 10 Holdings
6/30/99
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
COMPANY % OF NET ASSETS
KENT ELECTRONICS CORPORATION 3.2%
QLOGIC CORPORATION 2.17%
CLARIFY, INC. 2.6%
DYCOM INDUSTRIES, INC. 2.5%
SEMETECH CORPORATION 2.4%
GREAT PLAINS SOFTWARE, INC. 2.3%
PMC-SIERRA, INC. 2.1%
CYMER, INC. 2.1%
THE CORPORATE EXECUTIVE BOARD COMPANY 2.1%
CITADEL COMMUNICATIONS CORPORATION 2.0%
</TABLE>
Performance Relative
to Relevant Indices
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SMALL CAP GROWTH S&P 600 RUSSELL 2000
PORTFOLIO INDEX INDEX
<S> <C> <C> <C>
4/99 $10,000 $10,000 $10,000
6/99 12,090 10,826 10,605
AVERAGE ANNUAL TOTAL RETURN
FOR THE TWO MONTHS ENDED JUNE 30, 1999
SINCE INCEPTION
Small Cap Stock Portfolio 20.90%
S&P 600 Index 8.26%
Russell 2000 Index 6.05%
</TABLE>
Since the Portfolio invests primarily in small capitalization issues, the
indices that best reflect the Portfolio's performance are the Standard & Poor's
(S&P) SmallCap 600 Index and Russell 2000 Index.
The Standard & Poor's SmallCap 600 Index is an unmanaged index of 600
selected common stocks of smaller U.S.-based companies compiled by Standard &
Poor's Corporation. As of June 30, 1999, the 600 companies in the composite had
median market capitalization of $483 million and total market value of $357
billion. The SmallCap 600 represents approximately 2% of the market value of
S&P's database of over 8,200 equities.
The Russell 2000 Index measures the performance of the 2,000 smallest
companies in the Russell 3000 Index. The Russell 3000 Index measures the
performance of the 3,000 largest US companies based on total market
capitalization. These 3000 companies represent approximately 98% of the
investable US equity market. As of the latest reconstitution, the average market
capitalization of companies in the Russell 3000 was $4.4 billion; the median
market capitalization was $701.7 million. Market capitalization of companies in
the Index ranged from $407.2 billion to $178.2 million.
The Russell 2000 Index represents approximately 8% of the total market
capitalization of the Russell 3000. As of the latest reconstitution, the average
market capitalization of companies in the Russell 2000 was approximately $526
million; the median market capitalization was approximately $428 million. The
largest company in the index had a total market capitalization of approximately
$1.3 billion.
This chart assumes an initial investment of $10,000 made on 4/30/99
(commencement of the Fund's operations). Returns shown include deductions for
management and other fund expenses, and reinvestment of all dividends. Returns
exclude deductions for separate account sales loads and account fees. Past
performance is not predictive of future performance. Investment return and
principal value will fluctuate, so that your shares, when redeemed, may be worth
more or less than their original cost. Total returns, which reflect deduction of
charges for the separate account, are shown on page 2.
--
5
<PAGE>
SMALL CAP GROWTH STOCK PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (88.5%) PAR (000'S)
- ---------------------------------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS (1.7%)
Cambrex Corporation 8,400 $ 221
-----------
BUSINESS SERVICES (3.7%)
*The Corporate Executive Board Company. 7,500 267
*Steiner Leisure, Ltd. 7,100 215
-----------
TOTAL 482
-----------
CAPITAL GOODS (3.7%)
*Dycom Industries, Inc. 5,700 319
Kaydon Corporation 4,900 165
-----------
TOTAL 484
-----------
COMMUNICATION SERVICES (1.8%)
*Crown Castle International Co. 11,100 231
-----------
CONSUMER CYCLICAL (13.6%)
*99 Cents Only Stores 4,400 220
*Catalina Marketing Corporation 2,300 212
*David's Bridal Inc. 8,300 129
*Dollar Tree Stores, Inc. 4,600 202
Fastenal Company 4,200 220
*Getty Images, Inc. 9,000 170
*Linens 'N Things, Inc. 5,100 223
*Sonic Automotive, Inc. 11,700 161
*Tower Automotive, Inc. 9,100 231
-----------
TOTAL 1,768
-----------
CONSUMER STAPLES (5.4%)
*American Italian Pasta Co. - CL A 7,300 222
*Citadel Communications Corporation 7,300 264
*Westwood One Inc. 6,100 218
-----------
TOTAL 704
-----------
ENERGY (9.4%)
*Barrett Resources Corporation 6,500 249
*Basin Exploration Inc. 11,800 237
*Global Industries, Ltd. 18,100 232
*Nabors Industries, Inc. 10,000 244
*Stone Energy Corporation 6,000 254
-----------
TOTAL 1,216
-----------
FINANCE (8.5%)
Investors Financial Services Corp. 5,900 236
*Prism Financial Corporation 12,300 251
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (88.5%) PAR (000'S)
- ---------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
Radian Group Inc. 4,500 $ 220
*Trammell Crow Company 9,200 151
Waddell & Reed Financial, Inc. 9,100 250
-----------
TOTAL 1,108
-----------
HEALTHCARE (3.9%)
*Patterson Dental Company 5,100 177
*Sybron International Corporation 8,000 221
*Wesley Jessen VisionCare, Inc. 3,300 107
-----------
TOTAL 505
-----------
TECHNOLOGY (33.9%)
*Advent Software Inc. 3,200 214
*CBT Group Public Limited Company 13,700 226
*CDW Computer Centers, Inc. 4,900 216
*Clarify Inc. 8,100 334
*Complete Business Solutions, Inc. 600 11
*Copper Mountain Networks 1,400 108
*Cymer, Inc. 10,800 270
*Dionex Corporation 4,900 198
*Etec Systems, Inc. 6,900 229
*Great Plains Software, Inc. 6,300 297
*Inet Technologies Inc. 3,400 82
*Kent Electronics Corporation 20,900 414
*Northpoint Communications 3,700 135
*Onesource Information Service 2,400 21
*PMC-Sierra, Inc. 4,600 271
*QLogic Corporation 2,700 356
*Ramp Networks Inc 1,400 20
*Scient Corporation 2,200 105
*Semtech Corporation 5,900 308
*Viant Corporation 4,700 165
*Visio Corporation 4,400 167
*Whittman-Hart Inc. 7,900 251
-----------
TOTAL 4,398
-----------
TRANSPORTATION (2.9%)
*Knight Transportation, Inc. 8,200 175
*Swift Transportation Co., Inc. 9,300 205
-----------
TOTAL 380
-----------
TOTAL COMMON STOCK 11,497
-----------
</TABLE>
--
6
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
MONEY MARKET INVESTMENTS (9.2%) PAR (000'S)
- ---------------------------------------------------------------------------------
FEDERAL GOVERNMENT AND AGENCIES (0.8%)
<S> <C> <C>
#Federal National Mortgage Association, 4.829%,
09/22/99 100,000 $ 99
-----------
PERSONAL CREDIT INSTITUTIONS (8.4%)
General Electric Capital Corporation, 5.70%, 07/01/99 1,100,000 1,100
-----------
TOTAL MONEY MARKET INVESTMENTS 1,199
-----------
TOTAL INVESTMENTS (97.7%) (COST $11,354,653)^ 12,696
OTHER ASSETS, LESS LIABILITIES (2.3%) 297
-----------
TOTAL NET ASSETS (100.0%) $ 12,993
-----------
</TABLE>
* Non-Income Producing
ADR-American Depository Receipt
^At June 30, 1999, the aggregate cost of securities for federal income tax
purposes was $11,354,653 and the net unrealized appreciation of investments
based on that cost was $1,341,327 which was comprised of $1,455,720 aggregate
gross unrealized appreciation and $114,393 aggregate gross unrealized
depreciation.
#Partially held by the custodian in a segregated account as collateral for open
futures positions. Information regarding open futures contracts as of June 30,
1999 is summarized below:
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF EXPIRATION APPRECIATION
ISSUER CONTRACTS DATE (000'S)
- ------------------------------------------------------------
<S> <C> <C> <C>
Russell 2000 Future 3 9/99 $19
Index (Total
Notional Value at
6/30/99, $674,025)
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
(Prepared from Unaudited Figures)
--
7
<PAGE>
AGGRESSIVE GROWTH STOCK PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
Maximum long-term appreciation of Strive for the highest possible rate of capital $1,147,356,000
capital appreciation by investing in companies with potential
for rapid growth.
</TABLE>
AGGRESSIVE GROWTH STOCK PORTFOLIO
The Aggressive Growth Stock Portfolio owns the stocks of growth companies,
generally with market capitalizations of less than $10 billion. Since growth
stock portfolios tend to react strongly to changes in financial and economic
markets, as well as to changes in the prospects for individual companies,
returns of this Portfolio can vary considerably from time to time. A higher
level of risk (with risk defined as variability of returns over time) is
accepted for the potential of greater long-term returns. The focus in stock
selection is on the individual companies' ability to generate revenue, expanding
profit margins and solid balance sheets; industry sector selection is of
secondary importance.
During the first half of 1999, the portfolio benefited from a broadening of the
market's strength, which had previously been concentrated in large-company
stocks and technology issues. Increased energy holdings have contributed to
performance in recent months, as recovering economies in Asia increased demand
for energy, as well as for a broad range of goods. A top performer was Qlogic,
which provides integrated circuits, which enable high-speed communication from
processors to peripherals. Other holdings that contributed to results were
consumer cyclical stocks, particularly retailers, and service providers that
benefit from the trend to outsourcing by businesses.
Sector Allocation
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
TECHNOLOGY 34%
CONSUMER CYCLICAL 22%
INDUSTRIAL & TRANSPORTATION 10%
HEALTH CARE 8%
CONSUMER STAPLES 6%
FINANCE 6%
BUSINESS SERVICES 5%
ENERGY 5%
SHORT-TERM INVESTMENTS 4%
</TABLE>
Top 10 Holdings
6/30/99
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
COMPANY % OF NET ASSETS
UNIPHASE CORPORATION 3.5%
CATALINA MARKETING CORPORATION 2.6%
COMVERSE TECHNOLOGY, INC. 2.6%
GEMSTAR INTERNATIONAL GROUP LIMITED 2.5%
KNIGHT/TRIMARK GROUP, INC. 2.5%
O'REILLY AUTOMOTIVE, INC. 2.4%
TELLABS, INC. 2.3%
SANMINA CORPORATION 2.2%
PMC-SIERRA, INC. 2.1%
CINTAS CORPORATION 2.1%
</TABLE>
Performance Relative
to Relevant Indices
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AGGRESSIVE GROWTH WILSHIRE SMALL WILSHIRE NEXT
STOCK PORTFOLIO CAP INDEX 1750 INDEX S&P 400 INDEX
<S> <C> <C> <C> <C>
11/90 $10,000 $10,000 $10,000 $10,000
6/91 12,593 13,285 13,187 13,070
6/92 13,994 15,635 15,209 15,305
6/93 17,133 19,477 19,263 19,664
6/94 19,354 20,158 19,830 19,652
6/95 24,448 24,087 24,180 24,042
6/96 35,003 29,133 30,111 29,233
6/97 36,545 36,609 35,173 36,050
6/98 43,439 43,990 42,257 45,838
6/99 46,685 47,355 43,436 53,708
AVERAGE ANNUAL
TOTAL RETURN
FOR PERIODS ENDED
JUNE 30, 1999
ONE YEAR FIVE YEARS SINCE INCEPTION
Aggressive Growth
Stock Portfolio 7.47% 19.26% 19.66%
Wilshire Small Cap Index 7.65% 18.63% 19.86%
Wilshire Next 1750 Index 2.79% 16.98% 18.66%
S&P MidCap 400 Index 17.17% 22.27% 21.63%
</TABLE>
Since the Portfolio invests primarily in medium-capitalization (Mid Cap) issues,
the index that best reflects the Portfolio's performance is the S&P MidCap 400
Index. This is a capitalization-weighted index that measures the performance of
the mid-range sector of the U.S. stock market. Because the average market
capitalization of the Aggressive Growth Fund has recently increased, the S&P
MidCap 400 Index is more representative of the current composition of this
Portfolio than the Wilshire Next 1750 Index and Wilshire Small Cap Index, which
are the small-capitalization indices used in the past.
The Wilshire Next 1750 is an unmanaged, equally weighted index. Included in
this index are those stocks which are ranked 750 to 2500 by market
capitalization in the Wilshire 5000. The largest sectors represented in this
index are technology, financial services and consumer services. Market
capitalization ranges from $1.8 billion to $244 million.
The Wilshire Small Cap Index is a subset of the Wilshire Next 1750 and
includes 250 stocks chosen based upon their size, sector and liquidity
characteristics. Each stock is equally weighted in this unmanaged index. The
average market capitalization is approximately $930 million. The largest sector
weightings include technology, financial services, and consumer services.
On May 3, 1994, the Northwestern Mutual Aggressive Growth Stock Fund, Inc.
(the "Fund") merged into the Northwestern Mutual Series Fund, Inc. Aggressive
Growth Stock Portfolio (the "Portfolio"). The Portfolio had no assets prior to
the merger. After the merger, the assets of the Portfolio were those of the
Fund. The investment objectives, policies, management and expenses of the
Portfolio are identical to those of the Fund. Accordingly, the performance of
the Fund prior to the merger is included with the performance of the Portfolio
in the graph and total return figures above.
This chart assumes an initial investment of $10,000 made on 11/30/90
(commencement of the Fund's operations). Returns shown include deductions for
management and other fund expenses, and reinvestment of all dividends. Returns
exclude deductions for separate account sales loads and account fees. Past
performance is not predictive of future performance. Investment return and
principal value will fluctuate, so that your shares, when redeemed, may be worth
more or less than their original cost. Total returns, which reflect deduction of
charges for the separate account, are shown on page 2.
--
8
<PAGE>
AGGRESSIVE GROWTH STOCK PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (96.1%) PAR (000'S)
- ---------------------------------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS (0.9%)
Cambrex Corporation 402,700 $ 10,571
-----------
BUSINESS SERVICES (3.6%)
*The Corporate Executive Board Company 244,500 8,695
*Interim Services, Inc. 355,200 7,326
*Metzler Group, Inc. 335,050 9,256
*Steiner Leisure, Ltd. 521,550 15,809
-----------
TOTAL 41,086
-----------
CAPITAL GOODS (7.6%)
*Jabil Circuit, Inc. 494,500 22,314
Kaydon Corporation 323,400 10,874
*Republic Services, Inc. 523,200 12,949
*Sanmina Corporation 326,300 24,758
*Tetra Tech, Inc. 848,678 14,003
*Triumph Group, Inc. 100,000 2,550
-----------
TOTAL 87,448
-----------
COMMUNICATION SERVICES (1.1%)
*Crown Castle International Co. 602,300 12,535
-----------
CONSUMER CYCLICAL (21.8%)
*99 Cents Only Stores 339,775 16,968
*Abercrombie & Fitch Co. 224,200 10,762
*Catalina Marketing Corporation 325,200 29,918
Cintas Corporation 356,900 23,979
*Dollar Tree Stores, Inc. 385,200 16,949
Fastenal Company 224,800 11,788
Galileo International, Inc. 380,200 20,317
*Getty Images, Inc. 646,100 12,195
*Kohl's Corporation 259,300 20,015
*Linens 'N Things, Inc. 332,700 14,556
*O'Reilly Automotive, Inc. 545,500 27,479
*Office Depot Inc. 200,000 4,412
Royal Caribbean Ltd. 143,400 6,274
*Sonic Automotive, Inc. 892,800 12,276
Stewart Enterprises, Inc. 395,500 5,759
*Tower Automotive, Inc. 590,700 15,026
-----------
TOTAL 248,673
-----------
CONSUMER STAPLES (6.3%)
*American Italian Pasta Co. -CL A 154,500 4,693
*American Tower Corporation 316,100 7,586
Cardinal Health, Inc. 73,700 4,726
*Chancellor Media Corp. 221,600 12,216
*Clear Channel Communications, Inc. 287,200 19,799
*Infinity Broadcasting 271,800 8,086
*Lamar Advertising, Co. 374,500 15,331
-----------
TOTAL 72,437
-----------
ENERGY (4.8%)
Anadarko Petroleum Corporation 325,700 11,990
*Global Industries, Ltd. 637,000 8,162
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (96.1%) PAR (000'S)
- ---------------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
*Nabors Industries, Inc. 525,000 $ 12,830
Santa Fe International Corp. 418,100 9,616
*Weatherford International, Inc. 345,700 12,661
-----------
TOTAL 55,259
-----------
FINANCE (6.3%)
GreenPoint Financial Corp. 379,936 12,467
Investors Financial Services Corp. 410,800 16,432
*Knight/Trimark Group, Inc. 465,400 28,069
Radian Group Inc. 169,100 8,254
*Trammell Crow Company 455,900 7,494
-----------
TOTAL 72,716
-----------
HEALTHCARE (8.2%)
Bausch & Lomb, Inc. 220,700 16,884
*Elan Corp. Plc., ADR 154,800 4,296
*Patterson Dental Company 386,125 13,418
*Province Healthcare 301,200 5,873
*PSS World Medical, Inc. 492,700 5,512
*Quintiles Transnational Corp. 410,400 17,237
*Sybron International Corporation 644,200 17,756
*VISX, Inc. 42,600 3,373
*Wesley Jessen VisionCare, Inc. 314,000 10,166
-----------
TOTAL 94,515
-----------
TECHNOLOGY (34.3%)
*Acxiom Corporation 450,000 11,222
*CBT Group Public Limited Company 117,000 1,931
*CDW Computer Centers, Inc. 205,000 9,020
*Complete Business Solutions, Inc. 71,800 1,288
*Comverse Technology, Inc. 388,650 29,343
*Concord EFS, Inc. 394,450 16,690
*Conexant Systems, Inc. 181,100 10,515
*CSG Systems International, Inc. 46,900 1,228
*DST Systems, Inc. 280,800 17,655
*Etec Systems, Inc. 274,600 9,130
*Fiserv, Inc. 303,750 9,511
*Gemstar International Group Limited 440,400 28,736
*Great Plains Software, Inc. 144,500 6,819
*Microchip Technology, Inc. 388,600 18,410
*Network Appliance Inc. 11,000 615
*Northpoint Communications 64,700 2,362
*Novellus Systems, Inc. 154,300 10,531
Paychex, Inc. 250,300 7,978
*Peregrine Systems, Inc. 182,500 4,688
*PMC-Sierra, Inc. 413,200 24,353
*Proxicom Inc. 51,000 1,310
*Qlogic Corporation 178,300 23,536
*Semtech Corporation 344,900 17,978
*Sterling Software, Inc. 665,300 17,755
*Synopsys, Inc. 242,200 13,366
</TABLE>
--
9
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (96.1%) PAR (000'S)
- ---------------------------------------------------------------------------------
TECHNOLOGY (CONTINUED)
<S> <C> <C>
*Tellabs, Inc. 389,000 $ 26,282
*Transaction Systems Architects, Inc. 314,900 12,281
*Uniphase Corporation 243,200 40,371
*VeriSign, Inc. 64,600 5,572
*Vignette Corporation 25,000 1,875
*Visio Corporation 300,000 11,419
-----------
TOTAL 393,770
-----------
TRANSPORTATION (1.2%)
*Swift Transportation Co., Inc. 610,200 13,424
-----------
TOTAL COMMON STOCK 1,102,434
-----------
</TABLE>
<TABLE>
<CAPTION>
MONEY MARKET INVESTMENT (3.8%)
- ---------------------------------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (.2%)
Federal Home Loan Mortgage Corp., 4.73%, 09/08/99 2,000,000 1,980
-----------
FINANCE LESSOR (1.0%)
Variable Funding Capital Corp., 5.05%, 07/21/99 12,000,000 11,966
-----------
<CAPTION>
MARKET
VALUE
MONEY MARKET INVESTMENT (3.8%) PAR (000'S)
- ---------------------------------------------------------------------------------
<S> <C> <C>
FINANCE SERVICES (1.0%)
Ciesco LP, 5.12%, 07/27/99 12,000,000 $ 11,956
-----------
PERSONAL CREDIT INSTITUTIONS (1.6%)
General Electric Capital Corporation, 5.70%, 07/01/99 6,200,000 6,200
Household Finance Company, 4.97%, 07/14/99 11,900,000 11,879
-----------
TOTAL 18,079
-----------
TOTAL MONEY MARKET INVESTMENTS 43,981
-----------
TOTAL INVESTMENTS (99.9%) (COST $761,026,280)^ 1,146,415
OTHER ASSETS, LESS LIABILITIES (0.1%) 941
-----------
TOTAL NET ASSETS (100.0%) $1,147,356
-----------
</TABLE>
* Non-Income Producing
ADR-American Depository Receipt
^ At June 30, 1999, the aggregate cost of securities for federal income tax
purposes was $761,026,280 and the net unrealized appreciation of investments
based on that cost was $385,388,751 which is comprised of $408,950,180
aggregate gross unrealized appreciation and $23,561,429 aggregate gross
unrealized depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
10
<PAGE>
INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
Long-term appreciation of capital Participate in the growth of foreign economies by $700,370,000
through diversification into investing in securities with high long-term earnings
markets outside the United States potential relative to current market values.
</TABLE>
INTERNATIONAL EQUITY PORTFOLIO
The International Equity Portfolio offers contract owners the opportunity to
participate in the growth of companies in countries throughout the world,
particularly those with expanding economies. In selecting investments, the
principal focus is on identifying undervalued stocks of companies with strong
finances and good long-term growth opportunities, rather than on choosing
regions of the world in which to invest. The Portfolio is normally fully
invested in equity securities.
The first half of 1999 was a far more favorable period for value-oriented
international investors than the preceding period. Evidence of economic recovery
became increasingly apparent in Asia. Japan's remarkably strong first quarter
growth, along with a series of corporate restructuring announcements in Japan,
have led many investors to believe that the country's business leaders are
finally coming to grips with their 11-year malaise. Thailand and Indonesia have
instituted reforms that appear to be providing a foundation of an economic
recovery. Markets in Latin America have begun to recover in response to improved
commodity prices and more stable currencies.
In contrast, economies of many European countries showed signs of weakness, and
the value of the Euro has dropped steadily since it was introduced in January.
Because of the weakness in the Euro, many European markets reported losses on a
U.S. dollar basis, even though they were up in local currency terms. The notable
exceptions were the countries that have not joined the monetary union, including
Sweden, Norway, and the UK; markets of these nations all appreciated in both
local and U.S. dollar terms during the period. The Portfolio's allocation to the
U.K., which represents the largest European country weighting at 18.4%, was
therefore advantageous. Europe as a whole is currently underweighted in the
Portfolio relative to the Europe-Australasia-Far East (EAFE) Index, with which
it is compared.
Overall performance benefited from strong rallies in Asian and Latin American
equities, which sparked a rebound in cyclical stocks and energy companies. One
of the fund's largest holdings, British Steel, was also one of the top
performers during the period, posting a 82.7% gain. Excellent performance was
also registered by Telefonos de Mexico and the Argentine energy company YPF,
which was the target of a takeover bid.
The International Equity Portfolio is managed for Northwestern Mutual by
Templeton Investment Counsel, Inc.
Asset Allocation
6/30/99
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
EUROPE 53%
LATIN AMERICA 11%
ASIA 17%
AUSTRALIA/NEW ZEALAND 6%
NORTH AMERICA 6%
OTHER 1%
SHORT-TERM INVESTMENTS 6%
</TABLE>
Top 10 Holdings
6/30/99
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C> <C>
COMPANY COUNTRY % OF NET ASSETS
MERITA LIMITED "A" Finland 2.0%
BRITISH STEEL PLC U.K. 2.0%
AXA-UAP SA France 1.9%
VOLVO AKTIEBOLAGET, B FREE Sweden 1.8%
TELEFONOS DE MEXICO SA, ADR Mexico 1.8%
UNIDANMARK A/S, "A", REGISTERED Denmark 1.7%
NYCOMED AMERSHAM PLC U.K. 1.7%
THE NOMURA SECURITIES CO., LTD. Japan 1.7%
SHELL TRANSPORT & TRADING COMPANY PLC U.K. 1.6%
THE WEIR GROUP PLC U.K. 1.6%
</TABLE>
Performance Relative to the EAFE Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIO EAFE INDEX
<S> <C> <C> <C>
4/93 $10,000 $10,000
6/93 $10,118 $10,060
6/94 $12,155 $11,801
6/95 $13,487 $12,032
6/96 $15,569 $13,670
6/97 $19,751 $15,471
6/98 $21,822 $16,458
6/99 $22,715 $17,761
AVERAGE ANNUAL TOTAL RETURN
FOR PERIODS ENDED JUNE 30, 1999
ONE YEAR FIVE YEARS SINCE INCEPTION
International Equity Portfolio 4.09% 13.32% 14.22%
EAFE Index 7.92% 8.52% 9.76%
</TABLE>
As depicted in the graph, the International Equity Portfolio is compared against
the Morgan Stanley Capital International EAFE (Europe-Australasia-Far East)
Index. The index is composed of approximately 1100 companies in 20 countries in
Europe and the Pacific Basin. The objective of the index is to reflect the
movements of stock markets in these countries by representing an unmanaged
(indexed) portfolio within each country. The indices are constructed so that
companies chosen represent about 60% of market capitalization in each market;
industry composition of the market is reflected; and a cross section of large,
medium, and small capitalization stocks is included, taking into account
liquidity concerns. The index is calculated in U. S. dollars.
On May 3, 1994, the Northwestern Mutual International Equity Fund, Inc. (the
"Fund") merged into the Northwestern Mutual Series Fund, Inc., International
Equity Portfolio (the "Portfolio"). The Portfolio had no assets prior to the
merger. After the merger, the assets of the Portfolio were those of the Fund.
The investment objectives, policies, management and expenses of the Portfolio
are identical to those of the Fund. Accordingly, the performance of the Fund
prior to the merger is included with the performance of the Portfolio in the
graph and total return figures above.
This chart assumes an initial investment of $10,000 made on 4/30/93
(commencement of the Fund's operations). Returns shown include deductions for
management and other fund expenses, and reinvestment of all dividends. Returns
exclude deductions for separate account sales loads and account fees. Past
performance is not predictive of future performance. Investment return and
principal value will fluctuate, so that your shares, when redeemed, may be worth
more or less than their original cost. Total returns, which reflect deduction of
charges for the separate account, are shown on page 2.
--
11
<PAGE>
INTERNATIONAL EQUITY PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (93.8%) COUNTRY PAR (000'S)
- ------------------------------------------------------------------
<S> <C> <C> <C>
CAPITAL EQUIPMENT (6.4%)
Alcatel, ADR France 206,000 $ 5,845
Alcatel, DG France 40,000 5,631
Hong Kong Aircraft &
Engineering Hong Kong 2,680,700 5,183
Invensys PLC United
Kingdom 107,832 510
Philips Electronics ,
Inc. Netherlands 57,960 5,717
Rolls- Royce PLC United
Kingdom 1,806,900 7,647
Sirti SPA Italy 643,000 3,103
The Weir Group PLC United
Kingdom 2,702,500 11,331
-----------
TOTAL 44,967
-----------
CONSUMER GOODS (12.2%)
Autoliv, Inc. Sweden 279,100 8,443
Fiat SPA Ord. Italy 1,527,900 4,837
Medeva PLC United
Kingdom 4,250,000 6,967
Nycomed Amersham PLC United
Kingdom 1,628,610 11,585
Ono Pharmaceutical Co.,
Ltd. Japan 233,000 8,085
Rhone Poulenc SA,
Series A France 221,000 10,099
Sony Corporation Japan 87,500 9,434
Tate & Lyle, PLC United
Kingdom 762,600 4,778
Teva Pharmaceutical
Industries Ltd., ADR Israel 178,200 8,732
Volvo Aktiebolaget,
BFree Sweden 433,000 12,554
-----------
TOTAL 85,514
-----------
ENERGY (14.9%)
Endesa S.A. Spain 252,000 5,374
EVN Energie Versorgung Austria 38,400 5,615
Gener S.A., ADR Chile 299,450 5,315
Hong Kong Electric
Holdings Ltd. Hong Kong 1,790,000 5,745
Iberdrola S.A. Spain 587,500 8,949
Korea Electric Power
Corp. Republic of
Korea 271,000 11,261
National Power PLC United
Kingdom 1,246,864 9,080
Petroleo Brasileiro SA
- Petrobras Brazil 32,500,000 5,041
Ranger Oil Limited Canada 1,055,400 5,211
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (93.8%) COUNTRY PAR (000'S)
- ------------------------------------------------------------------
<S> <C> <C> <C>
ENERGY (CONTINUED)
*Renaissance Energy LTD Canada 540,000 $ 7,224
Repsol SA Spain 366,000 7,473
Shell Transport &
Trading Company PLC United
Kingdom 1,518,500 11,387
Societe Nationale Elf
Aquitaine France 66,801 9,803
Thames Water United
Kingdom 430,504 6,827
-----------
TOTAL 104,305
-----------
FINANCE (21.7%)
Australia & New Zealand
Bank Group Australia 1,506,097 11,074
AXA - UAP SA France 108,413 13,226
Banco Bradesco SA Brazil 623,750,000 3,166
Banco de Andulucia Spain 120,000 4,208
Banco Itau S.A. Brazil 2,079,000 1,067
Bangkok Bank Public
Company Limited Thailand 1,551,800 5,807
Compagnie Financiere De
Paribas France 71,300 7,993
Deutsche Bank AG Germany 130,888 7,984
Hang Lung Development
Co. Hong Kong 2,758,000 3,430
HSBC Holdings PLC Hong Kong 189,379 6,908
ING Groep NV Netherlands 209,000 11,315
Merita Limited "A" Finland 2,436,000 13,842
The Nomura Securities
Co., Ltd. Japan 87,400 11,559
PatnerRe Ltd. Bermuda 26,600 8,469
**Peregrine Investments
Holdings , Ltd. Hong Kong 262,000 0
Reinsurance Australia
Corporation Limited Australia 2,908,000 2,425
Scor France 129,900 6,443
Unibanco Uniao de
Bancos Brazil 14,033,500 633
Unidanmark A/S, A
Registered Denmark 180,800 12,067
XL Capital Ltd. Bermuda 178,800 10,102
Zurich Versicherungs-
Gesellschaft Switzerland 17,900 10,179
-----------
TOTAL 151,897
-----------
MATERIALS (12.3%)
Agrium, Inc. Canada 473,300 4,171
Akzo Nobel NV Netherlands 163,600 6,883
Bayer AG Germany 157,000 6,541
</TABLE>
--
12
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (93.8%) COUNTRY PAR (000'S)
- ------------------------------------------------------------------
MATERIALS (CONTINUED)
<S> <C> <C> <C>
Boehler - Uddeholm AG Austria 119,556 $ 5,917
British Steel PLC United
Kingdom 5,270,900 13,646
Companhia Vale do Rio
Doce Brazil 372,000 7,394
Grupo Mexico, B Shares Mexico 1,320,000 5,602
Hepworth PLC United
Kingdom 607,200 1,885
Hoechst AG Germany 117,700 5,328
Metsa-Serla Oyj,B
Shares 157,500 1,338
Pechiney SA, Shares France 129,200 5,553
Pioneer International
Ltd. Australia 3,197,946 8,149
Stora Enso Oyj R Shares Finland 507,997 5,497
Stora Enso OYJ- R Finland 754,400 8,091
-----------
TOTAL 85,995
-----------
MULTI-INDUSTRY (3.7%)
Elementis PLC United
Kingdom 1,494,000 2,484
Hutchinson Whampoa
Limited Hong Kong 798,000 7,225
Pilkington PLC United
Kingdom 4,777,300 6,551
Swire Pacific Limited,
A Shares Hong Kong 1,459,500 7,223
Swire Pacific Limited,
B Shares Hong Kong 3,534,200 2,642
-----------
TOTAL 26,125
-----------
SERVICES (21.2%)
British Airways PLC United
Kingdom 1,242,900 8,577
Cable & Wire Optus
Limited Australia 2,674,560 6,090
Compania Anonima
Nacional Telefonosole
De Venezula Venezuela 293,000 7,985
Cia. Telecomunicaciones
de Chile -- S.A. Chile 273,725 6,775
Embratel Participacoes
S.A. Brazil 241,200 3,347
Hong Kong
Telecommunications
Ltd. Hong Kong 2,650,000 6,865
Hyder PLC Cum. Red.
Pfd. United
Kingdom 401,400 696
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (93.8%) COUNTRY PAR (000'S)
- ------------------------------------------------------------------
<S> <C> <C> <C>
SERVICES (CONTINUED)
*Korea Telecom
Corporation Republic of
Korea 97,000 $ 3,880
Kurita Water
Industries, Ltd. Japan 299,000 5,360
Laidlaw Transportation
Limited Canada 691,580 5,100
Marks & Spencer PLC United
Kingdom 1,148,000 6,641
Mayne Nickless Ltd. Australia 1,671,600 5,720
Moebel Walther AG PFD Germany 103,297 1,651
News Corporation Ltd. Australia 1,014,400 7,729
Nippon Telephone &
Telegraph Corporation
(NTT) Japan 800 9,320
The Peninsular &
Oriental Steam
Navigation Company United
Kingdom 548,000 8,228
Philippine Long
Distance Telephone
Company, ADR Philippines 127,000 3,826
Pt Indostat ADR Indonesia 146,600 2,859
SK Telecom Co., Ltd.,
ADR Republic of
Korea 7,137 122
Somerfield PLC United
Kingdom 860,766 4,036
South China Morning
Post Ltd. Hong Kong 2,554,000 1,432
Storehouse PLC United
Kingdom 2,879,480 6,195
Telecom Italia SPA Italy 1,200,000 6,510
Telefonica de Argentina
SA, ADR Argentina 216,900 6,806
Telefonica del Peru SA
B shares, ADR Peru 370,800 5,608
Telefonos de Mexico SA,
ADR Mexico 154,002 12,445
Telesp Participacoes
S.A. ADR Brazil 210,300 4,811
-----------
TOTAL 148,614
UTILITIES (1.4%)
VEBA Germany 168,100 9,881
-----------
TOTAL COMMON STOCK 657,298
-----------
</TABLE>
--
13
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
MONEY MARKET INVESTMENTS SHARES/ VALUE
(5.6%) COUNTRY PAR (000'S)
- --------------------------------------------------------------------
<S> <C> <C> <C>
PERSONAL CREDIT INSTITUTIONS (5.6%)
General Electric Capital
Corporation, 5.70%,
07/01/99 United States 29,100,000 $ 29,100
Household Finance
Company, 4.97%, 07/14/99 United States 5,000,000 5,010
Variable Funding Capital
Corp., 5.05%, 07/21/99 United States 5,000,000 4,986
-----------
TOTAL MONEY MARKET
INVESTMENTS 39,096
-----------
TOTAL INVESTMENTS
(99.4%)
(COST $626,963,983)^ 696,394
OTHER ASSETS, LESS
LIABILITIES (0.6%) 3,976
-----------
TOTAL NET ASSETS
(100.0%) $ 700,370
-----------
</TABLE>
* Non-Income Producing
**Defaulted Security
ADR-American Depository Receipt
144A after the name of a security represents a security exempt from
registration under rule 144A of the Securities Act of 1933. These
securities may be resold as transactions exempt from registration,
normally to qualified institutional buyers.
^At June 30, 1999, the aggregate cost of securities for federal income tax
purposes was $626,963,983 and the net unrealized appreciation of investments
based on that cost was $69,429,967 which is comprised of $119,039,819
aggregate gross unrealized appreciation and $49,609,852 aggregate gross
unrealized depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
14
<PAGE>
INDEX 400 STOCK PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
Long-term capital appreciation Invest in a portfolio designed to approximate the $31,885,000
through cost-effective composition and returns of the S&P 500 Index.
participation in broad market
performance
</TABLE>
INDEX 400 STOCK PORTFOLIO
The Index 400 Stock Portfolio is designed to achieve results that approximate
the performance of the Standard & Poor's MidCap 400 Composite Stock Price Index.
This index is a capitalization-weighted index that measures the performance of
the mid-range sector of the U.S. stock market. As of June 30, 1999, the 400
companies in the composite had median market capitalization of $1.8 billion and
total market value of $927 billion. For comparison, the 500 large stocks in the
S&P 500 Index had median market capitalization of $8.5 billion and total market
value of $11,232 billion.
The Index 400 Portfolio, introduced on April 30, 1999, enables contract owners
to participate in performance of mid-sized companies in the U.S. equity market.
In its first two months of operation, the Portfolio achieved the objective of
matching the results of the S&P 400 MidCap Index before expenses.
Sector Allocation
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
TECHNOLOGY 20%
CONSUMER CYCLICAL 18%
BASIC MATERIALS/CAPITAL GOODS 13%
FINANCE 11%
UTILITIES 9%
HEALTH CARE 8%
CONSUMER STAPLES 7%
ENERGY 4%
OTHER INDUSTRIES 2%
INDEX FUTURES 7%
SHORT-TERM INVESTMENTS 1%
</TABLE>
Top 10 Holdings
6/30/99
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
COMPANY % OF NET ASSETS
<S> <C>
QUALCOMM, INC. 2.0%
BEST BUY CO., INC. 1.3%
LINEAR TECHNOLOGY CORPORATION 1.0%
BIOGEN, INC. 0.9%
E*TRADE GROUP, INC. 0.9%
MAXIM INTEGRATED PRODUCTS, INC. 0.9%
LEXMARK INTERNATIONAL GROUP, INC. 0.9%
XILINX, INC. 0.8%
HARLEY-DAVIDSON, INC. 0.8%
OFFICE DEPOT, INC. 0.8%
</TABLE>
Performance Relative to S&P 400 Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
INDEX 400 S&P
PORTFOLIO 400 MIDCAP INDEX
<S> <C> <C> <C>
4/99 $10,000 $10,000
6/99 10,550 10,581
AVERAGE ANNUAL TOTAL RETURN
FOR THE TWO MONTHS ENDED JUNE 30, 1999
SINCE INCEPTION
Index 400 Stock Portfolio 5.50%
S&P 400 Index 5.81%
</TABLE>
The Standard & Poor's MidCap 400 Stock Price Index is a capitalization-weighted
index that measures the performance of the mid-range sector of the U.S. stock
market. As of June 30, 1999, the 400 companies in the composite had median
market capitalization of $1.8 billion and total market value of $927 billion.
The MidCap 400 represents approximately 6% of the market value of S&P's database
of over 8,200 equities.
This chart assumes an initial investment of $10,000 made on 4/30/99. Returns
shown include deductions for management and other fund expenses, and
reinvestment of all dividends. Returns exclude deductions for separate account
sales loads and account fees. Past performance is not predictive of future
performance. Investment return and principal value will fluctuate, so that your
shares, when redeemed, may be worth more or less than their original cost. Total
returns, which reflect deduction of charges for the separate account, are shown
on page 2.
--
15
<PAGE>
INDEX 400 STOCK PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (92.1%) SHARES (000'S)
- --------------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS (5.1%)
*Airgas Inc. 2,200 $ 27
AK Steel Holding Corp. 1,800 40
Albemarle Corporation 1,500 35
A. Schulman, Inc. 1,000 17
Bowater Inc. 1,700 80
Cabot Corp. 2,100 51
Carpenter Technology 700 20
Chesapeake Corp. 700 26
Cleveland-Cliffs Inc. 300 10
Cons Papers Inc. 2,800 75
Crompton & Knowles Corp. 2,000 39
*Cytec Industries Inc. 1,300 42
Dexter Corp. 700 28
Ethyl Corp. 2,600 16
Ferro Corp. 1,100 30
Georgia Gulf Corp. 1,000 17
Georgia-Pacific Corporation (Timber
Group) 2,700 68
H.B. Fuller Company 400 27
IMC Global Inc. 3,600 63
Longview Fibre Co. 1,600 25
Lubrizol Corp. 1,700 46
Lyondell Chemical Company 3,500 72
M.A. Hannah Company 1,500 25
Martin Marietta Materials 1,400 83
*Maxxam Inc. 200 13
Minerals Technologies Inc. 700 39
Olin Corp. 1,500 20
Oregon Steel Mills Inc. 800 11
P.H. Glatfelter Company 1,300 19
Rayonier Inc. 900 45
RPM Inc/Ohio 3,400 48
Ryerson Tull Inc. 800 18
Solutia Inc. 3,500 75
Sonoco Products Co. 3,200 96
*Ucar International Inc. 1,400 35
Universal Corp-Va 1,000 28
Vulcan Materials Co. 3,100 150
Wausau-Mosinee Paper Corp. 1,700 31
Witco Corp. 1,800 36
----------
TOTAL 1,626
----------
CAPITAL GOODS (8.4%)
Agco Corp. 1,900 21
Albany International Corp. 900 19
*Allied Waste Industries Inc. 5,700 113
*American Power Conversion 5,900 119
Ametek Inc. 1,000 23
Carlisle Cos. Inc. 900 43
Cordant Technologies Inc. 1,100 50
Diebold Inc. 2,200 63
Donaldson Co. Inc. 1,500 37
<CAPTION>
MARKET
VALUE
COMMON STOCK (92.1%) SHARES (000'S)
- --------------------------------------------------------------
<S> <C> <C>
CAPITAL GOODS (CONTINUED)
Federal Signal Corp. 1,400 $ 30
Flowserve Corp. 1,200 23
Gencorp Inc. 1,300 33
Granite Construction Inc. 900 26
*Gulfstream Aerospace Corp. 2,300 155
Harsco Corp. 1,300 42
Herman Miller Inc. 2,600 55
Hillenbrand Industries 2,100 91
HON Industries 1,900 55
Hubbell Inc. 2,000 91
*Jabil Circuit, Inc. 2,500 113
*Jacobs Engineering Group Inc. 800 30
Kaydon Corporation 1,000 34
Kennametal Inc. 900 28
*Magnetek Inc. 1,000 11
Molex Inc. 4,800 178
Newport News Shipbuilding 1,100 32
Nordson Corp. 500 31
Pentair Inc. 1,300 59
Precision Castparts Corp. 800 34
Premark International Inc. 1,900 71
Reynolds & Reynolds 2,400 56
*Sanmina Corporation 1,800 137
*SCI Systems Inc. 2,200 104
*Sensormatic Electronics Corp. 2,300 32
*Sequa Corp. 300 21
*SPX Corp. 1,000 84
Standard Register Co. 900 28
Stewart & Stevenson Services 900 14
Symbol Technologies Inc. 2,700 100
Tecumseh Products Co. 700 42
Teleflex, Inc. 1,200 52
Trinity Industries 1,300 44
Unisource Worldwide Inc. 2,200 27
United Technologies Corp. 837 60
*Vishay Intertechnology Inc. 2,625 55
Wallace Computer Svcs Inc. 1,300 33
Watts Industries 800 15
York International Corp. 1,200 51
----------
TOTAL 2,665
----------
COMMUNICATION SERVICES (1.1%)
Aliant Communications Inc. 1,100 51
Cincinnati Bell Inc. 4,200 105
Comsat Corp. 1,600 52
Telephone & Data Systems Inc. 1,900 139
----------
TOTAL 347
----------
CONSUMER CYCLICAL (17.9%)
*Abercrombie & Fitch Co. 3,000 144
*ACNielsen Corporation 1,800 54
*American Standard Companies 2,200 106
*Apollo Group Inc. 2,400 64
</TABLE>
--
16
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (92.1%) SHARES (000'S)
- --------------------------------------------------------------
CONSUMER CYCLICAL (CONTINUED)
<S> <C> <C>
A.H. Belo Corporation 3,700 $ 73
Arvin Industries Inc. 800 30
Bandag Inc. 700 24
*Barnes & Noble, Inc. 2,100 57
*Bed Bath & Beyond Inc. 4,300 166
*Best Buy Co. Inc. 6,300 425
*Bj's Wholesale Club Inc. 2,300 69
*Borders Group Inc. 2,400 38
Borg-Warner Automotive, Inc. 800 44
*Burlington Inds Inc. 1,800 16
Callaway Golf Company 2,300 34
Cintas Corp. 3,400 228
Claire's Stores Inc. 1,600 41
Clayton Homes Inc. 4,500 51
*Compusa Inc. 2,800 21
*Convergys Corp. 4,700 90
*Dollar Tree Stores, Inc. 1,800 79
Enesco Group Inc. 500 12
Family Dollar Stores 5,400 130
Fastenal Co. 1,200 63
*Federal-Mogul Corp. 2,200 114
*Furniture Brands International Inc. 1,600 45
*General Nutrition Companies 2,100 49
*Gtech Holdings Corp. 1,300 31
Harley-Davidson, Inc. 4,700 256
Heilig-Meyers Co. 1,900 13
Houghton Mifflin Co. 900 42
*Information Resources Inc. 900 8
International Game Technology 3,300 61
*Jones Apparel Group, Inc. 4,251 146
Kelly Services Inc. 1,100 35
Lancaster Colony Corp. 1,300 45
*Land's END Inc. 900 44
*Lear Corporation 2,100 104
Lee Enterprises 1,400 43
Leggett & Platt Inc. 6,100 170
*Mandalay Resort Group 2,900 61
Manpower Inc. 2,500 57
Mark IV Industries Inc. 1,700 36
Media General Inc. 800 41
Meritor Automotive Inc. 2,100 53
*Micro Warehouse Inc. 1,100 20
Modine Manufacturing Co. 900 29
*Modis Professional Services Inc. 3,500 48
*Mohawk Industries Inc. 1,900 58
NCH Corp. 200 10
*Office Depot Inc. 11,500 254
*Officemax Inc. 3,500 42
Ogden Corp. 1,500 40
Olsten Corp. 2,500 16
*Payless Shoesource Inc. 1,000 54
Pittston Brink's Group 1,300 35
<CAPTION>
MARKET
VALUE
COMMON STOCK (92.1%) SHARES (000'S)
- --------------------------------------------------------------
<S> <C> <C>
CONSUMER CYCLICAL (CONTINUED)
*Promus Hotel Corp. 2,700 $ 84
The Reader's Digest Association, Inc. 3,300 131
*Robert Half International, Inc. 2,800 73
Rollins Inc. 900 14
Ross Stores Inc. 1,400 71
*Saks Incorporated 4,500 130
*Scholastic Corp. 500 24
*Shaw Industries Inc. 4,400 73
*Snyder Communications Inc. 2,100 69
Sotheby's Holdings 1,800 69
Southdown Inc. 1,200 76
Stewart Enterprises, Inc. 3,400 50
Superior Industries International 900 25
*Sylvan Learning Systems Inc. 1,600 44
*Tech Data Corp. 1,600 61
Tiffany & Co. 1,100 105
*Unifi Inc. 1,900 40
USG Corp. 1,500 84
Viad Corp. 3,100 96
Warnaco Group 1,900 51
Washington Post 300 161
Wellman Inc. 1,000 16
Westpoint Stevens Inc. 1,800 54
----------
TOTAL 5,720
----------
CONSUMER STAPLES (7.2%)
Banta Corp. 900 19
Bergen Brunswig Corp. 4,200 72
Bob Evans Farms, Inc. 1,300 26
*Brinker International Inc. 2,000 54
*Buffets Inc. 1,400 16
Carter-Wallace Inc. 1,400 25
CBRL Group Inc. 1,900 33
*Chris-Craft Industries Inc. 1,000 47
Church & Dwight Inc. 600 26
Dean Foods Co. 1,300 54
Dial Corp. 3,200 119
Dole Food Company 1,800 53
Dreyer's Grand Ice Cream Inc. 800 12
Flowers Industries Inc. 3,100 67
Hannaford Brothers Co. 1,300 69
*Hispanic Broadcasting Corp. 1,500 114
Hormel Foods Corp. 2,300 93
IBP Inc. 2,900 69
International Multifoods Corp. 600 14
Interstate Bakeries 2,200 49
The J.M. Smucker Company 900 20
Lance Inc. 900 14
*Lone Star Steakhouse & Saloon 1,100 11
Mccormick & Co. 2,300 73
*Outback Steakhouse Inc. 2,300 90
*Papa John's International Inc. 900 40
</TABLE>
--
17
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (92.1%) SHARES (000'S)
- --------------------------------------------------------------
CONSUMER STAPLES (CONTINUED)
<S> <C> <C>
*Perrigo Company 2,300 $ 17
*RJ Reynolds Tobacco Holdings Inc. 3,400 107
Ruddick Corp. 1,400 28
*Sbarro Inc. 600 16
*Starbucks Corp. 5,600 210
*Suiza Foods Corp. 1,100 46
TCA Cable TV Inc. 1,500 83
Tyson Foods Inc. 7,200 162
*U.S. Foodservice 1,500 64
Universal Foods Corp. 1,600 34
*Univision Communications Inc. 2,800 185
*Vlasic Foods International 1,400 10
Whitman Corp. 2,800 50
----------
TOTAL 2,291
----------
ENERGY (3.9%)
*BJ Services Company 2,200 65
Ensco International Inc. 4,300 86
*Global Marine Inc. 5,400 83
Murphy Oil Corp. 1,400 68
*Nabors Industries, Inc. 3,300 81
Noble Affiliates Inc. 1,800 51
*Noble Drilling Corp. 4,100 81
*Ocean Energy Inc. 5,100 49
Pennzoil-Quaker State Company 2,400 36
Pioneer Natural Resources Co. 3,100 34
*Ranger Oil Limited 3,900 19
*Santa Fe Snyder Corp. 5,300 40
*Smith International Inc. 1,500 65
Tidewater Inc. 1,700 52
Tosco Corporation 4,800 125
Transocean Offshore Inc. 3,100 81
Ultramar Diamond Shamrock Corp. 2,700 59
Valero Energy Corp. 1,700 36
*Varco International Inc. 2,000 22
*Weatherford International, Inc. 3,200 117
----------
TOTAL 1,250
----------
FINANCE (11.0%)
A.G. Edwards, Inc. 2,900 94
Allmerica Financial Corp. 1,800 109
Ambac Financial Group, Inc. 2,200 126
American Financial Group Inc. 1,900 65
Associated Banc-Corp 2,000 83
Astoria Financial Corporation 1,700 75
CCB Financial Corp. 1,300 69
Charter One Financial Inc. 5,200 145
City National Corp. 1,400 52
Dime Bancorp, Inc. 3,600 72
*E*TRADE Group Inc. 7,100 284
Everest Reinsurance Hldgs 1,600 52
Finova Group Inc. 1,900 100
First Security Corp/Del 5,900 161
<CAPTION>
MARKET
VALUE
COMMON STOCK (92.1%) SHARES (000'S)
- --------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
First Tennessee National Corp. 4,000 $ 153
First Virginia Banks Inc. 1,600 79
GreenPoint Financial Corp. 3,300 108
Hibernia Corp. 4,900 77
Horace Mann Educators 1,300 35
HSB Group Inc. 900 37
Keystone Financial Inc. 1,600 47
Marshall & Ilsley Corp. 3,300 212
Mercantile Bankshares Corp. 2,200 78
North Fork Bancorporation 4,400 94
Old Kent Financial Corp. 3,465 145
OLD Republic International Corp. 4,200 73
Pacific Century Finl Corp. 2,500 54
PMI Group Inc. (The) 900 57
Protective Life Corp. 2,000 66
Provident Financial Group IN 1,300 57
Reliastar Financial Corp. 2,800 123
Sovereign Bancorp Inc. 5,000 61
TCF Financial Corp. 2,700 75
T. Rowe Price Associates, Inc. 3,700 142
Westamerica Bancorporation 1,200 44
Wilmington Trust Corporation 1,000 57
Zions Bancorporation 2,400 152
----------
TOTAL 3,513
----------
HEALTHCARE (8.1%)
*Acuson Corp. 900 15
*Apria Healthcare Group Inc. 1,600 27
Beckman Coulter Inc. 900 44
*Beverly Enterprises Inc. 3,200 26
*Biogen Inc. 4,600 296
*Centocor Inc. 2,200 103
*Chiron Corp. 5,600 116
*Concentra Managed Care Inc. 1,500 22
*Covance Inc. 1,800 43
Dentsply International Inc. 1,600 45
*First Health Group Corp. 1,600 34
*Forest Laboratories, Inc. 2,600 120
*Foundation Health Systems 3,800 57
*Genzyme Corporation (General
Division) 2,500 121
*Gilead Sciences Inc. 1,000 52
*Health Management Associates Inc. 7,800 88
ICN Pharmaceuticals Inc-New 2,400 78
*Ivax Corp. 3,400 48
*Lincare Holdings, Inc. 1,800 45
*Medimmune Inc. 1,700 116
Mylan Laboratories 4,000 107
Omnicare Inc. 2,800 35
*Oxford Health Plans 2,500 39
*Pacificare Health Systems 1,400 101
*PSS World Medical, Inc. 2,200 25
</TABLE>
--
18
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (92.1%) SHARES (000'S)
- --------------------------------------------------------------
HEALTHCARE (CONTINUED)
<S> <C> <C>
*Quintiles Transnational Corp. 3,500 $ 147
*Quorum Health Group, Inc. 2,200 28
*Sepracor Inc. 900 73
*Steris Corp. 2,100 41
*Stryker Corp. 3,000 180
*Sybron International Corporation 3,200 88
*Total Renal Care Holdings 2,500 39
*Trigon Healthcare Inc. 1,300 47
*VISX, Inc. 1,900 150
----------
TOTAL 2,596
----------
TECHNOLOGY (19.5%)
*ADC Telecommunications Inc. 4,200 191
*Affiliated Computer Svcs Inc. 1,500 76
*Altera Corp. 6,000 221
*Analog Devices 5,000 251
*Arrow Electronics Inc. 3,000 57
*Atmel Corp. 3,100 81
Avnet Inc. 1,100 51
*Cadence Design Systems Inc. 7,600 97
*Cambridge Technology Partners Inc. 1,800 32
*Cirrus Logic Inc. 1,900 17
*Citrix Systems Inc. 2,700 153
Comdisco Inc. 4,700 120
*Comverse Technology, Inc. 2,100 158
*Concord EFS, Inc. 4,000 169
*Cypress Semiconductor Corp. 2,800 46
*Electronic Arts Inc. 1,900 103
*Fiserv, Inc. 3,850 121
*Genzyme Surgical Products 447 2
*Imation Corporation 1,200 30
*Informix Corp. 5,900 50
*Integrated Device Technology Inc. 2,700 29
*Intuit Inc. 1,900 171
*Investment Technology Group Inc. 900 29
*Keane Inc. 2,200 50
*Legato Systems Inc. 1,300 75
*Lexmark International Group Inc. 4,100 271
Linear Technology Corporation 4,700 316
*Litton Industries Inc. 1,400 100
*Maxim Integrated Products, Inc. 4,100 273
*Mentor Graphics Corp. 2,000 26
*Microchip Technology, Inc. 1,600 76
*NCR Corporation 3,000 146
*Network Associates Inc. 4,300 63
*NOVA Corporation 2,200 55
*Policy Management Systems CP 1,100 33
*QUALCOMM, Inc. 4,400 631
*Quantum Corporation 5,200 125
*Rational Software Corp. 2,700 89
*Sequent Computer Systems Inc. 1,400 25
*Siebel Systems Inc. 2,800 186
<CAPTION>
MARKET
VALUE
COMMON STOCK (92.1%) SHARES (000'S)
- --------------------------------------------------------------
<S> <C> <C>
TECHNOLOGY (CONTINUED)
*Sterling Commerce Inc. 3,000 $ 110
*Sterling Software, Inc. 2,600 69
*Storage Technology Corp. 3,100 71
*Structural Dynamics Research 1,100 20
*Sungard Data Systems Inc. 3,500 120
*Symantec Corp. 1,700 43
*Synopsys, Inc. 2,200 121
*Teradyne Inc. 2,600 187
*Veritas Software Corp. 2,600 247
*Vitesse Semiconductor Corp. 2,300 155
*Xilinx Inc. 4,500 258
----------
TOTAL 6,196
----------
TRANSPORTATION (1.1%)
1,500 42
*Alaska Airgroup Inc. 800 33
Alexander & Baldwin Inc. 1,400 31
Arnold Industries Inc. 800 12
CNF Transportation Inc. 1,500 58
Comair Holdings Inc. 3,000 62
Gatx Corp. 1,500 57
J.B. Hunt Transport Services, Inc. 1,100 18
Overseas Shipholding Group 1,100 14
*Wisconsin Central Transport 1,600 30
----------
TOTAL 357
----------
UTILITIES (8.8%)
AGL Resources Inc. 1,800 33
Allegheny Energy Inc. 3,800 122
Alliant Energy Corp. 2,400 68
American Water Works Inc. 2,500 77
Black Hills Corp. 700 16
Cleco Corporation 700 21
CMP Group Inc. 1,000 26
Conectiv Inc. 2,900 71
DPL Inc. 5,000 92
EL Paso Energy Corporation 3,700 130
Energy East Corp. 3,600 94
Florida Progress Corp. 3,000 124
Hawaiian Electric Inds 1,000 36
Idacorp Inc. 1,200 38
Illinova Corp. 2,200 60
Indiana Energy Inc. 900 19
Ipalco Enterprises Inc. 2,800 59
K N Energy, Inc. 2,100 28
Kansas City Power & Light 1,900 48
KeySpan Corporation 4,600 121
LG&E Energy Corp. 4,000 84
MCN Energy Group Inc. 2,500 52
*Midamerican Energy Holdings Co. 1,900 66
Minnesota Power Inc. 2,300 46
Montana Power Co. 1,700 120
National Fuel Gas Co. 1,200 58
</TABLE>
--
19
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (92.1%) SHARES (000'S)
- --------------------------------------------------------------
UTILITIES (CONTINUED)
<S> <C> <C>
Nevada Power Co. 1,600 $ 40
New England Electric System 1,900 95
NiSource Inc. 4,000 103
*Northeast Utilities 4,100 73
OGE Energy Corp. 2,500 59
Pinnacle West Capital Corp. 2,600 105
Potomac Electric Power 3,700 109
Public Service Company of New Mexico 1,300 26
Puget Sound Energy Inc. 2,600 62
Questar Corp. 2,600 50
Scana Corp. 3,200 75
Teco Energy Inc. 4,100 93
Utilicorp United Inc. 2,800 68
Washington Gas Light Co. 1,400 36
Wisconsin Energy Corporation 3,600 90
----------
TOTAL 2,793
----------
TOTAL COMMON STOCK 29,354
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
VALUE
MONEY MARKET INVESTMENTS (6.9%) PAR (000'S)
- --------------------------------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (0.9%)
Federal Farm Credit, 4.929%, 09/08/99 100,000 $ 99
Federal Home Loan Mortgage Corp., 4.839%, 08/31/99 100,000 99
#Federal Home Loan Mortgage Corp., 4.73%, 09/08/99 100,000 99
---------
TOTAL 297
---------
<CAPTION>
MARKET
VALUE
MONEY MARKET INVESTMENTS (6.9%) PAR (000'S)
- --------------------------------------------------------------------------------
<S> <C> <C>
PERSONAL CREDIT INSTITUTIONS (6.0%)
General Electric Capital Corporation, 5.699%, 07/01/99 1,900,000 $ 1,900
---------
TOTAL MONEY MARKET INVESTMENTS 2,197
---------
TOTAL INVESTMENTS (99.0%) (COST $30,104,146)^ 31,551
OTHER ASSETS, LESS LIABILITIES (1.0%) 334
---------
TOTAL NET ASSETS (100.0%) $ 31,885
---------
</TABLE>
* Non-Income Producing
#Partially held by the custodian in a segregated account as collateral for open
futures positions. Information regarding open futures contracts as of June 30,
1999 is summarized below:
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF EXPIRATION APPRECIATION
ISSUER CONTRACTS DATE (000'S)
- ----------------------------------------------------------------
<S> <C> <C> <C>
Midcap 400 Stock Index 10 9/99 51
(Total Notional Value
at 6/30/99, $2,046,250)
</TABLE>
^At June 30, 1999, the aggregate cost of securities for federal income tax
purposes was $30,104,146 and the net unrealized appreciation of investments
based on that cost was $1,446,856 which is comprised of $2,275,667 aggregate
gross unrealized appreciation and $828,811 aggregate gross unrealized
depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
20
<PAGE>
GROWTH STOCK PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
Long-term appreciation of Hold a diversified mix of high quality growth $574,190,000
capital with moderate risk stocks of medium and large companies with
above-average potential for earnings growth.
</TABLE>
GROWTH STOCK PORTFOLIO
The Growth Stock Portfolio is invested in high quality companies of large to
medium capitalization with strong financial characteristics and the ability to
generate internal growth. A key factor in stock selection is the choice of
industries with good earnings potential, based on analysis of economic trends to
determine their impact on various sectors of the economy. Stock selection is
made through "top down" analysis: first industry and market sector choices are
made based on the economic environment, and then the most promising companies
within each sector are selected as holdings. A strategy of this portfolio is to
go beyond the most familiar "blue chip" names to seek out medium-sized companies
with stock prices that do not yet reflect their potential for growth.
Diversification across 70 to 90 stocks in a wide range of industry groups
reduces the portfolio's risk profile.
The Growth Stock portfolio performed well in the first half of 1999, benefiting
from continued broad market strength and favorable industry weightings. The
Portfolio has a substantially overweighted position in consumer cyclicals, with
the emphasis on retailers; these holdings performed especially well, as consumer
spending remained very strong. Weakness in technology stocks in the spring
created an opportunity to add to holdings in this area. Media holdings including
The New York Times Company and Tribune Company recovered from weakness at the
end of 1998, as the market recognized these companies' ability to participate in
the growth of the internet and began to anticipate a big advertising year in
2000, with summer Olympics and a presidential election. Among individual stocks,
one of the best performers was Enron, an energy and communications company that
trades broadband line space and electricity. Finance holdings remain in an
underweighted position, in the belief that earnings growth of banks and other
financial services providers has peaked relative to other sectors.
Sector Allocation
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
TECHNOLOGY 17%
CONSUMER CYCLICALS 15%
CONSUMER STAPLES 12%
BASIC MATERIALS/ CAPITAL GOODS 10%
HEALTH CARE 8%
FINANCE 7%
ENERGY 4%
OTHER INDUSTRIES 11%
INDEX FUTURES 11%
CASH EQUIVALENTS 5%
</TABLE>
Top 10 Holdings
6/30/99
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
COMPANY % OF NET ASSETS
<S> <C>
INTERNATIONAL BUSINESS MACHINES CORPORATION 2.5%
MICROSOFT CORPORATION 2.5%
GENERAL ELECTRIC COMPANY 2.3%
AT&T CORPORATION 2.0%
KOHL'S CORPORATION 1.9%
ENRON CORP. 1.8%
CISCO SYSTEMS, INC. 1.7%
TYCO INTERNATIONAL LTD. 1.7%
HARLEY-DAVIDSON, INC. 1.6%
WAL-MART STORES, INC. 1.6%
</TABLE>
Performance Relative to S&P 500 Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH STOCK PORTFOLIO S&P 500 INDEX
<S> <C> <C> <C> <C>
5/94 $10,000 $10,000
6/94 $9,884 $9,845
6/95 $11,626 $12,394
6/96 $14,694 $15,604
6/97 $18,707 $20,999
6/98 $24,730 $27,305
6/99 $29,581 $33,503
AVERAGE ANNUAL
TOTAL RETURN
FOR PERIODS ENDED
JUNE 30, 1999
ONE YEAR FIVE YEARS SINCE INCEPTION
Growth Stock Portfolio 19.62% 24.51% 23.40%
S&P 500 Index 22.70% 27.75% 26.41%
</TABLE>
The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of
500 selected common stocks, most of which are listed on the New York Stock
Exchange. The index is heavily weighted toward stocks with large market
capitalizations and represents approximately two-thirds of the total market
value of all domestic common stocks.
This chart assumes an initial investment of $10,000 made on 5/3/94
(commencement of operations). Returns shown include deductions for management
and other fund expenses, and reinvestment of all dividends. Returns exclude
deductions for separate account sales loads and account fees. Past performance
is not predictive of future performance. Investment return and principal value
will fluctuate, so that your shares, when redeemed, may be worth more or less
than their original cost. Total returns, which reflect deduction of charges for
the separate account, are shown on page 2.
--
21
<PAGE>
GROWTH STOCK PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (83.3%) SHARES (000'S)
- --------------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS (1.6%)
Ecolab, Inc. 203,900 $ 8,895
-----------
CAPITAL GOODS (8.1%)
AlliedSignal, Inc. 69,400 4,372
Avery Dennison Corporation 91,400 5,518
Emerson Electric Co. 61,800 3,886
General Electric Company 114,500 12,939
*Republic Services, Inc. 215,600 5,336
Tyco International Ltd. 100,600 9,532
Waste Management, Inc. 87,400 4,698
-----------
TOTAL 46,281
-----------
COMMUNICATION SERVICES (5.1%)
AT&T Corporation 209,962 11,719
GTE Corporation 82,900 6,280
*MCI WorldCom, Inc. 99,500 8,582
*Nextel Communications, Inc. 58,000 2,911
-----------
TOTAL 29,492
-----------
CONSUMER CYCLICAL (14.6%)
*Barnes & Noble, Inc. 141,000 3,860
*barnesandnoble.com inc. 81,400 1,465
Borg-Warner Automotive, Inc. 48,900 2,690
Centex Corporation 66,000 2,479
*Costco Companies, Inc. 31,300 2,506
Dayton Hudson Corporation 67,000 4,355
Ford Motor Company 93,000 5,249
Gap, Inc. 19,950 1,005
Harley-Davidson, Inc. 171,500 9,325
Home Depot, Inc. 119,500 7,700
*Kohl's Corporation 140,600 10,853
Lennar Corporation 45,600 1,094
Maytag Corporation 13,000 906
McGraw-Hill Companies Inc. 96,200 5,189
The New York Times Company 129,200 4,756
Servicemaster Co. 245,250 4,598
Tribune Company 76,000 6,622
Wal-Mart Stores, Inc. 193,000 9,312
-----------
TOTAL 83,964
-----------
CONSUMER STAPLES (12.3%)
Anheuser-Busch Companies, Inc. 65,900 4,675
Benckiser N.V. 78,000 4,183
Campbell Soup Company 52,800 2,449
Dial Corp. 208,700 7,761
Hershey Foods Corporation 40,000 2,375
*Keebler Foods Co. 108,100 3,284
Kimberly-Clark Corporation 40,000 2,280
McDonald's Corporation 160,400 6,627
PepsiCo, Inc. 197,100 7,625
The Pepsi Bottling Group, Inc. 163,500 3,771
Procter & Gamble Company 76,000 6,783
The Quaker Oats Company 65,600 4,354
Unilever N.V. 45,624 3,182
<CAPTION>
MARKET
VALUE
COMMON STOCK (83.3%) SHARES (000'S)
- --------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (CONTINUED)
Walgreen Company 262,400 $ 7,708
Walt Disney Company 124,300 3,830
-----------
TOTAL 70,887
-----------
ENERGY (4.1%)
BP Amoco Plc 45,000 4,883
Chevron Corporation 23,000 2,189
Conoco, Inc. 137,000 3,819
Exxon Corporation 26,800 2,067
Mobil Corporation 53,000 5,247
Schlumberger Limited 37,000 2,356
Texaco Inc. 38,000 2,375
Transocean Offshore Inc. 26,400 693
-----------
TOTAL 23,629
-----------
FINANCE (7.0%)
Ambac Financial Group, Inc. 66,000 3,770
Bank of America Corp. 52,501 3,849
Bank of New York Company, Inc. 133,300 4,890
Chase Manhattan Corporation 94,880 8,219
Citigroup, Inc. 73,200 3,477
Fifth Third Bankcorp 73,300 4,879
Goldman Sachs Group Inc. 25,500 1,842
Morgan Stanley, Dean Witter,
Discover & Co. 68,700 7,042
U.S. Bancorp 60,000 2,040
-----------
TOTAL 40,008
-----------
HEALTHCARE (7.7%)
Bristol-Myers Squibb Company 116,500 8,206
Eli Lilly & Company 46,900 3,359
*Guidant Corporation 51,600 2,654
Johnson & Johnson 49,100 4,812
Medtronic, Inc. 82,900 6,456
Merck & Co., Inc. 97,400 7,208
Pfizer, Inc. 65,400 7,178
Pharmacia & Upjohn Inc. 35,000 1,988
Warner-Lambert Company 38,600 2,678
-----------
TOTAL 44,539
-----------
TECHNOLOGY (17.1%)
*America Online, Inc. 38,800 4,287
*Cisco Systems, Inc. 155,200 10,010
*Concord EFS, Inc. 31,700 1,341
*DST Systems, Inc. 41,200 2,590
Electronic Data Systems Corporation 148,000 8,371
*EMC Corporation 43,800 2,409
*Fiserv, Inc. 236,475 7,404
Hewlett-Packard Company 67,800 6,813
Intel Corporation 74,600 4,438
International Business Machines
Corporation 110,800 14,320
Lucent Technologies, Inc. 82,684 5,576
</TABLE>
--
22
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (83.3%) SHARES (000'S)
- --------------------------------------------------------------
TECHNOLOGY (CONTINUED)
<S> <C> <C>
*Microsoft Corporation 157,400 $ 14,196
Nortel Networks Corporation 56,000 4,862
*Sun Microsystems, Inc. 39,400 2,714
Texas Instruments, Incorporated 29,000 4,205
W.W. Grainger, Inc. 85,000 4,574
-----------
TOTAL 98,110
-----------
TRANSPORTATION (3.9%)
*AMR Corporation 73,900 5,044
Canadian National Railway Company 82,500 5,528
*FDX Corporation 57,000 3,092
*Midwest Express Holdings, Inc. 125,400 4,264
Southwest Airlines Co. 143,850 4,477
-----------
TOTAL 22,405
-----------
UTILITIES (1.8%)
Enron Corp. 126,000 10,301
-----------
TOTAL COMMON STOCK 478,511
-----------
</TABLE>
<TABLE>
<CAPTION>
MONEY MARKET INVESTMENTS (16.9%)
- --------------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (0.7%)
#Federal Home Loan Mortgage Corp.,
4.84%, 08/31/99 100,000 $ 99
#Federal Home Loan Mortgage Corp.,
4.73%, 09/08/99 3,500,000 3,464
#Federal National Mortgage
Association, 4.93%, 09/10/99 200,000 198
-----------
TOTAL 3,761
-----------
MISCELLANEOUS BUSINESS CREDIT INSTITUTIONS (3.0%)
#Quincy Capital Corporation, 4.92%,
07/09/99 17,400,000 17,381
-----------
PERSONAL CREDIT INSTITUTIONS (9.7%)
General Electric Capital Corporation,
5.70%, 07/01/99 8,800,000 8,800
# Household Finance Company, 4.97%,
07/14/99 22,000,000 21,961
<CAPTION>
MARKET
VALUE
MONEY MARKET INVESTMENTS (16.9%) PAR (000'S)
- --------------------------------------------------------------
<S> <C> <C>
PERSONAL CREDIT INSTITUTIONS (CONTINUED)
Variable Funding Capital Corp.,
5.15%, 07/26/99 25,000,000 $ 24,911
-----------
TOTAL 55,672
-----------
PHONE COMMUNICATIONS (3.5%)
U.S. West Communications, 5.1%
07/20/99 19,946
-----------
TOTAL MONEY MARKET INVESTMENTS 96,760
-----------
TOTAL INVESTMENTS (100.2%) (COST
$402,426,571)^ 575,271
OTHER ASSETS, LESS LIABILITIES
(-0.2%) (1,081 )
-----------
TOTAL NET ASSETS (100.0%) $ 574,190
-----------
</TABLE>
* Non-Income Producing
ADR-American Depository Receipt
#Partially held by the custodian in a segregated account as collateral for open
futures positions. Information regarding open futures contracts as of June 30,
1999 is summarized below:
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF EXPIRATION APPRECIATION
ISSUER CONTRACTS DATE (000'S)
- ----------------------------------------------------------------
<S> <C> <C> <C>
S&P 500 Stock Index 189 9/99 $2,454
(Total Notional Value at
6/30/99, $62,831,063)
</TABLE>
^At June 30, 1999, the aggregate cost of securities for federal income tax
purposes was $402,426,571 and the net unrealized appreciation of investments
based on that cost was $172,844,211 which was comprised of $174,443,590
aggregate gross unrealized appreciation and $1,599,379 aggregate gross
unrealized depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
23
<PAGE>
GROWTH & INCOME STOCK PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
Long-term growth of capital and Actively manage a portfolio of equity $677,942,000
income, consistent with securities with a goal of exceeding the total
moderate investment risk return of the S&P 500 Index.
</TABLE>
GROWTH AND INCOME STOCK PORTFOLIO
The Growth and Income Portfolio invests mainly in large-capitalization stocks,
with a focus on seeking the best values in the market based on long-term
earnings forecasts. A sector balance similar to that of the S&P 500 Index is
normally maintained, with the emphasis on undervalued stocks within each
industry group; a valuation discipline mandates the sale of stocks regarded as
overvalued. More focus is placed on capital appreciation and dividend growth
than on current dividends. The Portfolio is normally fully invested in equity
securities.
During the first half of 1999, and especially in the second quarter, the Growth
and Income Portfolio benefited from a rather dramatic change in the market
environment. Through most of the current bull market, the extraordinary returns
of the major market averages have been driven almost entirely by a relatively
small number of large growth companies and technology issues. In April of this
year, the market's strength broadened to include energy and basic industry
stocks, as well as smaller stocks; in the second quarter, the top 50 stocks in
the S&P posted total return less than half that of the next 450 names. The
change in the tenor of the market can be attributed to two factors: economic
recovery in Asia, which stimulated demand for energy and capital goods; and
higher interest rates in the United States, which caused investors to question
the very high price-earnings ratios carried by some stocks. This change was
highly positive for the portfolio's value-oriented investment style.
At June 30, the Portfolio's largest holding, and also the most significant
contributor to its strong performance, was Tyco International Ltd., a rapidly
growing diversified company that is often compared to General Electric.
Long-term holdings in Union Pacific and Starwood also proved successful, as
these companies began to realize the potential that the portfolio managers had
seen in them. Energy and chemical names were also among the strong performers,
while finance holdings were less successful.
The Growth and Income Stock Portfolio is managed for Northwestern Mutual by J.
P. Morgan Investment Management, Inc.
Sector Allocation
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
TECHNOLOGY 18%
FINANCE 17%
BASIC MATERIALS/CAPITAL GOODS 17%
OTHER INDUSTRIES 12%
CONSUMER STAPLES 11%
CONSUMER CYCLICALS 11%
HEALTH CARE 9%
ENERGY 5%
</TABLE>
Top 10 Holdings
6/30/99
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
COMPANY % OF NET ASSETS
<S> <C>
TYCO INTERNATIONAL LTD. 3.8%
BANK OF AMERICA CORPORATION 3.6%
MCI WORLDCOM, INC 3.2%
MICROSOFT CORPORATION 3.1%
WASTE MANAGEMENT, INC. 3.0%
CISCO SYSTEMS, INC. 2.9%
INTERNATIONAL BUSINESS MACHINES CORPORATION 2.7%
PHILIP MORRIS COMPANIES, INC. 2.6%
PROCTER & GAMBLE COMPANY 2.5%
SBC COMMUNICATIONS, INC. 2.4%
</TABLE>
Performance Relative to S&P 500 Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH & INCOME STOCK
PORTFOLIO S&P 500 INDEX
<S> <C> <C> <C>
5/03/94 $10,000 $10,000
6/30/94 $9,784 $9,845
6/30/95 $11,754 $12,394
6/30/96 $14,099 $15,604
6/30/97 $18,641 $20,999
6/30/98 $23,288 $27,305
6/30/99 $27,927 $33,503
AVERAGE ANNUAL TOTAL RETURN
FOR PERIODS ENDED JUNE 30, 1999
ONE YEAR FIVE YEARS SINCE INCEPTION #
Growth & Income Stock Portfolio 19.92% 23.34% 22.03%
S&P 500 Index 22.70% 27.75% 26.41%
INCEPTION DATE OF 5/3/94.
</TABLE>
The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of
500 selected common stocks, most of which are listed on the New York Stock
Exchange. The index is heavily weighted toward stocks with large market
capitalizations and represents approximately two-thirds of the total market
value of all domestic common stocks.
This chart assumes an initial investment of $10,000 made on 5/3/94
(commencement of operations). Returns shown include deductions for management
and other fund expenses, and reinvestment of all dividends. Returns exclude
deductions for separate account sales loads and account fees. Past performance
is not predictive of future performance. Investment return and principal value
will fluctuate, so that your shares, when redeemed, may be worth more or less
than their original cost. Total returns, which reflect deduction of charges for
the separate account, are shown on page 2.
--
24
<PAGE>
GROWTH & INCOME STOCK PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET VALUE
COMMON STOCK (99.6%) SHARES (000'S)
- -------------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS (6.2%)
Allegheny Teledyne, Inc. 289,300 $ 6,545
Monsanto Company 279,600 11,027
Rohm and Haas Company 268,500 11,512
*Smurfit-Stone Container
Corporation 184,834 3,801
USEC Inc. 593,900 8,834
------------
TOTAL 41,719
------------
CAPITAL GOODS (11.0%)
*Allied Waste Industries Inc. 316,800 6,257
*Coltec Industries, Inc. 93,100 2,019
Cooper Industries, Inc. 130,300 6,776
*Republic Services, Inc. 561,600 13,900
Tyco International Ltd. 268,899 25,478
Waste Management, Inc. 381,317 20,496
------------
TOTAL 74,926
------------
COMMUNICATION SERVICES (8.3%)
AT&T Corporation 108,800 6,072
Bell Atlantic Corporation 62,900 4,112
GTE Corporation 92,100 6,977
*Level 3 Communications, Inc. 26,900 1,616
*MCI WorldCom, Inc. 247,306 21,330
SBC Communications, Inc. 276,000 16,008
------------
TOTAL 56,115
------------
CONSUMER CYCLICALS (10.6%)
*Abercrombie & Fitch Co. 60,700 2,913
*Autozone, Inc. 42,600 1,283
*Cendant Corporation 316,800 6,494
Dayton Hudson Corporation 59,800 3,887
*Federated Department Stores,
Inc. 114,900 6,083
*Fruit of the Loom, Inc. 425,800 4,152
International Game Technology 239,800 4,436
*Jones Apparel Group, Inc. 48,900 1,678
*Lear Corporation 85,400 4,249
Mattel, Inc. 398,800 10,543
*Mirage Resorts, Incorporated 162,400 2,720
The News Corporation Limited 66,300 2,341
Service Corporation
International 270,700 5,211
Starwood Hotels & Resorts
Worldwide, Inc. 95,896 2,931
TJX Companies, Inc. 172,900 5,760
Wal-Mart Stores, Inc. 150,500 7,262
------------
TOTAL 71,943
------------
CONSUMER STAPLES (11.4%)
Gillette Company 139,500 5,720
Kimberly-Clark Corporation 87,600 4,993
*The Kroger Co. 272,000 7,599
The Pepsi Bottling Group, Inc. 77,400 1,785
PepsiCo, Inc. 409,000 15,823
<CAPTION>
MARKET VALUE
COMMON STOCK (99.6%) SHARES (000'S)
- -------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (CONTINUED)
Philip Morris Companies, Inc. 434,700 $ 17,470
Procter & Gamble Company 186,400 16,636
The Seagram Company Ltd. 141,500 7,128
------------
TOTAL 77,154
------------
ENERGY (5.0%)
*Input/Output, Inc. 732,300 5,537
Mobil Corporation 117,300 11,613
Shell Transport & Trading
Company ADR 214,400 9,943
Tosco Corporation 261,800 6,790
------------
TOTAL 33,883
------------
FINANCE (17.1%)
Aon Corporation 183,200 7,556
Bank of America Corporation 332,243 24,358
The CIT Group, Inc. 120,300 3,474
Dime Bancorp, Inc. 121,400 2,443
Fannie Mae 60,300 4,123
First Union Corporation 241,500 11,351
KeyCorp 217,700 6,994
Marsh & McLennan Companies,
Inc. 121,350 9,162
Newcourt Credit Group Inc. 544,800 7,048
Provident Companies, Inc. 165,100 6,604
U.S. Bancorp 237,500 8,075
NUM Corporation 204,200 11,180
Washington Mutual, Inc. 270,700 9,576
XL Capital Ltd. 76,500 4,322
------------
TOTAL 116,266
------------
HEALTHCARE (8.6%)
*Alza Corporation 46,300 2,356
American Home Products
Corporation 150,500 8,654
Bristol-Myers Squibb Company 106,700 7,516
Eli Lilly and Company 76,400 5,472
*Forest Laboratories, Inc. 241,500 11,169
*Genzyme Corporation (General
Division) 110,000 5,335
*HEALTHSOUTH Corporation 709,700 10,601
Warner-Lambert Company 106,700 7,402
------------
TOTAL 58,505
------------
TECHNOLOGY (17.6%)
*Applied Materials, Inc. 59,500 4,395
*Cisco Systems, Inc. 302,950 19,540
*Dell Computer Corporation 121,100 4,481
*EMC Corporation 169,400 9,317
*Genzyme Surgical Products 19,691 87
Intel Corporation 107,700 6,408
International Business Machines
Corporation 143,500 18,547
Lucent Technologies Inc. 61,215 4,128
</TABLE>
--
25
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET VALUE
COMMON STOCK (99.6%) SHARES (000'S)
- -------------------------------------------------------------
TECHNOLOGY (CONTINUED)
<S> <C> <C>
*Microsoft Corporation 233,600 $ 21,068
Motorola, Inc. 37,100 3,515
*Oracle Corporation 83,250 3,091
*Quantum Corporation 90,800 2,191
*Sun Microsystems, Inc. 168,500 11,605
Texas Instruments, Incorporated 74,300 10,774
------------
TOTAL 119,147
------------
TRANSPORTATION (2.1%)
CNF Transportation Inc. 75,900 2,913
Union Pacific Corporation 189,400 11,044
------------
TOTAL 13,957
------------
UTILITIES (1.7%)
Columbia Energy Group 105,700 6,626
Dominion Resources, Inc. 80,800 3,500
P P & L Resources, Inc. 38,200 1,174
------------
TOTAL 11,300
------------
TOTAL COMMON STOCK 674,915
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
VALUE
MONEY MARKET INVESTMENTS (0.4%) PAR (000'S)
- --------------------------------------------------------------
<S> <C> <C>
PERSONAL CREDIT INSTITUTIONS (0.4%)
General Electric Capital
Corporation, 5.70%, 7/1/99 2,100,000 $ 2,100
Variable Funding Capital Corp.,
5.05%, 7/21/99 900,000 897
-----------
TOTAL MONEY MARKET INVESTMENTS 2,997
-----------
TOTAL INVESTMENTS (100.0%) (COST
$599,204,145)^ 677,912
OTHER ASSETS, LESS LIABILITIES 30
-----------
TOTAL NET ASSETS (100.0%) $ 677,942
-----------
</TABLE>
* Non-Income Producing
ADR-American Depository Receipt
^At June 30, 1999, the aggregate cost of securities for federal income tax
purposes was $599,204,145 and the net unrealized appreciation of investments
based on that cost was $78,708,540 which is comprised of $111,211,211 aggregate
gross unrealized appreciation and $32,502,671 aggregate gross unrealized
depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
26
<PAGE>
INDEX 500 STOCK PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
Long-term capital appreciation Invest in a portfolio designed to approximate the $2,069,564,000
through cost-effective composition and returns of the S&P 500 Index.
participation in broad market
performance
</TABLE>
INDEX 500 STOCK PORTFOLIO
The Index 500 Stock Portfolio is designed to achieve results that approximate
the performance of the Standard & Poor's 500 Composite Stock Price Index. This
composite of 500 stocks of large U.S.-based companies, compiled by Standard &
Poor's Corporation, is generally regarded as a good proxy for the overall U.S.
equity market; the Portfolio therefore enables contract owners to participate in
overall performance of the U.S. equity market. The Portfolio continues to
achieve the objective of matching the results of the S&P 500 before expenses.
Sector Allocation
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
FINANCE 16%
CONSUMER STAPLES 13%
TECHNOLOGY 21%
BASIC MATERIALS/CAPITAL GOODS 12%
HEALTH CARE 10%
OTHER INDUSTRIES 13%
CONSUMER CYCLICAL 9%
ENERGY 6%
</TABLE>
Top 10 Holdings
6/30/99
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
COMPANY % OF NET ASSETS
<S> <C>
MICROSOFT CORPORATION 4.0%
GENERAL ELECTRIC COMPANY 3.3%
INTERNATIONAL BUSINESS MACHINES CORPORATION 2.1%
WAL-MART STORES, INC. 1.9%
CISCO SYSTEMS, INC. 1.8%
LUCENT TECHNOLOGIES, INC. 1.8%
INTEL CORPORATION 1.8%
EXXON CORPORATION 1.7%
MERCK & CO., INC. 1.6%
AT&T CORPORATION 1.6%
</TABLE>
Performance Relative to S&P 500 Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
INDEX 500 PORTFOLIO S&P 500 INDEX
<S> <C> <C> <C>
6/89 $10,000 $10,000
6/90 $10,731 $11,620
6/91 $11,750 $12,468
6/92 $12,878 $14,139
6/93 $14,477 $16,062
6/94 $14,618 $16,271
6/95 $18,406 $20,485
6/96 $23,172 $25,790
6/97 $31,151 $34,706
6/98 $40,511 $45,128
6/99 $49,787 $55,373
AVERAGE ANNUAL TOTAL RETURN
FOR PERIODS ENDED JUNE 30, 1999
ONE YEAR FIVE YEARS TEN YEARS
Index 500 Portfolio 22.90% 27.77% 17.41%
S&P 500 Index 22.70% 27.75% 18.67%
ACTIVELY MANAGED PRIOR TO 4/30/93
INDEXED ON 4/30/93
</TABLE>
On April 30, 1993, the Portfolio was indexed to approximate the performance of
the Standard & Poor's 500 Composite Stock Price Index. Before that date, the
Portfolio was actively managed.
The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index
of 500 selected common stocks, most of which are listed on the New York Stock
Exchange. The index is heavily weighted toward stocks with large market
capitalizations and represents approximately two-thirds of the total market
value of all domestic common stocks.
This chart assumes an initial investment of $10,000 made on 6/30/89. Returns
shown include deductions for management and other fund expenses, and
reinvestment of all dividends. Returns exclude deductions for separate account
sales loads and account fees. Past performance is not predictive of future
performance. Investment return and principal value will fluctuate, so that your
shares, when redeemed, may be worth more or less than their original cost. Total
returns, which reflect deduction of charges for the separate account, are shown
on page 2.
--
27
<PAGE>
INDEX 500 STOCK PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (99.2%) SHARES (000'S)
- ---------------------------------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS (3.3%)
Air Products & Chemicals, Inc. 41,800 $ 1,682
Alcan Aluminum Limited 41,500 1,325
Alcoa Inc. 67,000 4,146
Allegheny Teledyne, Inc. 35,835 811
Archer Daniels Midland Company 107,980 1,667
ASARCO, Inc. 7,000 132
Barrick Gold Corporation 68,100 1,319
*Battle Mountain Gold Company 40,300 98
Bemis Company, Inc. 9,600 382
*Bethlehem Steel Corporation 23,700 182
Boise Cascade Corporation 10,300 442
Champion International 17,400 833
Cyprus Amax Minerals Co. 16,550 251
Dow Chemical Company 40,400 5,126
E.I. du Pont de Nemours & Company 205,400 14,031
Eastman Chemical Company 14,425 746
Ecolab, Inc. 23,600 1,030
Engelhard Corp. 22,900 518
*FMC Corporation 6,000 410
*Freeport-McMoRan Copper & Gold, Inc. 30,200 542
Georgia Pacific Corp. 32,100 1,521
Great Lakes Chemical 10,800 497
Hercules Inc. 18,400 723
Homestake Mining Company 47,400 388
*Inco Limited 33,000 594
International Flavors & Fragrances, Inc. 19,400 861
International Paper Company 74,769 3,776
Louisiana Pacific Corporation 19,800 470
Mead Corp. 18,600 777
Monsanto Company 114,300 4,508
Nalco Chemical Company 11,900 617
Newmont Mining Corporation 30,480 606
Nucor Corp. 16,000 759
Phelps Dodge Corporation 10,600 657
Pioneer Hi-Bred International 43,700 1,702
Placer Dome Inc. 59,400 702
Potlatch Corporation 5,300 233
PPG Industries, Inc. 32,100 1,896
Praxair 28,800 1,409
Reynolds Metals Company 11,800 696
Rohm and Haas Company 38,713 1,660
Sigma-Aldrich Corp. 18,400 634
Temple-Inland Inc. 10,100 689
Union Carbide Corporation 24,200 1,180
USX-U.S. Steel Group, Inc. 16,100 435
*W.R. Grace & Co. 13,400 246
Westvaco Corporation 18,350 532
Weyerhaeuser Company 36,300 2,496
Willamette Industries, Inc. 20,200 930
Worthington Industries 16,850 277
---------
TOTAL 68,144
---------
<CAPTION>
MARKET
VALUE
COMMON STOCK (99.2%) SHARES (000'S)
- ---------------------------------------------------------------------------------
<S> <C> <C>
CAPITAL GOODS (8.4%)
AlliedSignal, Inc. 101,700 $ 6,407
Avery Dennison Corporation 21,200 1,280
The B.F. Goodrich Company 13,600 578
Ball Corporation 5,600 237
Boeing Company 171,176 7,564
Briggs & Stratton Corporation 4,300 248
Browning-Ferris Industries, Inc. 28,900 1,243
Case Corporation 13,500 650
Caterpillar, Inc. 65,400 3,924
Cooper Industries, Inc. 17,200 894
Corning, Inc. 44,500 3,121
Crane Co. 12,475 392
Crown Cork & Seal Company, Inc. 22,300 636
Cummins Engine Company, Inc. 7,600 434
Danaher Corporation 24,400 1,418
Deere & Company 43,500 1,724
Dover Corporation 40,700 1,425
Eaton Corporation 13,000 1,196
Emerson Electric Co. 79,800 5,017
Fluor Corporation 13,800 559
Foster Wheeler Corporation 7,100 100
General Dynamics Corporation 23,100 1,582
General Electric Company 597,900 67,563
Honeywell, Inc. 23,000 2,665
ITT Industries Inc. 16,600 633
Illinois Tool Works, Inc. 45,600 3,739
Ingersoll-Rand Company 30,000 1,939
Johnson Controls, Inc. 15,500 1,074
Lockheed Martin Corporation 71,608 2,667
McDermott International, Inc. 10,800 305
Milacron Inc. 7,000 130
Millipore Corp. 8,000 325
Minnesota Mining & Manufacturing Co. 73,300 6,373
NACCO Industries, Inc. 1,500 110
National Service Industries, Inc. 7,500 270
*Navistar International Corporation 12,100 605
Northrop Grumman Corporation 12,600 836
*Owens-Illinois, Inc. 28,300 925
PACCAR, Inc. 14,270 762
Pall Corporation 22,700 504
Parker-Hannifin Corporation 19,775 905
Pitney Bowes Inc. 49,700 3,193
Raychem Corp. 14,100 522
Rockwell International Corp. 34,600 2,102
*Sealed Air Corporation 15,271 991
*Solectron Corporation 45,900 3,061
Tenneco Inc. 31,000 740
Textron Inc. 28,900 2,379
*Thermo Electron Corporation 29,000 582
Thomas & Betts Corporation 10,400 491
Timken Company 11,300 220
Tyco International Ltd. 148,905 14,109
United Technologies Corp. 88,000 6,309
</TABLE>
--
28
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (99.2%) SHARES (000'S)
- ---------------------------------------------------------------------------------
CAPITAL GOODS (CONTINUED)
<S> <C> <C>
Waste Management, Inc. 109,185 $ 5,869
---------
TOTAL 173,527
---------
COMMUNICATION SERVICES (8.8%)
ALLTEL Corporation 50,200 3,589
Ameritech Corporation 200,500 14,737
AT&T Corporation 574,138 32,044
Bell Atlantic Corporation 283,184 18,513
Bellsouth Corporation 355,800 16,678
CenturyTel Inc. 25,200 1,002
Frontier Corporation 31,300 1,847
GTE Corporation 176,100 13,340
*MCI WorldCom, Inc. 334,482 28,849
*Nextel Communications, Inc. 52,500 2,635
SBC Communications, Inc. 356,898 20,700
Sprint Corporation 163,000 8,608
*Sprint PCS 80,250 4,584
U S WEST, Inc. 91,808 5,394
Vodafone AirTouch PLC 52,200 10,283
---------
TOTAL 182,803
---------
CONSUMER CYCLICAL (8.8%)
American Greetings Corp. 12,800 386
Armstrong World Industries Inc. 7,300 422
*Autozone, Inc. 27,400 825
Black & Decker Corporation 16,000 1,010
Brunswick Corporation 16,800 468
Carnival Corporation 111,800 5,422
*Cendant Corporation 140,154 2,873
Centex Corporation 10,900 409
Circuit City Stores, Inc. 18,300 1,702
*Consolidated Stores Corporation 20,000 540
Cooper Tire & Rubber Company 13,800 326
*Costco Companies, Inc. 39,807 3,187
Dana Corporation 30,300 1,396
Dayton Hudson Corporation 80,400 5,226
Delphi Automotive Systems Corporation 103,137 1,914
Dillard 's , Inc. 19,500 685
Dollar General Corp. 40,343 1,170
Dow Jones & Company, Inc. 17,100 907
Dun & Bradstreet Corporation 30,100 1,067
*Federated Department Stores, Inc. 38,300 2,028
Fleetwood Enterprises, Inc. 6,400 169
Ford Motor Company 220,800 12,461
*Fruit of the Loom, Inc. 13,200 129
Gannet Company Inc. 51,400 3,669
Gap, Inc. 156,075 7,862
General Motors Corp. 119,400 7,880
Genuine Parts Company 32,800 1,148
Goodyear Tire & Rubber Company 28,400 1,670
H & R Block, Inc. 17,800 890
Harcourt General 13,000 670
*Harrahs Entertainment 23,000 506
Hasbro Inc. 35,775 999
Hilton Hotels Corporation 47,600 675
<CAPTION>
MARKET
VALUE
COMMON STOCK (99.2%) SHARES (000'S)
- ---------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER CYCLICAL (CONTINUED)
Home Depot, Inc. 268,996 $ 17,333
IMS Health Incorporated 58,200 1,819
Interpublic Group of Cos. Inc. 25,400 2,200
J.C. Penney Company, Inc. 48,100 2,336
Jostens, Inc. 6,400 135
Kaufman & Broad Home Corp. 8,700 216
*Kmart Corporation 89,900 1,478
Knight-Ridder, Inc. 14,300 786
*Kohl's Corporation 28,900 2,231
Laidlaw Transportation Limited 60,200 444
The Limited, Inc. 38,574 1,750
Liz Claiborne, Inc. 11,800 431
Lowe's Companies, Inc. 67,800 3,843
Marriott International 44,300 1,656
Masco Corporation 61,900 1,787
Mattel, Inc. 75,988 2,009
May Department Stores Company 63,900 2,612
Maytag Corporation 16,400 1,143
McGraw-Hill Companies Inc. 35,900 1,936
Meredith Corporation 9,500 329
*Mirage Resorts, Incorporated 35,900 601
The New York Times Company 33,300 1,226
Nike, Inc. 51,600 3,267
Nordstrom, Inc. 25,900 868
Omnicom Group Inc. 30,800 2,464
Owens Corning 9,900 340
Pep Boys - Manny, Moe & Jack 9,600 208
Pulte Corporation 7,900 182
*Reebok International Ltd. 10,300 192
Russell Corp. 6,600 129
Sears Roebuck & Co. 69,900 3,115
Service Corporation International 49,900 961
Sherwin-Williams Company 31,400 871
Snap-On Inc. 11,950 432
Springs Industries, Inc. 3,300 144
The Stanley Works 16,200 521
*Staples, Inc. 84,100 2,602
Tandy Corporation 36,200 1,769
Times Mirror Company 13,200 782
TJX Companies, Inc. 59,000 1,965
*Toys "R" Us 45,800 947
Tribune Company 21,700 1,891
TRW, Inc. 21,800 1,196
VF Corporation 21,900 936
Wal-Mart Stores, Inc. 811,400 39,150
Whirlpool Corporation 13,900 1,029
---------
TOTAL 184,953
---------
CONSUMER STAPLES (12.6%)
Adolph Coors Co. 6,700 332
Alberto-Culver Company 10,400 277
Albertson's, Inc. 76,426 3,941
Anheuser-Busch Companies, Inc. 87,200 6,186
Avon Products, Inc. 47,900 2,658
BESTFOODS 52,100 2,579
Brown-Forman Corporation 12,500 815
</TABLE>
--
29
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (99.2%) SHARES (000'S)
- ---------------------------------------------------------------------------------
CONSUMER STAPLES (CONTINUED)
<S> <C> <C>
Campbell Soup Company 81,100 $ 3,761
Cardinal Health, Inc. 49,650 3,184
CBS Corporation 128,800 5,595
*Clear Channel Communications, Inc. 59,000 4,067
Clorox Company 21,400 2,286
The Coca-Cola Company 449,800 28,113
Coca Cola Enterprises Inc. 77,400 2,303
Colgate-Palmolive Co. 53,400 5,273
Comcast Corporation 134,900 5,185
Conagra, Inc. 89,300 2,378
CVS Corporation 71,100 3,608
Darden Restaurant, Inc. 25,100 547
Deluxe Corp. 14,700 572
Fort James Corporation 40,200 1,523
Fortune Brands, Inc. 31,200 1,291
General Mills, Inc. 28,000 2,251
Gillette Company 202,400 8,298
Great Atlantic & Pacific Tea Co., Inc. 7,000 237
H.J. Heinz Company 66,050 3,311
Hershey Foods Corporation 26,100 1,550
Kellogg Company 73,900 2,439
Kimberly-Clark Corporation 98,844 5,634
*King World Productions, Inc. 13,000 453
*The Kroger Co. 150,200 4,196
Longs Drug Stores Corp. 7,100 245
McDonald's Corporation 246,900 10,200
McKesson HBOC, Inc. 50,545 1,624
*MediaOne Group, Inc. 110,700 8,233
Nabisco Group Holdings Corp. 59,300 1,160
Newell Rubbermaid Inc. 51,232 2,382
PepsiCo, Inc. 267,700 10,357
Philip Morris Companies, Inc. 444,200 17,851
Procter & Gamble Company 242,300 21,625
The Quaker Oats Company 24,900 1,653
R.R. Donnelley & Sons Company 24,500 908
Ralston Purina Group 59,900 1,823
Rite Aid Corporation 47,200 1,162
*RJ Reynolds Tobacco Holdings Inc. 19,000 599
*Safeway Inc. 88,700 4,391
Sara Lee Corporation 166,400 3,775
The Seagram Company Ltd. 78,100 3,934
Supervalue Inc. 21,900 563
Sysco Corporation 60,700 1,810
Time Warner Inc. 223,900 16,457
*Tricon Global Restaurants, Inc. 27,790 1,504
Tupperware 10,500 268
Unilever N.V. 104,267 7,273
UST Incorporated 33,900 992
*Viacom, Inc. 126,912 5,584
Walgreen Company 182,200 5,352
Walt Disney Company 375,107 11,558
Wendy's International, Inc. 22,700 643
Winn-Dixie Stores, Inc. 27,100 1,001
<CAPTION>
MARKET
VALUE
COMMON STOCK (99.2%) SHARES (000'S)
- ---------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (CONTINUED)
Wm. Wrigley Jr. Company 21,200 $ 1,908
---------
TOTAL 261,678
---------
ENERGY (5.9%)
Amerada Hess Corporation 16,500 982
Anadarko Petroleum Corporation 23,100 850
Apache Corporation 20,200 788
Ashland, Inc. 13,600 546
Atlantic Richfield Company 59,500 4,972
Baker Hughes, Inc. 59,630 1,998
Burlington Resource, Inc. 32,320 1,398
Chevron Corporation 119,000 11,327
Exxon Corporation 443,600 34,213
Halliburton Company 80,200 3,629
Helmerich & Payne, Inc. 9,000 214
Kerr-McGee Corporation 15,805 793
Mobil Corporation 142,300 14,088
Occidental Petroleum Corporation 63,100 1,333
Phillips Petroleum Company 46,500 2,340
*Rowan Companies, Inc. 15,300 282
Royal Dutch Petroleum Co., ADR 391,200 23,570
Schlumberger Limited 99,600 6,343
Sunoco, Inc. 17,100 516
Texaco Inc. 97,500 6,094
Union Pacific Resource Group 45,792 747
Unocal Corp. 44,000 1,744
USX -Marathon Group 56,100 1,827
---------
TOTAL 120,594
---------
FINANCE (15.7%)
AFLAC INCORPORATED. 48,400 2,317
Allstate Corporation 149,728 5,371
American Express Company 82,600 10,748
American General Corporation 46,025 3,469
American International Group, Inc. 224,076 26,231
AmSouth Bancorporation 32,500 754
Aon Corporation 46,500 1,918
Associates First Capital Corporation 132,810 5,885
Banc One Corporation 214,586 12,781
Bank of America Corporation 315,776 23,150
Bank of New York Company, Inc. 138,800 5,092
BankBoston Corporation 54,100 2,766
BB&T Corporation 56,700 2,080
The Bear Stearns Companies, Inc. 20,360 952
Capital One Financial Corporation 35,900 1,999
The Charles Schwab Corporation 73,150 8,037
Chase Manhattan Corporation 154,312 13,367
The Chubb Corporation 29,700 2,064
CIGNA Corporation 37,700 3,355
Cincinnati Financial Corporation 30,500 1,146
Citigroup, Inc. 617,962 29,353
Comerica, Inc. 28,350 1,685
Conseco Inc. 58,437 1,779
Countrywide Credit Industries, Inc. 20,500 876
</TABLE>
--
30
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (99.2%) SHARES (000'S)
- ---------------------------------------------------------------------------------
FINANCE (CONTINUED)
<S> <C> <C>
Federal Home Loan Mortgage Corp. 123,800 $ 7,180
Fannie Mae 189,200 12,937
Fifth Third Bankcorp 48,575 3,233
First Union Corporation 180,752 8,495
Firstar Corporation 125,900 3,525
Fleet Financial Group Inc. 103,660 4,600
Franklin Resources Inc. 46,100 1,873
Golden West Financial Corporation 10,400 1,019
Hartford Financial Services Group Inc. 42,600 2,484
Household International Inc. 88,079 4,173
Huntington Bancshares, Inc. 38,440 1,345
J.P. Morgan & Company, Inc. 31,900 4,482
Jefferson-Pilot Corp. 19,350 1,281
KeyCorp 83,100 2,670
Lehman Brothers Holdings, Inc. 20,700 1,289
Lincoln National Corporation 36,800 1,925
Loews Corp. 20,700 1,638
Marsh & McLennan Companies, Inc. 46,950 3,545
MBIA, Inc. 18,100 1,172
MBNA Corp. 146,275 4,480
Mellon Bank Corporation 95,300 3,467
Mercantile Bancorp 28,700 1,639
Merrill Lynch & Co. 64,700 5,172
MGIC Investment Corp. 20,000 973
Morgan Stanley, Dean Witter, Discover & Co. 105,405 10,804
National City Corp. 59,500 3,897
Northern Trust Corp. 20,300 1,969
Paine Webber Group Inc. 26,100 1,220
PNC Bank Corp. 54,900 3,164
Progressive Corporation 13,200 1,914
Provident Companies, Inc. 24,700 988
Providian Financial Corporation 25,800 2,412
Regions Financial Corporation 40,400 1,553
Republic New York Corporation 19,600 1,336
SAFECO, Inc. 24,900 1,099
SLM Holding Corporation 30,200 1,384
SouthTrust Corporation 30,100 1,155
St. Paul Companies, Inc. 42,986 1,367
State Street Corporation 29,300 2,501
Summit Bancorp. 31,700 1,325
Suntrust Banks Inc. 58,500 4,062
Synovus Financial Corp. 48,750 969
Torchmark Corporation 25,600 874
Transamerica Corporation 22,800 1,710
U.S. Bancorp 132,931 4,520
Union Planters Corporation 25,100 1,122
UNUM Corporation 25,200 1,380
Wachovia Corporation 37,000 3,166
Washington Mutual, Inc. 108,236 3,829
Wells Fargo & Company 299,930 12,822
---------
TOTAL 324,314
---------
<CAPTION>
MARKET
VALUE
COMMON STOCK (99.2%) SHARES (000'S)
- ---------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (10.6%)
Abbott Laboratories Inc.. 276,900 $ 12,599
Aetna, Inc.. 26,063 2,331
Allergan Inc. 12,000 1,332
*Alza Corporation 18,200 926
American Home Products Corporation 240,500 13,829
*Amgen, Inc. 92,900 5,655
Bausch & Lomb, Inc. 10,200 780
Baxter International, Inc. 52,200 3,165
Becton, Dickinson & Company 45,400 1,362
Biomet, Inc. 20,500 815
*Boston Scientific Corp. 71,700 3,150
Bristol-Myers Squibb Company 362,600 25,541
Columbia/HCA Healthcare Corporation 117,800 2,687
C.R. Bard, Inc. 9,800 469
Eli Lilly & Company 200,600 14,368
*Guidant Corporation 55,000 2,829
*HCR Manor Care Inc. 20,200 489
*HEALTHSOUTH Corporation 77,200 1,153
*Humana, Inc. 30,500 395
Johnson & Johnson 245,300 24,039
Mallinckrodt, Inc. 13,000 473
Medtronic, Inc. 106,600 8,301
Merck & Co., Inc. 434,600 32,160
Pfizer, Inc. 236,800 25,989
Pharmacia & Upjohn Inc. 92,705 5,267
Schering-Plough Corporation 268,100 14,209
*St. Jude Medical, Inc. 15,400 549
*Tenet Healthcare Corp. 56,600 1,051
*United Healthcare Corp. 34,000 2,129
Warner-Lambert Company 149,900 10,399
*Watson Pharmaceutical Inc. 17,400 610
*Wellpoint Health Networks 12,300 1,044
---------
TOTAL 220,095
---------
TECHNOLOGY (21.3%)
*3COM Corporation 65,500 1,748
Adobe Systems, Inc. 11,100 912
*Advanced Micro Devices, Inc. 26,400 477
*America Online, Inc. 187,500 20,719
*Andrew Corporation 15,137 287
*Apple Computer, Inc. 29,000 1,343
*Applied Materials, Inc. 67,300 4,972
Autodesk, Inc. 10,800 319
Automatic Data Processing, Inc. 112,400 4,946
*BMC Software, Inc. 43,000 2,322
*Cabletron Systems, Inc. 31,400 408
*Ceridian Corp. 26,100 853
*Cisco Systems, Inc. 576,250 37,168
Compaq Computer Corporation 307,809 7,291
Computer Associates International, Inc. 98,312 5,407
*Computer Sciences Corp. 29,000 2,006
*Compuware Corporation 67,100 2,135
*Data General Corporation 8,800 128
</TABLE>
--
31
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (99.2%) SHARES (000'S)
- ---------------------------------------------------------------------------------
TECHNOLOGY (CONTINUED)
<S> <C> <C>
*Dell Computer Corp. 464,300 $ 17,179
EG&G, Inc. 8,200 292
Eastman Kodak Company 59,100 4,004
Electronic Data Systems Corporation 89,900 5,085
*EMC Corporation 183,100 10,071
Equifax, Inc. 26,900 960
First Data Corporation 80,800 3,954
*Gateway Inc. 28,500 1,682
*General Instrument Corporation 30,500 1,296
Harris Corporation 14,400 564
Hewlett-Packard Company 185,200 18,613
Ikon Office Solutions 26,900 404
Intel Corporation 608,300 36,194
International Business Machines Corporation 336,800 43,531
*KLA- Tencor Corporation 16,000 1,038
*LSI Logic Corp. 25,800 1,190
Lucent Technologies, Inc. 547,600 36,929
*Micron Technology 45,200 1,822
*Microsoft Corporation 920,800 83,045
Motorola, Inc. 109,500 10,375
*National Semiconductor Corporation 30,500 772
Nortel Networks Corporation 121,100 10,513
*Novell, Inc. 61,600 1,632
*Oracle Corporation 262,650 9,751
*Parametric Technology Company 48,800 677
Paychex, Inc. 44,750 1,426
PE Corp.-PE Biosystems Group 9,100 1,044
*Peoplesoft, Inc. 42,500 733
Polaroid Corporation 8,000 221
Raytheon Company- Class B 61,500 4,328
Scientific-Atlanta, Inc. 13,800 497
*Seagate Technology Inc. 44,500 1,140
Shared Medical Systems Corp. 4,900 320
*Silicon Graphics 34,200 560
*Sun Microsystems, Inc. 140,600 9,684
Tektronix, Inc. 8,550 258
*Tellabs, Inc. 70,900 4,790
Texas Instruments, Incorporated 71,200 10,324
*Unisys Corporation 47,600 1,853
W.W. Grainger, Inc. 17,300 931
Xerox Corporation 119,700 7,070
---------
TOTAL 440,193
---------
TRANSPORTATION (1.0%)
*AMR Corporation 33,300 2,273
Burlington Northern Santa Fe 85,620 2,654
CSX Corporation 39,600 1,794
Delta Air Lines Inc. 25,800 1,487
*FDX Corporation 54,020 2,931
Kansas City Southern Industries, Inc. 20,000 1,276
Norfolk Southern Corporation 69,200 2,085
<CAPTION>
MARKET
VALUE
COMMON STOCK (99.2%) SHARES (000'S)
- ---------------------------------------------------------------------------------
<S> <C> <C>
TRANSPORTATION (CONTINUED)
Ryder System, Inc. 13,100 $ 341
Southwest Airlines Co. 61,400 1,911
Union Pacific Corporation 45,100 2,630
*USAir Group, Inc. 15,900 693
---------
TOTAL 20,075
---------
UTILITIES (2.8%)
*The AES Corporation 34,700 2,017
Ameren Corporation 25,000 959
American Electric Power Co. Inc. 34,900 1,311
Carolina Power & Light Company 27,600 1,181
Central & South West Corporation 38,800 907
Cinergy Corporation 28,917 925
CMS Energy Corp. 21,400 896
Coastal Corp. 38,800 1,552
Columbia Energy Group 15,250 956
Consolidated Edison Co. of New York 42,500 1,923
Consolidated Natural Gas Company 17,500 1,063
Constellation Energy Group Inc. 27,200 805
Dominion Resources Inc. 35,600 1,542
DTE Energy Company 26,500 1,060
Duke Energy Corp. 66,065 3,592
Eastern Enterprises 4,100 163
Edison International 64,400 1,722
Enron Corporation 64,000 5,232
Entergy Corporation 45,000 1,406
FirstEnergy Corporation 43,300 1,342
FPL Group, Inc. 33,000 1,802
GPU, Inc. 23,300 983
New Century Energies, Inc. 20,900 811
*Niagra Mohawk Power Corporation 34,200 549
Nicor, Inc. 8,700 331
Northern States Power Company 27,800 672
ONEOK, Inc. 5,800 184
P P & L Resources, Inc. 27,634 849
PacifiCorp 54,300 997
PECO Energy Company 40,900 1,713
Peoples Energy Corporation 6,500 245
PG&E Corp. 69,800 2,269
Public Service Enterprise Group, Inc. 40,700 1,663
Reliant Energy, Inc. 51,862 1,433
Sempra Energy 43,802 991
Sonat Inc. 20,100 666
Southern Company 127,200 3,371
Texas Utilities Company 51,515 2,125
UNICOM Corp. 39,600 1,527
Williams Companies Inc. 78,000 3,320
---------
TOTAL 57,055
---------
TOTAL COMMON STOCK 2,053,431
---------
</TABLE>
--
32
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
MONEY MARKET INVESTMENTS (0.7%) PAR (000'S)
- ---------------------------------------------------------------------------------
FEDERAL GOVERNMENT AND AGENCIES (0.3%)
<S> <C> <C>
Federal Home Loan Mortgage Corp., 4.88%, 09/02/99 500,000 $ 495
Federal Home Loan Mortgage Corp., 4.73%, 09/08/99 5,000,000 4,949
---------
TOTAL 5,444
---------
PERSONAL CREDIT INSTITUTIONS (0.4%)
General Electric Capital Corporation, 5.70%, 07/01/99 4,500,000 4,500
Household Finance Company, 4.97%, 07/14/99 4,500,000 4,492
---------
TOTAL 8,992
---------
TOTAL MONEY MARKET INVESTMENTS 14,436
---------
TOTAL INVESTMENTS (99.9%)
(COST $1,132,968,236)^ 2,067,867
OTHER ASSETS, LESS LIABILITIES (0.1%) 1,697
---------
TOTAL NET ASSETS (100.0%) $2,069,564
---------
</TABLE>
* Non-Income Producing
ADR-American Depository Receipt
# Partially held by the custodian in a segregated account as collateral for
open futures positions. Information regarding open futures contracts as of
June 30, 1999 is summarized below:
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF EXPIRATION APPRECIATION
ISSUER CONTRACTS DATE (000'S)
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
S&P 500 Stock Index 42 9/99 $ 453
(Total Notional Value
at 6/30/99,
$14,054,800)
</TABLE>
^ At June 30, 1999, the aggregate cost of securities for federal income tax
purposes was $1,132,968,236 and the net unrealized appreciation of
investments based on that cost was $934,899,475 which is comprised of
$953,401,949 aggregate gross unrealized appreciation and $18,502,474
aggregate gross unrealized depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
33
<PAGE>
BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
A high level of current income and Achieve consistent returns and low volatility by $3,509,742,000
capital growth with a low risk diversifying among assets
profile
</TABLE>
BALANCED PORTFOLIO
In order to capitalize on changing financial market and economic conditions, the
Balanced Portfolio's asset allocation is adjusted as appropriate among three
investment classes: stocks, bonds and money market instruments. The equity
portion of the Portfolio is indexed, meaning that the Portfolio is designed to
achieve results that approximate the performance of the Standard & Poor's 500
Composite Stock Price Index, which is generally regarded as a good proxy for the
overall U.S. equity market. The bond portion of the Portfolio is actively
managed, with investments in high quality bonds adjusted frequently as to
maturity, market sectors and duration. Liquidity is maintained by holding a
portion of the Portfolio in money market investments, which are high quality
short-term debt securities.
In the Balanced Portfolio, the main action taken over the last six months was
the opportunistic selling of equities, in order to maintain the desired balance
among asset classes during a period of increasing stock prices. In the bond
portion of the Portfolio, a move to higher quality securities, accompanied by a
defensive stance on interest rates, proved successful, as interest rates
increased and the spread between rates on Treasury securities and riskier bonds
widened.
Percentage Holdings
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
EQUITIES (INCLUDING FUTURES) 58%
BONDS 33%
SHORT-TERM INVESTMENTS 9%
</TABLE>
Performance Relative to Relevant Indices
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
BALANCED MERRILL LYNCH ML 91-DAY T-BILL S&P 500 INDEX
PORTFOLIO DOMESTIC MASTER INDEX
<S> <C> <C> <C> <C>
6/89 $10,000 $10,000 $10,000 $10,000
6/90 $10,701 $10,732 $10,849 $11,620
6/91 $11,784 $11,901 $11,670 $12,468
6/92 $13,116 $13,584 $12,274 $14,139
6/93 $14,727 $15,205 $12,689 $16,062
6/94 $14,852 $15,047 $13,116 $16,271
6/95 $17,551 $16,941 $13,839 $20,485
6/96 $20,342 $17,781 $14,604 $25,790
6/97 $24,681 $19,235 $15,397 $34,706
6/98 $29,694 $21,286 $16,211 $45,128
6/99 $33,875 $21,942 $16,999 $55,373
AVERAGE ANNUAL
TOTAL RETURN
FOR PERIODS ENDED
JUNE 30, 1999
ONE YEAR FIVE YEARS TEN YEARS
14.08% 17.93% 12.98%
3.08% 7.84% 8.18%
22.70% 27.75% 18.67%
4.86% 5.32% 5.45%
</TABLE>
In the graph, the Portfolio is compared against three indices representing the
three major components of the Portfolio: equities, fixed income, and cash
equivalent investments.
The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index
of 500 selected common stocks, most of which are listed on the New York Stock
Exchange. The index is heavily weighted toward stocks with large market
capitalizations and represents approximately two-thirds of the total market
value of all domestic common stocks.
The Merrill Lynch Domestic Master Index is an unmanaged market value
weighted index comprised of U.S. Government, mortgage and investment-grade
corporate bonds. The index measures the income provided by, and the price
changes of, the underlying securities.
The Merrill Lynch 91-Day T-Bill Index is comprised of a single issue
purchased at the beginning of each month and held for a full month. The issue
selected at each month-end rebalancing is the outstanding Treasury Bill that
matures closest to, but not beyond, three months from the rebalancing date.
This chart assumes an initial investment of $10,000 made on 6/30/89. Returns
shown include deductions for management and other fund expenses, and
reinvestment of all dividends. Returns exclude deductions for separate account
sales loads and account fees. Past performance is not predictive of future
performance. Investment return and principal value will fluctuate, so that your
shares, when redeemed, may be worth more or less than their original cost. Total
returns, which reflect deduction of charges for the separate account, are shown
on page 2.
--
34
<PAGE>
BALANCED PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
SHARES/ MARKET VALUE
BONDS (33.3%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
CORPORATE BONDS (5.1%)
AEROSPACE AND DEFENSE (.1%)
Lockheed Corporation, 6.75%,
3/15/03 3,000,000 $ 3,005
------------
BANK HOLDING COMPANIES (.4%)
Banco Montevideo, 8.4%,
04/30/08 (144A) 6,250,000 5,125
BT Institutional Capital Trust,
7.75%, 12/01/26 (144A) 1,000,000 957
Security Capital Industrial
Trust, 7.3%, 5/15/01 8,000,000 8,088
------------
TOTAL 14,170
------------
BANKING & FINANCE (.2%)
Associates Corp. of North
America, 7.95%, 2/15/10 5,550,000 5,891
------------
CHEMICALS AND ALLIED PRODUCTS (0.3%)
Dow Capital B.V., 8.5%, 6/8/10 8,200,000 8,979
------------
COMMUNICATIONS (0.2%)
Telecommunications, Inc.,
7.375%, 2/15/00 8,000,000 8,066
------------
DURABLE GOODS (0.1%)
Tata Engineering & Locomotive,
7.875%, 07/15/07 (144A) 6,500,000 5,570
------------
ELECTRIC SERVICES (1.6%)
Columbia Gas System Inc.,
7.32%, 11/28/10 7,571,000 7,452
Comed Financing II, 8.5%,
01/15/27 3,000,000 3,109
Dayton Power & Light Company,
8.15%, 1/15/26 5,750,000 5,789
Niagra Mohawk Power, 7.0%,
10/01/00 3,000,000 3,015
Niagra Mohawk Power, 7.25%,
10/01/02 1,500,000 1,510
Ohio Edison Company, 7.375%,
9/15/02 3,665,000 3,741
PECO Energy Trust, 6.130%,
03/01/09 8,000,000 7,585
Public Service Electric & Gas
Co., 6.875%, 1/1/03 9,000,000 9,101
Southern California Edison Co.,
7.25%, 3/1/26 10,000,000 9,530
Texas Utilities Electric Co.,
7.875%, 3/1/23 4,000,000 3,946
------------
TOTAL 54,778
------------
ENERGY (0.1%)
Barrett Resources Corporation,
7.55%, 2/01/07 5,000,000 4,858
------------
<CAPTION>
SHARES/ MARKET VALUE
BONDS (33.3%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
FOOD AND BEVERAGE (0.3%)
Coca Cola Enterprises, Inc.,
8%, 1/4/05 10,000,000 $ 10,607
------------
GENERAL MERCHANDISE STORES (0.3%)
May Department Stores Company,
6.7%, 9/15/28 6,150,000 5,703
May Department Stores Company,
7.45%, 10/15/16 4,000,000 4,100
------------
TOTAL 9,803
------------
INSURANCE (0.1%)
Prudential Insurance Co.,
6.375%, 7/23/06 2,500,000 2,394
------------
MOTION PICTURE (0.4%)
News America Holdings Inc.,
8.45%, 8/1/34 10,000,000 10,744
Time Warner Entertainment Inc.,
8.375%, 3/15/23 3,000,000 3,246
Time Warner Entertainment Inc.,
8.375%, 7/15/33 1,500,000 1,621
------------
TOTAL 15,611
------------
MOTOR VEHICLES (0.4%)
General Motors Acceptance
Corp., 6.625%, 10/1/02 5,000,000 5,004
General Motors Corporation,
8.8%, 3/1/21 6,500,000 7,595
------------
TOTAL 12,599
------------
TECHNOLOGY (0.1%)
International Business
Machines, 6.22%, 08/01/27 3,000,000 3,023
------------
TELEPHONE COMMUNICATIONS (0.4%)
AT&T Corp, 5.625%, 03/15/04 5,000,000 4,841
Cox Communications, Inc.,
6.80%, 8/01/28 1,000,000 898
GTE Corporation, 6.94%,
04/15/28 3,000,000 2,852
New England Telephone and
Telegraph, 5.875%, 04/15/09 5,000,000 4,659
------------
TOTAL 13,250
------------
TEXTILES (0.0%)
#Polysindo International
Finance, 11.375%, 06/15/06 6,500,000 1,625
------------
TOBACCO (0.0%)
Philip Morris Companies, 9.25%,
2/15/00 1,000,000 1,018
------------
UTILITY (0.1%)
Atlantic City Electric Company,
6.625%, 8/1/13 4,000,000 3,784
------------
TOTAL CORPORATE BONDS 179,031
------------
</TABLE>
--
35
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
SHARES/ MARKET VALUE
BONDS (33.3%) PAR (000'S)
- -------------------------------------------------------------
GOVERNMENT (DOMESTIC AND FOREIGN) AND AGENCY BONDS (21.2%)
<S> <C> <C>
FOREIGN GOVERNMENT BONDS (0.2%)
Province of Quebec, 6.5%,
1/17/06 7,500,000 $ 7,310
------------
FEDERAL GOVERNMENT AND AGENCIES (21.0%)
Federal Home Loan Bank, 5.540%,
01/08/09 5,000,000 4,594
Federal Home Loan Mortgage
Corporation, 6.5%, 10/01/02 14,746,795 14,589
Federal Home Loan Mortgage
Corporation, 7.0%, 03/15/07 7,250,000 7,329
Federal Home Loan Mortgage
Corporation, 7.5%, 09/29/01 13,940,913 14,121
Federal National Mortgage
Assoc., 5.970%, 10/1/08 1,780,461 1,701
Federal National Mortgage
Assoc., 6.070%, 10/1/08 7,096,487 6,931
Federal National Mortgage
Assoc., 6.240%, 02/01/06 4,876,373 4,800
Federal National Mortgage
Assoc., 6.265%, 10/1/08 5,708,542 5,549
Federal National Mortgage
Assoc., 6.315%, 03/01/06 5,148,209 5,085
Federal National Mortgage
Assoc., 6.34%, 2/01/08 4,201,322 4,115
Federal National Mortgage
Assoc., 6.43%, 6/01/08 7,386,667 7,268
Federal National Mortgage
Assoc., 6.500%, 09/25/05 5,345,771 5,336
Federal National Mortgage
Assoc., 6.750% 11/01/07 3,078,456 3,089
Federal National Mortgage
Assoc., 6.750%, 04/25/18 5,493,891 5,493
Federal National Mortgage
Assoc., 6.750%, 12/25/23 6,500,000 6,362
Federal National Mortgage
Assoc., 6.834%, 07/01/03 3,194,578 3,217
Federal National Mortgage
Assoc., 6.895%, 05/01/06 6,021,135 6,114
Federal National Mortgage
Assoc., 6.900%, 04/01/06 2,427,389 2,465
Federal National Mortgage
Assoc., 6.960%, 10/01/07 4,433,852 4,498
Federal National Mortgage
Assoc., 7.000%, 06/01/03 3,185,056 3,212
Federal National Mortgage
Assoc., 7.000%, 06/25/10 8,070,000 8,044
Federal National Mortgage
Assoc., 7.000%, 04/01/26 15,354,068 15,225
Federal National Mortgage
Assoc., 7.025%, 08/01/05 1,931,126 1,971
<CAPTION>
SHARES/ MARKET VALUE
BONDS (33.3%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (CONTINUED)
Federal National Mortgage
Assoc., 7.045%, 08/01/05 7,556,584 $ 7,715
Federal National Mortgage
Assoc., 7.120%, 11/01/03 977,819 996
Federal National Mortgage
Assoc., 7.250%, 05/01/04 1,560,898 1,601
Federal National Mortgage
Assoc., 8.400%, 02/25/09 10,910,000 11,617
Federal National Mortgage
Assoc., 11.000%, 12/01/12 201,652 217
Federal National Mortgage
Assoc., 11.000%, 09/01/17 1,478,015 1,598
Federal National Mortgage
Assoc., 11.000%, 12/01/17 231,028 250
Federal National Mortgage
Assoc., 11.000%, 02/01/18 573,333 621
Federal National Mortgage
Assoc., 11.500%, 04/01/18 1,059,438 1,163
Federal National Mortgage
Assoc., 12.000%, 09/01/12 1,543,639 1,709
Federal National Mortgage
Assoc., 12.000%, 12/01/12 290,785 320
Federal National Mortgage
Assoc., 12.000%, 09/01/17 428,576 477
Federal National Mortgage
Assoc., 12.000%, 10/01/17 602,459 671
Federal National Mortgage
Assoc., 12.000%, 12/01/17 518,445 577
Federal National Mortgage
Assoc., 12.000%, 02/01/18 544,065 606
Federal National Mortgage
Assoc., 12.500%, 04/01/18 453,296 508
Federal National Mortgage
Assoc., 13.000%, 11/01/12 300,302 341
Federal National Mortgage
Assoc., 13.000%, 11/01/17 482,633 548
Federal National Mortgage
Assoc., 13.000%, 12/01/17 207,215 232
Federal National Mortgage
Assoc., 13.000%, 02/01/18 757,141 859
Federal National Mortgage
Assoc., 14.000%, 12/01/17 202,830 237
Government National Mortgage
Assoc., 7.00%, 05/15/23 9,849,028 9,762
Government National Mortgage
Assoc., 7.00%, 06/15/23 684,548 678
Government National Mortgage
Assoc., 7.00%, 07/15/23 997,698 990
</TABLE>
--
36
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
SHARES/ MARKET VALUE
BONDS (33.3%) PAR (000'S)
- -------------------------------------------------------------
FEDERAL GOVERNMENT AND AGENCIES (CONTINUED)
<S> <C> <C>
Government National Mortgage
Assoc., 7.00%, 08/15/23 18,336 $ 18
Government National Mortgage
Assoc., 7.00%, 09/15/23 552,376 548
Government National Mortgage
Assoc., 7.00%, 10/15/23 405,338 401
Government National Mortgage
Assoc., 7.00%, 11/15/23 1,415,991 1,404
Government National Mortgage
Assoc., 7.00%, 12/15/27 311,777 308
Government National Mortgage
Assoc., 7.00%, 1/15/28 456,254 451
Government National Mortgage
Assoc., 7.00%, 2/15/28 115,804 114
Government National Mortgage
Assoc., 7.00%, 3/15/28 234,982 232
Government National Mortgage
Assoc., 7.00%, 4/15/28 704,900 697
Government National Mortgage
Assoc., 7.00%, 5/15/28 1,448,911 1,432
Government National Mortgage
Assoc., 7.00%, 6/15/28 3,958,526 3,913
Government National Mortgage
Assoc., 7.00%, 7/15/28 4,816,533 4,761
Government National Mortgage
Assoc., 7.50%, 1/15/23 638,363 647
Government National Mortgage
Assoc., 7.50%, 6/15/23 353,277 358
Government National Mortgage
Assoc., 7.50%, 6/15/24 8,294 8
Government National Mortgage
Assoc., 7.50%, 7/15/24 275,660 279
Government National Mortgage
Assoc., 7.50%, 8/15/25 14,326 15
<CAPTION>
SHARES/ MARKET VALUE
BONDS (33.3%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (CONTINUED)
Government National Mortgage
Assoc., 7.50%, 9/15/25 255,751 $ 259
Government National Mortgage
Assoc., 7.50%, 11/15/25 11,879 12
Government National Mortgage
Assoc., 7.50%, 12/15/25 476,574 483
Government National Mortgage
Assoc., 7.50%, 1/15/26 15,998 16
Government National Mortgage
Assoc., 7.50%, 3/15/26 558,700 566
Government National Mortgage
Assoc., 7.50%, 6/15/26 1,055,156 1,069
Government National Mortgage
Assoc., 7.50%, 9/15/26 14,329 15
Government National Mortgage
Assoc., 7.50%, 10/15/26 84,173 85
Government National Mortgage
Assoc., 7.50%, 12/15/26 661,694 670
Government National Mortgage
Assoc., 7.50%, 1/15/27 41,834 43
Government National Mortgage
Assoc., 7.50%, 2/15/27 432,590 438
Government National Mortgage
Assoc., 7.50%, 3/15/27 40,846 41
Government National Mortgage
Assoc., 7.50%, 4/15/27 1,478,603 1,496
Government National Mortgage
Assoc., 7.50%, 5/15/27 619,581 627
Government National Mortgage
Assoc., 7.50%, 7/15/27 651,500 659
Government National Mortgage
Assoc., 7.50%, 12/15/27 179,735 182
Government National Mortgage
Assoc., 7.50%, 7/15/28 852,036 862
</TABLE>
--
37
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
SHARES/ MARKET VALUE
BONDS (33.3%) PAR (000'S)
- -------------------------------------------------------------
FEDERAL GOVERNMENT AND AGENCIES (CONTINUED)
<S> <C> <C>
Government National Mortgage
Assoc., 8.00%, 9/15/24 382,344 $ 393
Government National Mortgage
Assoc., 8.00%, 3/15/26 251,339 258
Government National Mortgage
Assoc., 8.00%, 5/15/26 492,328 506
Government National Mortgage
Assoc., 8.00%, 6/15/26 448,626 461
Government National Mortgage
Assoc., 8.00%, 7/15/26 1,060,235 1,091
Government National Mortgage
Assoc., 8.00%, 8/15/26 416,987 429
Government National Mortgage
Assoc., 8.00%, 9/15/26 382,160 393
Government National Mortgage
Assoc., 8.00%, 10/15/26 713,051 733
Government National Mortgage
Assoc., 8.00%, 11/15/26 406,962 418
Government National Mortgage
Assoc., 8.00%, 12/15/26 433,047 445
Government National Mortgage
Assoc., 8.00%, 4/15/27 787,080 809
Government National Mortgage
Assoc., 8.00%, 6/15/27 375,149 386
Government National Mortgage
Assoc., 8.00%, 7/15/27 158,352 163
Government National Mortgage
Assoc., 8.00%, 7/20/28 3,258,499 3,325
Government National Mortgage
Assoc., 8.50%, 05/15/22 4,047 4
Government National Mortgage
Assoc., 8.50%, 09/15/22 7,308 8
Government National Mortgage
Assoc., 8.50%, 10/15/22 33,018 33
<CAPTION>
SHARES/ MARKET VALUE
BONDS (33.3%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (CONTINUED)
Government National Mortgage
Assoc., 8.50%, 12/15/22 26,253 $ 26
Government National Mortgage
Assoc., 8.50%, 06/15/24 8,826 9
Government National Mortgage
Assoc., 8.50%, 07/15/24 21,635 23
Government National Mortgage
Assoc., 8.50%, 08/15/24 45,983 48
Government National Mortgage
Assoc., 8.50%, 12/15/24 8,246 9
Government National Mortgage
Assoc., 8.50%, 01/15/25 89,497 93
Government National Mortgage
Assoc., 8.50%, 02/15/25 62,375 65
Government National Mortgage
Assoc., 8.50%, 01/15/26 44,746 47
Government National Mortgage
Assoc., 8.50%, 02/15/26 8,675 9
Government National Mortgage
Assoc., 8.50%, 03/15/26 27,155 29
Government National Mortgage
Assoc., 8.50%, 04/15/26 74,306 78
Government National Mortgage
Assoc., 8.50%, 05/15/26 22,493 24
Government National Mortgage
Assoc., 11.00%, 01/15/18 7,516,519 8,457
Rural Housing Trust - Class D,
6.33%, 4/1/26 5,046,508 5,004
U.S. Treasury, 3.625%, 07/15/02 2,537,375 2,513
U.S. Treasury, 3.625%, 04/15/28 6,500,000 6,138
U.S. Treasury, 4.000%, 10/31/00 11,650,000 11,439
U.S. Treasury, 4.500%, 01/31/01 15,600,000 15,366
U.S. Treasury, 4.750%, 02/15/04 19,250,000 18,498
U.S. Treasury, 4.750%, 11/15/08 65,700,000 60,300
U.S. Treasury, 5.000%, 02/28/01 4,500,000 4,465
U.S. Treasury, 5.250%, 05/15/04 50,000,000 49,125
U.S. Treasury, 5.500%, 02/29/00 54,000,000 54,118
U.S. Treasury, 5.500%, 01/31/03 3,500,000 3,476
U.S. Treasury, 5.500%, 03/31/03 15,500,000 15,384
</TABLE>
--
38
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
SHARES/ MARKET VALUE
BONDS (33.3%) PAR (000'S)
- -------------------------------------------------------------
FEDERAL GOVERNMENT AND AGENCIES (CONTINUED)
<S> <C> <C>
U.S. Treasury, 5.500%, 02/15/08 175,000 $ 170
U.S. Treasury, 5.625%, 04/30/00 10,500,000 10,530
U.S. Treasury, 5.625%, 12/31/02 2,300,000 2,295
U.S. Treasury, 5.625%, 02/15/06 127,000,000 125,055
U.S. Treasury, 5.625%, 05/15/08 34,000,000 33,299
U.S. Treasury, 6.000%, 07/31/02 4,000,000 4,040
U.S. Treasury, 6.125%, 08/15/07 22,000,000 22,241
U.S. Treasury, 6.875%, 05/15/06 50,000,000 52,641
U.S. Treasury, 7.250%, 08/15/04 6,000,000 6,373
U.S. Treasury, 7.250%, 05/15/16 4,200,000 4,610
Vendee Mortgage Trust, 6.5%,
6/07/08 4,500,000 4,221
Vendee Mortgage Trust, 0.495%,
6/15/23 IO 75,240,289 1,310
------------
TOTAL 739,893
------------
TOTAL GOVERNMENT BONDS 747,203
------------
MORTGAGE/ASSET BACKED SECURITIES (6.8%)
AUTO-RELATED (0.5%)
Daimler-Benz Vehicle Trust -
Class A, 5.85%, 7/20/03 564,535 565
Eaglemark Trust - Class A,
6.75%, 11/15/02 2,034,982 2,055
Fleetwood Credit Corporation
Grantor Trust - Class A, 6.4%,
05/15/13 1,937,074 1,945
Team Fleet Financing
Corporation - Class A, 6.65%,
12/15/02 (144A) 11,800,000 11,760
------------
TOTAL 16,325
------------
BANKING AND FINANCE (0.3%)
Morgan Stanley Capital Trust,
7.388%, 08/15/06 (144A) 6,925,000 7,246
Nations Bank Lease Pass Thru
Trust 97-A, 7.442%, 01/10/11
(144A) 2,000,000 2,008
------------
TOTAL 9,254
------------
CREDIT CARD (0.5%)
Iroquois Trust - Class A,
6.68%, 11/10/03 (144A) 12,365,232 12,374
Iroquois Trust - Class A,
6.752%, 06/25/07 (144A) 4,750,000 4,757
------------
TOTAL 17,131
------------
COMMERCIAL MORTGAGES (4.0%)
Asset Securitization
Corporation - Class CS1,
1.257%, 11/13/26 IO 22,112,817 708
Asset Securitization
Corporation - Class PS1,
1.367%, 02/14/41 IO 22,299,058 2,049
<CAPTION>
SHARES/ MARKET VALUE
BONDS (33.3%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
COMMERCIAL MORTGAGES (CONTINUED)
BankBoston Marine Asset Backed
Trust - Class A6, 6.64%,
08/15/10 7,000,000 $ 7,019
Chase Commercial Mortgage
Securities Corp. - Class A2,
6.6%, 11/19/07 8,500,000 8,364
Chase Commercial Mortgage
Securities Corp. - Class A2,
6.6%, 11/19/07 2,500,000 2,446
Citibank Credit Card Master
Trust I - Class A, 0%,
08/15/06 17,000,000 12,353
Commercial Mortgage Asset Trust
- Class C, 7.350%, 08/17/13 5,000,000 4,863
Credit Suisse First Boston
Mortgage Securities Corp. -
Class A2, 7.26%, 6/20/07
(144A) 3,139,367 3,228
Credit Suisse First Boston
Mortgage Securities Corp. -
Class B, 7.28%, 6/20/07 (144A) 3,250,000 3,260
Credit Suisse First Boston
Mortgage Securities Corp. -
Class B, 9.546%, 4/25/25
(144A) 3,000,000 3,202
Credit Suisse First Boston
Mortgage Securities Corp. -
Class D, 9.5464%, 4/25/25
(144A) 2,047,000 2,229
Criimi Mae Commercial Mortgage
Trust, 7.0%, 11/02/06 6,500,000 5,978
Criimi Mae Commercial Mortgage
Trust, 7.0%, 11/02/11 5,700,000 4,293
DLJ Mortgage Acceptance
Corporation - Class CF1,
0.718%, 02/18/31 IO 253,667,201 9,639
DLJ Mortgage Acceptance
Corporation - Class S, 0.357%,
10/15/17 (144A) IO 18,675,632 406
DLJ Mortgage Acceptance, 8.10%,
6/18/04 2,202,050 2,327
DLJ Mortgage Acceptance, 8.10%,
6/18/04 1,650,000 1,731
First Union-Lehman Brothers
Commerical Mortgage Trust -
Class C, 7.44%, 04/18/07 2,500,000 2,521
Kmart CMBS Financing, Inc. -
Class B, 5.330%, 03/01/07
(144A) 8,000,000 7,958
</TABLE>
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39
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
SHARES/ MARKET VALUE
BONDS (33.3%) PAR (000'S)
- -------------------------------------------------------------
COMMERCIAL MORTGAGES (CONTINUED)
<S> <C> <C>
Kmart CMBS Financing, Inc. -
Class C, 5.630%, 03/01/07
(144A) 12,500,000 $ 12,402
Kmart CMBS Financing, Inc. -
Class D, 6.980%, 03/01/07
(144A) 4,500,000 4,456
LB Mortgage Trust, 8.396%,
01/20/17 9,241,629 10,247
Merrill Lynch Mortgage
Investors, Inc. - Class C,
8.973%, 11/25/20 5,845,000 5,834
Merrill Lynch Mortgage
Investors, Inc. - Class E,
8.393% , 06/25/22 (144A) 2,000,000 2,000
Midland Realty Acceptance Corp.
- Class AEC, 1.389%, 1/25/29
(144A) IO 27,623,740 1,686
Nomura Asset Securities Corp.-
Class A2, 7.016%, 03/17/28 15,000,000 14,401
Nomura Asset Securities Corp.-
Class A4, 7.596%, 03/17/28 2,200,000 2,053
Red Mountain Funding LLC -
Class E, 7.365%, 01/15/19
(144A) 1,500,000 1,284
Red Mountain Funding LLC -
Class F, 7.471%, 01/15/19
(144A) 1,800,000 1,374
------------
TOTAL 140,311
------------
FRANCHISE LOAN RECEIVABLES (0.4%)
EMAC Owner Trust - Class A2,
6.38%, 01/15/25 (144A) 6,000,000 5,810
EMAC Owner Trust, 1.378%,
01/15/25 IO (144A) 38,848,403 2,507
CMAC, 6.644%, 12/15/07 (144A) 2,500,000 2,421
Global Franchise Trust, 6.349%,
4/10/04 3,579,626 3,540
------------
TOTAL 14,278
------------
HOME EQUITY LOAN (0.1%)
Amresco Residential Securities-
Class A2, 6.245%, 4/25/22 2,500,000 2,500
------------
MANUFACTURED HOUSING (0.1%)
Vanderbilt Mortgage and
Finance, Inc. - Class 1A4,
7.19%, 02/07/14 2,500,000 2,545
------------
OTHER ASSET BACKED (0.5%)
FMAC Loan Receivables Trust -
Class A, 6.20%, 09/15/20
(144A) 5,033,942 4,921
<CAPTION>
SHARES/ MARKET VALUE
BONDS (33.3%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
OTHER ASSET BACKED (CONTINUED)
Harley Davidson Eaglemark,
5.87%, 4/15/04 1,900,000 $ 1,876
Health Care Receivables,
6.250%, 02/01/03 (144A) 3,000,000 2,951
Heilig-Meyers Master Trust -
Class A, 6.125%, 01/20/07
(144A) 6,500,000 6,388
Nations Credit Grantor Trust -
Class A1, 6.35%, 04/15/14 1,742,162 1,739
Newcourt Equipment - Class B,
6.764%, 09/20/04 (144A) 1,005,087 1,001
Newcourt Equipment - Class C,
7.734%, 09/20/04 (144A) 804,069 798
------------
TOTAL 19,674
------------
RESIDENTIAL MORTGAGES (0.3%)
BCF L L C Mortgage Pass Thru
Certificate - Class B3, 7.75%,
3/25/37 (144A) 4,835,469 4,402
Blackrock Capital Finance LP,
Class B3, 7.25%, 11/25/28
(144A) 5,826,593 4,865
------------
TOTAL 9,267
------------
UTILITY (0.1%)
Comed Transitional, 5.74%,
12/16/08 5,500,000 5,129
------------
TOTAL MORTGAGE/ASSET BACKED
SECURITIES 236,414
------------
MUNICIPAL BONDS (0.2%)
New Jersey Economic Development
Authority, 0.00%, 2/15/25 17,000,000 2,707
New Jersey Economic Development
Authority, 0.00%, 2/15/26 11,000,000 1,631
New Jersey Economic Development
Authority, 7.425%, 2/15/29 2,250,000 2,348
------------
TOTAL MUNICIPAL BONDS 6,686
------------
TOTAL BONDS 1,169,334
------------
<CAPTION>
COMMON STOCK (52.5%)
- -------------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS (1.7%)
Air Products & Chemicals, Inc. 37,600 1,513
Alcan Aluminum Limited 37,300 1,191
Alcoa Inc. 60,100 3,719
Allegheny Teledyne, Inc. 32,162 728
Archer Daniels Midland Company 96,956 1,497
ASARCO, Inc. 6,500 122
Barrick Gold Corporation 61,100 1,184
</TABLE>
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40
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
SHARES/ MARKET VALUE
COMMON STOCK (52.5%) PAR (000'S)
- -------------------------------------------------------------
BASIC MATERIALS (CONTINUED)
<S> <C> <C>
*Battle Mountain Gold Company 37,600 $ 92
Bemis Company, Inc. 8,600 342
*Bethlehem Steel Corporation 21,300 164
Boise Cascade Corporation 9,200 394
Champion International 15,700 752
Cyprus Amax Minerals Co. 14,900 226
Dow Chemical Company 36,300 4,606
E.I. du Pont de Nemours &
Company 184,400 12,597
Eastman Chemical Company 12,975 671
Ecolab, Inc. 21,200 925
Engelhard Corp. 20,500 464
*FMC Corporation 5,400 369
*Freeport-McMoRan Copper &
Gold, Inc. 27,100 486
Georgia Pacific Corp. 28,800 1,364
Great Lakes Chemical 9,700 447
Hercules Inc. 16,500 649
Homestake Mining Company 42,600 349
*Inco Limited 29,700 535
International Flavors &
Fragrances, Inc. 17,400 772
International Paper Company 67,131 3,390
Louisiana Pacific Corporation 17,800 423
Mead Corp. 16,700 697
Monsanto Company 102,600 4,046
Nalco Chemical Company 10,700 555
Newmont Mining Corporation 27,430 545
Nucor Corp. 14,300 678
Phelps Dodge Corporation 9,500 588
Pioneer Hi-Bred International 39,200 1,526
Placer Dome Inc. 53,300 630
Potlatch Corporation 4,700 207
PPG Industries, Inc. 28,800 1,701
Praxair 25,800 1,263
Reynolds Metals Company 10,600 625
Rohm and Haas Company 34,701 1,488
Sigma-Aldrich Corp. 16,500 568
Temple-Inland Inc. 9,100 621
Union Carbide Corporation 21,800 1,063
USX-U.S. Steel Group, Inc. 14,500 392
*W.R. Grace & Co. 12,000 221
Westvaco Corporation 16,450 477
Weyerhaeuser Company 32,600 2,241
Willamette Industries, Inc. 18,200 838
Worthington Industries 15,100 248
------------
TOTAL 61,189
------------
CAPITAL GOODS (4.4%)
AlliedSignal, Inc. 91,200 5,746
Avery Dennison Corporation 19,000 1,147
<CAPTION>
SHARES/ MARKET VALUE
COMMON STOCK (52.5%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
CAPITAL GOODS (CONTINUED)
Ball Corporation 5,000 $ 211
The B. F. Goodrich Company 12,200 519
Boeing Company 153,618 6,788
Briggs & Stratton Corporation 3,800 219
Browning-Ferris Industries,
Inc. 25,900 1,114
Case Corporation 12,100 582
Caterpillar, Inc. 58,700 3,522
Cooper Industries, Inc. 15,500 806
Corning, Inc. 40,000 2,805
Crane Co. 11,225 353
Crown Cork & Seal Company, Inc. 20,000 570
Cummins Engine Company, Inc. 6,900 394
Danaher Corporation 21,900 1,273
Deere & Company 39,100 1,549
Dover Corporation 36,500 1,278
Eaton Corporation 11,700 1,076
Emerson Electric Co. 71,600 4,502
Fluor Corporation 12,400 502
Foster Wheeler Corporation 6,700 95
General Dynamics Corporation 20,800 1,425
General Electric Company 536,700 60,647
Honeywell, Inc. 20,600 2,387
Illinois Tool Works, Inc. 41,000 3,362
Ingersoll-Rand Company 26,950 1,742
ITT Industries Inc. 14,900 568
Johnson Controls, Inc. 13,900 963
Lockheed Martin Corporation 64,322 2,396
McDermott International, Inc. 9,700 274
Milacron Inc. 6,300 117
Millipore Corp. 7,200 292
Minnesota Mining &
Manufacturing Co. 65,800 5,720
NACCO Industries, Inc. 1,300 96
National Service Industries,
Inc. 6,700 241
*Navistar International
Corporation 10,870 544
Northrop Grumman Corporation 11,300 749
*Owens-Illinois, Inc. 25,400 830
PACCAR, Inc. 12,790 683
Pall Corporation 20,366 452
Parker-Hannifin Corporation 17,800 814
Pitney Bowes Inc. 44,700 2,872
Raychem Corp. 12,700 470
Rockwell International Corp. 31,100 1,889
*Sealed Air Corporation 13,686 888
*Solectron Corporation 41,200 2,748
Tenneco Inc. 27,900 666
Textron Inc. 25,900 2,132
</TABLE>
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41
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
SHARES/ MARKET VALUE
COMMON STOCK (52.5%) PAR (000'S)
- -------------------------------------------------------------
CAPITAL GOODS (CONTINUED)
<S> <C> <C>
*Thermo Electron Corporation 26,000 $ 522
Thomas & Betts Corporation 9,300 439
Timken Company 10,200 199
Tyco International Ltd. 133,660 12,664
United Technologies Corp. 79,000 5,663
Waste Management, Inc. 97,997 5,267
------------
TOTAL 155,772
------------
COMMUNICATION SERVICES (4.7%)
ALLTEL Corporation 45,000 3,218
Ameritech Corporation 180,000 13,230
AT&T Corporation 515,455 28,768
Bell Atlantic Corporation 254,280 16,624
Bell South Corporation 319,400 14,972
CenturyTel Inc. 22,600 898
Frontier Corporation 28,100 1,658
GTE Corporation 158,100 11,975
*MCI WorldCom, Inc. 300,289 25,900
*Nextel Communications, Inc. 47,100 2,364
SBC Communications, Inc. 320,374 18,582
Sprint Corporation 146,400 7,732
*Sprint PCS 72,050 4,116
U S WEST, Inc. 82,405 4,841
Vodafone AirTouch PLC 46,850 9,229
------------
TOTAL 164,107
------------
CONSUMER CYCLICALS (4.7%)
American Greetings Corp. 11,500 346
Armstrong World Industries Inc. 6,600 382
*Autozone, Inc. 24,600 741
Black & Decker Corporation 14,400 909
Brunswick Corporation 15,000 418
Carnival Corporation 100,400 4,869
*Cendant Corporation 125,754 2,578
Centex Corporation 9,700 364
Circuit City Stores, Inc. 16,500 1,535
*Consolidated Stores
Corporation 17,900 483
Cooper Tire & Rubber Company 12,400 293
*Costco Companies, Inc. 35,751 2,862
Dana Corporation 27,165 1,251
Dayton Hudson Corporation 72,200 4,693
Delphi Automotive Systems
Corporation 92,544 1,718
Dillard's, Inc. 17,500 615
Dollar General Corp. 36,268 1,052
Dow Jones & Company, Inc. 15,400 817
Dun & Bradstreet Corporation 27,100 960
*Federated Department Stores,
Inc. 34,300 1,816
Fleetwood Enterprises, Inc. 5,700 151
<CAPTION>
SHARES/ MARKET VALUE
COMMON STOCK (52.5%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
CONSUMER CYCLICALS (CONTINUED)
Ford Motor Company 198,200 $ 11,185
*Fruit of the Loom, Inc. 11,800 115
Gannet Company Inc. 46,100 3,290
Gap, Inc. 140,025 7,054
General Motors Corp. 107,200 7,075
Genuine Parts Company 29,475 1,032
Goodyear Tire & Rubber Company 25,500 1,500
H & R Block, Inc. 16,000 800
Harcourt General 11,600 598
*Harrahs Entertainment 20,700 455
Hasbro Inc. 32,125 897
Hilton Hotels Corporation 42,700 606
Home Depot, Inc. 241,398 15,554
IMS Health Incorporated 52,200 1,631
Interpublic Group of Cos. Inc. 22,800 1,975
J.C. Penney Company, Inc. 43,200 2,098
Jostens, Inc. 5,800 122
Kaufman & Broad Home Corp. 7,800 194
*Kmart Corporation 80,700 1,327
Knight-Ridder, Inc. 12,900 709
*Kohl's Corporation 25,900 1,999
Laidlaw Transportation Limited 54,100 399
The Limited, Inc. 34,585 1,569
Liz Claiborne, Inc. 10,600 387
Lowe's Companies, Inc. 60,800 3,447
Marriott International 39,800 1,488
Masco Corporation 55,600 1,605
Mattel, Inc. 68,260 1,805
May Department Stores Company 57,350 2,344
Maytag Corporation 14,700 1,024
McGraw-Hill Companies Inc. 32,200 1,737
Meredith Corporation 8,500 294
*Mirage Resorts, Incorporated 32,200 539
The New York Times Company 29,900 1,101
Nike, Inc. 46,300 2,931
Nordstrom, Inc. 23,300 781
Omnicom Group Inc. 27,600 2,208
Owens Corning 8,900 306
Pep Boys - Manny, Moe & Jack 8,600 186
Pulte Corporation 7,100 164
*Reebok International Ltd. 9,200 171
Russell Corp. 5,900 115
Sears Roebuck & Co. 62,700 2,794
Service Corporation
International 44,800 862
Sherwin-Williams Company 28,200 783
Snap-On Inc. 10,750 389
Springs Industries, Inc. 2,900 127
The Stanley Works 14,500 467
</TABLE>
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42
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
SHARES/ MARKET VALUE
COMMON STOCK (52.5%) PAR (000'S)
- -------------------------------------------------------------
CONSUMER CYCLICALS (CONTINUED)
<S> <C> <C>
*Staples, Inc. 75,450 $ 2,334
Tandy Corporation 32,400 1,584
Times Mirror Company 11,800 699
TJX Companies, Inc. 52,900 1,762
*Toys R Us 41,100 850
Tribune Company 19,500 1,699
TRW, Inc. 19,600 1,076
VF Corporation 19,600 838
Wal-Mart Stores, Inc. 728,300 35,139
Whirlpool Corporation 12,500 925
------------
TOTAL 165,998
------------
CONSUMER STAPLES (6.7%)
Adolph Coors Co. 6,000 297
Alberto-Culver Company 9,300 248
Albertson's, Inc. 68,550 3,535
Anheuser-Busch Companies, Inc. 78,300 5,554
Avon Products, Inc. 43,000 2,387
BESTFOODS 46,800 2,317
Brown-Forman Corporation 11,200 730
Campbell Soup Company 72,800 3,376
Cardinal Health, Inc. 44,600 2,860
CBS Corporation 115,600 5,021
*Clear Channel Communications,
Inc. 53,000 3,654
Clorox Company 19,200 2,051
The Coca-Cola Company 403,700 25,231
Coca Cola Enterprises Inc. 69,500 2,068
Colgate-Palmolive Co. 48,000 4,740
Comcast Corporation 121,100 4,655
Conagra, Inc. 80,100 2,133
CVS Corporation 63,900 3,243
Darden Restaurant, Inc. 22,600 493
Deluxe Corp. 13,200 514
Fort James Corporation 36,100 1,367
Fortune Brands, Inc. 28,000 1,159
General Mills, Inc. 25,100 2,017
Gillette Company 181,700 7,450
Great Atlantic & Pacific Tea
Co., Inc. 6,300 213
H.J. Heinz Company 59,250 2,970
Hershey Foods Corporation 23,400 1,389
Kellogg Company 66,400 2,191
Kimberly-Clark Corporation 88,732 5,058
*King World Productions, Inc. 11,700 407
*The Kroger Co. 134,800 3,766
Longs Drug Stores Corp. 6,400 221
McDonald's Corporation 221,600 9,155
McKesson HBOC, Inc. 45,353 1,457
*MediaOne Group, Inc. 99,400 7,393
Nabisco Group Holdings Corp. 53,500 1,047
<CAPTION>
SHARES/ MARKET VALUE
COMMON STOCK (52.5%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (CONTINUED)
Newell Rubbermaid Inc. 45,971 $ 2,138
PepsiCo, Inc. 240,300 9,297
Philip Morris Companies, Inc. 398,800 16,027
Procter & Gamble Company 217,500 19,412
The Quaker Oats Company 22,300 1,480
R.R. Donnelley & Sons Company 22,000 815
Ralston Purina Group 53,800 1,638
Rite Aid Corporation 42,400 1,044
*RJ Reynolds Tobacco Holdings
Inc. 17,833 562
*Safeway Inc. 79,600 3,940
Sara Lee Corporation 149,400 3,390
The Seagram Company Ltd. 70,100 3,531
Supervalue Inc. 19,700 506
Sysco Corporation 54,500 1,625
Time Warner Inc. 201,000 14,774
*Tricon Global Restaurants,
Inc. 24,990 1,353
Tupperware 9,400 240
Unilever N.V. 93,607 6,529
UST Incorporated 30,500 892
*Viacom, Inc. 113,912 5,012
Walgreen Company 163,500 4,803
Walt Disney Company 336,708 10,375
Wendy's International, Inc. 20,400 578
Winn-Dixie Stores, Inc. 24,300 898
Wm. Wrigley Jr. Company 19,000 1,710
------------
TOTAL 234,936
------------
ENERGY (3.1%)
Amerada Hess Corporation 14,800 881
Anadarko Petroleum Corporation 20,700 762
Apache Corporation 18,100 706
Ashland, Inc. 12,200 490
Atlantic Richfield Company 53,400 4,462
Baker Hughes, Inc. 53,540 1,794
Burlington Resource, Inc. 29,075 1,257
Chevron Corporation 106,900 10,176
Exxon Corporation 398,200 30,710
Halliburton Company 72,000 3,258
Helmerich & Payne, Inc. 8,100 193
Kerr-McGee Corporation 14,157 711
Mobil Corporation 127,700 12,642
Occidental Petroleum
Corporation 56,700 1,198
Phillips Petroleum Company 41,700 2,098
*Rowan Companies, Inc. 13,700 253
Royal Dutch Petroleum Co., ADR 351,200 21,159
Schlumberger Limited 89,400 5,694
Sunoco, Inc. 15,300 462
</TABLE>
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43
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
SHARES/ MARKET VALUE
COMMON STOCK (52.5%) PAR (000'S)
- -------------------------------------------------------------
ENERGY (CONTINUED)
<S> <C> <C>
Texaco Inc. 87,500 $ 5,469
Union Pacific Resource Group 41,158 671
Unocal Corp. 39,500 1,565
USX -Marathon Group 50,400 1,641
------------
TOTAL 108,252
------------
FINANCE (8.3%)
AFLAC INCORPORATED 43,400 2,078
Allstate Corporation 134,394 4,821
American Express Company 74,100 9,642
American General Corporation 41,303 3,113
American International Group,
Inc. 201,103 23,541
AmSouth Bancorporation 29,200 677
Aon Corporation 41,775 1,723
Associates First Capital
Corporation 119,238 5,284
Banc One Corporation 192,545 11,468
Bank of America Corporation 283,495 20,783
Bank of New York Company, Inc. 124,600 4,571
BankBoston Corporation 48,600 2,485
BB&T Corporation 50,900 1,867
The Bear Stearns Companies,
Inc. 18,240 853
Capital One Financial
Corporation 32,200 1,793
The Charles Schwab Corporation 65,625 7,211
Chase Manhattan Corporation 138,548 12,002
The Chubb Corporation 26,700 1,856
CIGNA Corporation 33,800 3,008
Cincinnati Financial
Corporation 27,300 1,025
Citigroup, Inc. 554,682 26,347
Comerica, Inc. 25,500 1,516
Conseco Inc. 52,470 1,597
Countrywide Credit Industries,
Inc. 18,400 787
Federal Home Loan Mortgage
Corp. 111,100 6,444
Fannie Mae 169,800 11,610
Fifth Third Bankcorp 43,575 2,900
First Union Corporation 162,286 7,627
Firstar Corporation 113,000 3,164
Fleet Financial Group Inc. 93,038 4,129
Franklin Resources Inc. 41,400 1,682
Golden West Financial
Corporation 9,300 911
Hartford Financial Services
Group Inc. 38,200 2,228
Household International Inc. 79,059 3,745
<CAPTION>
SHARES/ MARKET VALUE
COMMON STOCK (52.5%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
Huntington Bancshares, Inc. 34,480 $ 1,207
J.P. Morgan & Company, Inc. 28,600 4,018
Jefferson-Pilot Corp. 17,375 1,150
KeyCorp 74,600 2,397
Lehman Brothers Holdings, Inc. 18,600 1,158
Lincoln National Corporation 33,000 1,726
Loews Corp. 18,600 1,472
Marsh & McLennan Companies,
Inc. 42,100 3,179
MBIA, Inc. 16,300 1,055
MBNA Corp. 131,332 4,022
Mellon Bank Corporation 85,500 3,110
Mercantile Bancorp 25,800 1,474
Merrill Lynch & Co. 58,100 4,644
MGIC Investment Corp. 17,900 870
Morgan Stanley, Dean Witter,
Discover & Co. 94,580 9,694
National City Corp. 53,400 3,498
Northern Trust Corp. 18,200 1,765
Paine Webber Group Inc. 23,400 1,094
PNC Bank Corp. 49,300 2,841
Progressive Corporation 11,900 1,726
Provident Companies, Inc. 22,200 888
Providian Financial Corporation 23,150 2,165
Regions Financial Corporation 36,200 1,391
Republic New York Corporation 17,600 1,200
SAFECO, Inc. 22,300 984
SLM Holding Corporation 27,100 1,242
SouthTrust Corporation 27,100 1,040
St. Paul Companies, Inc. 38,606 1,228
State Street Corporation 26,300 2,245
Summit Bancorp. 28,400 1,187
Suntrust Banks Inc. 52,500 3,645
Synovus Financial Corp. 43,750 870
Torchmark Corporation 23,000 785
Transamerica Corporation 20,400 1,530
Union Planters Corporation 22,500 1,005
UNUM Corporation 22,700 1,243
U.S. Bancorp 119,387 4,059
Wachovia Corporation 33,200 2,841
Washington Mutual, Inc. 97,214 3,439
Wells Fargo & Company 269,260 11,511
------------
TOTAL 291,086
------------
HEALTH CARE (5.6%)
Abbott Laboratories Inc. 248,600 11,311
Aetna, Inc. 23,393 2,092
Allergan Inc. 10,800 1,199
*Alza Corporation 16,400 834
</TABLE>
--
44
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
SHARES/ MARKET VALUE
COMMON STOCK (52.5%) PAR (000'S)
- -------------------------------------------------------------
HEALTH CARE (CONTINUED)
<S> <C> <C>
American Home Products
Corporation 215,900 $ 12,414
*Amgen, Inc. 83,400 5,077
Bausch & Lomb, Inc. 9,200 704
Baxter International, Inc. 46,800 2,837
Becton, Dickinson & Company 40,800 1,224
Biomet, Inc. 18,400 731
*Boston Scientific Corp. 64,400 2,830
Bristol-Myers Squibb Company 325,500 22,926
Columbia/HCA Healthcare
Corporation 105,750 2,412
C.R. Bard, Inc. 8,800 421
Eli Lilly & Company 180,100 12,900
*Guidant Corporation 49,300 2,536
*HCR Manor Care Inc. 18,200 440
*HEALTHSOUTH Corporation 69,300 1,035
*Humana, Inc. 27,400 354
Johnson & Johnson 220,200 21,580
Mallinckrodt, Inc. 11,700 426
Medtronic, Inc. 95,700 7,453
Merck & Co., Inc. 390,200 28,874
Pfizer, Inc. 212,600 23,332
Pharmacia & Upjohn Inc. 83,230 4,729
Schering-Plough Corporation 240,700 12,757
*St. Jude Medical, Inc. 13,750 490
*Tenet Healthcare Corp. 50,800 943
*United Healthcare Corp. 30,500 1,910
Warner-Lambert Company 134,500 9,331
*Watson Pharmaceutical Inc. 15,600 547
*Wellpoint Health Networks,
Inc. 11,100 942
------------
TOTAL 197,591
------------
TECHNOLOGY (11.3%)
*3COM Corporation 58,800 1,569
Adobe Systems, Inc. 10,000 822
*Advanced Micro Devices, Inc. 23,700 428
*America Online, Inc. 168,300 18,596
*Andrew Corporation 13,562 257
*Apple Computer, Inc. 26,000 1,204
*Applied Materials, Inc. 60,400 4,462
Autodesk, Inc. 9,700 287
Automatic Data Processing, Inc. 100,900 4,440
*BMC Software, Inc. 38,600 2,084
*Cabletron Systems, Inc. 28,200 367
*Ceridian Corp. 23,400 765
*Cisco Systems, Inc. 517,200 33,358
Compaq Computer Corporation 276,267 6,544
Computer Associates
International, Inc. 88,212 4,852
<CAPTION>
SHARES/ MARKET VALUE
COMMON STOCK (52.5%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
TECHNOLOGY (CONTINUED)
*Computer Sciences Corp. 26,000 $ 1,799
*Compuware Corporation 60,200 1,915
*Data General Corporation 8,200 119
*Dell Computer Corp. 416,700 15,418
Eastman Kodak Company 53,100 3,598
EG&G, Inc. 7,300 260
Electronic Data Systems
Corporation 80,700 4,565
*EMC Corporation 164,400 9,042
Equifax, Inc. 24,100 860
First Data Corporation 72,500 3,548
*Gateway Inc. 25,600 1,510
*General Instrument Corporation 27,400 1,165
Harris Corporation 12,900 506
Hewlett-Packard Company 166,200 16,702
Ikon Office Solutions 24,200 363
Intel Corporation 546,100 32,494
International Business Machines
Corporation 302,300 39,071
*KLA-Tencor Corporation 14,400 934
*LSI Logic Corp. 23,200 1,070
Lucent Technologies, Inc. 491,547 33,149
*Micron Technology 40,600 1,637
*Microsoft Corporation 826,600 74,549
Motorola, Inc. 98,300 9,314
*National Semiconductor
Corporation 27,400 694
Nortel Networks Corporation 108,660 9,433
*Novell, Inc. 55,300 1,465
*Oracle Corporation 235,825 8,755
*Parametric Technology Company 43,800 608
Paychex, Inc. 40,200 1,281
PE Corp.-PE Biosystems Group 8,200 941
*Peoplesoft, Inc. 38,200 659
Polaroid Corporation 7,200 199
Raytheon Company- Class B 55,200 3,885
Scientific-Atlanta, Inc. 12,400 446
*Seagate Technology Inc. 39,900 1,022
Shared Medical Systems Corp. 4,400 287
*Silicon Graphics 30,700 503
*Sun Microsystems, Inc. 126,200 8,692
Tektronix, Inc. 7,700 232
*Tellabs, Inc. 63,600 4,297
Texas Instruments, Incorporated 63,900 9,266
*Unisys Corporation 42,700 1,663
W.W. Grainger, Inc. 15,600 839
Xerox Corporation 107,400 6,343
------------
TOTAL 395,133
------------
</TABLE>
--
45
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
SHARES/ MARKET VALUE
COMMON STOCK (52.5%) PAR (000'S)
- -------------------------------------------------------------
TRANSPORTATION (0.5%)
<S> <C> <C>
*AMR Corporation 29,900 $ 2,041
Burlington Northern Santa Fe 76,799 2,381
CSX Corporation 35,500 1,609
Delta Air Lines Inc. 23,200 1,337
*FDX Corporation 48,440 2,628
Kansas City Southern
Industries, Inc. 17,900 1,142
Norfolk Southern Corporation 62,100 1,871
Ryder System, Inc. 11,700 304
Southwest Airlines Co. 55,050 1,713
Union Pacific Corporation 40,500 2,362
*USAir Group, Inc. 14,300 623
------------
TOTAL 18,011
------------
UTILITIES (1.5%)
*The AES Corporation 31,200 1,814
Ameren Corporation 22,500 863
American Electric Power Co.
Inc. 31,300 1,176
Carolina Power & Light Company 24,800 1,062
Central & South West
Corporation 34,800 813
Cinergy Corporation 26,005 832
CMS Energy Corp. 19,200 804
Coastal Corp. 34,800 1,392
Columbia Energy Group 13,700 859
Consolidated Edison Co. of New
York 38,200 1,729
Consolidated Natural Gas
Company 15,700 954
Constellation Energy Group Inc. 24,400 723
Dominion Resources Inc. 32,000 1,386
DTE Energy Company 23,800 952
Duke Energy Corp. 59,271 3,223
Eastern Enterprises 3,700 147
Edison International 57,800 1,546
Enron Corporation 57,500 4,701
Entergy Corporation 40,400 1,263
FirstEnergy Corporation 38,800 1,203
FPL Group, Inc. 29,600 1,617
GPU, Inc. 21,000 886
New Century Energies, Inc. 18,700 726
*Niagra Mohawk Power
Corporation 30,700 493
Nicor, Inc. 7,800 297
Northern States Power Company 25,000 605
ONEOK, Inc. 5,200 165
P P & L Resources, Inc. 24,733 761
PacifiCorp 48,700 895
PECO Energy Company 36,700 1,537
<CAPTION>
SHARES/ MARKET VALUE
COMMON STOCK (52.5%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
Peoples Energy Corporation 5,800 $ 219
PG&E Corp. 62,600 2,035
Public Service Enterprise
Group, Inc. 36,500 1,492
Reliant Energy, Inc. 46,626 1,288
Sempra Energy 39,359 890
Sonat Inc. 18,000 596
Southern Company 114,200 3,026
Texas Utilities Company 46,195 1,906
UNICOM Corp. 35,600 1,373
Williams Companies Inc. 70,100 2,985
------------
TOTAL 51,234
------------
TOTAL COMMON STOCK 1,843,309
------------
WARRANTS (0.0%)
FOREIGN GOVERNMENT (0.0%)
Republic of Argentina 3,900 4
------------
<CAPTION>
SHORT TERM INVESTMENTS (13.7%)
- -------------------------------------------------------------
<S> <C> <C>
MONEY MARKET INVESTMENTS (10.2%)
AUTOMOBILE, REPAIR, SERVICES, AND PARKING (.7%)
##Daimler-Chrysler N.A.
Holding, 5.03%, 07/20/99 25,000,000 24,934
------------
CAPTIVE FINANCE COMPANY (2.2%)
Ford Motor Credit Company,
4.88%, 07/01/99 25,000,000 25,000
##General Motors Acceptance
Corp., 4.90%, 07/14/99 25,000,000 24,956
##Sears Roebuck Acceptance
Corp., 4.90%, 07/14/99 25,000,000 24,955
------------
TOTAL 74,911
------------
FEDERAL GOVERNMENT AND AGENCIES (0.4%)
##Federal Home Loan Mortgage
Corp., 4.73%, 09/08/99 15,200,000 15,046
------------
FINANCE (2.1%)
Ciesco LP, 5.16%, 08/18/99 25,000,000 24,828
CIT Group, Inc., 5.16%,
08/04/99 25,000,000 24,878
CXC Incorporated, 5.06%,
07/20/99 25,000,000 24,933
------------
TOTAL 74,639
------------
PERSONAL CREDIT INSTITUTIONS (3.5%)
Associates Corp. of America,
5.70%, 07/01/99 22,400,000 22,400
American Express Credit, 5.25%,
07/06/99 25,000,000 24,982
Commercial Credit Co., 5.16%,
08/10/99 25,000,000 24,857
General Electric Capital
Corporation, 5.03%, 07/14/99 25,000,000 24,955
</TABLE>
--
46
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
SHARES/ MARKET VALUE
SHORT TERM INVESTMENTS (13.7%) PAR (000'S)
- -------------------------------------------------------------
PERSONAL CREDIT INSTITUTIONS (CONTINUED)
<S> <C> <C>
Variable Funding Capital Corp.,
4.90%, 07/09/99 24,800,000 $ 24,773
------------
TOTAL 121,967
------------
PHONE COMMUNICATIONS (1.3%)
AT&T, 5.23%, 07/07/99 20,000,000 19,983
##U.S. West Communications,
5.03%, 07/19/99 25,000,000 24,958
------------
TOTAL 44,941
------------
TOTAL MONEY MARKET
INVESTMENTS 356,438
------------
<CAPTION>
ASSET-BACKED SECURITIES (3.5%)
- -------------------------------------------------------------
<S> <C> <C>
FINANCE LESSORS (3.5%)
##Asset Securitization, 5.02%,
07/23/99 25,000,000 24,923
Preferred Receivable Funding,
5.10%, 08/19/99 25,000,000 24,826
##Quincy Capital Corporation,
5.03%, 07/16/99 24,700,000 24,648
##Receivable Capital Trust,
5.05%, 07/23/99 25,000,000 24,923
##Triple A One Funding, 4.93%,
07/12/99 25,000,000 24,962
------------
TOTAL ASSET-BACKED
SECURITIES 124,282
------------
TOTAL SHORT TERM
INVESTMENTS 480,720
------------
TOTAL INVESTMENTS (99.5%)
(COST $2,378,812,086)^ 3,493,367
OTHER ASSETS, LESS
LIABILITIES (0.5%) 16,375
------------
TOTAL NET ASSETS (100.0%) $ 3,509,742
------------
</TABLE>
IO-Interest Only Security
144A after the name of a security represents a security exempt from registration
under rule 144A of the Securities Act of 1933. These securities may be
resold as transactions exempt from registration, normally to qualified
institutional buyers.
* Non-Income Producing.
# Defaulted Security
## Partially held by the custodian in a segregated account as collateral for
open futures positions. Information regarding open futures contracts as of June
30, 1999 is summarized below:
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF EXPIRATION APPRECIATION
ISSUER CONTRACTS DATE (000'S)
- -----------------------------------------------------------------
<S> <C> <C> <C>
S&P 500 Stock Index 483 9/99 $6,381
(Total Notional Value
at 6/30/99,
$160,459,463)
</TABLE>
^At June 30, 1999, the aggregate cost of securities for federal income tax
purposes was $2,378,812,086 and the net unrealized appreciation of investments
based on that cost was $1,114,554,432 which is comprised of $1,161,138,679
aggregate gross unrealized appreciation and $46,604,247 gross unrealized
depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
47
<PAGE>
HIGH YIELD BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
High current income and capital Generate superior performance by investing in a $172,748,000
appreciation with moderate risk diversified mix of fixed income securities
rated below investment grade.
</TABLE>
HIGH YIELD BOND PORTFOLIO
Investing in a portfolio of high yield bonds provides investors who can accept a
moderate level of risk with a high level of current income, coupled with the
opportunity for capital gains. Holdings of particular interest include solid
investments in entities that have the possibility of a positive event, such as a
significant improvement in credit rating or earnings or a change in ownership.
In a high yield portfolio, some credit losses over time are inevitable; high
coupons and diversification across many holdings mitigate the impact of
individual securities on the performance of the total Portfolio. Performance of
the High Yield Portfolio was strikingly different in the first two quarters of
1999, with a weak first quarter followed by a fairly strong second quarter.
Overall, net performance for the six-month period was below average, with a more
positive trend at the end of the period. Good results in the second quarter were
driven largely by strong performance by key positions in energy, financial
services, cable television and telecommunications.
During the first half of 1999, real interest rates have risen steadily, reaching
levels that seem high by historical standards. While further short-term
increases are possible, it seems increasingly likely that higher rates will cool
the economy and lead at some point to a bond rally. In anticipation of such a
scenario, the strategy has been to upgrade average credit quality, reduce
exposure to emerging markets and emphasize less-cyclical industries. These moves
position the Portfolio with better liquidity, more interest rate risk and less
credit risk. This conservative strategy should also enable the Portfolio to
perform well if markets experience unusual volatility.
Although recent results have been somewhat disappointing, the long-term
performance of the Portfolio remains quite good, outperforming the market
(defined as the Lehman Brothers High Yield Intermediate Market Index) since the
Portfolio's inception in May 1994. Short-term volatility serves as a useful
reminder that high-yield bonds are most appropriate for long-term investors, and
that strategies designed to outperform in the long term may result in
underperformance over shorter time periods.
Percentage Holdings by Industry Sector
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
TELECOMMUNICATIONS 19%
CABLE TELEVISION 13%
ENERGY 12%
FINANCE 12%
CONSUMER RELATED/HEALTH CARE 10%
BROADCASTING/MEDIA 9%
LEISURE 5%
TRANSPORTATION 4%
OTHER INDUSTRIES 12%
CASH EQUIVALENTS 4%
</TABLE>
Performance Relative to Lehman Brothers High Yield Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
HIGH YIELD LEHMAN BROTHERS HIGH YIELD
BOND PORTFOLIO INTERMEDIATE MARKET INDEX
<S> <C> <C> <C>
5/03/94 $10,000 $10,000
6/30/94 $10,110 $10,061
6/30/95 $11,490 $11,331
6/30/96 $12,836 $12,466
6/30/97 $15,684 $14,159
6/30/98 $17,635 $15,681
6/30/99 $16,476 $15,618
AVERAGE ANNUAL TOTAL RETURN
FOR PERIODS ENDED JUNE 30, 1999
ONE YEAR FIVE YEARS SINCE INCEPTION
High Yield Bond Portfolio -6.59% 10.26% 10.16%
Lehman Brothers Index -0.40% 9.19% 9.03%
#NOTE: INCEPTION DATE OF 5/3/94
</TABLE>
The total return performance for the High Yield Bond Portfolio is shown in
comparison with the Lehman Brothers High Yield Intermediate Market Index. The
Lehman Brothers index is an appropriate measure of portfolio performance since
it has a quality and maturity profile that resembles the High Yield Bond
Portfolio.
The Lehman Brothers High Yield Intermediate Market Index is made up of
dollar-denominated, nonconvertible, SEC publicly registered fixed rate
noninvestment grade issues. The bonds will have remaining maturities of between
one and ten years and have an outstanding par value of at least $100 million.
Yankee and global bonds (SEC registered) of issuers in G-7 countries are
included. Original issue zero coupon bonds and step-up coupon structures are
also included; however, the index excludes pay-in-kind (PIK) bonds. Each bond
must be rated Ba1 or lower by Moody's Investor Service. If a Moody's rating is
unavailable, the bonds must be rated BB+ or lower by Standard & Poor's, or by
Fitch if an S&P rating is unavailable. A few unrated bonds are included in the
index; to be eligible they must have previously held a high yield rating or have
been associated with a high yield issuer. The index is an unmanaged market value
weighted index and measures the income provided by, and the price changes of,
the underlying securities.
This chart assumes an initial investment of $10,000 made on 5/3/94
(commencement of operations). Returns shown include deductions for management
and other fund expenses, and reinvestment of all dividends. Returns exclude
deductions for separate account sales loads and account fees. Past performance
is not predictive of future performance. Investment return and principal value
will fluctuate, so that your shares, when redeemed, may be worth more or less
than their original cost. Total returns, which reflect deduction of charges for
the separate account, are shown on page 2.
--
48
<PAGE>
HIGH YIELD BOND FUND
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
BONDS (80.4%) PAR (000'S)
- ---------------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS (3.2%)
CHEMICALS (2.1%)
Lyondell Chemical Co., 9.625%,
05/01/07 (144A) 400,000 $ 411
Lyondell Chemical Co., 9.875%,
05/01/07 (144A) 1,750,000 1,789
ZSC Specialty Chemical PLC, 11.00%,
07/01/09 (144A) 1,500,000 1,513
-----------
TOTAL 3,713
-----------
METALS & MINING (1.1%)
Great Central Mines, Ltd., 8.875%,
04/01/08 2,000,000 1,900
-----------
TOTAL BASIC MATERIALS 5,613
-----------
BROADCASTING/MEDIA (3.6%)
BROADCASTING (2.3%)
+Big City Radio, Inc., 11.25%,
3/15/05 4,750,000 3,373
+Crown Castle International Corp.,
10.375%, 05/15/11 1,000,000 580
-----------
TOTAL 3,953
-----------
PRINTING AND PUBLISHING (1.3%)
Marvel Enterprises, Inc., 12.0%,
06/15/09 (144A) 2,200,000 2,222
-----------
TOTAL BROADCASTING/MEDIA 6,175
-----------
CABLE TELEVISION (8.2%)
Adelphia Communications, 7.875%,
05/01/09 900,000 834
+Charter Communication Hlds, LLC,
9.92%, 04/01/11 (144A) 1,350,000 837
+Diva System Corp., 12.625%, 3/01/08 3,375,000 975
+Falcon Hldg Group, LP, 9.285%,
04/15/10 500,000 350
+International Cabletel, Inc.,
11.50%, 02/01/06 3,000,000 2,618
+NTL, Inc.,9.75%, 4/01/08 3,500,000 2,398
NTL Incorporated, 11.50%, 10/01/08 1,000,000 1,101
ONO Finance PLC, 13.0%, 05/01/09
(144A) 1,400,000 1,438
++Supercanal Holdings S A, 11.50%,
05/15/05 (144A) 2,500,000 1,331
+Telewest PLC, 9.25%, 04/15/09
(144A) 2,400,000 1,599
+21st Century Telecom, 12.25%,
2/15/08 1,750,000 718
-----------
TOTAL CABLE TELEVISION 14,199
-----------
<CAPTION>
MARKET
SHARES/ VALUE
BONDS (80.4%) PAR (000'S)
- ---------------------------------------------------------------
<S> <C> <C>
CONSUMER RELATED (4.7%)
APPAREL (0.6%)
Fruit of the Loom, 8.875%, 04/15/06
(144A) 1,250,000 $ 1,075
-----------
CONSUMER STAPLES (0.7%)
+Diamond Brands, 12.875%, 04/15/09 1,250,000 250
+SF Holdings Group, Inc., 12.75%,
3/15/08 2,875,000 1,021
-----------
TOTAL 1,271
-----------
FOODS/FOOD SERVICES (3.4%)
Global Health Sciences, Inc., 11.0%,
05/01/08 3,200,000 2,368
Iowa Select Farms L.P., 10.75%,
12/01/05 (144A) 4,200,000 3,491
-----------
TOTAL 5,859
-----------
TOTAL CONSUMER RELATED 8,205
-----------
ENERGY RELATED (11.1%)
DIVERSIFIED ENERGY (1.0%)
Western Gas Resources, 10.0%,
06/15/09 (144A) 1,700,000 1,734
-----------
OIL AND GAS INDEPENDENT (3.9%)
Belden & Blake Corp., 9.875%,
6/15/07 3,750,000 2,822
Chesapeake Energy, 9.625%, 05/01/05 900,000 841
Conproca SA, 12.0%, 06/16/10 (144A) 300,000 282
Gothic Production Corp., 11.125%,
05/01/05 1,250,000 1,100
Pioneer Natural Resources, 8.875%,
04/15/05 500,000 495
Pioneer Natural Resources, 8.25%,
08/15/07 500,000 476
Pioneer Natural Resources, 6.5%,
01/15/08 800,000 683
-----------
TOTAL 6,699
-----------
OIL FIELD SERVICES (3.9%)
Parker Drilling Co., 9.75%, 11/15/06 1,900,000 1,757
Pride International, Inc., 10.00%,
06/01/09 2,525,000 2,563
R&B Falcon Corp., 9.5%, 12/15/08 2,500,000 2,350
-----------
TOTAL 6,670
-----------
REFINING (2.3%)
Clark Refining & Marketing, Inc.,
8.375%, 11/15/07 1,000,000 914
Clark Refining & Marketing, Inc.,
8.625%, 08/15/08 1,000,000 930
</TABLE>
--
49
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
BONDS (80.4%) PAR (000'S)
- ---------------------------------------------------------------
REFINING (CONTINUED)
<S> <C> <C>
PDV America, Inc., 7.875%, 08/01/03 2,250,000 $ 2,200
-----------
TOTAL 4,044
-----------
TOTAL ENERGY RELATED 19,147
-----------
FINANCE (11.5%)
BANKS (1.2%)
BF Saul Real Estate, 9.75%, 4/01/08 2,250,000 2,093
-----------
FINANCE COMPANIES (7.8%)
Americredit Corp., 9.875%, 04/15/06
(144A) 1,900,000 1,957
Arcadia Financial, Ltd., 11.50%,
3/15/07 5,375,000 4,730
Metris Companies, Inc., 10.00%,
11/01/04 2,550,000 2,499
PDV SA Finance, Ltd. 99-I, 9.75%,
02/15/10 (144A) 4,400,000 4,284
-----------
TOTAL 13,470
-----------
INSURANCE (2.5%)
Superior Nat'l Capital Trust I,
10.75%, 12/01/17 (144A) 4,450,000 4,272
-----------
TOTAL FINANCE 19,835
-----------
HEALTHCARE (5.1%)
Columbia/HCA Healthcare, 7.69%,
06/15/25 2,600,000 2,171
Express Scripts, Inc., 9.625%,
06/15/09 (144A) 1,750,000 1,772
Total Renal Care Hldgs, 7.0%,
05/15/09 (144A) 6,000,000 4,898
-----------
TOTAL HEALTHCARE 8,841
-----------
LEISURE (4.8%)
GAMING (1.3%)
International Game Technology,
8.375%, 05/15/09 (144A) 1,500,000 1,472
Trump Hotels & Casino Resorts,
15.50%, 6/15/03 800,000 808
-----------
TOTAL 2,280
-----------
HOTELS AND OTHER LODGING PLACES (2.2%)
HMH Properties, Inc., 8.45%,
12/01/08 300,000 285
HMH Properties, Inc., 7.875%,
08/01/08 900,000 830
ITT Corp., 6.75%, 11/15/05 450,000 408
ITT Corp., 7.875%, 11/15/15 2,650,000 2,279
-----------
TOTAL 3,802
-----------
LEISURE RELATED (1.3%)
Hedstrom Holdings Inc., 10.0%,
06/01/07 450,000 400
<CAPTION>
MARKET
SHARES/ VALUE
BONDS (80.4%) PAR (000'S)
- ---------------------------------------------------------------
<S> <C> <C>
LEISURE RELATED (CONTINUED)
+Hedstrom Holdings Inc., 12.00%,
6/1/09 4,175,000 $ 1,879
-----------
TOTAL 2,279
-----------
TOTAL LEISURE 8,361
-----------
OTHER INDUSTRIES (5.5%)
AUTO RELATED (2.0%)
AVIS Rent a Car, Inc., 11.0%,
05/01/09 (144A) 2,250,000 2,281
Budget Group, Inc., 9.125%, 04/01/06 1,250,000 1,162
-----------
TOTAL 3,443
-----------
ENVIRTONMENTAL CONTROL (0.6%)
Allied Waste of North America,
7.875%, 01/01/09 1,100,000 1,020
-----------
HOUSEHOLD FURNISHINGS, APPLIANCES (1.2%)
Renters Choice, Inc., 11.00%,
08/15/08 2,000,000 2,005
-----------
REAL ESTATE (1.7%)
Crescent Real Estate, 7.0%, 09/15/02 1,600,000 1,491
Crescent Real Estate, 7.5%, 09/15/07 1,700,000 1,454
-----------
TOTAL 2,945
-----------
TOTAL OTHER INDUSTRIES 9,413
-----------
SERVICES (0.8%)
+Decisionone Holdings, 11.50%,
8/1/08 3,875,000 19
Decisionone Holdings, 7.94%,
08/07/05 101,266 41
Decisionone Holdings, 7.98%,
08/07/05 145,823 60
Decisionone Holdings, 8.29%,
08/07/05 27,215 11
Decisionone Holdings, 9.75%, 8/1/07 1,375,000 69
Federal Data Corp., 10.125%, 8/01/05 1,000,000 960
-----------
TOTAL SERVICES 1,160
-----------
TECHNOLOGY (1.1%)
Amkor Technologies, Inc., 9.25%,
05/01/06 (144A) 2,000,000 1,950
-----------
TELECOMMUNICATIONS (15.6%)
Arch Communications, 12.75%,
07/01/07 6,000,000 5,160
+Bestel S A de CV, 12.75%, 05/15/05 1,950,000 1,297
+Call-Net Enterprises, Inc., 8.94%,
08/15/08 1,000,000 555
</TABLE>
--
50
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
BONDS (80.4%) PAR (000'S)
- ---------------------------------------------------------------
TELECOMMUNICATIONS (CONTINUED)
<S> <C> <C>
Call-Net Enterprises, Inc., 9.375%,
05/15/09 400,000 $ 381
+Call-Net Enterprises, Inc., 10.80%,
05/15/09 1,800,000 995
Hyperion Telecommunications, 12.25%,
9/01/04 4,000,000 4,220
+Intermedia Communication, 11.25%,
07/15/07 2,700,000 1,924
+KMC Telecommunication Hldgs,
12.50%, 2/15/08 1,500,000 825
KMC Telecommunication Hldgs, 13.5%,
05/15/09 (144A) 2,000,000 2,002
+Nextel Communications, 9.75%,
10/31/07 1,800,000 1,256
Northeast Optic Network, 12.75%,
08/15/08 2,200,000 2,277
Splitrock Services, Inc., 11.75%,
07/15/08 2,300,000 2,151
+Telecorp PCS, Inc., 11.625%,
04/15/09 (144A) 1,750,000 967
Verio, Inc.. 11.25%, 12/01/08 1,400,000 1,467
Viatel, Inc., 11.25%, 04/15/08 1,500,000 1,530
-----------
TOTAL TELECOMMUNICATIONS 27,007
-----------
TRANSPORTATION (3.8%)
Navigator Gas Trans PLC, 10.50%,
06/30/07 (144A) 750,000 367
Navigator Gas Trans PLC, 12.00%,
06/30/07 (144A) 900,000 288
Stena AB, 10.5%, 12/15/05 750,000 748
Stena AB, 8.75%, 06/15/07 1,750,000 1,597
Stena Line AB, 10.625%, 06/01/08 4,800,000 3,624
-----------
TOTAL TRANSPORTATION 6,624
-----------
UTILITIES (1.4%)
AES Corporation, 9.5%, 06/01/09 1,000,000 1,027
Caithness Coso Fund Corp., 9.05%,
12/15/09 (144A) 800,000 798
Leviathan Gas Pipeline/Financial
Corp., 10.375%, 06/01/09 (144A) 250,000 255
Monterrey Power Sa de CV, 9.625%,
11/15/09 (144A) 450,000 362
-----------
TOTAL UTILITIES 2,442
-----------
TOTAL BONDS 138,972
-----------
<CAPTION>
PREFERRED STOCK (13.0%)
- ---------------------------------------------------------------
<S> <C> <C>
BROADCASTING MEDIA (5.1%)
BROADCASTING (4.2%)
**Cumulus Media, Inc. 35,900 3,949
Sinclair Capital 33,000 3,449
-----------
TOTAL 7,398
-----------
<CAPTION>
MARKET
SHARES/ VALUE
PREFERRED STOCK (13.0%) PAR (000'S)
- ---------------------------------------------------------------
<S> <C> <C>
PRINTING AND PUBLISHING (0.9%)
Primedia, Inc. 5,000 $ 504
Primedia, Inc. 10,000 979
-----------
TOTAL 1,483
-----------
TOTAL BROADCASTING/MEDIA 8,881
-----------
CABLE TELEVISION (5.0%)
Adelphia Communications 8,750 1,733
**CSC Holdings, Inc. 44,795 4,860
**NTL, Inc. 13,310 1,464
**21st Century Telecom 10,070 503
-----------
TOTAL CABLE TELEVISION 8,560
-----------
ENERGY RELATED (0.6%)
**R&B Falcon Corporation 10,000 1,030
-----------
LEISURE RELATED (0.3%)
**Samsonite Corp. 7,120 498
-----------
TELECOMMUNICATIONS (2.0%)
**Hyperion Telecommunications 13,050 1,175
**Intermedia Communication 9,300 911
PSINet, Inc. 30,000 1,448
-----------
TOTAL TELECOMMUNICATIONS 3,534
-----------
TOTAL PREFERRED STOCK 22,503
-----------
<CAPTION>
COMMON STOCK AND WARRANTS (2.3%)
- ---------------------------------------------------------------
<S> <C> <C>
CABLE TELEVISION (0.0%)
*21st Century Telecom 8,500 17
-----------
CONSUMER RELATED (0.2%)
APPAREL AND TEXTILE (0.1%)
*Ithaca Industries Inc. 136,000 111
-----------
BROADCASING/MEDIA (0.1%)
*Diva System Corp. 10,125 122
-----------
CONSUMER STAPLES (0.0%)
*SF Holdings Group, Inc. (144A) 5,750 0
-----------
TOTAL CONSUMER RELATED 233
-----------
ENERGY RELATED (0.4%)
Star Gas Partnersm L.P. 39,202 674
-----------
FINANCE (0.0%)
*Arcadia Financial, Ltd. 4,000 4
-----------
LEISURE (0.2%)
*Hedstrom Holdings, Inc. 201,674 201
Meditrust Corp. 11,117 145
*Samsonite Corp. 6,250 19
-----------
TOTAL LEISURE 365
-----------
TELECOMMUNICATIONS (1.5%)
Arch Communications Class A 134,194 1,140
Arch Communications Class B 35,377 300
Arch Communications Warrants 32,686 29
*Bestel S A de CV 1,950 4
*KMC Telecom Holdings, Inc. 6,250 16
</TABLE>
--
51
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK AND WARRANTS (2.3%) PAR (000'S)
- ---------------------------------------------------------------
TELECOMMUNICATIONS (CONTINUED)
<S> <C> <C>
*Splitrock Services, Inc. 3,000 $ 210
*Viatel, Inc. 16,325 916
-----------
TOTAL TELECOMMUNICATIONS 2,615
-----------
TOTAL COMMON STOCK AND WARRANTS 3,908
-----------
<CAPTION>
MONEY MARKET INVESTMENTS (2.5%)
- ---------------------------------------------------------------
<S> <C> <C>
PERSONAL CREDIT INSTITUTIONS (2.5%)
General Electric Capital, 5.7%,
07/01/99 2,300,000 $ 2,300
Household Finance Corp., 4.969%,
07/14/99 2,000,000 1,996
-----------
TOTAL MONEY MARKET INVESTMENTS 4,296
-----------
TOTAL INVESTMENTS (98.2%)
(COST $184,697,917)^ 169,679
OTHER ASSETS, LESS LIABILITIES
(1.8%) 3,070
-----------
TOTAL NET ASSETS (100.0%) $ 172,749
-----------
</TABLE>
* Non-Income Producing
+ Deferred interest security that presently receives no coupon payments. At a
predetermined date the stated coupon rate becomes effective.
++ Defaulted Security
** PIK-Payment in Kind
144A after the name of a security represents a security exempt from registration
under Rule 144A of the Securities Act of 1933. These securites may be
resold as transactions exempt from registration, normally to qualified
institutional buyers.
^ At June 30, 1999, the aggregate cost of securites for federal income tax
purposes was $184,697,917 and the net unrealized depreciation of investments
based on that cost was $15,018,064 which is comprised of $5,498,341 aggregate
gross unrealized appreciation and $20,516,405 aggregated gross unrealized
depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
52
<PAGE>
SELECT BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
A stable and relatively high level Invest in high grade corporate bonds, U.S. government $295,445,000
of long-term total return and bonds and bonds of government agencies.
preservation of capital
</TABLE>
SELECT BOND PORTFOLIO
The Select Bond Portfolio invests in high quality debt securities, primarily
government bonds, corporate bonds and mortgage-backed securities. Exposure to
market sectors is adjusted as yield spreads change among the various classes of
securities. Duration and maturities are altered with moderate adjustments in
recognition or anticipation of interest rate changes.
The Portfolio performed quite well over the last six months, benefiting from
both allocation among types of securities and interest rate posture. Exposure to
government bonds has been increased, with positions in corporate bonds reduced
accordingly. This change was made in anticipation of the widening of the
interest rate spread between U.S. Treasury securities and riskier bonds.
The Portfolio benefited also from a defensive posture on interest rates during
this period, with duration less than the universe of funds with which it is
compared. At the end of June, the Portfolio's position was neutral with regard
to duration.
This two-part strategy--a move to higher quality securities, accompanied by a
defensive stance on interest rates--proved successful during the first half, as
rates increased and spreads widened.
Percentage Holdings
6/30/99
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CORPORATE BONDS 10%
<S> <C>
MORTGAGE-BACKED AND ASSET-BACKED SECURITIES 40%
GOVERNMENT AND GOVERNMENT AGENCIES 45%
SHORT-TERM INVESTMENTS 5%
</TABLE>
The Corporate Bonds sector includes bonds of companies headquartered outside the
United States. The Government and Government Agencies category includes taxable
bonds of domestic and foreign governments and a small position in municipal
bonds. Consistent with the Portfolio's stated parameters, no more than 10% of
the Portfolio is invested in foreign securities, and no more than 10% is
invested in high-yield securities.
Performance Relative to Merrill Lynch Domestic Master Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SELECT BOND PORTFOLIO MLDM INDEX
<S> <C> <C> <C> <C>
6/89 $10,000 $10,000
6/90 $10,639 $10,732
6/91 $11,790 $11,901
6/92 $13,569 $13,584
6/93 $15,303 $15,205
6/94 $15,268 $15,047
6/95 $17,218 $16,941
6/96 $18,079 $17,781
6/97 $19,634 $19,235
6/98 $21,372 $21,286
6/99 $22,117 $21,942
AVERAGE ANNUAL TOTAL RETURN
FOR PERIODS ENDED JUNE 30, 1999
ONE YEAR FIVE YEARS TEN YEARS
Select Bond Portfolio 3.48% 7.69% 8.26%
MLDM Index 3.08% 7.84% 8.18%
</TABLE>
Since the Portfolio invests broadly in U.S. Government, mortgage and corporate
bonds, a useful basis for comparing returns is the Merrill Lynch Domestic Master
Index. The index is an unmanaged market value weighted index comprised of U.S.
Government, mortgage and investment-grade corporate bonds. The index measures
the income provided by, and the price changes of, the underlying securities.
This chart assumes an initial investment of $10,000 made on 6/30/89. Returns
shown include deductions for management and other fund expenses, and
reinvestment of all dividends. Returns exclude deductions for separate account
sales loads and account fees. Past performance is not predictive of future
performance. Investment return and principal value will fluctuate, so that your
shares, when redeemed, may be worth more or less than their original cost. Total
returns, which reflect deduction of charges for the separate account, are shown
on page 2.
--
53
<PAGE>
SELECT BOND PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
BONDS (94.3%) PAR (000'S)
- --------------------------------------------------------------
<S> <C> <C>
CORPORATE BONDS (9.8%)
BANK HOLDING COMPANIES (1.0%)
BT Institutional Capital Trust,
7.75%, 12/1/26 (144A) 3,000,000 $ 2,871
-----------
CHEMICALS AND ALLIED PRODUCTS (0.7%)
Dow Capital B.V., 8.5%, 6/8/10 1,800,000 1,971
-----------
ELECTRIC SERVICES (3.8%)
Comed Financing II, 8.5%, 1/15/27 1,750,000 1,814
Ohio Edison Company, 7.375%,
9/15/02 1,000,000 1,020
PECO Energy Company, 6.13%,
3/1/09 5,500,000 5,215
Public Service Electric & Gas
Co., 6.875%, 1/1/03 2,250,000 2,275
Texas Utilities Electric Co.,
7.875%, 3/1/23 1,000,000 987
-----------
TOTAL 11,311
-----------
FINANCE (.5%)
Associates Corp. of North
America, 7.95%, 2/15/10 1,500,000 1,592
-----------
GENERAL MERCHANDISE STORES (0.3%)
May Dept Stores Company, 7.45%,
10/15/16 1,000,000 1,025
-----------
MOTION PICTURE (0.3%)
News America Holdings Inc.,
8.25%, 8/10/18 1,000,000 1,033
-----------
TELECOMMUNICATIONS (2.6%)
AT & T Corp., 5.625%, 3/15/04 4,000,000 3,873
New England Telephone and
Telegraph, 5.875%, 04/15/09 4,000,000 3,727
-----------
TOTAL 7,600
-----------
TEXTILES (0.4%)
#Polysindo International Finance,
11.375%, 6/15/06 4,200,000 1,050
-----------
TOBACCO (0.2%)
Philip Morris Companies, 9.25%,
2/15/00 500,000 509
-----------
TOTAL CORPORATE BONDS 28,962
-----------
GOVERNMENT BONDS AND AGENCY BONDS (44.6%)
FEDERAL GOVERNMENT AND AGENCIES (44.6%)
Federal Home Loan Bank, 5.54%,
1/8/09 3,700,000 3,399
Federal Home Loan Mortgage
Corporation, 7.5%, 9/29/01 8,160,534 8,266
Federal National Mortgage Assoc.,
5.97%, 10/1/08 3,956,581 3,779
Federal National Mortgage Assoc.,
6.07%, 10/1/08 2,977,547 2,908
<CAPTION>
MARKET
VALUE
BONDS (94.3%) PAR (000'S)
- --------------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (CONTINUED)
Federal National Mortgage Assoc.,
6.22%, 2/01/06 1,905,717 $ 1,874
Federal National Mortgage Assoc.,
6.24%, 1/1/06 5,372,416 5,289
Federal National Mortgage Assoc.,
6.265%, 10/1/08 2,978,370 2,895
Federal National Mortgage Assoc.,
6.32%, 2/1/06 3,862,960 3,818
Federal National Mortgage Assoc.,
6.360%, 4/1/08 3,759,280 3,683
Federal National Mortgage Assoc.,
6.390%, 4/1/08 1,448,680 1,422
Federal National Mortgage Assoc.,
6.500%, 09/25/05 2,291,497 2,287
Federal National Mortgage Assoc.,
6.750%, 04/25/18 2,354,525 2,354
Federal National Mortgage Assoc.,
6.750%, 12/25/23 3,500,000 3,426
Federal National Mortgage Assoc.,
6.960%, 10/01/07 3,251,491 3,298
Federal National Mortgage Assoc.,
7.0%, 6/1/03 360,688 363
Federal National Mortgage Assoc.,
7.360%, 4/1/11 3,331,294 3,465
Federal National Mortgage Assoc.,
8.400%, 02/25/09 2,500,000 2,662
Federal National Mortgage Assoc.,
10%, 10/1/17 99,032 104
Federal National Mortgage Assoc.,
11.000%, 12/01/12 160,461 173
Federal National Mortgage Assoc.,
11.000%, 09/01/17 1,181,023 1,278
Federal National Mortgage Assoc.,
11.000%, 12/01/17 331,713 359
Federal National Mortgage Assoc.,
11.000%, 02/01/18 457,847 496
Federal National Mortgage Assoc.,
11.500%, 04/01/18 529,866 582
Federal National Mortgage Assoc.,
12.000%, 12/01/12 1,236,468 1,369
Federal National Mortgage Assoc.,
12.000%, 12/01/12 232,798 256
Federal National Mortgage Assoc.,
12.000%, 09/01/17 414,756 462
Federal National Mortgage Assoc.,
12.000%, 10/01/17 480,523 535
Federal National Mortgage Assoc.,
12.000%, 12/01/17 342,790 382
Federal National Mortgage Assoc.,
12.000%, 02/01/18 434,987 484
Federal National Mortgage Assoc.,
12.25%, 1/1/18 284,115 316
</TABLE>
--
54
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
BONDS (94.3%) PAR (000'S)
- --------------------------------------------------------------
FEDERAL GOVERNMENT AND AGENCIES (CONTINUED)
<S> <C> <C>
Federal National Mortgage Assoc.,
12.500%, 04/01/18 226,089 $ 253
Federal National Mortgage Assoc.,
13.000%, 11/01/12 165,512 185
Federal National Mortgage Assoc.,
13.000%, 11/01/17 386,243 439
Federal National Mortgage Assoc.,
13.000%, 12/01/17 240,500 273
Federal National Mortgage Assoc.,
13.000%, 02/01/18 605,703 688
Federal National Mortgage Assoc.,
14.000%, 12/01/17 162,258 189
Government National Mortgage
Assoc., 7.0%, 05/15/23 310,405 309
Government National Mortgage
Assoc., 7.5%, 04/15/22 253,805 257
Government National Mortgage
Assoc., 7.5%, 10/15/23 685,059 694
Government National Mortgage
Assoc., 7.5%, 10/15/25 49,851 50
Government National Mortgage
Assoc., 7.5%, 11/15/25 13,239 13
Government National Mortgage
Assoc., 7.5%, 05/15/26 12,479 12
Government National Mortgage
Assoc., 7.5%, 01/15/27 390,630 395
Government National Mortgage
Assoc., 7.5%, 02/15/27 468,962 474
Government National Mortgage
Assoc., 7.5%, 03/15/27 48,562 49
Government National Mortgage
Assoc., 7.5%, 04/15/27 98,654 100
Government National Mortgage
Assoc., 7.5%, 08/15/27 13,670 14
Government National Mortgage
Assoc., 7.5%, 06/15/28 438,494 444
Government National Mortgage
Assoc., 8.0%, 01/15/26 353,791 364
Government National Mortgage
Assoc., 8.0%, 02/15/26 465,512 479
Government National Mortgage
Assoc., 8.0%, 08/15/26 569,980 586
Government National Mortgage
Assoc., 8.0%, 09/15/26 436,954 449
Government National Mortgage
Assoc., 8.0%, 12/15/26 162,219 167
Government National Mortgage
Assoc., 8.0%, 01/15/27 493,272 507
Government National Mortgage
Assoc., 8.0%, 03/15/27 441,712 454
Government National Mortgage
Assoc., 8.0%, 04/15/27 861,758 886
<CAPTION>
MARKET
VALUE
BONDS (94.3%) PAR (000'S)
- --------------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (CONTINUED)
Government National Mortgage
Assoc., 8.0%, 06/15/27 403,630 $ 415
Government National Mortgage
Assoc., 8.0%, 07/15/27 361,449 372
Government National Mortgage
Assoc., 8.0%, 08/15/27 305,679 314
Government National Mortgage
Assoc., 8.0%, 09/15/27 328,144 337
Government National Mortgage
Assoc., 8.5%, 09/15/21 73,226 77
Government National Mortgage
Assoc., 8.5%, 03/15/23 3,416 4
Government National Mortgage
Assoc., 8.5%, 06/15/23 8,604 9
Government National Mortgage
Assoc., 8.5%, 06/15/24 2,697 3
Government National Mortgage
Assoc., 8.5%, 07/15/24 51,098 54
Government National Mortgage
Assoc., 8.5%, 09/15/24 105,004 110
Government National Mortgage
Assoc., 8.5%, 11/15/24 458,923 481
Government National Mortgage
Assoc., 8.5%, 02/15/25 48,353 50
Government National Mortgage
Assoc., 11.0%, 01/15/18 4,811,164 5,413
U.S. Treasury, 4.0%, 10/31/00 1,350,000 1,326
U.S. Treasury, 4.5%, 01/31/01 4,000,000 3,940
U.S. Treasury, 4.75%, 11/15/08 12,150,000 11,151
U.S. Treasury, 4.875%, 03/31/01 2,380,000 2,356
U.S. Treasury, 5.0%, 02/28/01 4,000,000 3,969
U.S. Treasury, 5.25%, 05/15/04 14,600,000 14,345
U.S. Treasury, 5.25%, 02/15/29 1,000,000 897
U.S. Treasury, 5.5%, 8/15/28 3,688,000 3,368
U.S. Treasury, 6.125%, 08/15/07 6,000,000 6,067
U.S. Treasury, 6.125%, 11/15/27 1,030,000 1,020
U.S. Treasury, 7.25%, 05/15/16 3,375,000 3,705
Vendee Mortgage Trust, .4951%,
6/15/2023 (IO) 73,944,504 1,287
-----------
TOTAL GOVERNMENT BONDS 131,784
-----------
MORTGAGE BACKED AND ASSET BACKED SECURITIES (39.9%)
AUTO-RELATED (1.6%)
Daimler-Benz Vehicle Trust -
Class A, 5.85%, 7/20/03 235,223 236
Eaglemark Trust - Class A, 6.75%,
11/15/02 406,996 411
Fleetwood Credit Corporation
Grantor Trust - Class A, 6.4%,
5/15/13 830,174 835
</TABLE>
--
55
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
BONDS (94.3%) PAR (000'S)
- --------------------------------------------------------------
AUTO-RELATED (CONTINUED)
<S> <C> <C>
Team Fleet Financing Corporation
- Class A, 6.65%, 12/15/02
(144A) 3,200,000 $ 3,189
-----------
TOTAL 4,671
-----------
BANK AND FINANCE (2.1%)
Morgan Stanley Capital Trust,
7.387%, 5/15/2006 3,000,000 3,139
Nations Bank Lease Pass Thru
Trust 97-A, 7.442%, 11/18/2005 3,000,000 3,013
-----------
TOTAL 6,152
-----------
COMMERCIAL MORTGAGES (24.1%)
Asset Securitization Corporation,
Class CS1, 1.257%, 11/13/26 IO 17,508,170 560
Asset Securitization Corporation,
Class CS2, 1.097%, 11/13/26 IO 52,000,000 2,680
Asset Securitization Corporation,
Class PS1, 1.367%, 2/14/41 IO 12,007,185 1,103
Chase Commercial Mortgage
Securities Corp., Class B, 6.6%,
12/12/29 2,000,000 1,958
Chase Commercial Mortgage
Securities Corp., Class A2,
6.6%, 12/12/29 5,000,000 4,920
Chase Commercial Mortgage
Securities Corp., Class B,
7.37%, 6/19/29 1,000,000 1,035
Commercial Mortgage Acceptance
Corporation,
Class B, 6.649%, 12/15/07 2,000,000 1,937
Commercial Mortgage Asset Trust,
Class C, 7.35%, 8/17/13 3,750,000 3,648
Credit Suisse First Boston
Mortgage Securities Corp.,
Class B, 9.546%, 4/25/25 (144A) 682,000 743
Credit Suisse First Boston
Mortgage Securities Corp.,
Class C1, 7.26%, 6/20/29 (144A) 1,448,939 1,489
Credit Suisse First Boston
Mortgage Securities Corp.,
Class C1, 7.28%, 6/20/29 (144A) 1,500,000 1,505
Credit Suisse First Boston
Mortgage Securities Corp.,
Class D, 9.546%, 4/25/25 (144A) 2,000,000 2,135
Criimi Mae Commercial Mortgage
Trust, 7.0%, 12/01/06 3,000,000 2,759
Criimi Mae Commercial Mortgage
Trust, 7.0%, 11/02/11 4,000,000 3,012
DLJ Mortgage Acceptance
Corporation, Class S, .3571%,
10/15/17 (144A) IO 104,204,148 2,263
<CAPTION>
MARKET
VALUE
BONDS (94.3%) PAR (000'S)
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL MORTGAGES (CONTINUED)
DLJ Mortgage Acceptance
Corporation, Class S, .718%,
2/18/31 IO 119,825,674 $ 4,554
DLJ Mortgage Acceptance
Corporation, 8.100%, 6/18/2004 1,661,924 1,756
DLJ Mortgage Acceptance
Corporation, 8.100%, 6/18/2004 1,000,000 1,049
First Union-Lehman Brothers
Commercial Mortgage Trust, Class
C, 7.44%, 4/18/07 2,500,000 2,521
Kmart CMBS Financing, Inc., Class
D, 6.7875%, 03/01/07 (144A) 2,000,000 1,989
Kmart CMBS Financing, Inc., Class
C, 6.3875%, 03/01/07 (144A) 2,500,000 2,480
Kmart CMBS Financing, Inc., Class
D, 6.03%, 03/01/07 (144A) 2,000,000 1,981
LB Mortgage Trust, 8.396%, 6/2/10 5,217,049 5,784
Malan Mortgage Securities Trust,
Class A3, 7.8%, 8/15/05 (144A) 3,000,000 3,070
Merrill Lynch Mortgage Investors,
Inc., Class E, 8.1606%, 6/25/22
(144A) 2,000,000 2,000
Merrill Lynch Mortgage Investors,
Inc., Class C,
8.9223% , 11/25/20 1,950,000 1,947
Midland Realty Acceptance Corp.,
Class AEC, 1.389%, 1/25/29
(144A) IO 13,811,870 843
Nomura Asset Securities Corp. -
Class A2, 7.014%, 3/17/28 2,800,000 2,688
Nomura Asset Securities Corp. -
Class A4, 7.594%, 3/17/28 2,200,000 2,053
Red Mountain Funding LLC, Class
E, 7.365%, 1/15/19 (144A) 1,500,000 1,284
Red Mountain Funding LLC, Class
F, 7.471%, 1/15/19 (144A) 1,800,000 1,375
The Equitable Life Insurance
Society of the U S, Class C1,
7.52%, 5/15/06 2,000,000 2,051
-----------
TOTAL 71,172
-----------
CREDIT CARD ASSET BACKED (0.7%)
Iroquois Trust, Class A, 6.752%,
6/25/07 (144A) 2,000,000 2,002
-----------
FRANCHISE LOAN RECEIVABLES (2.3%)
EMAC Owner Trust, 1.378%, 1/15/25
(144A) IO 30,458,787 1,966
EMAC Owner Trust - Class A2,
6.38%, 1/15/25 (144A) 3,100,000 3,001
</TABLE>
--
56
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
BONDS (94.3%) PAR (000'S)
- --------------------------------------------------------------
FRANCHISE LOAN RECEIVABLES (CONTINUED)
<S> <C> <C>
Global Franchise Trust, 6.349%,
8/16/01 1,861,405 $ 1,841
-----------
TOTAL 6,808
-----------
HOME EQUITY LOAN (0.7%)
Amresco Residential Securities -
Class A2, 6.245%, 04/25/22 2,200,000 2,199
-----------
MANUFACTURED HOUSING (1.2%)
Mid-State Trust VI, Class A3,
7.54%, 7/1/35 1,063,747 1,074
Vanderbilt Mortgage and Finance,
Inc., Class 1A4, 7.19%, 2/7/14 2,500,000 2,545
-----------
TOTAL 3,619
-----------
OTHER ASSET BACKED (3.7%)
FMAC Loan Receivables Trust -
Class A, 6.2%, 9/15/20 (144A) 1,426,283 1,394
Harley-Davidson Eaglemark, 5.87%,
1/20/2001 1,500,000 1,481
Health Care Recievable Corp.,
6.25%, 2/01/03 1,125,000 1,106
Heilig-Meyers Master Trust -
Class A, 6.125%, 1/20/07 (144A) 3,000,000 2,948
Nations Credit Grantor Trust -
Class A1, 6.35%, 12/15/04 1,742,162 1,739
Newcourt Equipment - Class B,
6.764%, 9/20/04 (144A) 804,069 801
Rural Housing Trust, 6.33%,
4/17/2001 1,361,756 1,350
-----------
TOTAL 10,819
-----------
RESIDENTIAL MORTGAGES (2.4%)
BCF L L C Mortgage Pass Thru
Certificate, Class B3, 7.75%,
3/25/37 (144A) 3,868,375 3,521
Blackrock Capital Finance,
Class B3, 7.25%, 11/25/28 (144A) 4,369,944 3,649
-----------
TOTAL 7,170
-----------
UTILITY (1.1%)
Comed Transitional, 5.74%,
12/16/2008 3,500,000 3,264
-----------
TOTAL MORTGAGE BACKED AND
ASSET BACKED SECURITIES 117,876
-----------
TOTAL BONDS 278,622
-----------
MARKET )
VALUE
WARRANTS (0.0%) PAR (000'S
- --------------------------------------------------------------
Argentina Republic 3,500 $ 4
-----------
<CAPTION>
MONEY MARKET INVESTMENTS (4.9%)
- --------------------------------------------------------------
<S> <C> <C>
GOVERNMENT (0.6%)
++Federal Home Loan Mortgage
Company, 4.73%, 2/26/99 1,700,000 1,682
-----------
PERSONAL CREDIT INSTITUTIONS (4.3%)
General Electric Capital Corp.,
5.7%, 7/1/99 7,500,000 7,500
++Household Finance, 4.97%,
7/14/99 3,000,000 2,995
++Variable Funding Capital Corp.,
5.05%, 7/21/99 2,200,000 2,194
-----------
TOTAL 12,689
-----------
TOTAL MONEY MARKET
INVESTMENTS 14,371
-----------
TOTAL INVESTMENTS (99.2%)
(COST $303,027,441)^ 292,997
OTHER ASSETS, LESS
LIABILITIES (.8%) 2,448
-----------
TOTAL NET ASSETS (100.0%) $ 295,445
-----------
</TABLE>
IO-Interest Only Security
# Defaulted Security
144A after the name of a security represents a security exempt from registration
under Rule 144A of the Securities Act of 1933. These securities may be
resold as transactions exempt from registration, normally to qualified
institutional buyers.
++ Partially held by the custodian in a segregated account as collateral for
open futures postions. Information regarding open futures contracts as of
June 30, 1999 is summarized below:
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF EXPIRATION APPRECIATION
ISSUER CONTRACTS DATE (000'S)
- ----------------------------------------------------------------
<S> <C> <C> <C>
Euro Bond Future 31 9/99 $39
(Total Notional Value at
6/30/99, $7,369,750)
</TABLE>
^ At June 30, 1999, the aggregate cost of securities for federal income tax
purposes was $303,027,441 and the net unrealized depreciation of investments
based on that cost was $10,029,866 which is comprised of $1,125,366 aggregate
gross unrealized appreciation and $11,155,232 aggregate gross unrealized
depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements.
(Prepared from Unaudited Figures)
--
57
<PAGE>
MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
Maximum current income consistent Achieve stability of capital by investing in short- $332,169,000
with liquidity and stability of term debt securities.
capital
</TABLE>
MONEY MARKET PORTFOLIO
The Money Market Portfolio, which invests only in high quality commercial paper
and other short-term debt securities with maturities generally not exceeding one
year, is the least risky of the Portfolios.
Maturities were lengthened considerably in the Money Market Portfolio during the
second quarter of 1999. This move was made to take advantage of the relatively
high yields that prevailed on longer-maturity instruments because the market
expected a significant increase in interest rates. The modest tightening by the
Federal Reserve at the end of June was accompanied by a statement that suggested
further increases in the immediate future are unlikely. This statement indicated
that the market had, in fact, overestimated the central bank's intent to raise
interest rates.
The Portfolio's current structure anticipates two more interest rate tightenings
by the Federal Reserve before the end of 1999. Holdings include a number of
securities that mature after January 1, 2000. These investments anticipate a
drop in interest rates at the end of the year, as large issuers avoid issuing
securities that would settle as the century turns.
AN INVESTMENT IN THE MONEY MARKET PORTFOLIO IS NEITHER INSURED NOR GUARANTEED BY
THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY.
ALTHOUGH THE PORTFOLIO SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00
PER SHARE, THERE IS NO ASSURANCE THAT THE PORTFOLIO WILL BE ABLE TO MAINTAIN A
STABLE NET ASSET VALUE SO IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN THE
PORTFOLIO.
--
58
<PAGE>
MONEY MARKET PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1999
<TABLE>
<CAPTION>
MARKET
VALUE
MONEY MARKET INVESTMENTS (76.0%) PAR (000'S)
- ---------------------------------------------------------------------------------
<S> <C> <C>
AIRCRAFT, GUIDED MISSILES & PARTS (4.6%)
Alliedsignal, Inc., 5.27%, 2/23/00 16,000,000 $ 15,445
---------
AUTOMOBILE REPAIR, SERVICES & PARKING (2.4%)
Daimler-Chrysler NA. Holding, 5.00%, 7/16/99 8,130,000 8,113
---------
CANNED FRUITS & VEGETABLES (3.0%)
H.J. Heinz Co., 5.2%, 7/20/99 10,000,000 9,973
---------
CAPTIVE FINANCE COMPANIES (12.2%)
Ford Holdings, Inc., 9.25%, 3/01/00 8,425,000 8,648
GMAC, 6.625%, 6/08/00 6,000,000 6,051
GMAC, 6.75%, 06/02/00 10,000,000 10,096
Sears Robuck Acceptance Corp., 4.9%, 07/14/99 3,870,000 3,863
Sears Robuck Acceptance Corp., 5.03%, 07/27/99 12,000,000 11,956
---------
TOTAL 40,614
---------
ELECTRIC UTILITIES (3.8%)
Southern California Edison, 5.00%, 7/08/99 5,602,000 5,597
Southern California Edison, 4.9%, 7/12/99 7,035,000 7,024
---------
TOTAL 12,621
---------
FINANCE (14.4%)
Ciesco LP, 5.16%, 8/18/99 16,000 15,890
CIT Group, 5.16%, 8/04/99 16,000 15,922
CXC Incorporated, 4.90%, 7/15/99 5,500 5,490
CXC Incorporated, 5.06%, 7/20/99 10,500 10,472
---------
TOTAL 47,774
---------
MANUFACTURED HOUSING (4.5%)
Short Term Repackage Asset Trust, 6.00%, 4/13/00 15,000,000 15,000
---------
PERSONAL CREDIT INSTITUTIONS (19.9%)
American Express Credit, 5.25%, 7/6/99 16,000,000 15,988
Associates Corp of NA, 4.90%, 7/14/99 6,500,000 6,488
Commercial Credit Company, 4.93%, 7/9/99 16,000,000 15,982
General Electric Capital Corp., 5.70%, 07/01/99 11,565,000 11,565
Variable Funding Capital Corp., 5.01%, 7/15/99 16,000,000 15,969
---------
TOTAL 65,992
---------
<CAPTION>
MARKET
VALUE
MONEY MARKET INVESTMENTS (76.0%) PAR (000'S)
- ---------------------------------------------------------------------------------
<S> <C> <C>
PHARMACEUTICAL PREPARATIONS (1.7%)
American Home Products, 7.7%, 2/15/00 5,450,000 $ 5,535
---------
PHONE COMMUNICATIONS (4.8%)
U.S. West Communications, 4.89%, 7/08/99 7,500,000 7,493
U.S. West Communications, 4.89%, 7/15/99 8,455,000 8,439
---------
TOTAL 15,932
---------
TOBACCO PRODUCTS (4.7%)
Philip Morris, 6.15%, 03/15/00 15,500,000 15,584
---------
TOTAL MONEY MARKET INVESTMENTS 252,583
---------
<CAPTION>
ASSET-BACKED SECURITIES (23.9%)
- ---------------------------------------------------------------------------------
<S> <C> <C>
FINANCE LESSORS (23.9%)
Asset Securitization, 4.91%, 7/14/99 10,000,000 9,982
Asset Securitization, 5.06%, 8/11/99 6,000,000 5,965
Preferred Receivable Funding, 5.10%, 8/19/99 16,000,000 15,889
Quincy Capital Corporation, 4.91%, 7/09/99 5,200,000 5,194
Quincy Capital Corporation, 4.92%, 7/09/99 6,400,000 6,393
Quincy Capital Corporation, 4.92%, 7/14/99 4,400,000 4,392
Receivables Capital Corp, 5.02%, 7/19/99 11,125,000 11,098
Receivables Capital Corp, 5.05%, 7/23/99 5,000,000 4,985
Triple A One Funding, 5.03%, 7/12/99 4,035,000 4,029
Triple A One Funding, 5.05%, 7/19/99 3,970,000 3,960
Triple A One Funding, 5.05%, 7/20/99 7,500,000 7,480
---------
TOTAL ASSET-BACKED SECURITIES 79,367
---------
TOTAL INVESTMENTS (99.9%)
(COST $331,949,843)^ 331,950
OTHER ASSETS, LESS LIABILITIES (.1% ) 219
---------
TOTAL NET ASSETS (100.0%) $332,169
---------
</TABLE>
^ Also represents cost for federal income tax purposes.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
59
<PAGE>
SMALL CAP GROWTH STOCK PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Small Cap Growth Stock Portfolio
Financial Statements
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999
<TABLE>
<S> <C>
ASSETS
Common Stocks (cost $10,156).................................................. $ 11,497
Money Market Investments (cost $1,199)........................................ 1,199
-----------
12,696
Due from Sale of Fund Shares.................................................. 407
Due from Sale of Securities................................................... 173
Due from Futures Variation Margin............................................. 7
-----------
Total Assets................................................................ 13,283
-----------
LIABILITIES
Due on Purchase of Securities................................................. 278
Accrued Expenses.............................................................. 8
Due to Investment Advisor..................................................... 4
-----------
Total Liabilities........................................................... 290
-----------
NET ASSETS...................................................................... $ 12,993
-----------
-----------
REPRESENTED BY:
Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value; 10,749
shares outstanding).......................................................... $ 11,248
Undistributed Accumulated Net Realized Gain on Investments.................... 385
Net Unrealized Appreciation of:
Investment Securities....................................................... 1,341
Index Futures Contracts..................................................... 19
-----------
Net Assets for 10,749 Shares Outstanding...................................... $ 12,993
-----------
-----------
Net Asset Value, Offering and Redemption
Price per Share.............................................................. $ 1.21
-----------
-----------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE TWO MONTHS ENDED JUNE 30, 1999*
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Interest.................................................................... $ 12
Dividends................................................................... 1
---------
Total Income.............................................................. 13
---------
Expenses
Management Fees............................................................. 11
Other Expenses.............................................................. 6
Custodian Expenses.......................................................... 4
---------
Total Expenses............................................................ 21
---------
Less:
Expenses Reimbursed by Affiliates.................................... (7)
Custodian Fees Paid Indirectly....................................... (1)
---------
Total Net Expenses........................................................ 13
---------
Net Investment Income......................................................... --
---------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net Realized Gain(Loss) on Investments:
Investment Securities....................................................... 398
Index Futures Contracts..................................................... (13)
---------
Net Realized Gain on Investments for the Period........................... 385
---------
Net Change in Unrealized Appreciation of:
Investments Securities...................................................... 1,341
Index Futures Contracts..................................................... 19
---------
Net Change in Unrealized Appreciation of Investments for the Period....... 1,360
---------
Net Gain on Investments....................................................... 1,745
---------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS...................................................... $ 1,745
---------
---------
</TABLE>
* Fund commenced operations on April 30, 1999.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
60
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Small Cap Growth Stock Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
TWO MONTHS
ENDED
JUNE 30,
1999
----------
<S> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income................................... $ --
Net Realized Gain on Investments........................ 385
Net Change in Unrealized Appreciation of Investments for
the Period............................................. 1,360
----------
Net Increase in Net Assets Resulting from
Operations............................................ 1,745
----------
Distributions to Shareholders from:
Net Investment Income................................... --
Net Realized Gain on Investments........................ --
----------
Net Decrease in Net Assets Resulting from
Distributions to Shareholders......................... --
----------
Fund Share Transactions
Proceeds from Sale of 10,761 Shares..................... 11,261
Proceeds from Shares Issued on Reinvestment of
Distributions Paid
(0 Shares)............................................. --
Payments for 12 Shares Redeemed......................... (13)
----------
Net Increase in Net Assets Resulting from Fund Share
Transactions (10,749 shares).......................... 11,248
----------
Total Increase in Net Assets.............................. 12,993
NET ASSETS
Beginning of Period....................................... --
----------
End of Period (includes no undistributed net investment
income).................................................. 1$2,993
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
61
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Small Cap Growth Stock Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
TWO MONTHS
ENDED
JUNE 30,
1999
----------
<S> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period...................... $1.00
Income from Investment Operations:
Net Investment Income................................. 0.00
Net Realized and Unrealized Gains on Investments...... 0.21
----------
Total from Investment Operations.................... 0.21
----------
Less Distributions:
Distributions from Net Investment Income.............. 0.00
Distributions from Realized Gains on Investments...... 0.00
----------
Total Distributions................................. 0.00
----------
Net Asset Value, End of Period.............................. $1.21
----------
----------
Total Return+............................................... 20.90%++
----------
----------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands).................... 1$2,993
----------
----------
Ratio of Net Expenses to Average Net Assets................. 1.00%**
----------
----------
Ratio of Gross Expenses to Average Net Assets............... 1.51%**
----------
----------
Ratio of Net Investment Income to Average Net Assets........ 0.03%**
----------
----------
Portfolio Turnover Rate..................................... 15.58%
----------
----------
</TABLE>
** Computed on an annualized basis.
+ Total Return includes deductions for management and other fund expenses;
excludes deductions for sales loads and account fees.
++ Reflects total return for the period; not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
62
<PAGE>
AGGRESSIVE GROWTH STOCK PORTFOLIO
FINANCIAL STATEMENTS OF
NORTHWESTERN MUTUAL SERIES FUND, INC.
Aggressive Growth Stock Portfolio
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999
<TABLE>
<S> <C>
ASSETS
Common Stocks (cost $717,044)................................................. $ 1,102,434
Money Market Investments (cost $43,982)....................................... 43,981
------------
1,146,415
Cash.......................................................................... 1,535
Due from Sale of Securities................................................... 9,348
Due from Sale of Fund Shares.................................................. 318
Dividends and Interest Receivable............................................. 110
------------
Total Assets................................................................ 1,157,726
------------
LIABILITIES
Due on Purchase of Securities................................................. 8,386
Due on Redemption of Fund Shares.............................................. 1,445
Due to Investment Advisor..................................................... 514
Accrued Expenses.............................................................. 25
------------
Total Liabilities........................................................... 10,370
------------
NET ASSETS...................................................................... $ 1,147,356
------------
------------
REPRESENTED BY:
Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value;
312,030 shares outstanding).................................................. $ 683,261
Undistributed Net Investment Loss............................................. (380)
Undistributed Accumulated Net Realized Gain on Investments.................... 79,086
Net Unrealized Appreciation of Investment Securities.......................... 385,389
------------
Net Assets for 312,030 Shares Outstanding..................................... $ 1,147,356
------------
------------
Net Asset Value, Offering and Redemption Price per Share...................... $ 3.68
------------
------------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Interest.................................................................... $ 1,779
Dividends................................................................... 600
---------
Total Income.............................................................. 2,379
---------
Expenses
Management Fees............................................................. 2,750
Custodian Expenses.......................................................... 21
Other Expenses.............................................................. 10
---------
Total Expenses............................................................ 2,781
---------
Less Custodian Fees:....................................................
Paid by Affiliate....................................................... (19)
Paid Indirectly......................................................... (2)
---------
Total Net Expenses........................................................ 2,760
---------
Net Investment Loss......................................................... (381)
---------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net Realized Gain on Investments:
Investment Securities....................................................... 80,182
Index Futures Contracts..................................................... 871
---------
Net Realized Gain on Investments for the Period........................... 81,053
Net Change in Unrealized Appreciation (Depreciation) of:
Investment Securities....................................................... 21,558
Index Futures Contracts..................................................... (989)
---------
Net Change in Unrealized Appreciation of Investments for the Period....... 20,569
---------
Net Gain on Investments....................................................... 101,622
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $101,241
---------
---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
63
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Aggressive Growth Stock Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE
JUNE 31, YEAR ENDED
1999 DECEMBER 31,
(UNAUDITED) 1998
------------- -------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Gain (Loss)....................... $ (381) $ 389
Net Realized Gain on Investments................. 81,053 36,225
Net Change in Unrealized Appreciation of
Investments for the Period...................... 20,569 43,459
------------- -------------
Net Increase in Net Assets Resulting from
Operations..................................... 101,241 80,073
------------- -------------
Distributions to Shareholders from:
Net Investment Income............................ (389) (389)
Net Realized Gain on Investments................. (38,180) (39,790)
------------- -------------
Net Decrease in Net Assets Resulting from
Distributions to Shareholders.................. (38,569) (40,179)
------------- -------------
Fund Share Transactions
Proceeds from Sale of 5,994 and 23,019 Shares.... 20,260 74,489
Proceeds from Shares Issued on Reinvestment of
Distributions Paid (11,023 and 11,431 shares,
respectively)................................... 38,569 40,180
Payments for 33,383 and 25,793 Shares Redeemed... (111,611) (84,165)
------------- -------------
Net Increase (Decrease) in Net Assets Resulting
from Fund Share Transactions ((16,366) and
8,657 shares, respectively).................... (52,782) 30,504
------------- -------------
Total Increase in Net Assets....................... 9,890 70,398
NET ASSETS
Beginning of Period................................ 1,137,466 1,067,068
------------- -------------
End of Period (includes undistributed net
investment income (loss) of $(380) and $390,
respectively)..................................... $ 1,147,356 $ 1,137,466
------------- -------------
------------- -------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
---
64
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Aggressive Growth Stock Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
PERIOD
FOR THE MAY 3,
SIX MONTHS 1994*
ENDED THROUGH
JUNE 30, FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
1999 --------------------------------------------- ---------------
(UNAUDITED) 1998 1997 1996 1995 1994
--------------- --------- --------- --------- --------- ---------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of
Period............................... $ 3.46 $ 3.34 $ 3.15 $ 2.77 $ 2.00 $ 1.91
Income from Investment Operations:
Net Investment Income............. -- -- -- -- -- --
Net Realized and Unrealized Gains
on Investments................... 0.34 0.24 0.39 0.49 0.78 0.09
--------------- --------- --------- --------- --------- ---------------
Total from Investment
Operations..................... 0.34 0.24 0.39 0.49 0.78 0.09
--------------- --------- --------- --------- --------- ---------------
Less Distributions:
Distributions from Net Investment
Income........................... -- -- -- -- -- --
Distributions from Realized Gains
on Investments................... (0.12) (0.12) (0.20) (0.11) (0.01) --
--------------- --------- --------- --------- --------- ---------------
Total Distributions............. (0.12) (0.12) (0.20) (0.11) (0.01) --
--------------- --------- --------- --------- --------- ---------------
Net Asset Value, End of Period.......... $ 3.68 $ 3.46 $ 3.34 $ 3.15 $ 2.77 $ 2.00
--------------- --------- --------- --------- --------- ---------------
--------------- --------- --------- --------- --------- ---------------
Total Return+........................... 9.98%++ 7.56% 13.86% 17.70% 39.29% 4.47%++
--------------- --------- --------- --------- --------- ---------------
--------------- --------- --------- --------- --------- ---------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in
thousands)............................. $ 1,147,356 $1,137,466 $1,067,068 $871,926 $577,014 $327,096
--------------- --------- --------- --------- --------- ---------------
--------------- --------- --------- --------- --------- ---------------
Ratio of Expenses to Average Net
Assets................................. 0.51%** 0.52% 0.53% 0.54% 0.56% 0.58%**
--------------- --------- --------- --------- --------- ---------------
--------------- --------- --------- --------- --------- ---------------
Ratio of Net Investment Income (Loss) to
Average Net Assets..................... (0.07%)** 0.04% 0.06% (0.03%) 0.13% 0.29%**
--------------- --------- --------- --------- --------- ---------------
--------------- --------- --------- --------- --------- ---------------
Portfolio Turnover Rate................. 31.62% 50.43% 57.27% 47.25% 37.84% 21.54%
--------------- --------- --------- --------- --------- ---------------
--------------- --------- --------- --------- --------- ---------------
</TABLE>
* Commencement of Operations.
** Computed on an annualized basis.
+ Total Return includes deductions for management and other fund expenses;
excludes deductions for sales loads and account fees.
++ Reflects total return for the period; not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements
---
65
<PAGE>
INTERNATIONAL EQUITY PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
International Equity Portfolio
Financial Statements
(IN THOUSANDS EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999
<TABLE>
<S> <C>
ASSETS
Common Stocks (cost $587,868)................................................. $657,298
Money Market Investments (cost $39,096)....................................... 39,096
---------
696,394
Dividends and Interest Receivable............................................. 5,222
Due from Sale of Fund Shares.................................................. 334
Due from Sale of Securities................................................... 53
---------
Total Assets................................................................ 702,003
---------
LIABILITIES
Due on Redemption of Fund Shares.............................................. 740
Due to Investment Advisor..................................................... 380
Due on Purchase of Securities................................................. 330
Accrued Expenses.............................................................. 183
---------
Total Liabilities........................................................... 1,633
---------
NET ASSETS...................................................................... $700,370
---------
---------
REPRESENTED BY:
Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value;
432,243 shares outstanding).................................................. $580,297
Undistributed Net Investment Income........................................... 14,543
Undistributed Accumulated Net Realized Gain on Investments.................... 36,235
Net Unrealized Appreciation (Depreciation) of:
Investment Securities....................................................... 69,430
Foreign Currency Transactions............................................... (135)
---------
Net Assets for 432,243 Shares Outstanding..................................... $700,370
---------
---------
Net Asset Value, Offering and Redemption Price per Share...................... $ 1.62
---------
---------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Dividends (less foreign dividend tax of $390)............................... $14,747
Interest.................................................................... 649
--------
Total Income.............................................................. 15,396
--------
Expenses
Management Fees............................................................. 2,210
Custodian Fees.............................................................. 199
Other Expenses.............................................................. 135
--------
Total Expenses............................................................ 2,544
--------
Net Investment Income......................................................... 12,852
--------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FOREIGN CURRENCIES
Net Realized Gain (Loss) on:
Investment Securities....................................................... 41,149
Foreign Currency Transactions............................................... (1,790)
--------
Net Realized Gain for the Period.......................................... 39,359
--------
Net Change in Unrealized Appreciation (Depreciation) of:
Investment Securities....................................................... 22,439
Foreign Currency Transactions............................................... (170)
--------
Net Change in Unrealized Appreciation for the Period...................... 22,269
--------
Net Gain on Investments..................................................... 61,628
--------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS...................................................... $74,480
--------
--------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
66
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
International Equity Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE
ENDED JUNE YEAR ENDED
30, 1999 DECEMBER 31,
(UNAUDITED) 1998
----------- ------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income................................ $ 12,852 $ 18,098
Net Realized Gain on Investments..................... 39,359 78,236
Net Unrealized Appreciation (Depreciation) of
Investments for the Period.......................... 22,269 (66,907)
----------- ------------
Net Increase in Net Assets Resulting from
Operations......................................... 74,480 29,427
----------- ------------
Distributions to Shareholders from:
Net Investment Income................................ (18,221) (16,649)
Net Realized Gain on Investments..................... (78,977) (22,793)
----------- ------------
Net Decrease in Net Assets Resulting from
Distributions to Shareholders...................... (97,198) (39,442)
----------- ------------
Fund Share Transactions
Proceeds from Sale of 12,298 and 35,076 Shares....... 20,667 60,890
Proceeds from Shares Issued on Reinvestment of
Dividends Paid
(58,943 and 21,530 shares, respectively)............ 97,198 39,442
Payments for 39,189 and 47,205 Shares Redeemed....... (65,883) (79,061)
----------- ------------
Net Increase in Net Assets Resulting from Fund
Share Transactions
(32,052 and 9,401 shares, respectively)........... 51,982 21,271
----------- ------------
Total Increase in Net Assets........................... 29,264 11,256
NET ASSETS
Beginning of Period.................................... 671,106 659,850
----------- ------------
End of Period (includes undistributed net
investment income of $14,543 and $19,912,
respectively)......................................... $700,370 $671,106
----------- ------------
----------- ------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
---
67
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
International Equity Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE SIX FOR THE PERIOD
MONTHS MAY 3, 1994*
ENDED JUNE FOR THE YEAR ENDED DECEMBER 31, THROUGH
30, 1999 ---------------------------------------------- DECEMBER 31,
(UNAUDITED) 1998 1997 1996 1995 1994
----------- ----------- --------- --------- -------- --------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period............ $ 1.68 $ 1.69 $ 1.56 $ 1.35 $ 1.19 $ 1.22
Income from Investment Operations:
Net Investment Income....................... 0.03 0.05 0.04 0.04 0.04 0.02
Net Realized and Unrealized Gains (Losses)
on Investments............................. 0.13 0.04 0.15 0.24 0.13 (0.02)
----------- ----------- --------- --------- -------- --------------
Total from Investment Operations.......... 0.16 0.09 0.19 0.28 0.17 0.00
----------- ----------- --------- --------- -------- --------------
Less Distributions:
Distributions from Net Investment Income.... (0.04) (0.04) (0.04) (0.03) .00 (0.02)
Distributions from Realized Gains on
Investments................................ (0.18) (0.06) (0.02) (0.04) (0.01) (0.01)
----------- ----------- --------- --------- -------- --------------
Total Distributions....................... (0.22) (0.10) (0.06) (0.07) (0.01) (0.03)
----------- ----------- --------- --------- -------- --------------
Net Asset Value, End of Period.................... $ 1.62 $ 1.68 $ 1.69 $ 1.56 $ 1.35 $ 1.19
----------- ----------- --------- --------- -------- --------------
----------- ----------- --------- --------- -------- --------------
Total Return+..................................... 11.79%++ 4.82% 12.28% 21.01% 14.57% 0.11%++
----------- ----------- --------- --------- -------- --------------
----------- ----------- --------- --------- -------- --------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands).......... $700,370 $671,106 $659,850 $505,189 $342,127 $292,533
----------- ----------- --------- --------- -------- --------------
----------- ----------- --------- --------- -------- --------------
Ratio of Expenses to Average Net Assets........... 0.76%** 0.76% 0.77% 0.81% 0.85% 0.87%**
----------- ----------- --------- --------- -------- --------------
----------- ----------- --------- --------- -------- --------------
Ratio of Net Investment Income to Average Net
Assets........................................... 4.42%** 3.38% 2.75% 3.02% 2.68% 2.28%**
----------- ----------- --------- --------- -------- --------------
----------- ----------- --------- --------- -------- --------------
Portfolio Turnover Rate........................... 153.40% 30.41% 16.74% 17.07% 26.71% 10.97%
----------- ----------- --------- --------- -------- --------------
----------- ----------- --------- --------- -------- --------------
</TABLE>
* Commencement of Operations.
** Computed on an annualized basis.
+ Total Return includes deductions for management and other fund expenses;
excludes deductions for sales loads and account fees.
++ Reflects total return for the period; not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements
---
68
<PAGE>
INDEX 400 STOCK PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Index 400 Stock Portfolio
Financial Statements
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999
<TABLE>
<S> <C>
ASSETS
Common Stocks (cost $27,907).................................................. $ 29,354
Money Market Investments (cost $2,197)........................................ 2,197
---------
31,551
Due from Sale of Fund Shares.................................................. 339
Dividends and Interest Receivable............................................. 19
Due from Futures Variation Margin............................................. 7
---------
Total Assets................................................................ 31,916
---------
LIABILITIES
Due on Purchase of Securities................................................. 16
Accrued Expenses.............................................................. 13
Due to Investment Advisor..................................................... 2
---------
Total Liabilities........................................................... 31
---------
NET ASSETS...................................................................... $ 31,885
---------
---------
REPRESENTED BY:
Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value; 30,236
shares outstanding).......................................................... $ 30,337
Undistributed Net Investment Income........................................... 68
Undistributed Accumulated Net Realized Loss on Investments.................... (18)
Net Unrealized Appreciation of:
Investment Securities....................................................... 1,447
Index Futures Contracts..................................................... 51
---------
Net Assets for 30,236 Shares Outstanding...................................... $ 31,885
---------
---------
Net Asset Value, Offering and Redemption Price per Share...................... $ 1.05
---------
---------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE TWO MONTHS ENDED JUNE 30, 1999*
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Dividends................................................................... $ 50
Interest.................................................................... 33
---------
Total Income.............................................................. 83
---------
Expenses
Management Fees............................................................. 11
Other Expenses.............................................................. 8
Custodian Expenses.......................................................... 6
---------
Total Expenses............................................................ 25
---------
Less:
Expenses Reimbursed by Affliates..................................... (9)
Custodian Fees Paid Indirectly....................................... (1)
---------
Total Net Expenses........................................................ 15
---------
Net Investment Income......................................................... 68
---------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) on Investments:
Investment Securities....................................................... (39)
Index Futures Contracts..................................................... 21
---------
Net Realized Loss on Investments for the Period............................... (18)
---------
Net Change in Unrealized Appreciation of:
Investment Securities....................................................... 1,447
Index Futures Contracts..................................................... 51
---------
Net Change in Unrealized Appreciation of Investments for the Peiod............ 1,498
---------
Net Gain on Investments....................................................... 1,480
---------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS...................................................... $ 1,548
---------
---------
</TABLE>
* Fund commenced operations on April 30, 1999.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
69
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Index 400 Stock Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
TWO MONTHS
ENDED
JUNE 30,
1999
-----------
<S> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income................................ $ 68
Net Realized Loss on Investments..................... (18)
Net Change in Unrealized Appreciation of Investments
for the Period...................................... 1,498
-----------
Net Increase in Net Assets Resulting from
Operations......................................... 1,548
-----------
Distributions to Shareholders from:
Net Investment Income................................ --
Net Realized Gain on Investments..................... --
-----------
Net Increase in Net Assets Resulting from
Distributions to Shareholders...................... --
-----------
Fund Share Transactions
Proceeds from Sale of 30,249 Shares.................. 30,350
Payments for 13 Shares Redeemed...................... (13)
-----------
Net Increase in Net Assets Resulting from Fund
Share Transactions
(30,236 Shares)................................... 30,337
-----------
Total Increase in Net Assets........................... 31,885
NET ASSETS
Beginning of Period.................................... --
-----------
End of Period (includes undistributed net investment
income of $68)........................................ $ 31,885
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
70
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Index 400 Stock Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
TWO MONTHS
ENDED
JUNE 30,
1999
-----------
<S> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period............ $ 1.00
Income from Investment Operations:
Net Investment Income....................... 0.00
Net Realized and Unrealized Gains on
Investments................................. 0.05
-----------
Total from Investment Operations.......... 0.05
-----------
Less Distributions:
Distributions from Net Investment Income.... 0.00
Distributions from Realized Gains on
Investments................................. 0.00
-----------
Total Distributions....................... 0.00
-----------
Net Asset Value, End of Period.................... $ 1.05
-----------
-----------
Total Return+..................................... 5.50%++
-----------
-----------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands).......... $ 31,885
-----------
-----------
Ratio of Gross Expenses to Average Net Assets..... 0.55%**
-----------
-----------
Ratio of Net Expenses to Average Net Assets....... 0.35%**
-----------
-----------
Ratio of Net Investment Income to Average Net
Assets........................................... 1.47%**
-----------
-----------
Portfolio Turnover Rate........................... 3.77%
-----------
-----------
</TABLE>
** Computed on an annualized basis.
+ Total Return includes deductions for management and other fund expenses;
excludes deductions for sales loads and account fees.
++ Reflects total return for the period; not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
71
<PAGE>
GROWTH STOCK PORTFOLIO
FINANCIAL STATEMENTS OF
Northwestern Mutual Series Fund, Inc.
Growth Stock Portfolio
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999
<TABLE>
<S> <C>
ASSETS
Common Stocks (cost $305,663)................................................. $ 478,511
Money Market Investments (cost $96,764)....................................... 96,760
-----------
575,271
Cash.......................................................................... 743
Due from Futures Variation Margin............................................. 1,181
Dividends and Interest Receivable............................................. 353
Due from Sale of Fund Shares.................................................. 182
-----------
Total Assets................................................................ 577,730
-----------
LIABILITIES
Due on Purchase of Securities................................................. 2,346
Due on Redemption of Fund Shares.............................................. 954
Due to Investment Advisor..................................................... 210
Accrued Expenses.............................................................. 30
-----------
Total Liabilities........................................................... 3,540
-----------
NET ASSETS...................................................................... $ 574,190
-----------
-----------
REPRESENTED BY:
Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value;
234,555 shares outstanding).................................................. $ 384,264
Undistributed Net Investment Income........................................... 3,072
Undistributed Accumulated Net Realized Gain on Investments.................... 11,556
Net Unrealized Appreciation of:
Investment Securities....................................................... 172,844
Index Futures Contracts..................................................... 2,454
-----------
Net Assets for 234,555 Shares Outstanding..................................... $ 574,190
-----------
-----------
Net Asset Value, Offering and Redemption Price per Share...................... $ 2.45
-----------
-----------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Dividends (less foreign dividend tax of $76)................................ $ 2,257
Interest.................................................................... 1,878
---------
Total Income.............................................................. 4,135
---------
Expenses
Management Fees............................................................. 1,052
Other Expenses.............................................................. 10
Custodian Expenses.......................................................... 9
---------
Total Expenses............................................................ 1,071
---------
Less Custodian Fees:
Paid by Affiliate.................................................... (6)
Paid Indirectly...................................................... (3)
---------
Total Net Expenses........................................................ 1,062
---------
Net Investment Income......................................................... 3,073
---------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net Realized Gain on Investments:
Investment Securities....................................................... 9,904
Index Futures Contracts..................................................... 3,215
---------
Net Realized Gain on Investments for the Period........................... 13,119
---------
Net Change in Unrealized Appreciation of:
Investments Securities...................................................... 39,705
Index Futures Contracts..................................................... 900
---------
Net Change in Unrealized Appreciation of Investments for the Period....... 40,605
---------
Net Gain on Investments..................................................... 53,724
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $ 56,797
---------
---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
72
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Growth Stock Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE
ENDED YEAR
JUNE 30, ENDED
1999 DECEMBER 31,
(UNAUDITED) 1998
----------- ------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income............................ $ 3,073 $ 3,561
Net Realized Gain on Investments................. 13,119 11,976
Net Change in Unrealized Appreciation of
Investments for the Period...................... 40,605 62,197
----------- ------------
Net Increase in Net Assets Resulting from
Operations..................................... 56,797 77,734
----------- ------------
Distributions to Shareholders from:
Net Investment Income............................ (917) (2,645)
Net Realized Gain on Investments................. (13,531) (4,068)
----------- ------------
Net Decrease in Net Assets Resulting from
Distributions to Shareholders.................. (14,448) (6,713)
----------- ------------
Fund Share Transactions
Proceeds from Sale of 44,016 and 56,014 Shares... 103,066 112,510
Proceeds from Shares Issued on Reinvestment of
Distributions Paid (6,040 and 3,330 shares,
respectively)................................... 14,448 6,713
Payments for 2,970 and 6,148 Shares Redeemed..... (6,955) (12,033)
----------- ------------
Net Increase in Net Assets Resulting from Fund
Share Transactions (47,086 and 53,196 shares,
respectively).................................. 110,559 107,190
----------- ------------
Total Increase in Net Assets....................... 152,908 178,211
NET ASSETS
Beginning of Period................................ 421,282 243,071
----------- ------------
End of Period (includes undistributed net
investment income of $3,072 and $916
respectively)..................................... $ 574,190 $ 421,282
----------- ------------
----------- ------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
---
73
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Growth Stock Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
PERIOD
MAY 3,
FOR THE 1994*
SIX MONTHS THROUGH
ENDED DECEMBER
JUNE 30, FOR THE YEAR ENDED DECEMBER 31, 31,
1999 ----------------------------------------------- -----------
(UNAUDITED) 1998 1997 1996 1995 1994
----------- ----------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period....... $ 2.25 $ 1.81 $ 1.46 $ 1.26 $ 1.00 $ 1.00
Income from Investment Operations:
Net Investment Income.................. 0.01 0.02 0.02 0.02 0.02 0.01
Net Realized and Unrealized Gains on
Investments........................... 0.25 0.46 0.42 0.25 0.28 --
----------- ----------- --------- --------- --------- -----------
Total from Investment Operations..... 0.26 0.48 0.44 0.27 0.30 0.01
----------- ----------- --------- --------- --------- -----------
Less Distributions:
Distributions from Net Investment
Income................................ 0.00 (0.02) (0.02) (0.02) (0.02) (0.01)
Distributions from Realized Gains on
Investments........................... (0.06) (0.02) (0.07) (0.05) (0.02) --
----------- ----------- --------- --------- --------- -----------
Total Distributions.................. (0.06) (0.04) (0.09) (0.07) (0.04) (0.01)
----------- ----------- --------- --------- --------- -----------
Net Asset Value, End of Period............... $ 2.45 $ 2.25 $ 1.81 $ 1.46 $ 1.26 $ 1.00
----------- ----------- --------- --------- --------- -----------
----------- ----------- --------- --------- --------- -----------
Total Return+................................ 11.94%++ 26.69% 29.85% 20.91% 30.82% 1.55%++
----------- ----------- --------- --------- --------- -----------
----------- ----------- --------- --------- --------- -----------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands)..... $ 574,190 $ 421,282 $243,071 $170,482 $ 85,557 $ 41,868
----------- ----------- --------- --------- --------- -----------
----------- ----------- --------- --------- --------- -----------
Ratio of Expenses to Average Net Assets 0.43%** 0.46% 0.49% 0.57% 0.61% 0.71%**
----------- ----------- --------- --------- --------- -----------
----------- ----------- --------- --------- --------- -----------
Ratio of Net Investment Income to Average Net
Assets 1.28%** 1.10% 1.24% 1.41% 1.77% 2.30%**
----------- ----------- --------- --------- --------- -----------
----------- ----------- --------- --------- --------- -----------
Portfolio Turnover Rate...................... 11.36% 21.64% 33.20% 37.61% 46.83% 16.51%
----------- ----------- --------- --------- --------- -----------
----------- ----------- --------- --------- --------- -----------
</TABLE>
* Commencement of Operations.
** Computed on an annualized basis.
+ Total Return includes deductions for management and other fund expenses;
excludes deductions for sales loads and account fees.
++ Reflects total return for the period; not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements
---
74
<PAGE>
GROWTH AND INCOME STOCK PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Growth and Income Stock Portfolio
Financial Statements
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999
<TABLE>
<S> <C>
ASSETS
Common Stocks (cost $596,207)................................................. $ 674,915
Money Market Investments (cost $2,997)........................................ 2,997
-----------
677,912
Due From Sale of Securities................................................... 4,398
Dividends and Interest Receivable............................................. 545
Due from Sale of Fund Shares.................................................. 293
-----------
Total Assets................................................................ 683,148
-----------
LIABILITIES
Due on Purchase of Securities................................................. 4,441
Due on Redemption of Fund Shares.............................................. 400
Due to Investment Advisor..................................................... 334
Accrued Expenses.............................................................. 31
-----------
Total Liabilities........................................................... 5,206
-----------
NET ASSETS...................................................................... $ 677,942
-----------
-----------
REPRESENTED BY:
Aggregate Paid in Capital
(2,000,000 shares authorized, $.01 par value; 422,368 shares outstanding).... $ 563,587
Undistributed Net Investment Income........................................... 2,342
Undistributed Accumulated Net Realized Gain on Investments.................... 33,304
Net Unrealized Appreciation of Investments.................................... 78,709
-----------
Net Assets for 422,368 Shares Outstanding..................................... $ 677,942
-----------
-----------
Net Asset Value, Offering and Redemption Price per Share...................... $ 1.61
-----------
-----------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Dividends (less foreign dividend tax of $51)................................ $ 3,909
Interest.................................................................... 167
---------
Total Income.............................................................. 4,076
---------
Expenses
Management Fees............................................................. 1,722
Custodian Fees.............................................................. 18
Other Expenses.............................................................. 11
---------
Total Expenses............................................................ 1,751
---------
Less Custodian Fees:
Paid by Affiliate.................................................... (17)
Paid Indirectly...................................................... (1)
---------
Total Net Expense......................................................... 1,733
---------
Net Investment Income......................................................... 2,343
---------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net Realized Gain on Investments.............................................. 35,352
Net Change in Unrealized Appreciation of Investments for the Period......... 25,343
---------
Net Gain on Investments....................................................... 60,695
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $ 63,038
---------
---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
75
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Growth and Income Stock Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE
JUNE 30, YEAR ENDED
1999 DECEMBER 31,
(UNAUDITED) 1998
----------- ------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income............... $ 2,343 $ 4,096
Net Realized Gain on Investments.... 35,352 67,556
Net Change in Unrealized
Appreciation of Investments for the
Period............................. 25,343 26,191
----------- ------------
Net Increase in Net Assets
Resulting from Operations......... 63,038 97,843
----------- ------------
Distributions to Shareholders from:
Net Investment Income............... (164) (3,933)
Net Realized Gain on Investments.... (69,388) (731)
----------- ------------
Net Decrease in Net Assets
Resulting from Distributions to
Shareholders...................... (69,552) (4,664)
----------- ------------
Fund Share Transactions
Proceeds from Sale of 34,861 and
82,937 Shares...................... 57,032 120,879
Proceeds from Shares Issued on
Reinvestment of Distributions Paid
(43,992 and 3,111 shares,
respectively)...................... 69,552 4,664
Payments for 8,008 and 14,061 Shares
Redeemed........................... (13,098) (19,687)
----------- ------------
Net Increase in Net Assets
Resulting from Fund Share
Transactions (70,845 and 71,987
shares, respectively)............. 113,486 105,856
----------- ------------
Total Increase in Net Assets.......... 106,972 199,035
NET ASSETS
Beginning of Period................... 570,970 371,935
----------- ------------
End of Period (includes undistributed
net investment income of $2,342 and
$163, respectively).................. $ 677,942 $ 570,970
----------- ------------
----------- ------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
---
76
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Growth and Income Stock Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
PERIOD
FOR THE MAY 3,
SIX MONTHS 1994*
ENDED FOR THE YEAR THROUGH
JUNE 30, ENDED DECEMBER 31, DECEMBER
1999 ----------------------------------------------------- 31,
(UNAUDITED) 1998 1997 1996 1995 1994
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of
Period............................... $ 1.62 $ 1.33 $ 1.32 $ 1.21 $ 0.98 $ 1.00
Income from Investment Operations:
Net Investment Income............. 0.01 0.01 0.01 0.02 0.02 0.01
Net Realized and Unrealized Gains
(Losses) on Investments.......... 0.14 0.29 0.37 0.23 0.29 (0.01)
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Operations..................... 0.15 0.30 0.38 0.25 0.31 (0.00)
----------- ----------- ----------- ----------- ----------- -----------
Less Distributions:
Distributions from Net Investment
Income........................... 0.00 (0.01) (0.01) (0.02) (0.02) (0.01)
Distributions from Realized Gains
on Investments................... (0.16) 0.00 (0.36) (0.12) (0.06) (0.01)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions............. (0.16) (0.01) (0.37) (0.14) (0.08) (0.02)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period.......... $ 1.61 $ 1.62 $ 1.33 $ 1.32 $ 1.21 $ 0.98
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
Total Return+........................... 10.51%++ 23.14% 30.03% 19.97% 31.12% 0.34%++
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in
thousands)............................. $ 677,942 $ 570,970 $ 371,936 $ 234,184 $ 136,923 $ 64,700
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
Ratio of Expenses to Average Net
Assets................................. 0.56%** 0.58% 0.60% 0.62% 0.69% 0.78%**
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
Ratio of Net Investment Income to
Average Net Assets..................... 0.78%** 1.00% 1.04% 1.44% 1.68% 1.93%**
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
Portfolio Turnover Rate................. 57.77% 160.40% 144.52% 93.92% 80.00% 54.18%
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
</TABLE>
* Commencement of Operations.
** Computed on an annualized basis.
+ Total Return includes deductions for management and other fund expenses;
excludes deductions for sales loads and account fees.
++ Reflects total return for the period; not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements
---
77
<PAGE>
INDEX 500 STOCK PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Index 500 Stock Portfolio
Financial Statements
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999
<TABLE>
<S> <C>
ASSETS
Common Stocks (cost $1,118,526)............................................... $2,053,431
Money Market Investments (cost $14,442)....................................... 14,436
-----------
2,067,867
Dividends and Interest Receivable............................................. 1,906
Due From Sale of Fund Shares.................................................. 1,003
Due From Sale of Securities................................................... 940
Due From Futures Variation Margin............................................. 263
-----------
Total Assets................................................................ 2,071,979
-----------
LIABILITIES
Due on Redemption of Fund Shares.............................................. 1,960
Due to Investment Advisor..................................................... 358
Accrued Expenses.............................................................. 70
Due on Purchase of Securities................................................. 27
-----------
Total Liabilities........................................................... 2,415
-----------
NET ASSETS...................................................................... $2,069,564
-----------
-----------
REPRESENTED BY:
Aggregate Paid in Capital (2,000,000 shares authorized, $.01 par value;
573,146 shares outstanding).................................................. $1,101,452
Undistributed Net Investment Income........................................... 11,514
Undistributed Accumulated Net Realized Gain on Investments.................... 21,246
NET UNREALIZED APPRECIATION OF:
Investment Securities....................................................... 934,899
Index Futures Contracts..................................................... 453
-----------
Net Assets for 573,146 Shares Outstanding..................................... $2,069,564
-----------
-----------
Net Asset Value, Offering and Redemption Price per Share...................... $ 3.61
-----------
-----------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Dividends (less foreign dividend tax of $191)............................... $ 12,154
Interest.................................................................... 1,259
----------
Total Income................................................................ 13,413
----------
Expenses
Management Fees............................................................. 1,858
Custodian Fees.............................................................. 24
Other Expenses.............................................................. 21
----------
Total Expenses............................................................ 1,903
----------
Less Custodian Fees Paid Indirectly....................................... (3)
----------
Total Net Expenses........................................................ 1,900
----------
Net Investment Income......................................................... 11,513
----------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net Realized Gain on Investments:
Investment Securities....................................................... 16,355
Index Futures Contracts..................................................... 4,908
----------
Net Realized Gain on Investments for the Period............................... 21,263
----------
NET CHANGE IN UNREALIZED APPRECIATION OF:
Investment Securities......................................................... 186,121
Index Futures Contracts....................................................... 129
----------
Net Change in Unrealized Appreciation of Investments for the Period......... 186,250
----------
Net Gain on Investments....................................................... 207,513
----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS...................................................... $ 219,026
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
78
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Index 500 Stock Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE
JUNE 30, YEAR ENDED
1999 DECEMBER 31,
(UNAUDITED) 1998
------------ ------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income............... $ 11,513 $ 19,630
Net Realized Gain on Investments.... 21,263 27,094
Net Change in Unrealized
Appreciation of Investments for the
Period............................. 186,250 308,691
------------ ------------
Net Increase in Net Assets
Resulting from Operations......... 219,026 355,415
------------ ------------
Disributions to Shareholders from:
Net Investment Income............... (19,629) (17,811)
Net Realized Gain on Investments.... (25,890) (28,519)
------------ ------------
Net Decrease in Net Assets
Resulting from Distributions to
Shareholders...................... (45,519) (46,330)
------------ ------------
Fund Share Transactions
Proceeds from Sale of 53,646 and
79,805 Shares...................... 185,394 233,133
Proceeds from Shares Issued on
Reinvestment of Distributions Paid
(12,786 and 16,132 shares,
respectively)...................... 45,519 46,330
Payments for 7,399 and 17,928 Shares
Redeemed........................... (25,536) (50,725)
------------ ------------
Net Increase in Net Assets
Resulting from Fund Share
Transactions
(59,033 and 78,009 shares,
respectively)..................... 205,377 228,738
------------ ------------
Total Increase in Net Assets.......... 378,884 537,823
NET ASSETS
Beginning of Period................... 1,690,680 1,152,857
------------ ------------
End of Period (includes undistributed
net investment income of
$11,514 and $19,630 respectively).... $2,069,564 $1,690,680
------------ ------------
------------ ------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
--
79
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Index 500 Stock Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
SIX
MONTHS
ENDED
JUNE 30, FOR THE YEARS ENDED DECEMBER 31,
1999 ---------------------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of
Period............................... $ 3.29 $ 2.64 $ 2.06 $ 1.72 $ 1.27 $ 1.29
Income from Investment Operations:
Net Investment Income............. 0.02 0.04 0.04 0.04 0.04 0.03
Net Realized and Unrealized Gain
(Loss) on Investments............ 0.38 0.71 0.62 0.35 0.42 (0.01)
--------- --------- --------- --------- --------- ---------
Total from Investment
Operations..................... 0.40 0.75 0.66 0.39 0.46 0.02
--------- --------- --------- --------- --------- ---------
Less Distributions:
Distributions from Net Investment
Income........................... (0.03) (0.04) (0.04) (0.02) (0.01) (0.03)
Distributions from Realized Gains
on Investments................... (0.05) (0.06) (0.04) (0.03) -- (0.01)
--------- --------- --------- --------- --------- ---------
Total Distributions............. (0.08) (0.10) (0.08) (0.05) (0.01) (0.04)
--------- --------- --------- --------- --------- ---------
Net Asset Value, End of Period.......... $ 3.61 $ 3.29 $ 2.64 $ 2.06 $ 1.72 $ 1.27
--------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- ---------
Total Return+........................... 12.32%++ 28.72% 33.20% 22.75% 37.25% 1.21%
--------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- ---------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in
thousands)............................. $2,069,564 $1,690,680 $1,152,857 $740,066 $495,133 $316,123
--------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- ---------
Ratio of Expenses to Average Net
Assets................................. 0.20%** 0.21% 0.21% 0.21% 0.21% 0.24%
--------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- ---------
Ratio of Net Investment Income to
Average Net Assets..................... 1.24%** 1.40% 1.86% 2.27% 2.51% 3.10%
--------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- ---------
Portfolio Turnover Rate................. 1.94% 3.03% 3.15% 3.45% 3.19% 5.59%
--------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- ---------
</TABLE>
+ Total Return includes deductions for management and other fund expenses;
excludes deductions for sales loads and account fees.
++ Reflects total return for the period; not annualized.
** Computed on an annualized basis.
The Accompanying Notes are an Integral Part of the Financial Statements
--
80
<PAGE>
BALANCED PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Balanced Portfolio
Financial Statements
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999
<TABLE>
<S> <C>
ASSETS
Common Stock (cost $708,115).................................................. $ 1,843,309
Bonds (cost $1,189,949)....................................................... 1,169,334
Other Investments (cost $480,748)............................................. 480,724
------------
3,493,367
Cash.......................................................................... 771
Dividends and Interest Receivable............................................. 17,505
Due from Sale of Securities................................................... 5,421
Due from Futures Variation Margin............................................. 3,019
------------
Total Assets................................................................ 3,520,083
------------
LIABILITIES
Due on Purchase of Securities................................................. 4,714
Due on Redemption of Fund Shares.............................................. 4,698
Due to Investment Advisor..................................................... 929
------------
Total Liabilities........................................................... 10,341
------------
NET ASSETS...................................................................... $ 3,509,742
------------
------------
REPRESENTED BY:
Aggregate Paid in Capital
(3,000,000 shares authorized, $.01 par value; 1,645,315 shares
outstanding)................................................................. $ 2,305,197
Undistributed Net Investment Income........................................... 54,632
Undistributed Accumulated Net Realized Gain on Investments.................... 28,978
NET UNREALIZED APPRECIATION OF:
Investment Securities......................................................... 1,114,554
Index Futures Contracts....................................................... 6,381
------------
Net Assets for 1,645,315 Shares Outstanding................................... $ 3,509,742
------------
------------
Net Asset Value, Offering and Redemption Price per Share...................... $ 2.13
------------
------------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Interest.................................................................... $ 48,707
Dividends (less foreign dividend tax of $179)............................... 11,603
---------
Total Income.............................................................. 60,310
---------
Expenses
Management Fees............................................................. 5,043
---------
Net Investment Income......................................................... 55,267
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) on Investments:
Investment Securities....................................................... 25,279
Index Futures Contracts..................................................... 22,358
Foreign Currency Transactions............................................... (447)
---------
Net Realized Gain on Investments for the Period............................... 47,190
---------
NET CHANGE IN UNREALIZED APPRECIATION/ (DEPRECIATION) OF:
Investment Securities....................................................... 127,177
Futures Contracts........................................................... (6,939)
Foreign Currency Transactions............................................... (14)
---------
Net Change in Unrealized Appreciation of Investments for the Period....... 120,224
---------
Net Gain on Investments..................................................... 167,414
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $222,681
---------
---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
81
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Balanced Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE
JUNE 30, YEAR ENDED
1999 DECEMBER 31,
(UNAUDITED) 1998
------------- -------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income................................ $ 55,267 $ 104,548
Net Realized Gain on Investments..................... 47,190 231,770
Net Change in Unrealized Appreciation of Investments
for the Period...................................... 120,224 187,000
------------- -------------
Net Increase in Net Assets Resulting from
Operations......................................... 222,681 523,318
------------- -------------
Distributions to Shareholders from:
Net Investment Income................................ (104,192) (95,131)
Net Realized Gain on Investments..................... (250,227) (85,841)
------------- -------------
Net Decrease in Net Assets Resulting from
Distributions to Shareholders...................... (354,419) (180,972)
------------- -------------
Fund Share Transactions
Proceeds from Sale of 32,547 and 54,658 Shares....... 73,035 113,335
Proceeds from Shares Issued on Reinvestment of
Distributions Paid (167,416 and 89,901 shares,
respectively)....................................... 354,419 180,971
Payments for 30,615 and 69,339 Shares Redeemed....... (68,045) (143,075)
------------- -------------
Net Increase in Net Assets Resulting from Fund
Share Transactions (169,348 and 75,220 shares,
respectively)...................................... 359,409 151,231
------------- -------------
Total Increase in Net Assets........................... 227,671 493,577
NET ASSETS
Beginning of Period.................................... 3,282,071 2,788,494
------------- -------------
End of Period (includes undistributed net investment
income of $54,632 and $103,557 respectively).......... $ 3,509,742 $ 3,282,071
------------- -------------
------------- -------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
---
82
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Balanced Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE YEAR
JUNE 30, ENDED DECEMBER 31,
1999 ---------------------------------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
------------- --------- --------- --------- --------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of
Period............................... $ 2.22 $ 1.99 $ 1.72 $ 1.60 $ 1.31 $ 1.33
Income from Investment Operations:
Net Investment Income............. 0.03 0.07 0.07 0.06 0.07 0.04
Net Realized and Unrealized Gain
(Loss) on Investments............ 0.10 0.29 0.28 0.15 0.27 (0.05)
------------- --------- --------- --------- --------------- ---------------
Total from Investment
Operations..................... 0.13 0.36 0.35 0.21 0.34 (0.01)
------------- --------- --------- --------- --------------- ---------------
Less Distributions:
Distributions from Net Investment
Income........................... (0.06) (0.07) (0.06) (0.06) (0.04) (0.00)
Distributions from Realized Gains
on Investments................... (0.16) (0.06) (0.02) (0.03) (0.01) (0.01)
------------- --------- --------- --------- --------------- ---------------
Total Distributions............. (0.22) (0.13) (0.08) (0.09) (0.05) (0.01)
------------- --------- --------- --------- --------------- ---------------
Net Asset Value, End of Period........ $ 2.13 $ 2.22 $ 1.99 $ 1.72 $ 1.60 $ 1.31
------------- --------- --------- --------- --------------- ---------------
------------- --------- --------- --------- --------------- ---------------
Total Return+......................... 6.75%++ 18.88% 21.52% 13.45% 26.39% 0.16%
------------- --------- --------- --------- --------------- ---------------
------------- --------- --------- --------- --------------- ---------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in
thousands)............................. $ 3,509,742 $3,282,071 $2,788,494 $2,326,234 2$,083,289 $ 1,727,127
------------- --------- --------- --------- --------------- ---------------
------------- --------- --------- --------- --------------- ---------------
Ratio of Expenses to Average Net
Assets................................. 0.30%** 0.30% 0.30% 0.30% 0.30% 0.30%
------------- --------- --------- --------- --------------- ---------------
------------- --------- --------- --------- --------------- ---------------
Ratio of Net Investment Income to
Average Net Assets..................... 3.27%** 3.48% 3.70% 3.95% 4.40% 4.78%
------------- --------- --------- --------- --------------- ---------------
------------- --------- --------- --------- --------------- ---------------
Portfolio Turnover Rate................. 14.82% 44.18% 29.94% 67.66% 37.28% 42.35%
------------- --------- --------- --------- --------------- ---------------
------------- --------- --------- --------- --------------- ---------------
</TABLE>
** Computed on an annualized basis.
+ Total Return includes deductions for management and other fund expenses;
excludes deductions for sales loads and account fees.
++ Reflects total return for the period; not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements
---
83
<PAGE>
HIGH YIELD BOND PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
High Yield Bond Portfolio
Financial Statements
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999
<TABLE>
<S> <C>
ASSETS
Bonds (cost $151,453)......................................................... $ $138,972
Preferred Stock (cost $22,901)................................................ 22,503
Money Market Investments (cost $4,296)........................................ 4,296
Common Stock (cost $6,048).................................................... 3,908
-----------
169,679
Cash.......................................................................... 4,980
Dividends and Interest Receivable............................................. 2,918
Due from Sale of Securities................................................... 691
Due from Sale of Fund Shares.................................................. 115
-----------
Total Assets................................................................ 178,383
-----------
LIABILITIES
Due on Purchase of Securities................................................. 5,276
Due on Redemption of Fund Shares.............................................. 259
Due to Investment Advisor..................................................... 76
Accrued Expenses.............................................................. 23
-----------
Total Liabilities........................................................... 5,634
-----------
NET ASSETS...................................................................... $ 172,749
-----------
-----------
REPRESENTED BY:
Aggregate Paid in Capital
(2,000,000 shares authorized, $.01 par value; 183,750 shares outstanding).... $ 194,734
Undistributed Net Investment Income........................................... 10,012
Undistributed Accumulated Net Realized Loss on Investments.................... (16,979)
Net Unrealized Depreciation of Investments.................................... (15,018)
-----------
Net Assets for 183,750 Shares Outstanding..................................... $ 172,749
-----------
-----------
Net Asset Value, Offering and Redemption Price per Share...................... $ 0.94
-----------
-----------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Interest.................................................................... $ 9,000
Dividends................................................................... 1,591
---------
Total Income.............................................................. 10,591
---------
Expenses
Management Fees............................................................. 425
Other Expenses.............................................................. 11
Custodian Fees.............................................................. 8
---------
Total Expenses............................................................ 444
---------
Less Custodian Fees:
Paid by Affiliate.................................................... (7)
Paid Indirectly...................................................... (1)
---------
Total Net Expenses........................................................ 436
---------
Net Investment Income........................................................... 10,155
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Loss on Investments.............................................. (13,565)
Net Change in Unrealized Appreciation of Investments for the Period........... 4,358
---------
Net Loss on Investments....................................................... (9,207)
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $ 948
---------
---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
84
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
High Yield Bond Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE
JUNE 30, YEAR ENDED
1999 DECEMBER 31,
(UNAUDITED) 1998
----------- ------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income............... $ 10,155 $ 19,029
Net Realized Loss on Investments.... (13,565) (3,333)
Net Change in Unrealized
Appreciation (Depreciation) of
Investments for the Period......... 4,358 (20,988)
----------- ------------
Net Increase (Decrease) in Net
Assets Resulting from
Operations........................ 948 (5,292)
----------- ------------
Distributions to Shareholders from:
Net Investment Income................. (198) (18,974)
Net Realized Gain on Investments...... -- --
----------- ------------
Net Decrease in Net Assets
Resulting from Distributions to
Shareholders...................... (198) (18,974)
----------- ------------
Fund Share Transactions
Proceeds from Sale of 7,331 and 60,216
Shares............................... 6,798 65,439
Proceeds from Shares Issued on
Reinvestment of Distributions Paid
(210 and 20,380 shares,
respectively)........................ 198 18,974
Payments for 21,310 and 26,994 Shares
Redeemed............................. (19,779) (28,403)
----------- ------------
Net Increase (Decrease) in Net
Assets Resulting from Fund Share
Transactions ((13,769) and 53,602
shares, respectively)............. (12,783) 56,010
----------- ------------
Total Increase (Decrease) in Net
Assets............................... (12,033) 31,744
NET ASSETS
Beginning of Period................... 184,782 153,038
----------- ------------
End of Period (includes undistributed
net investment income of $10,012 and
$55, respectively)................... $ 172,749 $ 184,782
----------- ------------
----------- ------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
---
85
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
High Yield Bond Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS PERIOD MAY
ENDED 3, 1994*
JUNE 30, FOR THE YEAR ENDED DECEMBER 31, THROUGH
1999 ----------------------------------------------------- DECEMBER
(UNAUDITED) 1998 1997 1996 1995 31, 1994
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of
Period............................... $ 0.94 $ 1.06 $ 1.10 $ 1.03 $ 0.97 $ 1.00
Income from Investment Operations:
Net Investment Income............. 0.05 0.10 0.11 0.09 0.10 0.06
Net Realized and Unrealized
Gains(Losses) on Investments..... (0.05) (0.12) 0.06 0.10 0.07 (0.03)
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Operations..................... (0.00) (0.02) 0.17 0.19 0.17 0.03
----------- ----------- ----------- ----------- ----------- -----------
Less Distributions:
Distributions from Net Investment
Income........................... -- (0.10) (0.14) (0.09) (0.10) (0.06)
Distributions from Realized Gains
on Investments................... -- -- (0.07) (0.03) (0.01) --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions............. 0.00 (0.10) (0.21) (0.12) (0.11) (0.06)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period.......... $ 0.94 $ 0.94 $ 1.06 $ 1.10 $ 1.03 $ 0.97
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
Total Return+........................... 0.54%++ (1.84%) 15.85% 19.77% 16.78% 3.02%++
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in
thousands)............................. $ 172,749 $ 184,782 $ 153,038 $ 93,878 $ 55,974 $ 35,537
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
Ratio of Expenses to Average Net
Assets................................. 0.49%** 0.50% 0.55% 0.60% 0.65% 0.73%**
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
Ratio of Net Investment Income to
Average Net Assets..................... 11.47%** 10.85% 9.95% 9.54% 9.90% 9.40%**
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
Portfolio Turnover Rate................. 72.12% 153.71% 129.49% 143.91% 116.57% 119.48%
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
</TABLE>
* Commencement of Operations.
** Computed on an annualized basis.
+ Total Return includes deductions for management and other fund expenses;
excludes deductions for sales loads and account fees.
++ Reflects total return for the period; not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements
---
86
<PAGE>
SELECT BOND PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Select Bond Portfolio
Financial Statements
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999
<TABLE>
<S> <C>
ASSETS
Bonds (cost $288,650)......................................................... $ 278,622
Other Investments (cost $14,377).............................................. 14,375
-----------
292,997
Cash.......................................................................... 93
Due from Sale of Securities................................................... 3,388
Interest Receivable........................................................... 2,710
Due from Sale of Fund Shares.................................................. 343
-----------
Total Assets................................................................ 299,531
-----------
LIABILITIES
Due on Purchase of Securities................................................. 3,489
Due on Redemption of Fund Shares.............................................. 512
Due to Investment Advisor..................................................... 79
Due to Futures Variation Margin............................................... 6
-----------
Total Liabilities........................................................... 4,086
-----------
NET ASSETS...................................................................... $ 295,445
-----------
-----------
REPRESENTED BY:
Aggregate Paid in Capital (1,000,000 shares authorized, $.01 par value;
259,642 shares outstanding).................................................. $ 300,222
Undistributed Net Investment Income........................................... 9,144
Undistributed Accumulated Net Realized Loss on Investments.................... (3,930)
Net Unrealized Appreciation (Depreciation) of:
Investments Securities...................................................... (10,030)
Futures Contracts........................................................... 39
-----------
Net Assets for 259,642 Shares Outstanding..................................... $ 295,445
-----------
-----------
Net Asset Value, Offering and Redemption Price per Share...................... $ 1.14
-----------
-----------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Interest.................................................................... $ 9,946
---------
Expenses
Management Fees............................................................. 440
---------
Net Investment Income......................................................... 9,506
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain/(Loss) on Investments:
Investment Securities....................................................... 136
Foreign Currency Transactions............................................... (14)
Futures Contracts........................................................... 627
---------
Net Realized Gain on Investments for the Period........................... 749
---------
Net Change in Unrealized Appreciation (Depreciation) of:
Investment Securities....................................................... (11,520)
Foreign Currency Transactions............................................... (7)
Futures Contracts........................................................... 42
---------
Net Change in Unrealized Depreciation for the Period...................... (11,485)
---------
Net Loss on Investments....................................................... (10,736)
---------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $ (1,230)
---------
---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
87
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Select Bond Portfolio
Statement Of Changes In Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE
JUNE 30 YEAR ENDED
1999 DECEMBER 31,
(UNAUDITED) 1998
----------- ------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income............... $ 9,506 $ 18,143
Net Realized Gain on Investments.... 749 2,546
Net Change in Unrealized
Depreciation of Investments for the
Period............................. (11,485) (2,027)
----------- ------------
Net Increase (Decrease) in Net
Assets Resulting from
Operations........................ (1,230) 18,662
----------- ------------
Distributions to Shareholders from:
Net Investment Income............... (17,828) (15,746)
Net Realized Gain on Investments.... (7,228) (2,700)
----------- ------------
Net Decrease in Net Assets
Resulting from Distributions to
Shareholders...................... (25,056) (18,446)
----------- ------------
Fund Share Transactions
Proceeds from Sale of 15,500 and
45,867 Shares...................... 18,621 56,278
Proceeds from Shares Issued on
Reinvestment of Distributions Paid
(22,018 and 15,606 shares,
respectively)...................... 25,056 18,446
Payments for 16,472 and 17,649
Shares Redeemed.................... (19,980) (21,741)
----------- ------------
Net Increase in Net Assets Resulting
from Fund Share Transactions
(21,046 and 43,824 shares,
respectively)...................... 23,697 52,983
----------- ------------
Total Increase (Decrease) in Net
Assets............................... (2,589) 53,199
NET ASSETS
Beginning of Period................... 298,034 244,835
----------- ------------
End of Period (includes undistributed
net investment income of
$9,144 and $18,064 respectively)..... $ 295,445 $ 298,034
----------- ------------
----------- ------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
---
88
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Select Bond Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED
JUNE 30, FOR THE YEAR ENDED DECEMBER 31,
1999 -----------------------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
----------- ----------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period....... $ 1.25 $ 1.26 $ 1.22 $ 1.23 $ 1.06 $ 1.15
Income from Investment Operations:
Net Investment Income.................. 0.03 0.08 0.08 0.07 0.07 0.06
Net Realized and Unrealized Gain (Loss)
on Investments........................ (0.04) 0.00 0.04 (0.04) 0.13 (0.09)
----------- ----------- --------- --------- --------- ---------
Total from Investment Operations..... (0.01) 0.08 0.12 0.03 0.20 (0.03)
----------- ----------- --------- --------- --------- ---------
Less Distributions:
Dividends from Net Investment Income... (0.07) (0.08) (0.08) (0.04) (0.03) (0.06)
Distributions from Realized Gains on
Investments........................... (0.03) (0.01) -- -- -- --
----------- ----------- --------- --------- --------- ---------
Total Distributions.................. (0.10) (0.09) (0.08) (0.04) (0.03) (0.06)
----------- ----------- --------- --------- --------- ---------
Net Asset Value, End of Period............... $ 1.14 $ 1.25 $ 1.26 $ 1.22 $ 1.23 $ 1.06
----------- ----------- --------- --------- --------- ---------
----------- ----------- --------- --------- --------- ---------
Total Return+................................ (0.41%)++ 7.07% 9.46% 3.31% 19.10% (2.28%)
----------- ----------- --------- --------- --------- ---------
----------- ----------- --------- --------- --------- ---------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands)..... $ 295,445 $ 298,034 $244,835 $214,333 $198,142 $158,508
----------- ----------- --------- --------- --------- ---------
----------- ----------- --------- --------- --------- ---------
Ratio of Expenses to Average Net Assets...... 0.30%** 0.30% 0.30% 0.30% 0.30% 0.30%
----------- ----------- --------- --------- --------- ---------
----------- ----------- --------- --------- --------- ---------
Ratio of Net Investment Income to Average Net
Assets...................................... 6.41%** 6.87% 7.03% 6.48% 6.61% 7.02%
----------- ----------- --------- --------- --------- ---------
----------- ----------- --------- --------- --------- ---------
Portfolio Turnover Rate...................... 46.84% 161.79% 184.93% 195.98% 69.06% 108.00%
----------- ----------- --------- --------- --------- ---------
----------- ----------- --------- --------- --------- ---------
</TABLE>
** Computed on an annualized basis.
+ Total Return includes deductions for management and other fund expenses;
excludes deductions for sales loads and account fees.
++ Reflects total return for the period; not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements
---
89
<PAGE>
MONEY MARKET PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Money Market Portfolio
Financial Statements of
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999
<TABLE>
<S> <C>
ASSETS
Money Market Investments (cost $331,950)...................................... $ 331,950
Cash.......................................................................... 104
Interest Receivable........................................................... 1,005
Due from Sale of Fund Shares.................................................. 237
-----------
Total Assets................................................................ 333,296
-----------
LIABILITIES
Due on Redemption of Fund Shares.............................................. 1,037
Due to Investment Advisor..................................................... 90
-----------
Total Liabilities........................................................... 1,127
-----------
NET ASSETS...................................................................... $ 332,169
-----------
-----------
REPRESENTED BY:
Aggregate Paid in Capital
(1,000,000 shares authorized, $.01 par value; 332,181 shares outstanding).... $ 332,169
-----------
Net Assets for 332,181 Shares Outstanding..................................... $ 332,169
-----------
-----------
Net Asset Value, Offering and Redemption Price per Share...................... $ 1.00
-----------
-----------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Interest.................................................................... $ 7,718
---------
Expenses
Management Fees............................................................. 462
---------
Net Investment Income....................................................... 7,256
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.......................... $ 7,256
---------
---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
90
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Money Market Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED JUNE FOR THE
30, YEAR ENDED
1999 DECEMBER 31,
(UNAUDITED) 1998
----------- ------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income............... $ 7,256 $ 12,077
----------- ------------
Net Increase in Net Assets
Resulting from Operations......... 7,256 12,077
----------- ------------
Distributions to Shareholders from:
Net Investment Income............... (7,256) (12,077)
----------- ------------
Net Decrease in Net Assets
Resulting from Distributions to
Shareholders...................... (7,256) (12,077)
----------- ------------
Fund Share Transactions
Proceeds from Sale of 117,832 and
222,296 Shares..................... 117,832 222,308
Proceeds from Shares Issued on
Reinvestment of Distributions Paid
(7,256 and 12,077 shares,
respectively)...................... 7,256 12,077
Payments for 84,383 and 137,391
Shares Redeemed.................... (84,383) (137,391)
----------- ------------
Net Increase in Net Assets Resulting
from Fund Share Transactions
(40,705 and 96,982) shares,
respectively)...................... 40,705 96,994
----------- ------------
Total Increase in Net Assets.......... 40,705 96,994
NET ASSETS
Beginning of Period................... 291,464 194,470
----------- ------------
End of Period (includes no
undistributed net investment
income).............................. $ 332,169 $ 291,464
----------- ------------
----------- ------------
</TABLE>
The accompanying Notes are an Integral Part of the Financial Statements
--
91
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Money Market Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS
ENDED FOR THE YEAR
JUNE 30, ENDED DECEMBER 31,
1999 -------------------------------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of
Period............................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Net Investment Income............... 0.02 0.05 0.05 0.05 0.06 0.05
Less Distributions from Net
Investment Income.................. (0.02) (0.05) (0.05) (0.05) (0.06) (0.05)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period.......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
Total Return+........................... 2.36%++ 5.43% 5.47% 5.29% 5.82% 4.03%
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in
thousands)............................. $ 332,169 $ 291,464 $ 194,470 $ 176,298 $ 132,572 $ 104,217
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
Ratio of Expenses to Average Net
Assets................................. 0.30%** 0.30% 0.30% 0.30% 0.30% 0.30%
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
Ratio of Net Investment Income to
Average Net Assets..................... 4.67%** 5.26% 5.33% 5.13% 5.61% 4.64%
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
</TABLE>
** Computed on an annualized basis.
+ Total Return includes deductions for management and other fund expenses;
excludes deductions for sales loads and account fees.
++ Reflects total return for the period; not annualized.
The accompanying Notes are an Integral Part of the Financial Statements
--
92
<PAGE>
NOTES TO FINANCIAL STATEMENTS
NORTHWESTERN MUTUAL SERIES FUND, INC.
Notes to Financial Statements
JUNE 30, 1999
NOTE 1 -- Northwestern Mutual Series Fund, Inc. (the "Series Fund"), is
registered as a diversified open-end investment company under the Investment
Company Act of 1940. The Series Fund consists of the Small Cap Growth Stock
Portfolio, Aggressive Growth Stock Portfolio, International Equity Portfolio,
Index 400 Stock Portfolio, Growth Stock Portfolio, Growth and Income Stock
Portfolio, Index 500 Stock Portfolio, Balanced Portfolio, High Yield Bond
Portfolio, Select Bond Portfolio and the Money Market Portfolio (the
"Portfolios"). Shares are presently offered only to The Northwestern Mutual Life
Insurance Company ("Northwestern Mutual") and its segregated asset accounts.
On April 30, 1999, two new portfolios commenced operations in the Series Fund:
Small Cap Growth Stock Portfolio and Index 400 Stock Portfolio. These two new
portfolios were each organized with 2,000,000,000 authorized shares of Common
Stock. Par value is $.01 per share. Northwestern Mutual purchased 25,010,000
shares at $1.00 per share of the Index 400 Stock Portfolio and 5,010,000 shares
at $1.00 per share of the Small Cap Growth Stock Portfolio.
NOTE 2 -- The preparation of the financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities at
the date of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from those
estimates.
Principal accounting policies are summarized below.
NOTE 3 -- Bonds are valued on the basis of prices furnished by a service which
determines prices for normal institutional size trading units of bonds, without
regard to exchange or over-the-counter prices. When quotations are not readily
available, bonds are valued at fair market value determined by procedures
approved by the Board of Directors. Stocks listed on a national or foreign stock
exchange are valued at the final sale price, or final bid price in absence of a
sale. Stocks not listed on a national or foreign stock exchange are valued at
the closing bid price on the over-the-counter market. Money market investments,
other than in the Money Market Portfolio, with maturities exceeding sixty days
but generally not exceeding one year are valued by marking to market on the
basis of an average of the most recent bid prices or yields. Money market
investments with maturities of sixty days or less and all securities in the
Money Market Portfolio are valued on an amortized cost basis or, if the current
market value differs substantially from the amortized cost, by marking to
market.
NOTE 4 -- Securities and other assets and liabilities denominated in foreign
currencies are translated into U.S. dollar amounts on the date of valuation.
Purchases and sales of securities and income items denominated in foreign
currencies are translated in U.S. dollar amounts on the respective dates of such
transactions. When the International Equity Portfolio, Balanced Portfolio and
Select Bond Portfolio purchases or sells a foreign security they may enter into
a foreign exchange currency contract to minimize market risk from the trade date
to the settlement date of such transaction. Such foreign exchange currency
contracts are marked to market daily.
The Portfolios may enter into forward foreign currency contracts to hedge
against exchange rate risk arising from investments in securities denominated in
foreign currencies. Contracts are valued at the contractual forward rate and are
marked to market daily, with the change in market value recorded as an
unrealized gain or loss. When the contracts are closed, a realized gain or loss
is incurred. Risks may arise from changes in market value of the underlying
instruments and from the possible inability of counter parties to meet the terms
of their contracts.
The International Equity Portfolio, Balanced Portfolio and Select Bond Portfolio
do not separately report the results of operations due to changes in foreign
exchange rates on investments from the fluctuations arising from changes in
market prices of securities held. Such fluctuations are included with the net
realized gain or loss from investments.
Net realized foreign exchange gains or losses arise from sales of foreign
currencies, currency gains or losses realized between the trade date and the
settlement date on security transactions, the differences between the amounts of
dividends and foreign withholding taxes recorded on the portfolio's books, and
the U.S. dollar equivalent of the amounts actually received or paid.
NOTE 5 -- The Small Cap Growth Stock, Aggressive Growth Stock, Index 400 Stock,
Growth Stock, Index 500 Stock, Balanced and Select Bond Portfolios invest in
futures contracts as an alternative to investing in individual securities. The
Small Cap Growth Stock, Aggressive Growth Stock, Index 400 Stock, Growth Stock,
Index 500 Stock, Balanced and Select Bond Portfolios could be exposed to market
risk due to changes in the value of the underlying securities or due to an
illiquid secondary market. Futures contracts are marked to market daily based
upon quoted settlement prices. The Portfolios receive from or pay to brokers an
amount of cash equal to the daily fluctuation in the value of the contracts.
Such receipts or payments, known as the "variation margin," are recorded by the
Portfolios as unrealized gains or losses. When the contract is closed, the
Portfolios record a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value at the time it was
closed.
NOTE 6 -- Interest income and discounts earned are recorded daily on the accrual
basis and dividend income is recorded on the ex-dividend date or as soon as
information from foreign issuers is available. Where applicable, dividends are
recorded net of foreign dividend tax. Discounts and premiums on securities
purchased are amortized over the life of the respective securities when required
for federal income tax purposes using the effective interest method. Securities
--
93
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Notes to Financial Statements
JUNE 30, 1999
transactions are accounted for on trade date. The basis for determining cost on
sale of securities is identified cost. For the six months ended June 30, 1999,
transactions in securities other than money market investments were:
<TABLE>
<CAPTION>
U.S. GOVT
U.S. GOVT TOTAL SECURITY SECURITY
TOTAL SECURITY SECURITY SALES/ SALES/
PORTFOLIOS PURCHASES PURCHASES MATURITIES MATURITIES
- ------------------------------------------------------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Small Cap Growth Stock....................................... $ 11,181,044 $ -- $ 1,423,471 $ --
Aggressive Growth Stock...................................... 319,371,763 -- 362,391,004 --
International Equity......................................... 696,768,620 -- 708,571,439 --
Index 400 Stock.............................................. 28,970,314 -- 1,024,127 --
Growth Stock................................................. 106,999,368 -- 47,594,962 --
Growth and Income Stock...................................... 403,837,101 -- 350,986,145 --
Index 500 Stock.............................................. 210,792,469 -- 35,571,578 --
Balanced..................................................... 556,267,227 432,532,541 421,376,829 242,780,708
High Yield Bond.............................................. 121,089,146 -- 127,787,309 --
Select Bond.................................................. 147,670,853 102,054,168 130,507,342 52,363,329
</TABLE>
NOTE 7 -- The Series Fund and its Portfolios are parties to annually renewable
contracts pursuant to which each Portfolio pays a charge for investment
management and administrative services. Each Portfolio pays a monthly fee for
these investment advisory services at an annual rate based on the average daily
net asset values of each Portfolio. For the Index 500 Stock Portfolio the rate
is .20%, for the Index 400 Stock Portfolio the rate is .25%, and for the
Balanced, Select Bond and Money Market Portfolios the rate is .30%. For the
other Portfolios the rate for the investment advisory fee is graded by the asset
size of the Portfolio according to the following schedule:
<TABLE>
<CAPTION>
FIRST $50 NEXT $50
PORTFOLIOS MILLION MILLION EXCESS
- --------------------------------- ----------- ----------- -----------
<S> <C> <C> <C>
Small Cap Growth Stock........... .80% .65% .50%
Aggressive Growth Stock.......... .80% .65% .50%
International Equity............. .85% .65% .65%
Growth Stock..................... .60% .50% .40%
Growth and Income Stock.......... .70% .60% .55%
High Yield Bond.................. .60% .50% .40%
</TABLE>
These amounts are paid to Northwestern Mutual Investment Services, Inc. ("NMIS")
a wholly-owned subsidiary of Northwestern Mutual, which is the manager and
investment adviser of the Fund. Northwestern Mutual is also a party to the
agreement. Other costs for each Portfolio are paid either by the Portfolios,
Northwestern Mutual, or NMIS depending upon the applicable agreement in place.
Certain Portfolios pay a portion of their custodian fees indirectly through
expense offset arrangements. Custodian fees are reduced for Portfolios that
maintain compensating balances in non-interest bearing accounts. The Portfolios
could have invested the assets used to pay for the custodian fees, had the
assets not been used in the expense offset arrangements. As of June 30, 1999,
the amounts paid through expense offset arrangements are $1,250 in the Small Cap
Growth Stock Portfolio, $2,168 in the Aggressive Growth Stock Portfolio, $750 in
the Index 400 Stock Portfolio, $2,691 in the Growth Stock Portfolio, $1,251 in
the Growth and Income Stock Portfolio, $2,940 in the Index 500 Stock Portfolio
and $663 in the High Yield Bond Portfolio.
J. P. Morgan Investment Management, Inc. ("J. P. Morgan") and Templeton
Investment Counsel, Inc. ("Templeton Counsel") have been retained under an
investment sub-advisory agreement to provide investment advice and, in general,
to conduct the management investment program of the Growth and Income Stock
Portfolio and the International Equity Portfolio, respectively. NMIS pays J. P.
Morgan .45% on the first $100 million of the combined net assets for all funds
managed for Northwestern Mutual by J. P. Morgan, .40% on the next $100 million,
.35% on the next $200 million and .30% in excess of $400 million. NMIS pays
Templeton Counsel .50% on the first $100 million of the combined net assets for
all funds managed for Northwestern Mutual by Templeton Counsel and .40% in
excess of $100 million.
The Growth and Income Stock Portfolio paid commissions on Fund transactions to
an affiliated broker in the amount of $714 during the six months ended June 30,
1999.
NOTE 8 -- The Series Fund has elected to be taxed as a regulated investment
company meeting certain requirements under the Internal Revenue Code. Since it
expects to distribute all net investment income and net realized capital gains,
the Series Fund anticipates incurring no federal income taxes.
Taxable distributions from net investment income and realized capital gains in
the Portfolios differ from book amounts earned during the period due to
differences in the timing of capital recognition and due to the reclassification
of certain gains or losses from capital to income. The differences between cost
amounts for book purposes and tax purposes are due to treatment of deferred
losses.
It is the policy of the Series Fund to reclassify the net effect of permanent
differences between book and taxable income to capital accounts on the
statements of assets and liabilities.
--
94
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Notes to Financial Statements
JUNE 30, 1999
For Federal income tax purposes, the High Yield Bond Portfolio has a net
realized capital loss of $2,519,798 which will be carried forward to offset
future net realized capital gains. The amount expires in 2006.
For Federal income tax purposes, net unrealized appreciation (depreciation) on
open futures contracts is required to be treated as realized gains (losses).
NOTE 9 -- Dividends from net investment income and net realized capital gains
are declared each year for the Small Cap Growth Stock, Aggressive Growth Stock,
International Equity, Index 400 Stock, Growth Stock, Growth and Income Stock,
Index 500 Stock, Balanced, High Yield Bond and Select Bond Portfolios and each
business day for the Money Market Portfolio.
NOTE 10 -- NML voluntarily reimburses the International Equity Portfolio for the
benefit NML receives from foreign dividend taxes charged against the Portfolio.
The amount reimbursed represents approximately 65% of the foreign dividend tax
withheld from the Portfolio. Reimbursements are recorded when foreign dividend
taxes are accrued. This voluntary reimbursement for the six months ended June
30, 1999 and the year ended December 31, 1998 was $724,648 and $1,235,277,
respectively.
--
95
<PAGE>
ACCOUNT B FINANCIAL STATEMENTS
NML VARIABLE ANNUITY ACCOUNT B
Financial Statements
JUNE 30, 1999
STATEMENT OF ASSETS AND LIABILITIES
(IN THOUSANDS)
<TABLE>
<S> <C> <C>
ASSETS
Investments at Market Value:
Northwestern Mutual Series Fund, Inc.
Small Cap Growth Stock
5,442 shares (cost $5,907)................. $ 6,580
Aggressive Growth Stock
220,712 shares (cost $560,049)............. 811,559
International Equity
307,820 shares (cost $448,994)............. 498,668
Index 400 Stock
4,538 shares (cost $4,627)................. 4,788
Growth Stock
167,047 shares (cost $288,861)............. 408,932
Growth and Income Stock
312,731 shares (cost $432,269)............. 501,933
Index 500 Stock
397,385 shares (cost $790,413)............. 1,434,958
Balanced
1,323,343 shares (cost $2,002,126)......... 2,822,691
High Yield Bond
132,281 shares (cost $144,776)............. 124,345
Select Bond
210,500 shares (cost $249,635)............. 239,549
Money Market
234,980 shares (cost $234,142)............. 234,980
Russell Insurance Funds
Multi-Style Equity
317 shares (cost $5,079)................... 5,266
Aggressive Equity
198 shares (cost $2,453)................... 2,534
Non-U.S.
227 shares (cost $2,629)................... 2,660
Real Estate Securities
196 shares (cost $1,979)................... 1,933
Core Bond
202 shares (cost $2,040)................... 2,042 $ 7,103,418
-----------
</TABLE>
<TABLE>
<S> <C>
Due from Sale of Fund Shares.................................... 7,793
Due from Northwestern Mutual Life Insurance Company............. 1,266
-----------
Total Assets.................................................... $ 7,112,477
-----------
-----------
LIABILITIES
Due to Participants........................................... $ 13,285
Due to Northwestern Mutual Life Insurance Company............. 7,793
Due on Purchase of Fund Shares................................ 1,266
-----------
Total Liabilities......................................... 22,344
-----------
EQUITY (NOTE 8)
Contracts Issued Prior to December 17, 1981................... 120,603
Contracts Issued After December 16, 1981 and Prior to March
31, 1995..................................................... 4,522,617
Contracts Issued On or After March 31, 1995:
Front Load Version............................................ 765,522
Back Load Version............................................. 1,681,391
-----------
Total Equity.............................................. 7,090,133
-----------
Total Liabilities and Equity.............................. $ 7,112,477
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
96
<PAGE>
ACCOUNT B FINANCIAL STATEMENTS
NML VARIABLE ANNUITY ACCOUNT B
Statement of Operations and Changes in Equity
(IN THOUSANDS)
<TABLE>
<CAPTION>
SMALL CAP
GROWTH
STOCK AGGRESSIVE GROWTH
COMBINED DIVISION # STOCK DIVISION
---------------------------------- ---------- ----------------------------------
SIX MONTHS TWO MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED ENDED YEAR ENDED
JUNE 30, DECEMBER 31, JUNE 30, JUNE 30, DECEMBER 31,
1999 1998 1999 1999 1998
--------------- --------------- ---------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend Income............... $ 500,805 $ 279,975 $ -- $ 27,399 $ 29,446
Annuity Rate and Expense
Guarantees.................. 38,648 67,916 5 4,423 9,236
--------------- --------------- ---------- --------------- ---------------
Net Investment Income
(Loss)...................... 462,157 212,059 (5) 22,976 20,210
--------------- --------------- ---------- --------------- ---------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Realized Gain (Loss) on
Investments............... 73,426 88,924 -- 44,775 27,122
Unrealized Appreciation
(Depreciation) of
Investments During the
Period.................... (26,363) 521,055 673 (980) 650
--------------- --------------- ---------- --------------- ---------------
Net Gain (Loss) on
Investments............... 47,063 609,979 673 43,795 27,772
--------------- --------------- ---------- --------------- ---------------
Increase (Decrease) in
Equity Derived from
Investment Activity....... 509,220 822,038 668 66,771 47,982
--------------- --------------- ---------- --------------- ---------------
EQUITY TRANSACTIONS
Contract Owners' Net
Payments.................. 439,373 804,374 365 36,476 94,566
Annuity Payments............ (6,583) (11,449) -- (321) (737)
Surrenders and Other
(net)..................... (246,070) (370,627) (5) (33,060) (55,446)
Transfers from Other
Divisions or Sponsor...... 565,923 812,386 5,562 27,953 57,046
Transfers to Other Divisions
or Sponsor................ (573,381) (825,382) (40) (104,184) (113,076)
--------------- --------------- ---------- --------------- ---------------
Increase (Decrease) in Equity
Derived from Equity
Transactions................ 179,262 403,252 5,882 (73,136) (17,646)
--------------- --------------- ---------- --------------- ---------------
Net Increase (Decrease) in
Equity...................... 688,482 1,231,340 6,550 (6,365) 30,336
EQUITY
Beginning of Period......... 6,401,651 5,170,311 -- 817,218 786,882
--------------- --------------- ---------- --------------- ---------------
End of Period............... $ 7,090,133 $ 6,401,651 $ 6,550 $ 810,853 $ 817,218
--------------- --------------- ---------- --------------- ---------------
--------------- --------------- ---------- --------------- ---------------
<CAPTION>
INTERNATIONAL EQUITY DIVISION
--------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
1999 1998
-------------- --------------
<S> <C> <C>
INVESTMENT INCOME
Dividend Income............... $ 69,657 $ 29,263
Annuity Rate and Expense
Guarantees.................. 2,788 6,000
-------------- --------------
Net Investment Income
(Loss)...................... 66,869 23,263
-------------- --------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Realized Gain (Loss) on
Investments............... 13,733 17,380
Unrealized Appreciation
(Depreciation) of
Investments During the
Period.................... (30,040) (24,915)
-------------- --------------
Net Gain (Loss) on
Investments............... (16,307) (7,535)
-------------- --------------
Increase (Decrease) in
Equity Derived from
Investment Activity....... 50,562 15,728
-------------- --------------
EQUITY TRANSACTIONS
Contract Owners' Net
Payments.................. 20,759 60,272
Annuity Payments............ (314) (559)
Surrenders and Other
(net)..................... (18,226) (33,875)
Transfers from Other
Divisions or Sponsor...... 34,738 56,567
Transfers to Other Divisions
or Sponsor................ (77,178) (102,582)
-------------- --------------
Increase (Decrease) in Equity
Derived from Equity
Transactions................ (40,221) (20,177)
-------------- --------------
Net Increase (Decrease) in
Equity...................... 10,341 (4,449)
EQUITY
Beginning of Period......... 487,983 492,432
-------------- --------------
End of Period............... $ 498,324 $ 487,983
-------------- --------------
-------------- --------------
</TABLE>
# The initial investments in the Small Cap Growth Stock and the Index 400 Stock
Divisions were made on April 30, 1999.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
97
--
<PAGE>
NML VARIABLE ANNUITY ACCOUNT B
Statement of Operations and Changes in Equity
(IN THOUSANDS)
<TABLE>
<CAPTION>
INDEX 400
STOCK GROWTH & INCOME
DIVISION # GROWTH STOCK DIVISION STOCK DIVISION
----------- -------------------------------- --------------------------------
TWO MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1999 1998 1999 1998
----------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend Income............... $ -- $ 10,271 $ 4,848 $ 51,671 $ 3,489
Annuity Rate and Expense
Guarantees.................. 3 1,956 2,665 2,547 4,034
----------- -------------- -------------- -------------- --------------
Net Investment Income
(Loss)...................... (3) 8,315 2,183 49,124 (545)
----------- -------------- -------------- -------------- --------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Realized Gain (Loss) on
Investments............... -- 468 1,471 966 2,454
Unrealized Appreciation
(Depreciation) of
Investments During the
Period.................... 161 29,846 49,578 (5,833) 67,034
----------- -------------- -------------- -------------- --------------
Net Gain (Loss) on
Investments............... 161 30,314 51,049 (4,867) 69,488
----------- -------------- -------------- -------------- --------------
Increase (Decrease) in
Equity Derived from
Investment Activity....... 158 38,629 53,232 44,257 68,943
----------- -------------- -------------- -------------- --------------
EQUITY TRANSACTIONS
Contract Owners' Net
Payments.................. 479 38,631 54,754 33,927 73,068
Annuity Payments............ -- (242) (268) (427) (642)
Surrenders and Other
(net)..................... (18) (11,193) (12,505) (14,029) (19,173)
Transfers from Other
Divisions or Sponsor...... 4,185 70,809 56,084 47,759 63,150
Transfers to Other Divisions
or Sponsor................ (34) (28,367) (28,461) (33,080) (46,768)
----------- -------------- -------------- -------------- --------------
Increase (Decrease) in Equity
Derived from Equity
Transactions................ 4,612 69,638 69,604 34,150 63,635
----------- -------------- -------------- -------------- --------------
Net Increase (Decrease) in
Equity...................... 4,770 108,267 122,836 78,407 138,578
EQUITY
Beginning of Period......... -- 300,246 177,410 423,325 284,747
----------- -------------- -------------- -------------- --------------
End of Period............... $ 4,770 $ 408,513 $ 300,246 $ 501,732 $ 423,325
----------- -------------- -------------- -------------- --------------
----------- -------------- -------------- -------------- --------------
<CAPTION>
INDEX 500
STOCK DIVISION
----------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
INVESTMENT INCOME
Dividend Income............... $ 31,625 $ 32,261
Annuity Rate and Expense
Guarantees.................. 7,404 11,266
--------------- ---------------
Net Investment Income
(Loss)...................... 24,221 20,995
--------------- ---------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Realized Gain (Loss) on
Investments............... 3,188 15,353
Unrealized Appreciation
(Depreciation) of
Investments During the
Period.................... 117,238 198,764
--------------- ---------------
Net Gain (Loss) on
Investments............... 120,426 214,117
--------------- ---------------
Increase (Decrease) in
Equity Derived from
Investment Activity....... 144,647 235,112
--------------- ---------------
EQUITY TRANSACTIONS
Contract Owners' Net
Payments.................. 96,528 152,424
Annuity Payments............ (1,232) (1,910)
Surrenders and Other
(net)..................... (41,699) (53,430)
Transfers from Other
Divisions or Sponsor...... 138,642 154,924
Transfers to Other Divisions
or Sponsor................ (75,913) (115,601)
--------------- ---------------
Increase (Decrease) in Equity
Derived from Equity
Transactions................ 116,326 136,407
--------------- ---------------
Net Increase (Decrease) in
Equity...................... 260,973 371,519
EQUITY
Beginning of Period......... 1,170,970 799,451
--------------- ---------------
End of Period............... $ 1,431,943 $ 1,170,970
--------------- ---------------
--------------- ---------------
</TABLE>
# The initial investments in the Small Cap Growth Stock and the Index 400 Stock
Divisions were made on April 30, 1999.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
98
--
<PAGE>
NML VARIABLE ANNUITY ACCOUNT B
Statement of Operations and Changes in Equity
(IN THOUSANDS)
<TABLE>
<CAPTION>
SELECT BOND
BALANCED DIVISION HIGH YIELD BOND DIVISION DIVISION
---------------------------------- -------------------------------- --------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30,
1999 1998 1999 1998 1999
--------------- --------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
$ 284,717 $ 143,628 $ 144 $ 13,983 $ 20,187
16,263 29,061 692 1,408 1,342
--------------- --------------- -------------- -------------- --------------
268,454 114,567 (548) 12,575 18,845
--------------- --------------- -------------- -------------- --------------
11,655 24,370 (2,213) 87 854
(118,352) 248,726 2,649 (18,317) (21,979)
--------------- --------------- -------------- -------------- --------------
(106,697) 273,096 436 (18,230) (21,125)
--------------- --------------- -------------- -------------- --------------
161,757 387,663 (112) (5,655) (2,280)
--------------- --------------- -------------- -------------- --------------
128,732 220,919 9,373 40,941 15,785
(3,453) (6,278) (156) (301) (303)
(91,250) (153,449) (4,806) (8,012) (9,960)
82,403 103,591 9,748 39,779 23,551
(83,249) (133,506) (26,023) (31,044) (27,010)
--------------- --------------- -------------- -------------- --------------
33,183 31,227 (11,864) 41,363 2,063
--------------- --------------- -------------- -------------- --------------
194,940 418,940 (11,976) 35,708 (217)
2,621,697 2,202,757 136,369 100,661 238,257
--------------- --------------- -------------- -------------- --------------
$ 2,816,637 $ 2,621,697 $ 124,393 $ 136,369 $ 238,040
--------------- --------------- -------------- -------------- --------------
--------------- --------------- -------------- -------------- --------------
<CAPTION>
MONEY MARKET DIVISION
---------------------------------
SIX MONTHS
YEAR ENDED ENDED YEAR ENDED
DECEMBER 31, JUNE 30, DECEMBER 31,
1998 1999 1998
-------------- -------------- ---------------
<S> <C> <C> <C>
$ 14,579 $ 5,134 $ 8,478
2,437 1,215 1,809
-------------- -------------- ---------------
12,142 3,919 6,669
-------------- -------------- ---------------
687 -- --
(465) -- --
-------------- -------------- ---------------
222 -- --
-------------- -------------- ---------------
12,364 3,919 6,669
-------------- -------------- ---------------
33,881 56,259 73,549
(570) (135) (184)
(13,382) (21,833) (21,355)
50,471 108,289 230,774
(36,471) (118,091) (217,873)
-------------- -------------- ---------------
33,928 24,489 64,911
-------------- -------------- ---------------
46,292 28,408 71,580
191,965 205,586 134,006
-------------- -------------- ---------------
$ 238,257 $ 233,994 $ 205,586
-------------- -------------- ---------------
-------------- -------------- ---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
99
--
<PAGE>
NML VARIABLE ANNUITY ACCOUNT B
Statement of Operations and Changes in Equity
(IN THOUSANDS)
<TABLE>
<CAPTION>
RUSSELL
RUSSELL RUSSELL REAL
MULTI-STYLE AGGRESSIVE RUSSELL ESTATE RUSSELL
EQUITY EQUITY NON-U.S. SECURITIES CORE BOND
DIVISION # DIVISION # DIVISION # DIVISION # DIVISION #
----------- ---------- ---------- ---------- -----------
TWO MONTHS TWO MONTHS TWO MONTHS TWO MONTHS TWO MONTHS
ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1999 1999 1999 1999 1999
----------- ---------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend Income............... $ -- $ -- $ -- $ -- $ --
Annuity Rate and Expense
Guarantees.................. 3 2 2 2 1
----------- ---------- ---------- ---------- -----------
Net Investment Income
(Loss)...................... (3) (2) (2) (2) (1)
----------- ---------- ---------- ---------- -----------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Realized Gain (Loss) on
Investments............... -- -- -- -- --
Unrealized Appreciation
(Depreciation) of
Investments During the
Period.................... 186 81 30 (45) 2
----------- ---------- ---------- ---------- -----------
Net Gain (Loss) on
Investments............... 186 81 30 (45) 2
----------- ---------- ---------- ---------- -----------
Increase (Decrease) in
Equity Derived from
Investment Activity....... 183 79 28 (47) 1
----------- ---------- ---------- ---------- -----------
EQUITY TRANSACTIONS
Contract Owners' Net
Payments.................. 924 321 219 146 449
Annuity Payments............ -- -- -- -- --
Surrenders and Other
(net)..................... 7 4 2 (4) --
Transfers from Other
Divisions or Sponsor...... 4,200 2,127 2,443 1,894 1,620
Transfers to Other Divisions
or Sponsor................ (58) (7) (43) (66) (38)
----------- ---------- ---------- ---------- -----------
Increase (Decrease) in Equity
Derived from Equity
Transactions................ 5,073 2,445 2,621 1,970 2,031
----------- ---------- ---------- ---------- -----------
Net Increase (Decrease) in
Equity...................... 5,256 2,524 2,649 1,923 2,032
EQUITY
Beginning of Period......... -- -- -- -- --
----------- ---------- ---------- ---------- -----------
End of Period............... $ 5,256 $ 2,524 $ 2,649 $ 1,923 $ 2,032
----------- ---------- ---------- ---------- -----------
----------- ---------- ---------- ---------- -----------
</TABLE>
# The initial investments in the Russell Multi-Style Equity, Aggressive Equity,
Non-U.S., Real Estate Securities, and Core Bond Divisions were made on April
30, 1999.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
100
--
<PAGE>
NOTES TO FINANCIAL STATEMENTS
NML VARIABLE ANNUITY ACCOUNT B
Notes to Financial Statements
JUNE 30, 1999
NOTE 1 -- NML Variable Annuity Account B (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 "Sponsor") used to fund variable annuity contracts ("contracts") for
tax-deferred annuities, individual retirement annuities and non-qualified plans.
Beginning March 31, 1995, two versions of the contract are offered: Front Load
contracts with a sales charge up to 4% of purchase payments and Back Load
contracts with a withdrawal charge of 0-8%.
NOTE 2 -- The preparation of the financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from those estimates. Principal
accounting policies are summarized below.
NOTE 3 -- All assets of each Division of the Account are invested in shares of
the corresponding Portfolio of Northwestern Mutual Series Fund, Inc. and the
Russell Insurance Funds (collectively known as "the Funds"). The shares are
valued at the Funds' offering and redemption price per share.
The Funds are an open-end investment company registered under the Investment
Company Act of 1940.
NOTE 4 -- Annuity reserves are based on published annuity tables with age
adjustment and benefit payments which reflect actual investment experience. For
variable payment plans issued prior to January 1, 1974, annuity reserves are
based on the 1955 American Annuity Table with assumed interest rates of 3% or
5%. For variable payment plans issued on or after January 1, 1974 and before
January 1, 1985, annuity reserves are based on the 1971 Individual Annuity Table
with assumed interest rates of 3 1/2% or 5%. For variable payment plans issued
on or after January 1, 1985, annuity reserves are based on the 1983 Table a with
assumed interest rates of 3 1/2% or 5%.
NOTE 5 -- Dividend income from the Funds is recorded on the record date of the
dividends. Transactions in the Funds shares are accounted for on the trade date.
The basis for determining cost on sale of Fund shares is identified cost.
Purchases and sales of the Funds shares for the period ended June 30, 1999 by
each Division are shown below:
<TABLE>
<CAPTION>
PURCHASES SALES
------------- ------------
<S> <C> <C>
Small Cap Growth Stock Division $ 5,906,764 $ --
Aggressive Growth Division.......... 2,452,900 78,976,850
International Equity Division....... 75,982,291 49,451,722
Index 400 Stock Division............ 4,626,683 --
Growth Stock Division............... 78,787,058 793,497
Growth & Income Stock Division...... 85,811,382 2,563,989
<CAPTION>
PURCHASES SALES
------------- ------------
<S> <C> <C>
Index 500 Stock Division............ $ 145,723,857 $ 4,267,825
Balanced Division................... 333,888,323 30,679,939
High Yield Bond Division............ 2,619,825 14,897,974
Select Bond Division................ 33,051,483 10,991,606
Money Market Division............... 68,529,610 39,186,042
Russell Multi-Style Equity
Division............................ 5,083,516 3,860
Russell Aggressive Equity
Division............................ 2,452,900 --
Russell Non-U.S. Division........... 2,632,320 2,931
Russell Real Estate Securities
Division............................ 1,978,623 --
Russell Core Bond Division.......... 2,040,597 279
</TABLE>
NOTE 6 -- A deduction for annuity rate and expense guarantees is determined
daily and paid to Northwestern Mutual as compensation for assuming the risk that
annuity payments will continue for longer periods than anticipated because the
annuitants as a group live longer than expected, and the risk that the charges
made by Northwestern Mutual may be insufficient to cover the actual costs
incurred in connection with the contracts.
For contracts issued on or after March 31, 1995, for the Front Load version and
the Back Load version, the deduction for annuity rate and expense guarantees is
determined daily at annual rates of 4/10 of 1% and 1 1/4%, respectively, of the
net assets of each Division attributable to these contracts and is paid to
Northwestern Mutual. For these contracts, the rates may be increased or
decreased by the Board of Trustees of Northwestern Mutual not to exceed 3/4 of
1% and 1 1/2% annual rate, respectively.
For contracts issued after December 16, 1981 and prior to March 31, 1995, the
deduction is at an annual rate of 1 1/4% of the net assets of each Division
attributable to these contracts. For these contracts, the rate may be increased
or decreased by the Board of Trustees of Northwestern Mutual not to exceed a
1/2% annual rate.
For contracts issued prior to December 17, 1981, the deduction is at an annual
rate of 3/4 of 1% of the net assets of each Division attributable to these
contracts. For these contracts, the rate may be increased or decreased by the
Board of Trustees of Northwestern Mutual Life not to exceed a 1% annual rate.
Since 1995, Northwestern Mutual has paid a dividend to certain contracts. The
dividend is re-invested in the Account and has been reflected as a Contract
Owners' Net Deposit in the accompanying financial statements.
NOTE 7 -- Northwestern Mutual Life is taxed as a "life insurance company" under
the Internal Revenue Code and the operations of the Account form a part of and
are taxed with those of Northwestern Mutual. Under current law, no federal
income taxes are payable with respect to the Account. Accordingly, no provision
for any such liability has been made.
---
101
<PAGE>
NML VARIABLE ANNUITY ACCOUNT B
Notes to Financial Statements
(IN THOUSANDS)
JUNE 30, 1999
NOTE 8 -- Equity Values by Division are shown below:
<TABLE>
<CAPTION>
CONTRACTS ISSUED:
CONTRACTS ISSUED: AFTER DECEMBER 16, 1981 AND
PRIOR TO DECEMBER 17, 1981 PRIOR TO MARCH 31, 1995
---------------------------------------- -----------------------------------------
ACCUMULATION UNITS ACCUMULATION UNITS
DIVISION UNIT VALUE OUTSTANDING EQUITY UNIT VALUE OUTSTANDING EQUITY
- ---------------------------------------- -------------- ------------- --------- -------------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C>
Small Cap Growth Stock.................. $ 1.207493 65 $ 78 $ 1.206482 2,339 $ 2,823
Aggressive Growth Stock................. 4.361120 981 4,278 4.178043 123,627 516,520
International Equity.................... 2.169017 1,379 3,523 2.103169 150,025 315,529
Index 400 Stock......................... 1.053682 -- -- 1.052801 2,193 2,309
Growth Stock............................ 2.843237 606 1,723 2.770795 65,399 181,208
Growth and Income....................... 2.684280 786 2,110 2.615948 89,437 233,963
Index 500 Stock......................... 4.799358 10,323 49,541 4.598110 169,864 781,052
Balanced................................ 7.878513 5,456 42,991 7.219100 292,794 2,113,707
High Yield Bond......................... 1.584970 183 290 1.544569 28,262 43,653
Select Bond............................. 7.733186 902 6,977 7.083808 18,321 129,785
Money Market............................ 2.705105 1,239 3,351 2.478389 48,628 120,519
Russell Multi-Style Equity.............. 1.028438 59 61 1.027579 2,348 2,413
Russell Aggressive Equity............... 1.054834 -- -- 1.053952 1,383 1,458
Russell Non-U.S......................... 1.004747 -- -- 1.003905 1,665 1,672
Russell Real Estate Securities.......... 0.983767 -- -- 0.982947 1,051 1,033
Russell Core Bond....................... 0.985120 -- -- 0.984296 562 553
--------- ----------
Equity................................ 114,923 4,448,197
Annuity Reserves...................... 5,680 74,420
--------- ----------
Total Equity.......................... $ 120,603 $4,522,617
--------- ----------
--------- ----------
</TABLE>
<TABLE>
<CAPTION>
CONTRACTS ISSUED: CONTRACTS ISSUED:
ON OR AFTER MARCH 31, 1995 ON OR AFTER MARCH 31, 1995
FRONT LOAD VERSION BACK LOAD VERSION
---------------------------------------- -----------------------------------------
ACCUMULATION UNITS ACCUMULATION UNITS
DIVISION UNIT VALUE OUTSTANDING EQUITY UNIT VALUE OUTSTANDING EQUITY
- ---------------------------------------- -------------- ------------- --------- -------------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C>
Small Cap Growth Stock.................. $ 1.208192 2,033 $ 2,455 $ 1.206482 998 $ 1,204
Aggressive Growth Stock................. 2.040275 37,811 77,145 4.178043 49,541 206,984
International Equity.................... 1.790346 30,457 54,529 2.103169 56,680 119,208
Index 400 Stock......................... 1.054294 1,331 1,404 1.052801 1,014 1,068
Growth Stock............................ 2.653796 26,900 71,388 2.770795 53,375 147,891
Growth and Income Stock................. 2.504677 32,813 82,186 2.615948 66,981 175,219
Index 500 Stock......................... 2.911674 60,041 174,820 4.598110 87,916 404,247
Balanced................................ 2.037196 89,005 181,321 7.219100 57,605 415,855
High Yield Bond......................... 1.500925 18,291 27,453 1.544569 32,737 50,565
Select Bond............................. 1.342171 27,804 37,317 7.083808 8,378 59,350
Money Market............................ 1.229057 34,263 42,111 2.478389 26,532 65,757
Russell Multi-Style Equity.............. 1.029026 1,175 1,209 1.027579 1,540 1,582
Russell Aggressive Equity............... 1.055441 527 557 1.053952 493 520
Russell Non-U.S......................... 1.005329 570 573 1.003905 413 415
Russell Real Estate Securities.......... 0.984339 475 468 0.982947 440 432
Russell Core Bond....................... 0.985693 977 963 0.984296 535 527
--------- ----------
Equity................................ 755,899 1,650,824
Annuity Reserves...................... 9,623 30,567
--------- ----------
Total Equity.......................... $ 765,522 $1,681,391
--------- ----------
--------- ----------
</TABLE>
---
102
<PAGE>
Annuity and Accumulation Products Dept.
P.O. Box 2099
Milwaukee, WI 53201-2099
FAX #: 414-299-2632
Northwestern
Mutual Life-Registered Trademark-
DEFERRED VARIABLE ANNUITY - TRANSFER OR ALLOCATION CHANGE
<TABLE>
<S> <C>
CONTRACT NO. ANNUITANT (PLEASE PRINT)
</TABLE>
TRANSFER EXISTING BALANCES
The minimum amount that may be transferred from any investment division is $100
or the entire balance in that division, whichever is less. If you want to
transfer the entire division, indicate "ALL." If the "Transfer From" column is
not completed, the entire balance in each division will be reallocated according
to the percentages indicated in the "Transfer To" column.
<TABLE>
<S> <C> <C> <C>
TRANSFER FROM: TRANSFER TO:
(DOLLAR AMOUNT OR ALL) (WHOLE PERCENTS ONLY)
1. Select Bond $ 1. Select Bond %
2. International Equity $ 2. International Equity %
3. Money Market $ 3. Money Market %
4. Balanced $ 4. Balanced %
5. Index 500 Stock $ 5. Index 500 Stock %
6. Aggressive Growth Stock $ 6. Aggressive Growth Stock %
7. High Yield Bond $ 7. High Yield Bond %
8. Growth Stock $ 8. Growth Stock %
9. Growth and Income Stock $ 9. Growth and Income Stock %
10. Index 400 Stock+ $ 10. Index 400 Stock+ %
11. Small Cap Growth Stock+ $ 11. Small Cap Growth Stock+ %
12. Russell Multi-Style Equity+ $ 12. Russell Multi-Style Equity+ %
13. Russell Aggressive Equity+ $ 13. Russell Aggressive Equity+ %
14. Russell Non-US+ $ 14. Russell Non-US+ %
15. Russell Real Estate Securities+ $ 15. Russell Real Estate Securities+ %
16. Russell Core Bond+ $ 16. Russell Core Bond+ %
17. Guaranteed Interest Fund+ $ 17. Guaranteed Interest Fund+ %
TOTAL $ TOTAL 100 %
</TABLE>
CHANGE ALLOCATION OF FUTURE INVESTMENTS
<TABLE>
<CAPTION>
Future investments WILL CONTINUE TO BE ALLOCATED AS THEY WERE PRIOR TO THE TRANSFER SHOWN ABOVE, unless new instructions
are given below. Please indicate in whole percents only for a total of 100%.
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Russell Aggressive
1. Select Bond % 7. High Yield Bond % 13. Equity+ %
------ ------ ------
2. International Equity % 8. Growth Stock % 14. Russell Non-US+ %
------ ------ ------
Russell Real Estate
3. Money Market % 9. Growth and Income Stock % 15. Securities+ %
------ ------ ------
4. Balanced % 10. Index 400 Stock+ % 16. Russell Core Bond+ %
------ ------ ------
5. Index 500 Stock % 11. Small Cap Growth Stock+ % 17. Guaranteed Interest Fund+ %
------ ------ ------
Aggressive Growth Russell Multi-Style
6. Stock % 12. Equity+ % TOTAL 100%
------ ------ ------
</TABLE>
EFFECTIVE DATE
<TABLE>
<S> <C>
If received prior to the close of trading on the New York Stock Exchange, this request will FUTURE EFFECTIVE DATE (MM/DD/YYYY)
be effective on the day this completed form is received at the Northwestern Mutual Life home
office or the date requested, whichever is later.
</TABLE>
<TABLE>
<S> <C>
SIGNATURE OF OWNER(S)/TRUSTEE REQUIRED (TITLE MUST BE INCLUDED):
Date signed
- -------------------------------------------------------------------------------- --------------------
(MM/DD/YYYY)
Date signed
- -------------------------------------------------------------------------------- --------------------
(MM/DD/YYYY)
Daytime Phone Number: ( )
- ---------------------------------------------------------------------------
</TABLE>
+ NOT AVAILABLE IN ALL STATES. (GIF - REFER TO TRANSFER RESTRICTIONS ON PAGE
2. THE GIF IS NOT AVAILABLE FOR NML ACCOUNT C CONTRACTS.)
SEE PAGE 2 FOR FAX INSTRUCTIONS
WORD 6-FE
90-1854 (0499) (Page 1 of 2)
--
103
<PAGE>
HOW TO SUBMIT
FIRST CLASS MAIL
Please mail form to Northwestern Mutual Life, Annuity & Accumulation Products,
P.O. Box 2099, Milwaukee, Wisconsin 53201-2099.
FAX
The completed/signed transfer/change of allocation form may be FAXed to the Home
Office at (414) 299-2632. The original transfer form is not needed. Please keep
for your records.
SIGNATURE INSTRUCTION
SIGNATURE BY OWNER
All Owners must sign name as it appears in the policy contract. If the Owner's
name has changed since the policy was issued, he/she should add his/her present
surname to his/her name as it appears in the policy contract.
SIGNATURE BY ASSIGNEE
If the signer of the form is an assignee and the assignee is a bank, savings and
loan association, other financial institution or corporation, an officer must
sign with his/her title. Name of corporate entity must appear above the
signature.
SIGNATURE ON BEHALF OF CORPORATION
If the signer of the form is a corporation, an officer of the corporation must
sign on behalf of the corporation with his/her title. The name of the
corporation must appear above the signature.
SIGNATURE ON BEHALF OF PARTNERSHIP
If the signer of the form is a partnership, the name of the partnership must
appear above the signature. A partner other than the Annuitant must sign.
SIGNATURE ON BEHALF OF TRUST
If the signer of the form is a Trust, the authorized Trustee must sign his/her
name, followed by the word "Trustee." The name of the Trust must appear above
the signature.
GUARANTEED INTEREST FUND (GIF) TRANSFER RESTRICTIONS
When making a payment or transfer into the GIF, please be advised that transfers
into and out of the GIF are restricted.
TIMING RESTRICTIONS
Transfers OUT of the GIF are not allowed for a period of 365 days following a
transfer out of the fund.
Transfers IN to the GIF are not allowed for a period of 90 days following a
transfer out of the fund.
AMOUNT RESTRICTION
The maximum amount that may be transferred out of the GIF in any one transfer is
limited to THE GREATER OF:
- - 25% of the GIF value on the previous anniversary, and
- - amount of the most recent transfer from the Guaranteed Interest Fund.
However, in no event will the maximum transfer amount be less than $1,000.00.
There may be additional maximum transfer amount restrictions for your contract.
See your contract and most recent prospectus for additional details.
WORD 6-FE
90-1854 (0499) (Page 2 of 2)
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104
<PAGE>
DIRECTORS AND OFFICERS
NORTHWESTERN MUTUAL SERIES FUND, INC.
DIRECTORS
JAMES D. ERICSON .... PRESIDENT AND CHIEF EXECUTIVE OFFICER, NORTHWESTERN MUTUAL
LIFE,
..................................................................... MILWAUKEE
MARTIN F. STEIN ........................................ FOUNDER, STEIN OPTICAL,
..................................................................... MILWAUKEE
JOHN K. MACIVER ................. SENIOR PARTNER, MICHAEL BEST & FRIEDRICH, LLC,
..................................................................... MILWAUKEE
STEPHEN N. GRAFF .......................... RETIRED PARTNER, ARTHUR ANDERSEN LLP
..................................................................... MILWAUKEE
WILLIAM J. BLAKE ............................. CHAIRMAN, BLAKE INVESTMENT CORP.,
..................................................................... MILWAUKEE
WILLIAM A. MCINTOSH .......... RETIRED DIVISION HEAD--U.S. FIXED INCOME, SALOMON
BROTHERS,
....................................................................... CHICAGO
OFFICERS
JAMES D. ERICSON ..................................................... PRESIDENT
MARK G. DOLL ........................................ VICE PRESIDENT & TREASURER
MERRILL C. LUNDBERG .................................................. SECRETARY
BARBARA E. COURTNEY ................................................. CONTROLLER
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105
<PAGE>
This report is submitted for the general information
of owners of NML Variable Annuity Account B
contracts. This report is not authorized for
distribution to prospective purchasers of variable
annuity contracts unless it is accompanied by an
effective prospectus. Northwestern Mutual Life
variable annuity contracts are sold through
individuals who, in addition to being licensed life
insurance agents of Northwestern Mutual Life, are
registered representatives of Northwestern Mutual
Investment Services, LLC, a wholly-owned subsidiary
of Northwestern Mutual Life and a registered
broker-dealer under the Securities Exchange Act of
1934 and a member of the National Association of
Securities Dealers, Inc.
90-1776 (6-99)
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NORTHWESTERN BOUND PRINTED MATTER
MUTUAL LIFE-Registered Trademark- BLK. RT.
PO Box 3095 U.S. POSTAGE PAID
Milwaukee WI 53201-3095 MILWAUKEE, WI
PERMIT NO. 426
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Change Service Requested
