<PAGE> 1
Variable Annuity Account
Semi-Annual Report annuity aspects
June 30, 2000
[PHOTO]
[PHOTO]
Northwestern Mutual(TM)
#90-1776(07/00)
<PAGE> 2
Baby Steps To A Financially Secure Future....................................1
Baby Boomers:
Pushing Back The Hands Of Time...............................................3
Northwestern Mutual Financial Network........................................5
Achieving A More Focused Life................................................6
The True Measure Of The Market...............................................7
The Time To Start Planning
For College Is Now...........................................................9
"Standard & Poor's(R)," "S&P(R)," "S&P MidCap 400 Index," "Standard & Poor's
MidCap 400 Index," "S&P 500(R) Index" and "Standard & Poor's 500(R) Index" are
trademarks of The McGraw-Hill Companies, Inc. and has been licensed for use by
The Northwestern Mutual Life Insurance Company. The funds are not sponsored,
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representation regarding the advisability of investing in these funds.
Annuity Aspects & the Semi-Annual Report are authorized for distribution only
when preceded or accompanied by a current prospectus or offering circular for
the Northwestern Mutual Select Variable Annuity. The variable annuity contract
has limitations. Please read the prospectus or offering circular carefully
before investing or sending money. The Northwestern Mutual Select Variable
Annuity is sold through individuals who, in addition to being licensed life
insurance agents of The Northwestern Mutual Life Insurance Company, are
Registered Representatives of Northwestern Mutual Investment Services, LLC, a
wholly-owned subsidiary of Northwestern Mutual Life, 720 East Wisconsin Avenue,
Milwaukee, WI 53202(414)271-1444.
Frank Russell Company is a majority owned subsidiary of Northwestern Mutual.
Northwestern Mutual Investment Services, Inc. 720 East Wisconsin Avenue,
Milwaukee, WI 53202(414)271-1444 Annuity Aspects(TM) 2000 Northwestern Mutual
Life Insurance, Co.
www.northwesternmutual.com
Baby Steps
To A Financially Secure Future
If you are like most people, having a financially secure future is an important
concern. Yet if given the chance, most of us spend our dollars as fast, if not
faster, than we earn them. Ironically, a financially secure future is not always
something money can buy - it's as much a state of mind as it is a dollar figure.
A big part of this can be knowing that you are on the path to achieving your
financial goals with some simple steps and follow-through.
[PHOTO]
01 ANNUITY ASPECTS SEMI-ANNUAL REPORT
<PAGE> 3
START WITH A PLAN
Most successful endeavors start with a plan, and a financially secure
future is no different. Start your plan by defining what it is you want and need
to feel financially secure. When you picture your future, what do you see? An
exciting retirement with lots of travel? Your son or daughter's appreciation for
your contribution towards college tuition? Ample savings available to tap in
case of emergency? Take the time to really think about the short-term and
long-term goals that are most important to you and what it will take to achieve
them financially, since this information will drive the rest of your plan.
The next steps are choosing the vehicles you will use to accomplish your
goals, and defining the amounts you need to start saving and investing. As you
make these choices, it's important to know the difference between "savings" and
"investments." Savings are funds you accumulate in liquid, low-volatility forms
like CDs and money market accounts that you keep on hand for emergencies and
short-term needs. In contrast, investments are funds you accumulate in
higher-risk forms like mutual funds or stocks over the long term, and plan to
use for long-term goals. People invest over the long term to get a higher return
on their assets, and as a general rule, the higher the return, the higher the
risk. However, putting all of your assets in a savings account over the long
term is also risky. Inflation may grow at a faster rate than your savings,
decreasing the value of your assets.
DEVELOP A BUDGET
Once you've created your plan, develop a budget. Take
into account daily, weekly, monthly and annual expenses,
then average them out for a monthly living cost. Be sure to
include the contributions you need to make in order to reach
the goals you've set in your expenses. Many people are [PHOTO]
surprised to find they are spending $1,000 or $1,500 a month
more than they anticipated thanks to seasonal and annual
expenses, and also the little expenses that add up. For
example, that $1.50 cup of coffee you buy on your way to
work each morning comes out to about $375 a year.
After you've settled on your budget, stick to it. Make it a policy to pay
yourself first, or in other words make contributions toward your goals each
month before paying other expenses. Automatic payroll deductions from your
paycheck to your retirement account and other investment accounts can help you
save regularly.*
LOWER YOUR LIVING EXPENSES
There are a number of ways you can lower your daily cost of living without
lowering your standard of living. Try to avoid credit card debt by using a
no-fee credit card and only charging what you can pay off each month. As you
consider ways to trim your expenses, evaluate the short-term versus long-term
savings.
PROJECT YOUR FAMILY & ASSETS
Chances are your vision of a financially secure future includes your
family, especially if you are the main or co-breadwinner for your household. You
can increase your feeling of financial security by protecting your family and
your assets through the purchase of insurance and making a will and an estate
plan.
REVIEW YOUR PLAN ANNUALLY
Finally, review your plan annually to make sure you are on track, adjusting
your contributions and financial habits as necessary. Most people find that this
process gets easier and faster every time they do it. And, it renews the peace
of mind that comes with having a solid financial plan in place.
*No investment strategy can guarantee a profit. The investment return and the
principal value of a variable fund will fluctuate so that the accumulation
value at maturity or surrender may be more or less than the original cost.
ANNUITY ASPECTS SEMI-ANNUAL REPORT 02
<PAGE> 4
BABY BOOMERS:
Pushing Back The Hands Of Time
As the oldest of the Baby Boomers nears a 55th birthday, and many more turn
50, don't expect to see many black balloons or hear "Over the Hill" jokes soon.
This generation of 78 million has changed and reshaped every aspect of American
life as it has matured, from popular culture and values to nationwide financial
trends, and experts predict that retirement will be no different. Boomers have
always held very negative perceptions about aging. However, now they have the
social and financial influence, and the motivation, to change and improve what
it means to grow old in our society. In all likelihood, our notions of
retirement will get their own facelift in the coming years.
For an example of this generation's impact, just take a look at today's
workplace. The themes of empowerment, teamwork and fact-to-face, personal
relationships so prevalent in the corporate world all emerged as Baby Boomers
ascended high enough in the corporate ranks to wield corporate-wide influence,
bringing their own values along.
In his book BOBOS in Paradise: The New Upper Class and How They Got There,
David Brooks credits Baby Boomers for an unprecedented period of business
innovation and productivity, a result of their workaholic tendencies, creativity
and willingness to break the rules. Americans outside of the Baby Boom
generation have had to comply with these changes even if we don't buy into the
accompanying attitudes and lifestyles.
According to the Ken Dychtwald, author of best-selling books Age Power and
Age Wave, Baby Boomers are a new breed of consumers whose wants, needs and
buying habits will have a fundamental effect on the choice of products and
services offered as they mature. Health care and financial services will
continue to grow as Boomers' priorities shift to maintaining their health and
financial security. Recreation industries will grow while durable goods shrink
as businesses seek to capture the immense Baby Boomer market interested in
purchasing experiences rather than things.
Dychtwald believes this new breed of consumers will also affect the ways in
which products and services are designed, packaged and sold. Security, safety
and physical comfort will become key product attributes. In the coming years, we
can expect to see larger print on road signs, pedestrian street lights that
change more slowly, and more restaurant menu choices driven by age-related
dietary restrictions.
Within the financial industry, the effects of the Baby Boomers are already
apparent. This generation has a very different concept of financial risk than
earlier generations, driving their greater involvement in the stock market, and
more aggressive investments. Their penchant for risk has also encouraged a
profusion of market-oriented retirement and insurance products such as variable
life insurance, annuities and mutual funds.
In general, Boomers have saved less and taken on more personal debt than
any generation before, leading to some estimates that more than half of the them
will not be prepared for retirement. Other estimates indicate that most Boomers
are financially secure, but have continually postponed their retirement
planning.
As Baby Boomers start looking toward retirement, more and more are turning
to financial professionals for help in planning their financial futures. With
30-plus years of life left, Boomers are finding there are steps they can take
now to get into good financial shape for retirement.
Get started now. If you've procrastinated on retirement planning,
the most important thing you can do is get moving now. It is a
good time to evaluate your financial situation and see what it
will take to make your retirement years, whenever they arrive,
just as satisfying as your life today. If you are like many
Boomers, you may be pleasantly surprised by the results.
[PHOTO]
Consider working longer. If, after your financial evaluation, you
realize there is a shortfall in your retirement savings, there
are a number of options you can consider to improve your
retirement picture. According to a recent survey by the Employee
Benefit Research Institute, 68% of people currently working plan
to hold paying jobs after they reach retirement age. Reasons for
this new trend range from a need for supplemental retirement
income to a desire for continued challenge and involvement. This
percentage will most likely climb higher thanks to a new law that
provides full Social Security benefits for people over 65
regardless of their income level.
03 ANNUITY ASPECTS SEMI-ANNUAL REPORT
<PAGE> 5
BY THE NUMBERS
BABY BOOMERS IMPACT OVER THE DECADES
At 78 million strong, the Baby Boomer generation has swept over our country
like a wave, changing everything from our cultural values to the way we do
business. Decade by decade, the Baby Boom generation has reshaped American life.
1940s and 50s
[PHOTO]
Even as they were being born, the Boomer generation was a force for change.
Sales of baby food, toys and diapers skyrocketed. Civic construction soared as
new elementary schools and hospitals were built to accommodate the growing
population of children.
For the first time, children were recognized as a market in their own right,
leading to a deluge of television shows and advertisements aimed at kids. As
Baby Boomers moved into their early teen years, they became the first
generation to spend significant amounts of their own money on products such as
pimple cream and cosmetics.
[PHOTO]
[PHOTO]
1960s and 70s
The institutions of education and marriage changed significantly with the Baby
Boomers. College completion levels rose to approximately 25% for both male and
female Boomers, making Boomers better educated than any previous generation. At
the same time, the percentage of young adults that married declined as Boomers
chose to marry later in life, or not at all.
[PHOTO]
1980s and 90s
Boomers penchant for health had a direct affect on our lifestyles. Frozen
yogurt, kiwi fruits, bottled water and oat products made the top 10 list of
most-highly consumed foods, while items such as veal, whole milk, beef and eggs
fell to the bottom of the list. Boomers created escalating markets for health
clubs, home exercise equipment, dieting books and herbal supplements.
[PHOTO]
[PHOTO]
The New Millennium
Today Baby Boomers are reaching their 50s, changing traditional ideas about
aging and retirement. Experts predict the financial, health and
recreation/entertainment industries will continue to expand as Boomers move
into their golden years of life.
[PHOTO]
Retirement or college tuition?
If you have children at or near college age, you may be caught in a
dilemma-should you pay for college tuition or set aside funds for retirement?
Experts advise choosing retirement over college since you can take out a loan
for tuition, but not for your retirement. Explore some of the many creative
ways to pay for school expenses, including scholarships, student loans, federal
tax credits, and short and long term investments.
Build some healthy living habits
Like retirement planning, it's never too soon to build some healthy living
habits. Getting back to the basics - a nutritious diet, regular exercise and
enough sleep all go a long way toward reducing health care costs later in
life. And, with good health, you can be sure to enjoy every minute of your
retirement, whatever you choose to pursue.
Explore life, disability and long-term care insurance.
Your earning potential is one of your greatest assets, and it pays to protect
it, especially if you plan to continue working past retirement age. A life
insurance policy can be used to help pay estate taxes. Cash values may also be
utilized as an additional source of income. If you have been in the working
world for a while, chances are you already have disability insurance. Now is a
good time to re-evaluate your policy, and consider whether supplemental
disability insurance is necessary. If you don't have disability insurance, do
some research into your options. If you plan to switch to a new job at
retirement age, purchasing a portable policy through an insurance company may
be a better idea than purchasing it through your current employer. You should
also start exploring long-term care insurance now, while you are in good health.
ANNUITY ASPECTS SEMI-ANNUAL REPORT 04
<PAGE> 6
[PHOTO]
[LOGO] NORTHWESTERN MUTUAL
FINANCIAL NETWORK
Expert Guidance, Innovative Solutions
Northwestern Mutual has created a new identity for our sales force -- one
that better reflects the full range of products and problem-solving
capabilities we offer our clients. Starting now, you can expect to see and hear
more about Northwestern Mutual Financial Network.
Representatives of Northwestern Mutual Financial Network offer you expert
guidance and exclusive access to life insurance products and an array of quality
investment choices from Northwestern Mutual -- a top-rated company. Our
Financial Representatives also bring to you the Network's knowledgeable group of
financial specialists in areas including retirement planning, estate planning,
investment services and business planning.
At the heart of this great network stands Northwestern Mutual, the
country's largest provider of individual life insurance. In FORTUNE's annual
survey of executives, Northwestern Mutual has been identified as the "most
admired" company in its industry for 17 years. The company has always received
the highest possible financial ratings from the four major rating services:
Moody's, Standard & Poor's, Fitch (formerly Duff & Phelps), and A.M. Best
Company.
Working as a team, our Financial Representatives and specialists help
ensure that your needs are evaluated from every perspective. Their personalized
approach can lead to innovative solutions that are right for you and those who
depend on you.
Northwestern Mutual Financial Network identifies the sales and distribution arm
of the Northwestern Mutual Life Insurance Company and its subsidiaries and
affiliates.
Third party ratings are a measure of a company's relative financial strength
and security, but are no reflection of the performance or stability of funds
invested in a company's variable (non-fixed) funds.
05 ANNUITY ASPECTS SEMI ANNUAL REPORT
<PAGE> 7
June 30, 2000
SEMI-ANNUAL REPORT
[PHOTO]
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
NORTHWESTERN MUTUAL
SERIES FUND, INC. AND
RUSSELL INSURANCE FUNDS
The Northwestern Mutual
Life Insurance Company
720 East Wisconsin Avenue [LOGO] NORTHWESTERN MUTUAL
Milwaukee, WI 53202
(414) 271-1444
<PAGE> 8
C ONTRACT OWNER PRIVILEGES
Free Transfers Among Portfolios
You can change your investment allocation or transfer values among the
portfolios by calling the Northwestern Mutual Express line at 800-519-4665.
Also, you can Mail or Fax the request forms to the Home Office for the same day
changes.
Contract Owner Communications
Northwestern Mutual Express gives you 24-hour access to your contract. You
receive Confirmation Statements on each transaction, VA Quarterly Summary
Statements, and the Annuity Aspects Newsletter providing financial and annuity
information.
Automatic Investment Plan
You can invest via the 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
Your money is automatically transferred from the Money Market Portfolio to any
of the other 15 variable portfolios on a monthly or quarterly basis.
Portfolio Rebalancing
To help maintain your asset allocation plan percentage over time, this service
will automatically readjust the asset allocations back to the desired specified
percentages.
Interest Sweeps
The Interest Sweep service will automatically sweep or transfer interest
earnings periodically from the Guaranteed Interest Fund to any of the 16
variable investment options.
Special Withdrawal Privilege
You can withdraw the lesser of 10% of the total contract value, or 100% of the
contract earnings without a surrender charge, if the contract has at least a
$10,000 balance, with money in a surrender category, beginning on the first
contract anniversary.
C ONTENTS
<TABLE>
<S> <C>
Letter to Contract Owners 1
Economic Overview and Outlook 2
Series Fund Objectives and Schedule of Investments 3
Small Cap Growth Stock Portfolio 3
Aggressive Growth Stock Portfolio 6
International Equity Portfolio 9
Index 400 Stock Portfolio 12
Growth Stock Portfolio 18
Growth and Income Stock Portfolio 21
Index 500 Stock Portfolio 24
Balanced Portfolio 31
High Yield Bond Portfolio 44
Select Bond Portfolio 49
Money Market Portfolio 55
Performance Summary for Separate Accounts 58
Statements of Assets and Liabilities 62
Statements of Operations 64
Statements of Changes in Net Assets 66
Financial Highlights 72
Notes to Series Fund Financial Statements 78
Account B Financial Statements 81
Notes to Account B Financial Statements 90
Directors and Officers 94
The Russell Semi-Annual Report Starts After Page 94
</TABLE>
Contents
<PAGE> 9
L ETTER TO CONTRACT OWNERS JULY 31, 2000
The first six months of 2000 were an interesting time to observe and participate
in the economy and the stock and bond markets. As we entered the year, there was
widespread concern about how the change to year 2000 dates would affect the
computers that support our physical and economic infrastructure. Careful
preparation appears to have paid off, as Y2K disruptions turned out to be
essentially nonexistent. This good news, accompanied by continued strength in
the economy and excitement about emerging technologies, sent equity markets to
record high levels by late March. The euphoric bull market ended abruptly in
April, when sharp drops in many technology stocks led the market downward. The
broad market averages have since recovered, ending June very close to the levels
at which they began the year, but shares of many newer technology companies sell
at a fraction of former prices.
The performance of the stock market and the economy are closely related, and the
recent drop in the market reflects real or perceived moderation in the economy.
As the year progressed and the economy continued to expand rapidly, the Federal
Reserve demonstrated concern about rising inflation with several interest rate
increases, which were intended to slow economic growth. Although there are signs
of slowing in some sectors of the economy, many of the forces that propelled
earlier growth are still at work. Business investment, especially for
technology, remains strong, and productivity continues to improve. Despite some
weakness in interest-sensitive areas such as homes and automobiles, consumer
spending and consumer confidence remain healthy.
We believe that there is valid concern that an overheated economy could ignite
inflation. Certainly it is not realistic to expect the economy to continue
growing at the rates above 5% recorded in the last quarter of 1999 and the first
half of 2000. The advent of the "new economy" -- an investment-led,
high-productivity expansion with less propensity for inflation -- does not mean
that the United States will enjoy an eternal boom. Inflation and recession are
real and present concerns, not things of the past.
In recent months, perhaps because of growing uncertainty about the economy, the
stock market has become increasingly volatile. Along with this volatility has
come evidence of a change in attitudes toward value and risk. A renewed
appreciation of the value inherent in assets and current earnings seems to be
developing, along with a realization that underperforming stocks of some solid
companies offer considerable value.
As long-term investors dedicated to a thoughtful, analytical approach to
selecting securities, we welcome this change. We continue to invest for the long
term, and we urge our contract owners to take a long view, as well. We offer a
range of investment choices to suit the needs of virtually any investor. One
noteworthy aspect of the portfolios underlying our variable annuities is that
even the most aggressive ones hold securities in a mix of industry groups. While
participating in market sectors such as technology and telecommunications that
seem to have especially attractive prospects, we have avoided the temptation to
become dependent on any one industry group for performance, and we believe that
this approach will continue to temper the volatility of these portfolios.
If you have been reading these reports for some time, you will recall that we
have stated consistently that the 20%-plus returns the equity market has
provided over the last three years are extraordinary. Newer investors may be
surprised by the recent weakness in the stock market, and some may have ignored
bonds entirely. Industry research indicates that long-term returns averaging 11%
to 12%, with considerable year-to-year
variability, are the norm for the U.S. stock market over
the last 75 years. The same research has found that long-
term returns of approximately 6% are normal for corporate
bonds; investors in our bond portfolios will have noted that returns have been
lower than this in recent years. We see no reason to expect future market trends
to be dramatically different from the past; it seems likely that long-term
equity returns will be in the low double digits. We urge each of our contract
owners to maintain a diversified portfolio with a balance appropriate to your
personal investment goals. Your Northwestern Mutual Financial Representative is
always available to assist you as you evaluate your goals and make portfolio
choices.
The Northwestern Mutual
Life Insurance Company
/s/ James D. Ericson
James D. Ericson, Chairman and
Chief Executive Officer
[Ericson Photo]
1 Letter to Contract Owners
<PAGE> 10
The Economy
The U.S. economy continued its rapid pace of growth in the first half of 2000,
with real growth at annualized rates of 4.8% in the first quarter and 5.2% in
the second quarter. In contrast to the consumer-led expansion of previous years,
recent growth has been driven by business investment, especially in technology.
Such investments are an important factor in continued improvement in
productivity, which is helping to keep inflation moderate. The core rate of
inflation, which excludes the volatile food and energy components, was just 2.2%
in the first quarter and 1.7% in the second quarter. Perhaps the most
encouraging trend is the absence, so far, of a surge in wage costs, despite an
extremely tight labor market.
Despite continued overall growth at rates that are generally regarded as
unsustainable, there are signs of slowing in certain key sectors. Trends in
retail spending, consumer confidence and new home sales now appear to be more in
line with real growth at an annual rate of 3.0% to 3.5%. The moderation in
growth can be attributed largely to the actions of the Federal Reserve, which
has stated and demonstrated a determination to keep inflation low: Interest
rates have been raised six times, for a total increase of 1 3/4 percentage
points, since the middle of 1999. The Fed's decision to leave rates unchanged in
late June was accompanied by a warning that further reports of rapid growth
could prompt additional rate increases.
ECONOMIC GROWTH AND INFLATION
[ECONOMIC GROWTH AND INFLATION PERFORMANCE GRAPH]
<TABLE>
<CAPTION>
REAL GDP CPI-U
-------- -----
<S> <C> <C>
90 1.8 6.1
91 -0.5 3.1
92 3 2.9
93 2.7 2.7
94 4 2.7
95 2.7 2.5
96 3.6 3.3
97 4.2 1.7
98 4.3 1.6
99 4.2 2.6
</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 major market averages ended June quite close to the levels at which they
began January, but there were two distinctly different periods for the stock
market in the first half of 2000. In the first quarter, the market continued to
move up, dominated by technology stocks, which reached levels higher than most
investors could have imagined. Beginning in early April, prices of technology
stocks dropped precipitously. The broader market weakened, as well: by late
April the S&P 500 Index was 12% below its March peak. From its highest level in
March, the technology-heavy NASDAQ index had lost 37% of its value by the end of
May; nonetheless, soaring prices in the last half of 1999 enabled the NASDAQ to
show a net gain of 48% for the 12 months ended June 2000. While prices of many
technology stocks, especially those with no prospects of near term earnings,
have dropped sharply, the market as a whole recovered in May and June. Market
leadership has changed: among the best performing industry groups in the second
quarter were health care, energy, utilities, and consumer staples.
At mid-year, the stock market is very jittery. Warnings of disappointing
earnings are increasingly prevalent, and they often send stocks down sharply.
The S&P 500 Index is more volatile than it has been at any time since the 1930s,
with volatility measured by the number of days on which the index rises or falls
by a percentage point or more. The NASDAQ index has been more volatile in recent
months than at any time since its volatility was first tracked in the 1970s,
with changes of 2% to 3% on many days.
ANNUAL TOTAL RETURNS FROM S&P 500(R) INDEX
[ANNUAL TOTAL RETURNS FROM S&P PERFORMANCE GRAPH]
<TABLE>
<CAPTION>
12 MONTHS ENDED
---------------
<S> <C>
91 7.3
92 13.4
93 13.6
94 1.3
95 25.9
96 25.9
97 34.6
98 30
99 22.7
00 7.3
</TABLE>
Source: Standard & Poor's
--------------------------------------------------------------------------------
The Bond Market
Total return on long-term corporate bonds, measured by the Merrill Lynch
Domestic Master Index, was 4.57% for the 12 months ended June 30, 2000, as a
downward trend in prices partially offset coupon income. After moving up fairly
steadily in 1999, bond yields began to drop in January of this year. Yields
increased in April and May, then moved down again, to end June slightly below
the level at the beginning of the year.
Yields on corporate bonds are quite high; the spread, or difference between the
yield on corporate and Treasury bonds, is at a 15-year high. The reason for the
wide spread appears to be high demand for ultra-safe Treasury securities,
stimulated by investors' fear that there is too much leverage in the financial
system. Spreads have also widened between Treasury bonds and the debt of
government agencies such as FNMA and GNMA, mainly because of a recent statement
that the U.S. Treasury does not necessarily back agency debt. These pressures
come at a time when the supply of Treasury securities is limited by the
government's use of surplus funds to buy back outstanding 30-year bonds. These
factors combined to make the 30-year Treasury bond the best performer in the
bond market; total return on these bonds over the last year was over 11%, more
than double that of long-term corporate bonds.
The bond market was very quiet in June, with low volume and price movement
within a very narrow trading range. This lack of volatility, which is typical of
the summer months, may well persist until there are stronger signs as to whether
economic growth is slowing.
ANNUAL TOTAL RETURNS FROM
MERRILL LYNCH DOMESTIC MASTER INDEX
[ANNUAL TOTAL RETURNS FROM MERRILL LYNCH GRAPH]
<TABLE>
<CAPTION>
12 MONTHS ENDED
---------------
<S> <C>
91 10.9
92 14.1
93 11.9
94 -1
95 12.6
96 5
97 8.2
98 10.7
99 3.1
00 4.6
</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.
Economic Overview and Outlook 2
<PAGE> 11
<TABLE>
<CAPTION>
Objective: Portfolio Strategy: Net Assets:
<S> <C> <C> <C>
Maximum long-term appreciation Strive for the highest possible rate of capital $196,725,266
of 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, with the objective of maintaining a median market capitalization of
$1 billion. The range of market capitalization is generally between $200 million
and $3 billion. The investment process involves detailed studies of individual
companies. Factors evaluated include the growth rates of revenues and earnings,
opportunities for margin expansion, financial strength and quality of
management. 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 fund 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 Small Cap Portfolio has performed quite well since its introduction in April
1999. While its largest concentration is in technology, it is actually less
focused on this segment of the market than many other small cap funds; the
weakness in technology shares in the second quarter therefore had only a
moderate negative impact. Most technology holdings are software or service
companies such as Advent Software and Tollgrade Communications with a solid base
of business and good near-term earnings prospects; these stocks have contributed
to the Portfolio's strong performance.
Another area of concentration is health care; quality names including Priority
Healthcare and Province Healthcare, Biovail and Patterson Dental have performed
especially well in recent months.
In the first six months of 2000 the Portfolio total return was 21.54%.
Management estimates that Initial Public Offerings (IPOs) contributed 5.8% and
other issues 15.74%.
SECTOR ALLOCATION
6/30/2000
[SECTOR ALLOCATION PIE CHART]
<TABLE>
<CAPTION>
SECTOR ALLOCATION
-----------------
<S> <C>
Technology 35.00
Consumer Cyclicals 15.00
Health Care 13.00
Industrial & Transportation 12.00
Business Services 6.00
Energy 5.00
Finance 5.00
Consumer Staples 3.00
Short-Term Investments 6.00
</TABLE>
The Small Cap Growth Stock Portfolio's investment in Initial Public Offerings
(IPOs) had a significant impact on its performance during the periods shown.
There can be no assurance that IPOs will continue to have a positive effect on
the Porfolio's performance. Since the fund is relatively small in asset size, it
may be easier to achieve higher returns than in a larger fund.
TOP 10 EQUITY HOLDINGS
6/30/2000
<TABLE>
<CAPTION>
Security Description % of Total Net Assets
-------------------------------------------------------------------------------------
<S> <C> <C> <C>
Advent Software, Inc. 2.5%
-------------------------------------------------------------------------------------
Priority Healthcare Corporation -- Class B 2.1%
-------------------------------------------------------------------------------------
Province Healthcare Company 2.1%
-------------------------------------------------------------------------------------
The Corporate Executive Board Company 2.0%
-------------------------------------------------------------------------------------
Power-One, Inc. 1.9%
-------------------------------------------------------------------------------------
Biovail Corporation 1.9%
-------------------------------------------------------------------------------------
The Talbots, Inc. 1.8%
-------------------------------------------------------------------------------------
Nabors Industries, Inc. 1.8%
-------------------------------------------------------------------------------------
Tollgrade Communications, Inc. 1.8%
-------------------------------------------------------------------------------------
Global Industries, Ltd. 1.8%
</TABLE>
PERFORMANCE RELATIVE TO THE RELEVANT INDICES
[PERFORMANCE RELATIVE TO THE RELEVANT INDICES LINE GRAPH]
<TABLE>
<CAPTION>
SMALL CAP STOCK PORTFOLIO S&P 600 INDEX RUSSELL 2000 INDEX
------------------------- ------------- ------------------
<S> <C> <C> <C>
4/99 10000.00 10000.00 10000.00
6/99 12090.00 10826.00 10605.00
6/00 22513.00 12384.00 12125.00
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------
Average Annual Total Return
For Periods Ended June 30, 2000
Since
1 year Inception#
------------------------------------------------------
<S> <C> <C>
Small Cap Stock Portfolio 87.10% 101.25%
S&P 600 Index 14.39% 20.10%
Russell 2000 Index 14.33% 17.95%
------------------------------------------------------
------------------------------------------------------
# Inception date of 4/30/99.
</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, 2000, the 600 companies in the composite had median
market capitalization of $486 million and total market value of $377 billion.
The SmallCap 600 represents approximately 3% of the market value of S&P's
database of over 8,900 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
June 30, 2000, the average market capitalization of companies in the Russell
3000 was $5.1 billion; the median market capitalization was $791.1 million.
Market capitalization of companies in the Index ranged from $520 billion to $178
million.
The Russell 2000 Index represents approximately 8% of the total market
capitalization of the Russell 3000. As of June 30, 2000, the average market
capitalization of companies in the Russell 2000 was approximately $580 million;
the median market capitalization was approximately $466 million. The largest
company in the index had a total market capitalization of approximately $1.5
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 58.
3 Small Cap Growth Stock Portfolio
<PAGE> 12
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
June 30, 2000 (unaudited)
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (94.3%) PAR (000'S)
-----------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS (2.8%)
Cambrex Corporation 56,700 $ 2,552
*Grant Prideco, Inc. 121,700 3,042
---------
TOTAL BASIC MATERIALS 5,594
---------
BUSINESS SERVICES (3.2%)
*The Corporate Executive Board
Company 65,000 3,892
*Heidrick & Struggles
International, Inc. 39,300 2,481
---------
TOTAL BUSINESS SERVICES 6,373
---------
CAPITAL GOODS (6.3%)
*Dycom Industries, Inc. 59,250 2,726
Federal Signal Corporation 104,900 1,731
Kaydon Corporation 78,400 1,646
*Power-One, Inc. 33,500 3,816
*Tetra Tech, Inc. 111,200 2,544
---------
TOTAL CAPITAL GOODS 12,463
---------
COMMUNICATION SERVICES (3.1%)
*Crown Castle International Corp. 46,900 1,712
*Pinnacle Holdings, Inc. 23,800 1,285
*TESSCO Technologies Incorporated 107,300 3,004
---------
TOTAL COMMUNICATION SERVICES 6,001
---------
CONSUMER CYCLICAL (15.1%)
*Catalina Marketing Corporation 19,400 1,979
*David's Bridal, Inc. 155,500 1,798
*Dollar Tree Stores, Inc. 67,100 2,655
*Getty Images, Inc. 64,300 2,383
*Hotel Reservations Network,
Inc. - Class A 76,900 2,288
*Linens 'N Things, Inc. 76,200 2,067
*The Management Network Group,
Inc. 98,700 3,455
*MSC Industrial Direct Co.,
Inc. - Class A 122,600 2,567
*O'Reilly Automotive, Inc. 184,800 2,564
The Talbots, Inc. 65,100 3,575
*Tower Automotive, Inc. 134,800 1,685
*Whitehall Jewellers, Inc. 67,900 1,265
*Wild Oats Markets, Inc. 114,700 1,441
---------
TOTAL CONSUMER CYCLICAL 29,722
---------
CONSUMER STAPLES (2.9%)
*American Italian Pasta Company -
Class A 83,700 1,732
*Citadel Communications
Corporation 31,300 1,094
*Westwood One, Inc. 86,700 2,958
---------
TOTAL CONSUMER STAPLES 5,784
---------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (94.3%) PAR (000'S)
-----------------------------------------------------------
<S> <C> <C>
ENERGY (5.2%)
*Global Industries, Ltd. 186,800 $ 3,526
*Nabors Industries, Inc. 85,800 3,566
*Stone Energy Corporation 52,300 3,125
---------
TOTAL ENERGY 10,217
---------
FINANCE (4.6%)
*Charles River Associates
Incorporated 51,900 915
Investors Financial Services
Corp. 57,600 2,286
Radian Group, Inc. 61,100 3,162
Waddell & Reed Financial, Inc. -
Class A 79,950 2,623
---------
TOTAL FINANCE 8,986
---------
HEALTHCARE (13.6%)
*Biovail Corporation 67,700 3,753
*Lincare Holdings, Inc. 88,600 2,182
*ORATEC Interventions, Inc. 42,700 1,425
*Patterson Dental Company 52,500 2,678
*Priority Healthcare
Corporation - Class B 56,000 4,161
*Province Healthcare Company 113,400 4,096
*Renal Care Group, Inc. 43,500 1,064
*Shire Pharmaceuticals Group PLC,
ADR 50,200 2,604
*Sonic Innovations, Inc. 45,700 848
*Sybron International Corporation 47,700 945
*Universal Health Services,
Inc. - Class B 35,600 2,332
*Ventana Medical Systems, Inc. 31,600 743
---------
TOTAL HEALTHCARE 26,831
---------
TECHNOLOGY (34.8%)
*Advent Software, Inc. 75,400 4,862
*Applied Materials, Inc. 16,238 1,472
*Aspen Technology, Inc. 63,100 2,429
*Avanex Corporation 7,400 707
*CDW Computer Centers, Inc. 45,000 2,813
*Copper Mountain Networks, Inc. 22,400 1,974
*Cymer, Inc. 55,100 2,631
*Diversinet Corp. 61,200 727
*Documentum, Inc. 19,700 1,761
*Engage Technologies, Inc. 34,200 442
*Eprise Corporation 16,700 275
*Exfo Electro-Optical Engineering
Inc. 12,700 557
*FairMarket, Inc. 90,000 636
*Forrester Research, Inc. 27,800 2,024
*FreeShop.com, Inc. 77,500 460
</TABLE>
Small Cap Growth Stock Portfolio 4
<PAGE> 13
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (94.3%) PAR (000'S)
-----------------------------------------------------------
<S> <C> <C>
TECHNOLOGY continued
*Inet Technologies, Inc. 37,500 $ 2,034
*Infonautics, Inc. - Class A 47,700 209
*Inforte Corp. 42,600 1,534
*Jupiter Communications, Inc. 105,100 2,417
*Kent Electronics Corporation 116,900 3,485
*Marvell Technology Group Ltd. 8,300 473
*Metasolv Software, Inc. 31,900 1,404
*MMC Networks, Inc. 37,200 1,988
*Natural MicroSystems Corporation 25,700 2,890
*Plexus Corp. 27,400 3,096
*PMC-Sierra, Inc. 8,600 1,528
*Predictive Systems, Inc. 35,600 1,279
*PRI Automation, Inc. 24,700 1,615
*QLogic Corporation 16,900 1,116
*Scient Corporation 12,800 565
*Semtech Corporation 30,400 2,325
*SmartForce Public Limited
Company, ADR 71,100 3,413
*StorageNetworks, Inc. 7,900 713
*TIBCO Software, Inc. 16,700 1,791
*Tollgrade Communications, Inc. 26,800 3,551
*UTStarcom, Inc. 74,700 2,269
*Varian, Inc. 23,400 1,079
*Viant Corporation 68,000 2,015
*Viasystems Group, Inc. 101,100 1,637
---------
TOTAL TECHNOLOGY 68,196
---------
TRANSPORTATION (2.7%)
C.H. Robinson Worldwide, Inc. 66,200 3,277
SkyWest, Inc. 54,200 2,009
---------
TOTAL TRANSPORTATION 5,286
---------
TOTAL COMMON STOCK (COST
$156,057) 185,453
---------
<CAPTION>
MARKET
SHARES/ VALUE
MONEY MARKET INVESTMENTS (9.5%) PAR (000'S)
-----------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (0.4%)
Federal National Mortgage
Association, 6.40%, 7/17/00 700,000 $ 698
---------
TOTAL FEDERAL GOVERNMENT AND
AGENCIES 698
---------
FINANCE (2.0%)
CIT Group, 6.6%, 8/9/00 4,000,000 3,968
---------
TOTAL FINANCE 3,968
---------
FINANCE SERVICES (2.5%)
CXC Incorporated, 6.63%, 8/25/00 5,000,000 4,949
---------
TOTAL FINANCE SERVICES 4,949
---------
OFFICE MACHINES (2.5%)
Xerox Corporation, 6.68%, 7/5/00 5,000,000 4,996
---------
TOTAL OFFICE MACHINES 4,996
---------
PERSONAL CREDIT INSTITUTIONS (2.1%)
General Electric Capital
Corporation, 6.9%, 7/5/00 4,100,000 4,097
---------
TOTAL PERSONAL CREDIT
INSTITUTIONS 4,097
---------
TOTAL MONEY MARKET
INVESTMENTS (COST: $18,708) 18,708
---------
TOTAL INVESTMENTS (103.8%)
(COST $174,765)/\ 204,161
---------
OTHER ASSETS, LESS
LIABILITIES (-3.8%) (7,436)
---------
TOTAL NET ASSETS (100.0%) $ 196,725
---------
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------
<S> <C> <C>
</TABLE>
* Non-Income Producing
ADR - American Depository Receipt
/\At 6/30/2000, the aggregate cost of securities for federal income tax purposes
was $174,765 and the net unrealized appreciation of investments based on that
cost was $29,396 which is comprised of $39,768 aggregate gross unrealized
appreciation and $10,372 aggregate gross unrealized depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements
5 Small Cap Growth Stock Portfolio
<PAGE> 14
<TABLE>
<CAPTION>
Objective: Portfolio Strategy: Net Assets:
<S> <C> <C> <C>
Maximum long-term appreciation of Strive for the highest possible rate of capital $1,812,111,548
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 emerging growth
companies with market capitalizations generally in the range of $1 billion to
$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 fund 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.
Over the 12 months ended June 2000, the Portfolio achieved a total return of
50.86%, compared with 16.99% for the S&P MidCap 400 Index. Technology holdings,
which represent 51% of the Portfolio, were a factor in the good performance,
despite pronounced weakness in the overall technology sector in the second
quarter. The Portfolio benefited from a concentration of its technology in
software and services, rather than in equipment and internet companies.
Technology holdings that performed especially well include Concord EFS, Fiserv
and Paychex, all of which provide business services.
Energy holdings, including Weatherford International and Dynegy, benefited from
strength in this market sector. In health care, investments in biotechnology,
equipment and drug companies performed well; PE Corporation, Elan and Shire
Pharmaceuticals were particularly strong.
SECTOR ALLOCATION
6/30/2000
[SECTOR ALLOCATION PIE CHART]
<TABLE>
<CAPTION>
SECTOR ALLOCATION
-----------------
<S> <C>
Technology 51.00
Energy 11.00
Health Care 10.00
Industrial & Transportation 8.00
Consumer Cyclicals 6.00
Consumer Staples 3.00
Business Services 3.00
Finance 3.00
Cash Equivalents 5.00
</TABLE>
The total return for the Aggressive Growth Stock Portfolio for the 12 months
ended 6/30/2000 coincides with a period of accelerated growth in the small-cap
and mid-cap sectors of the stock market. There can be no assurance that this
accelerated growth will continue to have a positive effect on the Portfolio's
performance in the future.
TOP 10 HOLDINGS
6/30/2000
<TABLE>
<CAPTION>
Security Description % of Total Net Assets
-------------------------------------------------------------------------------------
<S> <C> <C> <C>
Comverse Technology, Inc. 2.5%
-------------------------------------------------------------------------------------
Weatherford International, Inc. 2.1%
-------------------------------------------------------------------------------------
ADC Telecommunications, Inc. 2.1%
-------------------------------------------------------------------------------------
Sanmina Corporation 2.0%
-------------------------------------------------------------------------------------
Altera Corporation 2.0%
-------------------------------------------------------------------------------------
Microchip Technology Incorporated 2.0%
-------------------------------------------------------------------------------------
Paychex, Inc. 1.9%
-------------------------------------------------------------------------------------
Gemstar International Group Limited 1.9%
-------------------------------------------------------------------------------------
JDS Uniphase Corporation 1.8%
-------------------------------------------------------------------------------------
Novellus Systems, Inc. 1.8%
</TABLE>
PERFORMANCE RELATIVE TO RELEVANT INDICES
[PERFORMANCE RELATIVE TO RELEVANT INDICES PERFORMANCE GRAPH]
<TABLE>
<CAPTION>
AGGRESSIVE GROWTH PORTFOLIO S&P 400 INDEX
--------------------------- -------------
<S> <C> <C>
11/90 10000.00 10000.00
6/91 12593.00 13070.00
6/92 13994.00 15305.00
6/93 17133.00 19664.00
6/94 19354.00 19652.00
6/95 24448.00 24042.00
6/96 35003.00 29233.00
6/97 36545.00 36050.00
6/98 43439.00 45838.00
6/99 46685.00 53708.00
6/00 70426.00 62833.00
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------
Average Annual Total Return
For Periods Ended June 30, 2000
Since
1 Year 5 Years Inception#
-------------------------------------------------------------
<S> <C> <C> <C>
Aggressive Growth Stock
Portfolio 50.86% 23.57% 22.60%
S&P MidCap 400 Index 16.99% 21.18% 21.15%
-------------------------------------------------------------
# Inception date of 11/30/1990
</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 representative of the current composition of this Portfolio.
The S&P MidCap 400 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,
2000, the 400 companies in the composite had median market capitalization of
$1.6 billion and a total market value of $848 billion. The MidCap 400 represents
approximately 5% of the market value of Compustat's database of over 8,900
equities.
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 58.
Aggressive Growth Stock Portfolio 6
<PAGE> 15
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
June 30, 2000 (unaudited)
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (94.8%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS (0.9%)
*Grant Prideco, Inc. 651,925 $ 16,298
-----------
TOTAL 16,298
-----------
BUSINESS SERVICES (2.2%)
*The Corporate Executive Board
Company 320,800 19,208
*Robert Half International,
Inc. 731,600 20,851
-----------
TOTAL 40,059
-----------
CAPITAL GOODS (6.6%)
*Credence Systems Corporation 185,300 10,226
*Jabil Circuit, Inc. 624,800 31,006
Kaydon Corporation 342,200 7,186
*RSA Security, Inc. 199,800 13,836
*Sanmina Corporation 429,600 36,731
*Tetra Tech, Inc. 888,978 20,335
-----------
TOTAL 119,320
-----------
COMMUNICATION SERVICES (0.9%)
*Allegiance Telecom, Inc. 51,250 3,280
*Crown Castle International
Corp. 282,000 10,293
*Level 3 Communications, Inc. 35,100 3,089
-----------
TOTAL 16,662
-----------
CONSUMER CYCLICAL (6.4%)
*Catalina Marketing
Corporation 144,300 14,719
Cintas Corporation 437,750 16,060
*Dollar Tree Stores, Inc. 311,250 12,314
*Getty Images, Inc. 741,600 27,485
*Kohl's Corporation 363,600 20,225
*Linens 'N Things, Inc. 295,433 8,014
*O'Reilly Automotive, Inc. 308,200 4,276
*Tech Data Corporation 123,500 5,380
*Tower Automotive, Inc. 619,900 7,749
-----------
TOTAL 116,222
-----------
CONSUMER STAPLES (2.9%)
*American Tower Corporation -
Class A 241,222 10,056
*Clear Channel Communications,
Inc. 197,300 14,798
*Entercom Communications
Corp. - Class A 305,100 14,873
*Lamar Advertising Company -
Class A 275,825 11,947
-----------
TOTAL 51,674
-----------
ENERGY (10.7%)
Anadarko Petroleum Corporation 326,300 16,091
*BJ Services Company 337,700 21,106
*Cooper Cameron Corporation 301,400 19,892
Dynegy, Inc. - Class A 429,500 29,340
*Nabors Industries, Inc. 580,700 24,135
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (94.8%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
ENERGY continued
Santa Fe International
Corporation 865,401 $ 30,235
Tosco Corporation 480,700 13,610
*Weatherford International,
Inc. 971,925 38,695
-----------
TOTAL 193,104
-----------
FINANCE (3.0%)
ACE Limited 398,600 11,161
Investors Financial Services
Corp. 752,800 29,877
*Knight/Trimark Group, Inc. -
Class A 120,800 3,601
Radian Group, Inc. 182,100 9,424
-----------
TOTAL 54,063
-----------
HEALTHCARE (9.4%)
*ALZA Corporation 173,000 10,229
*Elan Corporation PLC, ADR 503,655 24,395
*Health Management Associates,
Inc. - Class A 667,600 8,721
*Lincare Holdings, Inc. 261,900 6,449
*MedImmune, Inc. 299,400 22,156
*Patterson Dental Company 417,725 21,304
PE Corporation 257,700 16,976
*Province Healthcare Company 301,200 10,881
*Sepracor, Inc. 130,100 15,693
*Shire Pharmaceuticals Group
PLC, ADR 201,000 10,427
Stryker Corporation 324,100 14,179
*Sybron International
Corporation 461,000 9,134
-----------
TOTAL 170,544
-----------
TECHNOLOGY (51.0%)
*ADC Telecommunications, Inc. 442,900 37,147
*Altera Corporation 359,500 36,646
*Applied Materials, Inc. 210,681 19,093
*BEA Systems, Inc. 381,300 18,851
*Bluestone Software, Inc. 128,300 3,296
*Business Objects S.A., ADR 101,400 8,936
*C-Cube Microsystems, Inc. 220,000 4,318
*CDW Computer Centers, Inc. 278,800 17,425
*CIENA Corporation 122,800 20,469
*Comverse Technology, Inc. 484,600 45,067
*Concord EFS, Inc. 687,225 17,868
*Conexant Systems, Inc. 222,200 10,804
*Copper Mountain Networks,
Inc. 238,200 20,991
*DST Systems, Inc. 314,800 23,964
*Electronic Arts, Inc. 199,600 14,558
*Fiserv, Inc. 581,650 25,156
*Foundry Networks, Inc. 107,500 11,879
*FreeMarkets, Inc. 17,500 830
*Gemstar International Group
Limited 569,100 34,973
*Harmonic, Inc. 200,782 4,969
*Intuit, Inc. 283,900 11,746
</TABLE>
7 Aggressive Growth Stock Portfolio
<PAGE> 16
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (94.8%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
TECHNOLOGY continued
*JDS Uniphase Corporation 275,600 $ 33,038
*Keane, Inc. 558,600 12,080
*Microchip Technology
Incorporated 616,800 35,937
*MMC Networks, Inc. 278,900 14,904
*Nasdaq-100 Shares 258,700 24,108
*Network Appliance, Inc. 370,100 29,793
*Novellus Systems, Inc. 566,500 32,043
*NTL Incorporated 210,000 12,574
Paychex, Inc. 832,700 34,973
*Peregrine Systems, Inc. 288,362 10,003
PerkinElmer, Inc. 106,800 7,062
*PMC-Sierra, Inc. 122,856 21,830
*Portal Software, Inc. 374,900 23,947
*PRI Automation, Inc. 78,800 5,153
*QLogic Corporation 221,700 14,646
*Rational Software Corporation 307,100 28,541
*Sapient Corporation 92,200 9,860
*Scient Corporation 104,120 4,594
*Semtech Corporation 371,400 28,406
*SilverStream Software, Inc. 74,400 4,297
*Sycamore Networks, Inc. 145,400 16,049
*Tellabs, Inc. 410,300 28,080
*TIBCO Software, Inc. 177,100 18,991
*VeriSign, Inc. 138,800 24,498
*Viant Corporation 585,038 17,332
*Vignette Corporation 524,784 27,297
*Waters Corporation 135,800 16,950
-----------
TOTAL 925,972
-----------
TRANSPORTATION (0.8%)
Expeditors International of
Washington, Inc. 319,800 15,191
-----------
TOTAL 15,191
-----------
TOTAL COMMON STOCK
(COST $1,063,394) 1,719,109
-----------
<CAPTION>
MARKET
SHARES/ VALUE
MONEY MARKET INVESTMENTS (5.1%) PAR (000'S)
----------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (0.1%)
Federal National Mortgage
Association, 6.40%, 7/17/00 2,000,000 $ 1,994
-----------
TOTAL 1,994
-----------
FINANCE SERVICES (3.3%)
Asset Securitization, 6.55%,
8/15/00 20,000,000 19,982
Ciesco LP, 6.55%, 8/14/00 20,000,000 19,840
CXC Incorporated, 6.63%,
8/25/00 20,000,000 19,797
-----------
TOTAL 59,619
-----------
MISC. BUSINESS CREDIT INSTITUTIONS (1.1%)
Quincy Capital, 6.76%, 7/12/00 20,000,000 19,959
-----------
TOTAL 19,959
-----------
SECURITY BROKERS AND DEALERS (0.6%)
The Goldman Sachs Group, 6.57%,
7/5/00 10,000,000 9,993
-----------
TOTAL 9,993
-----------
TOTAL MONEY MARKET
INVESTMENTS (COST $91,565) 91,565
-----------
TOTAL INVESTMENTS (99.9%)
(COST $1,154,959)/\ 1,810,674
-----------
OTHER ASSETS, LESS
LIABILITIES (0.1%) 1,438
-----------
TOTAL NET ASSETS (100.0%) $ 1,812,112
-----------
</TABLE>
* Non-Income Producing
ADR - American Depository Receipt
/\At 6/30/2000, the aggregate cost of securities for federal income tax purposes
was $1,154,959 and the net unrealized appreciation of investments based on
that cost was $655,715 which is comprised of $703,723 aggregate gross
unrealized appreciation and $48,008 aggregate gross unrealized depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements
Aggressive Growth Stock Portfolio 8
<PAGE> 17
<TABLE>
<CAPTION>
Objective: Portfolio Strategy: Net Assets:
<S> <C> <C> <C>
Long-term appreciation of capital Participate in the growth of foreign economies by $835,921,944
through diversification into markets investing in securities with high long-term
outside the United States earnings 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
specific industries or regions of the world in which to invest. The Portfolio is
normally fully invested in equity securities.
The first half of 2000 was an encouraging period for the International Equity
Portfolio's value-oriented investment style. For most of the last three years, a
focus on value has been out of step with the market's euphoric valuations of
many "new economy" stocks. As in the United States, world markets saw sharp
drops in the prices of many technology stocks in the spring. Since then, there
have been indications of a shift toward a more rational assessment of stocks in
light of probable future earnings.
The Portfolio benefited from continuing merger activity, which resulted in
double-digit gains in several holdings. Nordic Baltic Holdings, now the largest
bank in the Nordic region, was formed through the merger of Merita Nordbanken
and Unidanmark. In Canada, Ranger Oil was acquired by Canadian Natural Resource.
The main geographic concentration of the Portfolio is in Europe, which,
including U.K. holdings, represents 54% of the Portfolio. Among the best
performing stocks were Celltech, a British biotechnology company, and Alcatel, a
French company that is a leader in broadband access equipment and optical
networking.
A significantly underweighted position in Japan was beneficial, as the Japanese
market dropped in response to disappointment in performance of both the economy
and corporate earnings. An exception was Nomura Securities, a large holding that
increased in value by more than 40% in the first half of 2000. As the dominant
brokerage firm in Japan, Nomura is well positioned for growth as individuals
begin to move assets from savings accounts to equity investments. In other Asian
markets, there are encouraging signs of economic recovery. Recent weakness in
markets in Hong Kong and Korea provided some buying opportunities.
The International Equity Portfolio is managed for Northwestern Mutual by
Templeton Investment Counsel, Inc.
ASSET ALLOCATION
6/30/2000
[ASSET ALLOCATION PIE CHART]
<TABLE>
<CAPTION>
ASSET ALLOCATION
----------------
<S> <C>
Continental Europe 36.00
United Kingdom 18.00
Latin America 10.00
Asia 19.00
Australia/New Zealand 5.00
North America 5.00
Other regions 3.00
Short-term investments 4.00
</TABLE>
TOP 10 HOLDINGS
6/30/2000
<TABLE>
<CAPTION>
Company Country % of Net Assets
-----------------------------------------------------------------------------------
<S> <C> <C> <C>
Nordic Baltic Holding AB Sweden 4.2%
-------------------------------------------------------------------------------
Aventis S.A. France 2.7%
-------------------------------------------------------------------------------
Alcatel France 2.4%
-------------------------------------------------------------------------------
AXA S.A. France 2.4%
-------------------------------------------------------------------------------
Teva Pharmaceutical Industries Ltd Israel 2.1%
-------------------------------------------------------------------------------
Nippon Telegraph & Telephone Corporation Japan 2.0%
-------------------------------------------------------------------------------
Celltech Group PLC United Kingdom 2.0%
-------------------------------------------------------------------------------
Nomura Securities Co Ltd Japan 1.9%
-------------------------------------------------------------------------------
Nycomed Amersham PLC United Kingdom 1.9%
-------------------------------------------------------------------------------
Telefonos De Mexico SA (Telmex) Mexico 1.9%
-------------------------------------------------------------------------------
</TABLE>
PERFORMANCE RELATIVE TO THE EAFE INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIO EAFE INDEX
------------------------------ ----------
<S> <C> <C>
4/93 10000.00 10000.00
6/93 10118.00 10060.00
6/94 12155.00 11801.00
6/95 13487.00 12032.00
6/96 15569.00 13670.00
6/97 19751.00 15471.00
6/98 21822.00 16458.00
6/99 22715.00 17761.00
6/00 25321.00 20859.00
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------
Average Annual Total Return
For Periods Ended June 30, 2000
Since
1 Year 5 Years Inception#
-------------------------------------------------------------
<S> <C> <C> <C>
International Equity Portfolio 11.47% 13.43% 13.84%
EAFE Index 17.44% 11.63% 10.80%
-------------------------------------------------------------
# Inception date of 4/30/1993
</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 58.
9 International Equity Portfolio
<PAGE> 18
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
June 30, 2000 (unaudited)
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (94.3%) COUNTRY PAR (000'S)
-----------------------------------------------------------------
<S> <C> <C> <C>
CAPITAL EQUIPMENT (13.2%)
Alcatel France 151,500 $ 9,977
Alcatel, ADR France 145,500 9,676
BAE Systems, PLC United Kingdom 1,207,500 $ 7,531
Fujitsu Limited Japan 183,000 6,348
Hong Kong Aircraft &
Engineering Hong Kong 2,680,700 5,158
*Hyundai Electronics
Industries Co. Republic of
Korea 660,600 13,033
Koninklijke Philips
Electronics N.V Netherlands 202,140 9,572
Kurita Water
Industries, Ltd. Japan 433,000 9,556
Rolls - Royce PLC United Kingdom 2,685,200 9,532
Sony Corp Japan 135,200 12,650
The Weir Group PLC United Kingdom 2,702,500 7,610
Williams PLC United Kingdom 1,652,900 9,634
---------
TOTAL 110,277
---------
CONSUMER GOODS (13.8%)
Autoliv, Inc. United States 279,100 6,716
Aventis S.A. France 309,297 22,551
*Celltech Group PLC United Kingdom 861,000 16,684
Fiat SPA Ord. Italy 152,790 3,981
Mayne Nickless Ltd. Australia 1,671,600 3,442
Nycomed Amersham PLC United Kingdom 1,628,610 15,814
Ono Pharmaceutical Co.,
Ltd. Japan 233,000 10,020
Tate & Lyle, PLC United Kingdom 762,600 3,810
Teva Pharmaceutical
Industries Ltd., ADR Israel 316,750 17,560
Unilever PLC United Kingdom 884,850 5,358
Volvo Aktiebolaget, B
Free Sweden 433,000 9,454
---------
TOTAL 115,390
---------
ENERGY (15.0%)
Endesa S.A. Spain 252,000 4,901
E.On AG Germany 310,600 15,302
EVN AG Austria 64,500 2,411
Gener S.A., ADR Chile 299,450 4,398
Hong Kong Electric
Holdings Limited Hong Kong 1,790,000 5,764
Iberdrola S.A. Spain 587,500 7,603
Korea Electric Power
Corp., ADR Republic of
Korea 271,000 8,409
National Power PLC United Kingdom 1,246,864 7,947
Petroleo Brasileiro
S.A. -- Petrobras Brazil 325,000 9,818
*Ranger Oil Limited Canada 1,055,400 5,805
*Renaissance Energy
Ltd. Canada 540,000 5,230
Repsol S.A. Spain 732,000 14,630
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (94.3%) COUNTRY PAR (000'S)
-----------------------------------------------------------------
<S> <C> <C> <C>
ENERGY continued
Shell Transport &
Trading Company PLC United Kingdom 1,518,500 $ 12,678
Thames Water United Kingdom 430,504 5,572
Total Fina S.A. France 97,622 15,028
---------
TOTAL 125,496
---------
FINANCE (22.4%)
Allied Zurich PLC United Kingdom 778,000 9,204
Australia & New Zealand
Bank Group Australia 1,726,641 13,280
*AXA-UAP S.A. France 117,447 18,576
Banca Nazionale del
Lavora Italy 2,479,700 8,771
Banco Bradesco, S.A.
Rights Brazil 623,750,000 5,428
Banco de Andulucia Spain 96,963 2,630
Banco Itau S.A. Brazil 20,790,000 1,827
Bangkok Bank Public
Company, Ltd. Thailand 1,551,800 1,899
Banque Nationale de
Paris France 103,385 9,989
*Banque Nationale de
Paris, Warrants France 46,345 240
Deutsche Bank AG Germany 108,188 8,960
Hang Lung Development
Co. Hong Kong 2,758,000 2,141
HSBC Holdings United Kingdom 568,137 6,505
ING Groep NV Netherlands 209,000 14,184
The Nomura Securities
Co., Ltd. Japan 658,400 16,148
*Nordic Baltic Holding Sweden 2,296,883 16,823
Nordic Baltic Holdings,
FDR Sweden 2,484,720 18,149
PartnerRe Ltd. Bermuda 226,600 8,030
Scor France 129,900 5,679
Unibanco Uniao de
Bancos Brazil 14,033,500 817
XL Capital Ltd. Bermuda 178,800 9,678
Zurich Versicherungs --
Gesellschaft Switzerland 17,900 8,872
---------
TOTAL 187,830
---------
MATERIALS (9.5%)
Agrium, Inc. Canada 473,300 4,082
Akzo Nobel N.V Netherlands 348,600 14,870
AngloGold Limited ADR South Africa 238,800 4,910
Asia Pulp & Paper
Company Ltd. ADR Singapore 477,300 2,416
Barrick Gold
Corporation Canada 390,300 7,046
Bayer AG Germany 157,000 6,140
Boehler -- Uddeholm AG Austria 119,556 4,200
Celanese AG Germany 11,770 228
Companhia Vale do Rio
Doce, ADR Brazil 372,000 11,104
Corus Group PLC United Kingdom 4,392,400 6,417
</TABLE>
International Equity Portfolio 10
<PAGE> 19
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (94.3%) COUNTRY PAR (000'S)
-----------------------------------------------------------------
<S> <C> <C> <C>
MATERIALS continued
Grupo Mexico, B Shares Mexico 1,320,000 $ 3,715
Hepworth PLC United Kingdom 607,200 1,733
*Kinross Gold
Corporation Canada 1,796,100 1,600
Merta Limited "A" Finland 157,500 1,170
Stora Enso OYJ -- R
Shares Finland 1,074,597 9,849
---------
TOTAL 79,480
---------
MULTI-INDUSTRY (4.0%)
Elementis PLC United Kingdom 1,494,000 1,775
Hanson PLC United Kingdom 319,794 2,261
Hutchison Whampoa
Limited Hong Kong 877,800 11,036
Pilkington PLC United Kingdom 4,777,300 6,798
Swire Pacific Limited,
A Shares Hong Kong 1,459,500 8,556
Swire Pacific Limited,
B Shares Hong Kong 3,534,200 2,879
---------
TOTAL 33,305
---------
SERVICES (16.4%)
Best Denki Co., Ltd. Japan 725,000 4,995
British Airways PLC United Kingdom 1,242,900 7,150
Compania Anonima
Nacional Telefonos de
Venezuela Venezuela 181,200 4,926
Compania de
telecomunicaciones de
Chile, S.A., ADR Chile 273,725 4,961
Hyder PLC Cum. Red. Pfd United Kingdom 401,400 580
J. Sainsbury PLC United Kingdom 1,162,100 5,278
Korea Telecom
Corporation, ADR Republic of
Korea 97,000 4,692
Marks & Spencer PLC United Kingdom 1,148,000 4,036
Moebel Walter AG Pfd Germany 103,297 1,188
News Corp Ltd. Australia 1,014,400 12,281
Nippon Telegraph &
Telephone Corporation
(NTT) Japan 1,245 16,592
The Peninsular &
Oriental Steam
Navagation Company United Kingdom 548,000 4,695
Philippine Long
Distance Telephone,
ADR Philippines 127,000 2,254
Portugal Telecom SA Portugal 395,000 4,453
PT Indosat, ADR Indonesia 386,900 4,401
Storehouse PLC United Kingdom 2,879,480 1,874
Telecom Corporation of
New Zealand, Limited New Zealand 2,723,800 9,553
Telecom Italia SPA Italy 1,200,000 7,994
Telecomunicacoes de Sao
Paulo S.A. Brazil 210,300 3,891
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (94.3%) COUNTRY PAR (000'S)
-----------------------------------------------------------------
<S> <C> <C> <C>
SERVICES continued
Telefonica de Argentina
S.A., ADR Argentina 358,300 $ 11,376
Telefonica del Peru
S.A. B Shares, ADR Peru 370,800 4,218
Telefonos de Mexico SA,
ADR Mexico 275,004 15,711
---------
TOTAL 137,099
---------
TOTAL COMMON STOCK (COST $669,807)
788,877
---------
<CAPTION>
MONEY MARKET INVESTMENTS (4.4%)
-----------------------------------------------------------------
<S> <C> <C> <C>
MISCELLANEOUS BUSINESS CREDIT
INSTITUTIONS (1.2%)
Quincy Capital Corporation, 6.56%,
7/24/00 10,000,000 9,958
OFFICE MACHINES (1.2%)
Xerox Credit Corporation, 7.02%, 7/5/00 10,000,000 9,993
PERSONAL CREDIT INSTITUTIONS (0.8%)
Associates Corp. of NA, 6.94%, 7/3/00 6,500,000 6,497
SECURITY BROKERS AND DEALERS (1.2%)
The Goldman Sachs Group, 6.57%, 7/5/00 10,000,000 9,993
---------
TOTAL MONEY MARKET INVESTMENTS
(COST $36,441) 36,441
---------
TOTAL INVESTMENTS (98.7%) (COST
$706,248)/\ 825,318
---------
OTHER ASSETS, LESS LIABILITIES (1.3%) 10,604
---------
TOTAL NET ASSETS (100.0%) $ 835,922
---------
</TABLE>
* Non-Income Producing
ADR--American Depository Receipt
FDR--Federal Depository Receipt
<TABLE>
<S> <C>
Investment Percentages by Country:
United Kingdom 19.2%
France 11.0%
Japan 9.1%
Sweden 5.3%
Netherlands 4.6%
Other 50.8%
------
Total 100.0%
</TABLE>
/\At 6/30/2000, the aggregate cost of securities for federal income tax purposes
was $706,248 and the net unrealized appreciation of investments based on that
cost was $119,070 which is comprised of $205,682 aggregate gross unrealized
appreciation and $86,612 aggregate gross unrealized depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements
11 International Equity Portfolio
<PAGE> 20
<TABLE>
<CAPTION>
Objective: Portfolio Strategy: Net Assets:
<S> <C> <C> <C>
Long-term capital appreciation Invest in a portfolio designed to approximate the $107,205,931
through cost-effective participation composition and returns of the S&P MidCap 400.
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, 2000, the 400
companies in the composite had median market capitalization of $1.6 billion and
total market value of $856 billion. For comparison, the 500 large stocks in the
S&P 500 Index had median market capitalization of $7.7 billion and total market
value of $12,493 billion.
The Index 400 Portfolio enables contract owners to participate in performance of
mid-sized companies in the U.S. equity market. The Portfolio continues to
achieve the objective of matching the results of the S&P 400 MidCap Index before
expenses.
SECTOR ALLOCATION
6/30/2000
[SECTOR ALLOCATION PIE CHART]
<TABLE>
<S> <C>
Technology 20
Basic Materials/Capital Goods 12
Health Care 12
Consumer Cyclicals 11
Finance 9
Utilities 9
Energy 8
Consumer Staples 6
Other Industries 3
S&P 400 Index Futures 10
</TABLE>
TOP 10 EQUITY HOLDINGS
6/30/2000
<TABLE>
<CAPTION>
Security Description % of Total Net Assets
-------------------------------------------------------------------------------------
<S> <C> <C> <C>
MedImmune, Inc. 1.6%
-------------------------------------------------------------------------------------
Vitesse Semiconductor Corporation 1.4%
-------------------------------------------------------------------------------------
Univision Communications, Inc. - Class A 1.1%
-------------------------------------------------------------------------------------
Dynegy, Inc. - Class A 1.1%
-------------------------------------------------------------------------------------
Millennium Pharmaceuticals, Inc. 1.0%
-------------------------------------------------------------------------------------
Jabil Circuit, Inc. 1.0%
-------------------------------------------------------------------------------------
Chiron Corporation 0.9%
-------------------------------------------------------------------------------------
Forest Laboratories, Inc. 0.9%
-------------------------------------------------------------------------------------
Stryker Corporation 0.9%
-------------------------------------------------------------------------------------
Calpine Corporation 0.9%
</TABLE>
PERFORMANCE RELATIVE TO THE S&P MIDCAP 400 INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
---------------------------------------------------------------
Average Annual Total Return
For Periods Ended June 30, 2000
One Since
Year Inception#
---------------------------------------------------------------
<S> <C> <C>
Index 400 Stock Portfolio 17.40% 16.99%
S&P MidCap 400 Index 20.12% 20.06%
---------------------------------------------------------------
# Inception date of 4/30/1999
</TABLE>
The S&P MidCap 400 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,
2000, the 400 companies in the composite had median market capitalization of
$1.6 billion and a total market value of $848 billion. The MidCap 400 represents
approximately 5% of the market value of Compustat's database of over 6,900
equities.
"Standard & Poor's(R)", "S&P(R)", "S&P MidCap 400 Index", "Standard & Poor's
MidCap 400 Index", "S&P 500(R)" and "Standard & Poor's 500" are trademarks of
The McGraw-Hill Companies, Inc. and have been licensed for use by The
Northwestern Mutual Life Insurance Company. The funds are not sponsored,
endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's makes no
representation regarding the advisability of investing in the funds.
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 58.
Index 400 Stock Portfolio 12
<PAGE> 21
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
June 30, 2000 (unaudited)
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (89.3%) PAR (000'S)
-------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS (4.5%)
A. Schulman, Inc. 3,400 $ 41
*Airgas, Inc. 7,800 44
AK Steel Holding Corporation 12,400 99
Albemarle Corporation 5,200 103
Bowater Incorporated 5,800 256
Cabot Corporation 7,500 204
Carpenter Technology Corporation 2,500 53
Chesapeake Corporation 2,000 59
Cleveland-Cliffs, Inc. 1,200 31
Consolidated Papers, Inc. 10,100 370
Crompton Corporation 13,263 162
*Cytec Industries, Inc. 4,700 116
The Dexter Corporation 2,600 125
Ethyl Corporation 9,300 23
Ferro Corporation 3,900 82
Georgia Gulf Corporation 3,500 73
Georgia-Pacific Corporation
(Timber Group) 9,200 199
*Grant Prideco, Inc. 12,100 304
H.B. Fuller Company 1,600 73
IMC Global, Inc. 12,800 166
Kennametal, Inc. 3,400 73
Longview Fibre Company 5,800 64
The Lubrizol Corporation 6,100 128
Lyondell Chemical Company 13,100 219
M. A. Hanna Company 5,500 50
Martin Marietta Materials, Inc. 5,200 210
*MAXXAM, Inc. 800 14
Minerals Technologies, Inc. 2,400 110
Olin Corporation 5,000 83
P.H. Glatfelter Company 4,700 48
Rayonier, Inc. 3,100 111
RPM, Inc. 11,900 120
Ryerson Tull, Inc. 2,800 29
Solutia, Inc. 12,300 169
Sonoco Products Company 11,400 234
Southdown, Inc. 4,000 231
*UCAR International, Inc. 5,000 65
Universal Corporation 3,200 68
The Valspar Corporation 4,700 159
Wausau-Mosinee Paper Corporation 5,700 49
--------
TOTAL BASIC MATERIALS 4,817
--------
BUSINESS SERVICES (0.5%)
*Robert Half International, Inc. 20,000 570
--------
TOTAL BUSINESS SERVICES 570
--------
CAPITAL GOODS (7.0%)
AGCO Corporation 6,600 81
*Albany International
Corp. - Class A 3,426 50
*American Standard Companies,
Inc. 7,900 324
AMETEK, Inc. 3,600 63
Carlisle Companies Incorporated 3,400 153
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (89.3%) PAR (000'S)
-------------------------------------------------------
<S> <C> <C>
CAPITAL GOODS continued
Diebold, Incorporated 7,700 $ 215
Donaldson Company, Inc. 5,100 101
Federal Signal Corporation 5,100 84
Flowserve Corporation 4,200 63
Granite Construction Incorporated 3,000 74
Harsco Corporation 4,500 115
Herman Miller, Inc. 8,800 228
Hillenbrand Industries, Inc. 7,000 219
HON INDUSTRIES, Inc. 6,700 157
Hubbell Incorporated - Class B 7,200 184
*Jabil Circuit, Inc. 20,800 1,031
*Jacobs Engineering Group, Inc. 2,900 95
Kaydon Corporation 3,400 71
*MagneTek, Inc. 2,600 21
Newport News Shipbuilding, Inc. 3,500 129
Nordson Corporation 1,800 91
Pentair, Inc. 5,400 192
Precision Castparts Corp. 2,700 122
*Quanta Services, Inc. 6,400 352
The Reynolds and Reynolds
Company - Class A 8,500 155
*SCI Systems, Inc. 16,100 631
*Sensormatic Electronics
Corporation 8,600 136
*Sequa Corporation - Class A 1,200 46
*SPX Corporation 3,500 423
The Standard Register Company 3,100 44
Stewart & Stevenson Services,
Inc. 3,100 47
Symbol Technologies, Inc. 14,800 799
Tecumseh Products Company - Class
A 2,200 84
Teleflex Incorporated 4,200 150
Trinity Industries, Inc. 4,400 81
*Vishay Intertechnology, Inc. 15,087 572
Wallace Computer Services, Inc. 4,700 46
York International Corporation 4,300 109
--------
TOTAL CAPITAL GOODS 7,538
--------
COMMUNICATION SERVICES (1.8%)
*Broadwing, Inc. 24,100 625
COMSAT Corporation 5,922 146
Media General, Inc. - Class A 3,000 146
*Powerwave Technologies, Inc. 6,700 295
Telephone and Data Systems, Inc. 6,900 692
--------
TOTAL COMMUNICATION SERVICES 1,904
--------
CONSUMER CYCLICAL (11.0%)
A. H. Belo Corporation - Class A 13,200 229
*Abercrombie & Fitch Co. - Class
A 11,400 139
*ACNielsen Corporation 6,500 143
*Acxiom Corporation 9,700 264
*American Eagle Outfitters, Inc. 5,200 73
*Apollo Group, Inc. - Class A 8,500 238
Arvin Industries, Inc. 2,900 50
Bandag, Incorporated 2,400 58
</TABLE>
13 Index 400 Stock Portfolio
<PAGE> 22
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (89.3%) PAR (000'S)
-------------------------------------------------------
<S> <C> <C>
CONSUMER CYCLICAL continued
*Barnes & Noble, Inc. 7,700 $ 171
*BJ's Wholesale Club, Inc. 8,200 271
*Blyth Industries, Inc. 5,400 159
*Borders Group, Inc. 8,600 134
Borg-Warner Automotive, Inc. 3,000 105
*Burlington Industries, Inc. 5,200 9
Callaway Golf Company 8,500 139
Cintas Corporation 18,650 683
Claire's Stores, Inc. 5,700 110
Clayton Homes, Inc. 15,600 125
*DeVry, Inc. 7,800 206
*Dollar Tree Stores, Inc. 11,400 451
Family Dollar Stores, Inc. 19,300 378
Fastenal Company 4,200 213
Federal-Mogul Corporation 8,200 78
*Furniture Brands International,
Inc. 5,500 83
Galileo International, Inc. 10,200 213
*GTECH Holdings Corporation 3,900 88
Harte-Hanks, Inc. 7,700 193
Houghton Mifflin Company 3,500 163
*International Game Technology 8,400 223
International Speedway
Corporation - Class A 5,900 244
*Jones Apparel Group, Inc. 13,651 321
Kelly Services, Inc. - Class A 4,000 93
Lancaster Colony Corporation 4,400 84
*Land's End, Inc. 3,400 113
*Lear Corporation 7,500 150
Lee Enterprises, Incorporated 4,900 114
*Mandalay Resort Group 10,100 202
Manpower, Inc. 8,500 272
Mark IV Industries, Inc. 4,900 102
Meritor Automotive, Inc. 7,000 77
Modine Manufacturing Company 3,300 89
*Modis Professional Services,
Inc. 10,700 95
*Mohawk Industries, Inc. 6,100 133
*Navigant Consulting, Inc. 4,600 20
NCH Corporation 600 22
*NCO Group, Inc. 2,800 65
*The Neiman Marcus Group, Inc. -
Class A 5,500 163
*OfficeMax, Inc. 12,700 64
*Ogden Corporation 5,500 50
*Park Place Entertainment
Corporation 34,000 414
Payless ShoeSource, Inc. 2,514 129
Pittston Brink's Group 5,500 75
*Premier Parks, Inc. 8,700 198
The Reader's Digest Association,
Inc. - Class A 11,900 472
Rollins, Inc. 3,400 51
Ross Stores, Inc. 9,900 169
*Saks Incorporated 16,000 168
*Scholastic Corporation 1,900 116
Shaw Industries, Inc. 14,900 186
Sotheby's Holdings, Inc. - Class
A 6,600 116
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (89.3%) PAR (000'S)
-------------------------------------------------------
<S> <C> <C>
CONSUMER CYCLICAL continued
Stewart Enterprises, Inc. - Class
A 11,900 $ 42
Superior Industries
International, Inc. 3,000 77
*Sylvan Learning Systems, Inc. 4,719 65
*Tech Data Corporation 5,800 253
*Unifi, Inc. 6,600 82
USG Corporation 5,500 167
Viad Corp. 10,600 289
The Warnaco Group, Inc. - Class A 6,200 48
The Washington Post Company -
Class B 1,000 477
Wellman, Inc. 3,800 62
WestPoint Stevens, Inc. 6,000 67
*Williams-Sonoma, Inc. 6,300 204
--------
TOTAL CONSUMER CYCLICAL 11,789
--------
CONSUMER STAPLES (6.4%)
Banta Corporation 2,800 53
Bergen Brunswig
Corporation - Class A 15,000 83
Bob Evans Farms, Inc. 4,300 64
*Brinker International, Inc. 7,300 214
*Buffets, Inc. 4,700 60
Carter-Wallace, Inc. 5,000 101
CBRL Group, Inc. 6,500 95
*Chris-Craft Industries, Inc. 3,881 256
Church & Dwight Co., Inc. 4,300 77
Dean Foods Company 4,100 130
The Dial Corporation 11,800 122
Dole Food Company, Inc. 6,200 102
Dreyer's Grand Ice Cream, Inc. 3,100 65
*Energizer Holdings, Inc. 11,200 204
Flowers Industries, Inc. 11,200 223
Hannaford Bros. Co. 4,700 338
*Hispanic Broadcasting
Corporation - Class A 10,300 341
Hormel Foods Corporation 15,900 267
IBP, Inc. 11,900 184
International Multifoods
Corporation 2,100 36
Interstate Bakeries Corporation 7,600 106
The J. M. Smucker Company - Class
A 3,200 62
Lance, Inc. 3,300 30
*Lone Star Steakhouse & Saloon,
Inc. 2,600 26
McCormick & Company, Incorporated 7,900 257
*Outback Steakhouse, Inc. 8,400 246
*Papa John's International, Inc. 3,400 83
*Perrigo Company 8,200 52
*PSS World Medical, Inc. 7,900 53
R.J. Reynolds Tobacco Holdings,
Inc. 12,200 341
Ruddick Corporation 5,200 61
*Suiza Foods Corporation 3,300 161
Tyson Foods, Inc. - Class A 25,300 221
Universal Foods Corporation 5,500 102
*Univision Communications, Inc. -
Class A 11,400 1,181
</TABLE>
Index 400 Stock Portfolio 14
<PAGE> 23
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (89.3%) PAR (000'S)
-------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES continued
*Valassis Communications, Inc. 6,300 $ 240
*Westwood One, Inc. 12,400 424
Whitman Corporation 15,700 194
--------
TOTAL CONSUMER STAPLES 6,855
--------
ENERGY (7.6%)
*BJ Services Company 9,600 600
Devon Energy Corporation 9,600 539
Dynegy, Inc. - Class A 17,000 1,162
ENSCO International Incorporated 15,300 548
*Global Marine, Inc. 19,500 550
*Hanover Compressor Company 6,400 243
Helmerich & Payne, Inc. 5,500 206
Murphy Oil Corporation 5,000 297
*Nabors Industries, Inc. 15,500 644
Noble Affiliates, Inc. 6,400 238
*Noble Drilling Corporation 14,700 605
*Ocean Energy, Inc. 18,600 264
Pennzoil-Quaker State Company 8,700 105
*Pioneer Natural Resources
Company 11,200 143
*Santa Fe Snyder Corporation 20,600 234
*Smith International, Inc. 5,500 400
Tidewater, Inc. 6,200 223
Ultramar Diamond Shamrock
Corporation 9,700 241
Valero Energy Corporation 6,200 197
*Varco International, Inc. 10,162 236
*Weatherford International, Inc. 12,100 482
--------
TOTAL ENERGY 8,157
--------
FINANCE (9.0%)
A.G. Edwards, Inc. 9,900 386
Allmerica Financial Corporation 6,100 319
Ambac Financial Group, Inc. 7,800 428
American Financial Group, Inc. 6,500 161
Associated Banc-Corp 7,890 172
Astoria Financial Corporation 6,100 157
CCB Financial Corporation 4,500 167
City National Corporation 5,300 184
Compass Bancshares, Inc. 12,700 217
Dime Bancorp, Inc. 12,400 195
*E*TRADE Group, Inc. 32,300 532
Everest Re Group, Ltd. 5,200 171
The FINOVA Group, Inc. 6,800 88
First Security Corporation 21,800 296
First Tennessee National
Corporation 14,500 240
First Virginia Banks, Inc. 5,500 191
FirstMerit Corporation 10,000 214
GreenPoint Financial Corp. 12,000 225
Hibernia Corporation - Class A 17,900 195
Horace Mann Educators Corporation 4,600 69
HSB Group, Inc. 3,200 100
Keystone Financial, Inc. 5,400 115
Legg Mason, Inc. 7,000 350
Marshall & Ilsley Corporation 11,900 494
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (89.3%) PAR (000'S)
-------------------------------------------------------
<S> <C> <C>
FINANCE continued
Mercantile Bankshares Corporation 7,700 $ 230
National Commerce Bancorporation 12,100 194
North Fork Bancorporation, Inc. 19,700 298
Ohio Casualty Corporation 6,700 71
Old Republic International
Corporation 14,100 233
Pacific Century Financial
Corporation 8,900 130
The PMI Group, Inc. 4,950 235
Protective Life Corporation 7,200 192
Provident Financial Group, Inc. 5,400 129
ReliaStar Financial Corp. 9,900 519
Sovereign Bancorp, Inc. 24,500 172
TCF Financial Corporation 9,300 239
Unitrin, Inc. 7,900 232
Waddell & Reed Financial, Inc. -
Class A 9,200 302
Webster Financial Corporation 5,100 113
Westamerica Bancorporation 4,200 110
Wilmington Trust Corporation 3,600 154
Zions Bancorporation 9,500 436
--------
TOTAL FINANCE 9,655
--------
HEALTHCARE (11.7%)
*Acuson Corporation 3,000 41
*Apria Healthcare Group, Inc. 5,800 71
Beckman Coulter, Inc. 3,200 187
*Beverly Enterprises, Inc. 11,400 32
*Chiron Corporation 20,300 964
*Covance, Inc. 6,400 56
DENTSPLY International, Inc. 5,900 182
*Edwards Lifesciences Corporation 6,500 120
*Express Scripts, Inc. - Class A 4,300 267
*First Health Group Corp. 5,500 180
*Forest Laboratories, Inc. 9,400 949
*Foundation Health Systems,
Inc. - Class A 13,600 177
*Genzyme Corporation (General
Division) 9,400 559
*Gilead Sciences, Inc. 4,900 349
*Health Management Associates,
Inc. - Class A 26,900 351
ICN Pharmaceuticals, Inc. 8,700 242
*Incyte Genomics, Inc. 3,200 263
*IVAX Corporation 17,700 735
*Lincare Holdings, Inc. 6,000 148
*MedImmune, Inc. 22,600 1,671
*Millennium Pharmaceuticals, Inc. 10,000 1,119
*MiniMed, Inc. 3,500 413
Mylan Laboratories, Inc. 14,400 263
Omnicare, Inc. 10,200 92
*Oxford Health Plans, Inc. 9,100 217
*PacifiCare Health Systems, Inc. 4,900 295
*Quorum Health Group, Inc. 7,900 81
*Sepracor, Inc. 7,400 893
*STERIS Corporation 7,500 67
Stryker Corporation 21,600 945
</TABLE>
15 Index 400 Stock Portfolio
<PAGE> 24
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (89.3%) PAR (000'S)
-------------------------------------------------------
<S> <C> <C>
HEALTHCARE continued
*Sybron International Corporation 11,600 $ 230
*Trigon Healthcare, Inc. - Class
A 4,400 227
*VISX, Incorporated 7,200 202
--------
TOTAL HEALTHCARE 12,588
--------
TECHNOLOGY (20.1%)
*ADTRAN, Inc. 4,400 263
*Affiliated Computer Services,
Inc. - Class A 5,500 182
*ANTEC Corporation 4,200 175
*Arrow Electronics, Inc. 10,700 332
*Atmel Corporation 24,600 907
Avnet, Inc. 4,900 290
*Burr-Brown Corporation 6,200 537
*Cadence Design Systems, Inc. 27,200 554
*Cambridge Technology Partners,
Inc. 6,700 58
*CDW Computer Centers, Inc. 9,600 600
*CheckFree Holdings Corporation 6,700 345
*Cirrus Logic, Inc. 7,400 118
Comdisco, Inc. 17,000 379
*CommScope, Inc. 5,700 234
*Concord EFS, Inc. 22,950 597
*CSG Systems International, Inc. 5,800 325
*Cypress Semiconductor
Corporation 12,200 515
*DST Systems, Inc. 7,100 540
*Electronic Arts, Inc. 7,200 525
*Fiserv, Inc. 13,650 590
*Gartner Group, Inc. - Class B 9,900 98
Harris Corporation 7,700 252
*Imation Corp. 4,100 120
*Informix Corporation 30,000 223
*Integrated Device Technology,
Inc. 10,400 623
*Intuit, Inc. 21,800 902
*Investment Technology Group,
Inc. 3,500 149
*Keane, Inc. 8,000 173
*L-3 Communications Holdings,
Inc. 3,700 211
*Legato Systems, Inc. 9,500 144
*Litton Industries, Inc. 5,100 214
*Macromedia, Inc. 5,500 532
MarchFirst, Inc. 16,000 292
*Mentor Graphics Corporation 7,200 143
*Micrel, Incorporated 9,200 400
*Microchip Technology
Incorporated 8,550 498
*Network Associates, Inc. 15,500 316
*NOVA Corporation 8,200 229
*Novellus Systems, Inc. 4,300 243
*NVIDIA Corporation 6,800 432
*Policy Management Systems
Corporation 4,000 62
*Polycom, Inc. 3,700 348
*QLogic Corporation 8,200 542
*Quantum Corporation - DLT &
Storage Systems 17,900 173
*Rational Software Corporation 9,900 920
*Sawtek, Inc. 4,700 271
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (89.3%) PAR (000'S)
-------------------------------------------------------
<S> <C> <C>
TECHNOLOGY continued
*Storage Technology Corporation 11,200 $ 123
*Structural Dynamics Research
Corporation 4,000 60
*SunGard Data Systems, Inc. 14,300 443
*Sybase, Inc. 9,100 209
*Sykes Enterprises, Incorporated 4,700 61
*Symantec Corporation 6,600 356
*Synopsys, Inc. 7,800 270
*The Titan Corporation 5,600 251
*Transaction Systems Architects,
Inc. - Class A 3,600 62
*TranSwitch Corporation 4,400 340
*TriQuint Semiconductor, Inc. 4,200 402
*Vitesse Semiconductor
Corporation 20,000 1,472
*Waters Corporation 6,900 861
--------
TOTAL TECHNOLOGY 21,486
--------
TRANSPORTATION (1.1%)
Airborne Freight Corporation 5,400 102
*Alaska Air Group, Inc. 2,900 79
Alexander & Baldwin, Inc. 4,800 106
Arnold Industries, Inc. 2,700 33
C.H. Robinson Worldwide, Inc. 4,600 227
CNF Transportation, Inc. 5,400 123
GATX Corporation 5,500 186
*J.B. Hunt Transport Services,
Inc. 4,000 62
Overseas Shipholding Group, Inc. 3,800 94
*Swift Transportation Co., Inc. 7,200 101
*Wisconsin Central Transportation
Corporation 5,700 74
--------
TOTAL TRANSPORTATION 1,187
--------
UTILITIES (8.6%)
AGL Resources, Inc. 6,400 102
Allegheny Energy, Inc. 12,300 337
Alliant Energy Corporation 8,800 229
American Water Works Company,
Inc. 10,800 270
Black Hills Corporation 2,400 54
*Calpine Corporation 14,100 927
Cleco Corporation 2,500 84
CMP Group, Inc. 3,600 106
Conectiv, Inc. 10,400 162
DPL, Inc. 14,900 327
DQE, Inc. 8,400 332
Energy East Corporation 13,800 263
Hawaiian Electric Industries,
Inc. 3,600 118
IDACORP, Inc. 4,200 135
IPALCO Enterprises, Inc. 9,600 193
Kansas City Power & Light Company 6,900 155
KeySpan Corporation 14,900 458
Kinder Morgan, Inc. 12,600 435
LG&E Energy Corp. 14,500 346
MCN Energy Group, Inc. 9,600 205
Minnesota Power, Inc. 8,200 142
The Montana Power Company 12,300 434
</TABLE>
Index 400 Stock Portfolio 16
<PAGE> 25
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (89.3%) PAR (000'S)
-------------------------------------------------------
<S> <C> <C>
UTILITIES continued
National Fuel Gas Company 4,400 $ 215
NiSource, Inc. 14,000 261
Northeast Utilities 15,900 346
NSTAR 6,700 273
OGE Energy Corp. 8,700 161
Potomac Electric Power Company 13,200 330
Public Service Company of New
Mexico 4,500 69
Puget Sound Energy, Inc. 9,400 200
Questar Corporation 9,200 178
SCANA Corporation 11,600 280
Sierra Pacific Resources 8,781 110
TECO Energy, Inc. 14,400 289
UtiliCorp United, Inc. 10,400 207
Vectren Corporation 6,800 117
Washington Gas Light Company 5,200 125
Wisconsin Energy Corporation 13,200 262
--------
TOTAL UTILITIES 9,237
--------
TOTAL COMMON STOCK
(COST $93,432) 95,783
--------
FEDERAL GOVERNMENT AND AGENCIES (2.4%)
Federal Farm Credit Bank, 6.42%,
7/17/00 100,000 100
Federal Home Loan Bank, 6.41%,
07/26/00 100,000 100
#Federal Home Loan Mortgage
Corporation, 6.40%, 08/01/00 300,000 298
#Federal National Mortgage
Association, 6.40%, 7/17/00 1,600,000 1,595
#Federal National Mortgage
Association, 6.40%, 7/20/00 500,000 498
--------
TOTAL FEDERAL GOVERNMENT AND
AGENCIES 2,591
--------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
MONEY MARKET INVESTMENTS (10.1%) PAR (000'S)
-------------------------------------------------------
<S> <C> <C>
OFFICE MACHINES (4.2%)
#Xerox Corporation, 6.68%, 7/5/00 4,400,000 $ 4,397
--------
TOTAL OFFICE MACHINES 4,397
--------
PERSONAL CREDIT INSTITUTIONS (3.5%)
Associates Corporation of North
America, 6.94%, 7/3/00 3,800,000 3,799
--------
TOTAL PERSONAL CREDIT
INSTITUTIONS 3,799
--------
TOTAL MONEY MARKET
INVESTMENTS (COST $10,787) 10,787
--------
TOTAL INVESTMENTS (99.4%)
(COST $104,219)/\ 106,570
OTHER ASSETS, LESS LIABILITIES (0.6%) 636
--------
TOTAL NET ASSETS (100.0%) $107,206
--------
</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 period
end is summarized below.
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION /
NUMBER OF EXPIRATION (DEPRECIATION)
ISSUERS CONTRACTS DATE (000'S)
---------------------------------------------------------------
<S> <C> <C> <C>
Midcap 400 43 Sep-00 ($343)
Total Notional
Value at
6/30/2000 $10,842
</TABLE>
/\At 6/30/2000, the aggregate cost of securities for federal income tax purposes
was $104,219 and the net unrealized appreciation of investments based on that
cost was $2,351 which is comprised of $10,438 aggregate gross unrealized
appreciation and $8,087 aggregate gross unrealized depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements
17 Index 400 Stock Portfolio
<PAGE> 26
<TABLE>
<CAPTION>
Objective: Portfolio Strategy: Net Assets:
<S> <C> <C> <C>
Long-term appreciation of capital Hold a diversified mix of high quality growth $769,055,132
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 continued its record of strong performance in the
first half of 2000, exceeding total return of the S&P 500 Index by 4.8
percentage points for the last six months and by 6.6 points over the last 12
months. Performance benefited from both industry weightings and selection of
individual stocks.
The largest industry segment is technology, in which the portfolio is slightly
overweighted relative to the S&P 500 Index. Among the largest technology
holdings are Intel, Cisco and Nortel, all of which are leading companies with
powerful earnings streams. Other technology holdings that performed especially
well were Amdocs, which provides customer care and billing services for
telecommunications companies, and TIBCO Software. Performance benefited from a
substantially overweighted position in consumer cyclicals, with the emphasis on
retailers that are adding new stores, such as Kohl's and Walgreen's. Other top
performers were drug companies Pfizer and Eli Lilly, which announced promising
new product developments. Rising oil and gas prices helped energy and related
holdings, including Enron, a wholesale provider of energy and related services.
Overall performance has also benefited from the Portfolio's diversified approach
and the outperformance of higher quality companies in the marketplace this year.
SECTOR ALLOCATION
6/30/2000
[SECTOR ALLOCATION PIE CHART]
<TABLE>
<CAPTION>
SECTOR
ALLOCATION
----------
<S> <C>
Technology................................ 30
Consumer Cyclicals........................ 13
Consumer Staples.......................... 10
Basic Materials/Capital Goods............. 8
Energy.................................... 7
Finance................................... 7
Other Industries.......................... 7
Health Care............................... 6
S&P Index Futures......................... 9
Cash Equivalents.......................... 3
</TABLE>
TOP 10 EQUITY HOLDINGS
6/30/2000
<TABLE>
<CAPTION>
Security Description % of Total Net Assets
-------------------------------------------------------------------------------------
<S> <C> <C> <C>
Intel Corporation 2.8%
-------------------------------------------------------------------------------------
Cisco Systems, Inc. 2.8%
-------------------------------------------------------------------------------------
General Electric Company 2.6%
-------------------------------------------------------------------------------------
Nortel Networks Corporation 2.1%
-------------------------------------------------------------------------------------
Kohl's Corporation 2.0%
-------------------------------------------------------------------------------------
Microsoft Corporation 1.9%
-------------------------------------------------------------------------------------
Enron Corp. 1.9%
-------------------------------------------------------------------------------------
Amdocs Limited 1.8%
-------------------------------------------------------------------------------------
TIBCO Software, Inc. 1.7%
-------------------------------------------------------------------------------------
Oracle Corporation 1.7%
-------------------------------------------------------------------------------------
</TABLE>
PERFORMANCE RELATIVE TO THE S&P 500 INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
------------------------------------------------------
Average Annual Total Return
For Periods Ended June 30, 2000
Since
1 Year 5 Years Inception#
------------------------------------------------------
<S> <C> <C> <C>
Growth Stock Portfolio 13.88% 23.71% 21.80%
S&P 500 Index 7.31% 23.74% 23.09%
------------------------------------------------------
# Inception date of
5/3/1994
</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 58.
Growth Stock Portfolio 18
<PAGE> 27
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
June 30, 2000 (unaudited)
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (87.1%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS (1.5%)
Ecolab, Inc. 210,000 $ 8,203
The Mead Corporation 56,700 1,432
PPG Industries, Inc. 50,300 2,229
--------
TOTAL 11,864
--------
CAPITAL GOODS (6.4%)
Avery Dennison Corporation 94,100 6,316
Corning Incorporated 38,400 10,363
Emerson Electric Co. 18,000 1,087
General Electric Company 378,400 20,055
Illinois Tool Works, Inc. 71,800 4,093
Tyco International Ltd. 152,100 7,206
--------
TOTAL 49,120
--------
COMMUNICATION SERVICES (3.9%)
AT&T Corp. 193,700 6,126
*AT&T Wireless Group 37,600 1,048
GTE Corporation 87,600 5,453
*Nextel Communications,
Inc. - Class A 149,400 9,141
SBC Communications, Inc. 51,639 2,233
Sprint Corporation (FON Group) 43,500 2,219
*WorldCom, Inc. 86,750 3,980
--------
TOTAL 30,200
--------
CONSUMER CYCLICAL (12.6%)
*Amazon.com, Inc. 41,900 1,521
*Barnes & Noble, Inc. 141,000 3,137
*Costco Wholesale Corporation 140,600 4,640
Ford Motor Company 93,000 3,999
Harley-Davidson, Inc. 314,300 12,101
The Home Depot, Inc. 179,250 8,951
The Interpublic Group of
Companies, Inc. 104,900 4,511
*Kohl's Corporation 281,200 15,642
The McGraw-Hill Companies, Inc. 154,200 8,327
The New York Times Company - Class
A 129,200 5,103
Omnicom Group, Inc. 35,600 3,171
The ServiceMaster Company 245,250 2,790
Target Corporation 75,000 4,350
Tiffany & Co. 27,500 1,856
Tribune Company 152,000 5,320
*Visteon Corporation 576 7
Wal-Mart Stores, Inc. 197,800 11,398
--------
TOTAL 96,824
--------
CONSUMER STAPLES (9.6%)
Anheuser-Busch Companies, Inc. 92,600 6,916
Benckiser N.V. 509 32
The Estee Lauder Companies, Inc. -
Class A 161,500 7,984
Keebler Foods Company 246,200 9,140
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (87.1%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES continued
Kimberly-Clark Corporation 108,800 $ 6,242
McDonald's Corporation 160,000 5,270
PepsiCo, Inc. 173,500 7,710
The Procter & Gamble Company 49,900 2,857
The Quaker Oats Company 73,600 5,529
Time Warner, Inc. 87,600 6,658
*Viacom, Inc. - Class B 84,900 5,789
Walgreen Co. 290,800 9,360
--------
TOTAL 73,487
--------
ENERGY (7.1%)
BP Amoco PLC, ADR 95,100 5,379
Chevron Corporation 24,400 2,069
Conoco, Inc. - Class B 275,700 6,772
Diamond Offshore Drilling, Inc. 90,300 3,172
EOG Resources, Inc. 294,500 9,866
Exxon Mobil Corporation 139,167 10,924
Santa Fe International Corporation 97,700 3,413
Schlumberger Limited 76,500 5,709
Tosco Corporation 248,500 7,036
--------
TOTAL 54,340
--------
FINANCE (6.5%)
American International Group, Inc. 26,800 3,149
The Bank of New York Company, Inc. 140,800 6,547
The Chase Manhattan Corporation 87,420 4,027
Citigroup, Inc. 210,100 12,658
Firth Third Bancorp 75,500 4,775
Lehman Brothers Holdings, Inc. 69,700 6,591
Morgan Stanley Dean Witter & Co. 145,100 12,080
--------
TOTAL 49,827
--------
HEALTHCARE (6.0%)
Bristol-Myers Squibb Company 83,500 4,864
Eli Lilly and Company 64,900 6,482
*Guidant Corporation 114,900 5,688
Johnson & Johnson 58,800 5,990
Medtronic, Inc. 170,700 8,503
Merck & Co., Inc. 100,300 7,685
Pfizer, Inc. 142,650 6,847
--------
TOTAL 46,059
--------
TECHNOLOGY (30.4%)
*360networks Inc. 33,300 508
*3Com Corporation 50,300 2,899
*Agilent Technologies, Inc. 52,907 3,902
*Amdocs Limited 184,100 14,130
*America Online, Inc. 128,900 6,799
*Atmel Corporation 177,200 6,534
*Avanex Corporation 19,600 1,872
*Cisco Systems, Inc. 333,900 21,224
*Concord EFS, Inc. 174,900 4,547
</TABLE>
19 Growth Stock Portfolio
<PAGE> 28
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (87.1%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
TECHNOLOGY continued
*Dell Computer Corporation 142,700 $ 7,037
Electronic Data Systems
Corporation 147,100 6,068
*EMC Corporation 132,200 10,171
*Fiserv, Inc. 281,275 12,165
Hewlett-Packard Company 69,500 8,679
Intel Corporation 162,600 21,738
International Business Machines
Corporation 71,100 7,790
*Internet Pictures Corporation 107,800 1,630
*Lexmark International Group,
Inc. - Class A 68,700 4,620
*Microsoft Corporation 183,600 14,688
Motorola, Inc. 83,700 2,433
*Nokia Corp., ADR 40,800 2,037
Nortel Networks Corporation 236,400 16,134
*Oracle Corporation 155,800 13,097
*Palm, Inc. 49,700 1,659
*Sun Microsystems, Inc. 94,000 8,548
*Tellabs, Inc. 83,700 5,728
Texas Instruments Incorporated 135,600 9,314
*TIBCO Software, Inc. 123,600 13,254
*Williams Communications Group,
Inc. - Class A 158,300 5,254
--------
TOTAL 234,459
--------
TRANSPORTATION (1.2%)
*FedEx Corporation 65,000 2,470
*Midwest Express Holdings, Inc. 125,400 2,696
Southwest Airlines Co. 221,175 4,189
--------
TOTAL 9,355
--------
UTILITIES (1.9%)
Enron Corp. 224,200 14,461
--------
TOTAL 14,461
--------
TOTAL COMMON STOCK (COST
$446,219) 669,996
--------
<CAPTION>
MONEY MARKET INVESTMENTS (12.3%)
---------------------------------------------------------
FEDERAL GOVERNMENT AND AGENCIES (0.5%)
#Federal National Mortgage
Association, 6.40%, 7/17/00 4,000,000 3,989
--------
TOTAL 3,989
--------
FINANCE (2.6%)
#The CIT Group, 6.6%, 8/9/00 20,000,000 19,857
--------
TOTAL 19,857
--------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
MONEY MARKET INVESTMENTS (12.3%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
FINANCE SERVICES (5.1%)
#Asset Securitization, 6.55%,
8/15/00 20,000,000 $ 19,836
#Citicorp, 6.62%, 8/10/00 20,000,000 19,853
--------
TOTAL 39,689
--------
MISC. BUSINESS CREDIT INSTITUTIONS (2.6%)
#National Rural Utility, 6.65%,
7/14/00 20,000,000 19,952
--------
TOTAL 19,952
--------
PERSONAL CREDIT INSTITUTIONS (1.5%)
General Electric Capital
Corporation, 6.9%, 7/5/00 11,300,000 11,291
--------
TOTAL 11,291
--------
TOTAL MONEY MARKET INVESTMENTS
(COST $94,778) 94,778
--------
TOTAL INVESTMENTS (99.4%)
(COST $540,997)/\ 764,774
--------
OTHER ASSETS, LESS LIABILITIES (0.6%) 4,281
--------
TOTAL NET ASSETS (100.0%) $769,055
--------
</TABLE>
* Non-Income Producing
# Partially held by the custodian in a segregated account as collateral for open
futures positions. Information regarding open futures contracts as of period
end is summarized below.
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION/
NUMBER OF EXPIRATION (DEPRECIATION)
ISSUERS CONTRACTS DATE (000'S)
--------------------------------------------------------------
<S> <C> <C> <C>
S&P 500 189 Sep-00 ($ 249)
Total Notional Value
at 6/30/2000
$69,617
</TABLE>
ADR -- American Depository Receipt
/\At 6/30/2000, the aggregate cost of securities for federal income tax purposes
was $540,997 and the net unrealized appreciation of investments based on that
cost was $223,777 which is comprised of $248,021 aggregate gross unrealized
appreciation and $24,244 aggregate gross unrealized depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements
Growth Stock Portfolio 20
<PAGE> 29
<TABLE>
<CAPTION>
Objective: Portfolio Strategy: Net Assets:
<S> <C> <C> <C>
Long-term growth of capital and Actively manage a portfolio of equity securities $624,029,213
income, consistent with moderate with
investment risk a goal of exceeding the total return of the S&P 500
Index.
</TABLE>
GROWTH & INCOME STOCK PORTFOLIO
The Growth and Income Portfolio invests mainly in large-capitalization stocks,
with a focus on seeking the most attractive valuations in the market based on
long-term earnings forecasts. A sector balance within a few percentage points 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.
Despite some change in market sentiment, with more attention to assets and
earnings and less enthusiasm for unproven technology issues, the market remains
focused largely on growth. It is therefore very difficult for managers whose
main focus is on value to outperform the major indices.
Although several of the largest holdings are leading technology names, the
percentages of the total Portfolio invested in most of these stocks do not
represent an overweighting relative to the S&P 500 Index. In fact, technology
represents 30% of equity holdings (29% of total assets), compared with 32% for
the index; in line with the Portfolio's stated strategy, the technology stocks
that are considered to represent the best values within their industry are
selected in order to keep the industry representation within approximately three
percentage points of the broad index.
The stocks with the largest weightings relative to the S&P 500 represent a broad
range of industries. These include Tyco International, a diversified
manufacturer of consumer and industrial products; Sun Microsystems, which sells
computer networking systems; ALZA, a health care company; Liberty Media, a
tracking stock for AT&T's media holdings; Ambac, an insurance company; Exxon
Mobil, a leading international oil company; and Rohm & Haas, a specialty
chemical company. Several of these large holdings were among the best performing
stocks in recent months; Eli Lilly, Philip Morris and MetLife also contributed
to performance. Offsetting these positive trends were downward moves in stocks
of several companies that reported disappointing earnings, including Motorola,
Computer Associates, Honeywell and First Union Corporation.
The Growth and Income Stock Portfolio is managed for Northwestern Mutual by J.
P. Morgan Investment Management, Inc.
SECTOR ALLOCATION
6/30/2000
[SMALL CAP GROWTH STOCK PORTFOLIO PIE CHART]
<TABLE>
<S> <C>
Sector Allocation
Consumer Cyclicals 7.00
Consumer Staples 7.00
Health Care 11.00
Basic Materials/Capital Goods 12.00
Energy 6.00
Technology 29.00
Finance 13.00
Other Industries 12.00
Cash Equivalents 3.00
</TABLE>
TOP 10 HOLDINGS
6/30/2000
<TABLE>
<CAPTION>
Security Description % of Total Net Assets
------------------------------------------------------------------------------------
<S> <C> <C>
Cisco Systems, Inc. 4.3%
------------------------------------------------------------------------------------
Intel Corporation 4.2%
------------------------------------------------------------------------------------
Microsoft Corporation 3.8%
------------------------------------------------------------------------------------
Tyco International Ltd. 3.5%
------------------------------------------------------------------------------------
Exxon Mobil Corporation 3.4%
------------------------------------------------------------------------------------
Sun Microsystems, Inc. 2.9%
------------------------------------------------------------------------------------
General Electric Company 2.9%
------------------------------------------------------------------------------------
Eli Lilly and Company 1.9%
------------------------------------------------------------------------------------
Pfizer, Inc. 1.8%
------------------------------------------------------------------------------------
AT&T Corp. - Liberty Media Group 1.8%
</TABLE>
PERFORMANCE RELATIVE TO THE S&P 500 INDEX
[LINE GRAPH]
<TABLE>
<S> <C> <C>
Growth & Income Stock Portfolio S&P 500 Index
5/94 10000.00 10000.00
6/94 9784.00 9845.00
6/95 11754.00 12394.00
6/96 14099.00 15604.00
6/97 18641.00 20999.00
6/98 23288.00 27305.00
6/99 27927.00 33503.00
6/00 26783.00 35952.00
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------
Average Annual Total Return
For Periods Ended June 30, 2000
Since
1 Year 5 Years Inception#
-------------------------------------------------------------
<S> <C> <C> <C>
Growth & Income Stock
Portfolio -4.10% 17.91% 17.35%
S&P 500 Index 7.31% 23.74% 23.09%
-------------------------------------------------------------
# Inception Date of 5/3/1994
</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 58.
21 Growth & Income Stock Portfolio
<PAGE> 30
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
June 30, 2000 (unaudited)
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (97.7%) PAR (000'S)
------------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS (3.4%)
Alcoa, Inc. 118,064 $ 3,424
Allegheny Technologies
Incorporated 145,250 2,615
Rohm and Haas Company 254,600 8,783
*Smurfit-Stone Container
Corporation 272,934 3,514
Temple-Inland, Inc. 67,200 2,822
---------
TOTAL 21,158
---------
CAPITAL GOODS (8.3%)
Cooper Industries, Inc. 127,700 4,158
General Electric Company 335,800 17,797
Honeywell International, Inc. 105,200 3,544
*Sensormatic Electronics
Corporation 118,600 1,875
Tyco International Ltd. 462,698 21,921
Waste Management, Inc. 141,217 2,683
---------
TOTAL 51,978
---------
COMMUNICATION SERVICES (9.1%)
*Allegiance Telecom, Inc. 29,550 1,891
AT&T Corp. 165,600 5,237
*AT&T Corp. - Liberty Media Group 456,500 11,070
*Global Crossing Ltd. 124,000 3,263
GTE Corporation 138,400 8,615
*Level 3 Communications, Inc. 34,100 3,001
*Qwest Communications
International, Inc. 60,200 2,991
SBC Communications, Inc. 198,510 8,586
*Sprint Corporation (PCS Group) 52,200 3,106
*WorldCom, Inc. 197,559 9,063
---------
TOTAL 56,823
---------
CONSUMER CYCLICAL (7.4%)
*Abercrombie & Fitch Co. - Class A 128,300 1,564
*Cendant Corporation 225,304 3,154
Circuit City Stores, Inc. 71,300 2,366
*Federated Department Stores, Inc. 82,600 2,788
Ford Motor Company 72,300 3,109
The Gap, Inc. 61,300 1,916
*Jones Apparel Group, Inc. 81,600 1,918
*Lear Corporation 99,800 1,996
The News Corporation Limited, ADR 174,400 9,504
Target Corporation 79,500 4,611
The TJX Companies, Inc. 218,800 4,103
*Visteon Corporation 9,296 113
Wal-Mart Stores, Inc. 151,800 8,747
---------
TOTAL 45,889
---------
CONSUMER STAPLES (7.0%)
The Clorox Company 62,500 2,801
The Coca-Cola Company 93,900 5,393
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (97.7%) PAR (000'S)
------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES continued
*Comcast Corporation - Class A 61,200 $ 2,479
The Gillette Company 178,800 6,247
Philip Morris Companies, Inc. 357,100 9,485
The Procter & Gamble Company 75,800 4,340
The Seagram Company Ltd. 122,000 7,076
Time Warner, Inc. 73,500 5,586
---------
TOTAL 43,407
---------
ENERGY (6.2%)
Baker Hughes Incorporated 99,600 3,187
Dynegy, Inc. - Class A 50,900 3,477
Exxon Mobil Corporation 268,327 21,063
*Global Marine, Inc. 133,200 3,755
Shell Transport & Trading Company 84,900 4,240
Tosco Corporation 102,500 2,902
---------
TOTAL 38,624
---------
FINANCE (12.9%)
Ambac Financial Group, Inc. 147,700 8,097
Bank of America Corporation 85,443 3,674
Capital One Financial Corporation 119,600 5,337
CIGNA Corporation 49,700 4,647
The CIT Group, Inc. 198,670 3,228
Citigroup, Inc. 144,900 8,731
Dime Bancorp, Inc. 124,400 1,959
*E*TRADE Group, Inc. 90,600 1,495
Federal National Mortgage
Association 55,400 2,891
First Union Corporation 296,400 7,354
The Goldman Sachs Group, Inc. 65,900 6,252
KeyCorp 171,200 3,017
*MetLife, Inc. 214,600 4,520
U.S. Bancorp 382,300 7,360
Washington Mutual, Inc. 208,000 6,006
XL Capital Ltd. - Class A 110,300 5,970
---------
TOTAL 80,538
---------
HEALTHCARE (11.0%)
*ALZA Corporation 185,200 10,950
American Home Products Corporation 111,100 6,527
Bristol-Myers Squibb Company 126,700 7,380
Eli Lilly and Company 120,300 12,015
PE Corporation 36,400 2,398
Pfizer, Inc. 236,200 11,338
Pharmacia Corporation 209,452 10,826
Schering-Plough Corporation 144,400 7,292
---------
TOTAL 68,726
---------
</TABLE>
Growth & Income Stock Portfolio 22
<PAGE> 31
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (97.7%) PAR (000'S)
------------------------------------------------------------
<S> <C> <C>
TECHNOLOGY (29.4%)
*America Online, Inc. 142,000 $ 7,491
*Applied Materials, Inc. 38,200 3,462
*Cisco Systems, Inc. 421,200 26,772
*Citrix Systems, Inc. 56,700 1,074
Compaq Computer Corporation 154,300 3,944
Computer Associates International,
Inc. 154,300 7,898
*Dell Computer Corporation 87,800 4,330
*EMC Corporation 124,200 9,556
Intel Corporation 196,600 26,283
International Business Machines
Corporation 37,900 4,152
Lucent Technologies, Inc. 111,815 6,625
*Microsoft Corporation 296,900 23,752
*MicroStrategy Incorporated 12,700 381
Motorola, Inc. 200,600 5,830
Nortel Networks Corporation 91,900 6,272
*Oracle Corporation 80,400 6,759
*Parametric Technology Corporation 25,000 275
*Quantum Corporation - DLT &
Storage Systems 86,200 835
*Seagate Technology, Inc. 71,300 3,922
*Siebel Systems, Inc. 20,500 3,353
*Sun Microsystems, Inc. 200,800 18,260
*Tellabs, Inc. 45,000 3,080
Texas Instruments Incorporated 128,500 8,826
---------
TOTAL 183,132
---------
TRANSPORTATION (1.1%)
Union Pacific Corporation 189,400 7,043
---------
TOTAL 7,043
---------
UTILITIES (1.9%)
Columbia Energy Group 93,200 6,116
DTE Energy Company 100,500 3,072
PG&E Corporation 120,700 2,972
---------
TOTAL 12,160
---------
TOTAL COMMON STOCK (COST
$566,854) 609,478
---------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
MONEY MARKET INVESTMENTS (3.3%) PAR (000'S)
------------------------------------------------------------
<S> <C> <C>
FINANCE (0.8%)
The CIT Group, 6.6%, 8/9/00 5,000,000 $ 4,964
---------
TOTAL 4,964
---------
FINANCE SERVICES (2.2%)
Ciesco LP, 6.55%, 8/14/00 4,000,000 3,968
Citicorp, 6.62%, 8/10/00 5,000,000 4,963
CXC Incorporated, 6.63%, 8/25/00 5,000,000 4,949
---------
TOTAL 13,880
---------
PERSONAL CREDIT INSTITUTIONS (0.3%)
Associates Corporation of North
America, 6.94%, 7/3/00 1,900,000 1,899
---------
TOTAL 1,899
---------
TOTAL MONEY MARKET INVESTMENTS
(COST $20,743) 20,743
---------
TOTAL INVESTMENTS (101.0%)
(COST $587,597)/\ 630,221
---------
OTHER ASSETS, LESS LIABILITIES (-1.0%) (6,192)
---------
TOTAL NET ASSETS (100.0%) $ 624,029
---------
</TABLE>
* Non-Income Producing
ADR -- American Depository Receipt
/\At 6/30/2000, the aggregate cost of securities for federal income tax purposes
was $587,597 and the net unrealized appreciation of investments based on that
cost was $42,624 which is comprised of $117,753 aggregate gross unrealized
appreciation and $75,129 aggregate gross unrealized depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements
23 Growth & Income Stock Portfolio
<PAGE> 32
<TABLE>
<CAPTION>
Objective: Portfolio Strategy: Net Assets:
<S> <C> <C> <C>
Long-term capital appreciation Invest in a portfolio designed to approximate the $2,269,770,407
through cost-effective participation composition and returns of the S&P 500 Index.
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
large-capitalization segment of the U.S. equity market. The Portfolio therefore
enables contract owners to participate in overall performance of this broad
segment 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
6/30/2000
[SECTOR ALLOCATION PIE CHART]
<TABLE>
<CAPTION>
BASIC
HEALTH CONSUMER MATERIALS/CAPITAL CONSUMER
TECHNOLOGY FINANCE CARE OTHER STAPLES GOODS CYCLICALS ENERGY
---------- ------- ------ ----- -------- ----------------- --------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sector Allocation 31 13 11 11 10 10 7 5
<CAPTION>
S&P 500
INDEX
FUTURES
-------
<S> <C>
Sector Allocation 2
</TABLE>
TOP 10 HOLDINGS
6/30/2000
<TABLE>
<CAPTION>
Security Description % of Total Net Assets
-------------------------------------------------------------------------------------
<S> <C> <C> <C>
General Electric Company 4.1%
-------------------------------------------------------------------------------------
Intel Corporation 3.5%
-------------------------------------------------------------------------------------
Cisco Systems, Inc. 3.4%
-------------------------------------------------------------------------------------
Microsoft Corporation 3.3%
-------------------------------------------------------------------------------------
Pfizer, Inc. 2.4%
-------------------------------------------------------------------------------------
Exxon Mobil Corporation 2.1%
-------------------------------------------------------------------------------------
Wal-Mart Stores, Inc. 2.0%
-------------------------------------------------------------------------------------
Oracle Corporation 1.9%
-------------------------------------------------------------------------------------
Citigroup, Inc. 1.6%
-------------------------------------------------------------------------------------
International Business Machines Corporation 1.6%
</TABLE>
PERFORMANCE RELATIVE TO THE S&P 500 INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
-----------------------------------------------------------
Average Annual Total Return
For Periods Ended June 30, 2000
1 Year 5 Years 10 Years
-----------------------------------------------------------
<S> <C> <C> <C>
Index 500 Stock Portfolio 7.24% 23.74% 17.52%
S&P 500 Index 7.31% 23.74% 17.73%
-----------------------------------------------------------
</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.
"Standard & Poor's(R)", "S&P(R)", "S&P MidCap 400 Index", "Standard & Poor's
MidCap 400 Index", "S&P 500(R)" and "Standard & Poor's 500" are trademarks of
The McGraw-Hill Companies, Inc. and have been licensed for use by The
Northwestern Mutual Life Insurance Company. The funds are not sponsored,
endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's makes no
representation regarding the advisability of investing in the funds.
This chart assumes an initial investment of $10,000 made on 6/30/90. 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 58.
Index 500 Stock Portfolio 24
<PAGE> 33
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
June 30, 2000 (unaudited)
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (97.9%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS (1.9%)
Air Products and Chemicals,
Inc. 41,100 $ 1,266
Alcan Aluminium Ltd. 39,300 1,218
Alcoa, Inc. 155,868 4,521
Allegheny Technologies
Incorporated 14,867 268
Archer-Daniels-Midland Company 108,749 1,067
Barrick Gold Corporation 70,600 1,284
Bemis Company, Inc. 9,400 316
*Bethlehem Steel Corporation 23,500 84
Boise Cascade Corporation 10,200 264
The Dow Chemical Company 117,900 3,559
E.I. du Pont de Nemours and
Company 187,100 8,187
Eastman Chemical Company 14,025 670
Ecolab, Inc. 23,200 906
Engelhard Corporation 22,500 384
*FMC Corporation 5,500 319
*Freeport-McMoRan Copper &
Gold, Inc. - Class B 29,300 271
Georgia-Pacific Corporation 30,600 803
Great Lakes Chemical
Corporation 9,800 309
Hercules Incorporated 19,000 267
Homestake Mining Company 46,600 320
*Inco Limited 34,400 529
International Flavors &
Fragrances, Inc. 18,800 568
International Paper Company 86,406 2,576
Louisiana-Pacific Corporation 19,100 208
The Mead Corporation 18,400 465
Newmont Mining Corporation 29,980 648
Nucor Corporation 15,600 518
*Pactiv Corporation 30,700 242
Phelps Dodge Corporation 14,524 540
Placer Dome, Inc. 58,300 557
Potlatch Corporation 5,200 172
PPG Industries, Inc. 31,100 1,378
Praxair, Inc. 28,500 1,067
Rohm and Haas Company 39,213 1,353
Sigma-Aldrich Corporation 18,100 529
Temple-Inland, Inc. 10,000 420
Union Carbide Corporation 24,000 1,188
USX-U. S. Steel Group 15,800 293
Vulcan Materials Company 17,900 764
*W.R. Grace & Co. 12,900 156
Westvaco Corporation 17,950 445
Weyerhaeuser Company 42,100 1,810
Willamette Industries, Inc. 20,000 545
Worthington Industries, Inc. 15,950 167
-----------
TOTAL BASIC MATERIALS 43,421
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (97.9%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
CAPITAL GOODS (8.3%)
*Allied Waste Industries, Inc. 33,800 $ 338
*American Power Conversion
Corporation 34,500 1,408
Avery Dennison Corporation 20,200 1,356
The B.F. Goodrich Company 19,700 671
Ball Corporation 5,400 174
The Boeing Company 155,676 6,509
Briggs & Stratton Corporation 4,100 140
Caterpillar, Inc. 63,700 2,158
Cooper Industries, Inc. 16,900 550
Corning Incorporated 49,400 13,332
Crane Co. 11,775 286
Crown Cork & Seal Company,
Inc. 23,200 348
Cummins Engine Company, Inc. 7,400 202
Danaher Corporation 25,500 1,261
Deere & Company 41,900 1,550
Dover Corporation 36,500 1,481
Eaton Corporation 13,200 884
Emerson Electric Co. 77,200 4,661
Fluor Corporation 13,600 430
General Dynamics Corporation 36,000 1,881
General Electric Company 1,763,400 93,459
Honeywell International, Inc. 141,850 4,779
Illinois Tool Works, Inc. 53,800 3,067
*Ingersoll-Rand Company 29,300 1,179
ITT Industries, Inc. 15,800 480
Johnson Controls, Inc. 15,300 785
Lockheed Martin Corporation 70,908 1,759
McDermott International, Inc. 10,700 94
Milacron, Inc. 6,600 96
Millipore Corporation 8,100 611
Minnesota Mining and
Manufacturing Company 71,500 5,899
Molex Incorporated 35,100 1,689
NACCO Industries, Inc. - Class
A 1,500 53
National Service Industries,
Inc. 7,300 142
*Navistar International
Corporation 11,300 351
Northrop Grumman Corporation 12,400 822
*Owens-Illinois, Inc. 26,900 314
PACCAR Inc. 14,070 558
Pall Corporation 22,200 411
Parker-Hannifin Corporation 20,075 688
Pitney Bowes, Inc. 47,500 1,900
Rockwell International
Corporation 34,000 1,071
*Sealed Air Corporation 14,971 784
*Solectron Corporation 106,200 4,447
Textron, Inc. 26,600 1,445
*Thermo Electron Corporation 28,300 596
</TABLE>
25 Index 500 Stock Portfolio
<PAGE> 34
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (97.9%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
CAPITAL GOODS continued
Thomas & Betts Corporation 10,400 $ 199
The Timken Company 11,100 207
Tyco International Ltd. 302,940 14,352
United Technologies
Corporation 85,100 5,010
Waste Management, Inc. 110,985 2,109
-----------
TOTAL CAPITAL GOODS 188,976
-----------
COMMUNICATION SERVICES (6.7%)
ALLTEL Corporation 56,200 3,481
AT&T Corp. 676,938 21,408
Bell Atlantic Corporation 278,184 14,135
BellSouth Corporation 337,200 14,373
CenturyTel, Inc. 25,000 719
*Global Crossing Ltd. 139,710 3,676
GTE Corporation 174,100 10,838
*Nextel Communications, Inc. -
Class A 130,600 7,991
SBC Communications, Inc. 611,125 26,431
Sprint Corporation (FON Group) 156,100 7,961
*Sprint Corporation (PCS
Group) 154,400 9,187
U S WEST, Inc. 90,508 7,761
*WorldCom, Inc. 508,473 23,326
-----------
TOTAL COMMUNICATION
SERVICES 151,287
-----------
CONSUMER CYCLICAL (7.3%)
American Greetings Corporation
- Class A 11,600 220
Armstrong World Industries,
Inc. 7,200 110
*AutoZone, Inc. 24,800 546
*Bed Bath & Beyond, Inc. 25,100 910
*Best Buy Co., Inc. 36,600 2,315
The Black & Decker Corporation 15,600 613
Brunswick Corporation 16,500 273
Carnival Corporation 110,500 2,155
*Cendant Corporation 126,533 1,771
Centex Corporation 10,600 249
Circuit City Stores, Inc. 36,400 1,208
*Consolidated Stores
Corporation 19,900 239
*Convergys Corporation 27,400 1,421
Cooper Tire & Rubber Company 13,600 151
*Costco Wholesale Corporation 79,614 2,627
Dana Corporation 29,500 625
Delphi Automotive Systems
Corporation 101,237 1,474
Dillard's, Inc. - Class A 18,800 230
Dollar General Corporation 59,228 1,155
Dow Jones & Company, Inc. 16,100 1,179
The Dun & Bradstreet
Corporation 28,800 824
*Federated Department Stores,
Inc. 37,600 1,269
Ford Motor Company 216,400 9,304
Gannett Co., Inc. 49,900 2,985
The Gap, Inc. 152,475 4,765
General Motors Corporation 99,247 5,763
Genuine Parts Company 31,900 638
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (97.9%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
CONSUMER CYCLICAL continued
The Goodyear Tire & Rubber
Company 28,000 $ 560
H&R Block, Inc. 17,600 570
Harcourt General, Inc. 12,700 691
Harley-Davidson, Inc. 54,200 2,087
*Harrah's Entertainment, Inc. 23,000 482
Hasbro, Inc. 31,475 474
Hilton Hotels Corporation 66,100 620
The Home Depot, Inc. 412,494 20,598
IMS Health Incorporated 55,200 994
The Interpublic Group of
Companies, Inc. 50,300 2,163
J. C. Penney Company, Inc. 46,700 861
Kaufman and Broad Home
Corporation 8,500 168
*Kmart Corporation 87,200 594
Knight-Ridder, Inc. 13,900 739
*Kohl's Corporation 58,400 3,249
Leggett & Platt, Incorporated 35,200 581
The Limited, Inc. 76,948 1,664
Liz Claiborne, Inc. 10,600 374
Lowe's Companies, Inc. 68,500 2,813
Marriott International, Inc. -
Class A 44,600 1,608
Masco Corporation 80,100 1,447
Mattel, Inc. 75,388 994
The May Department Stores
Company 59,600 1,430
Maytag Corporation 15,100 557
The McGraw-Hill Companies,
Inc. 35,100 1,895
Meredith Corporation 9,200 311
The New York Times Company -
Class A 30,700 1,213
NIKE, Inc. - Class B 49,400 1,967
Nordstrom, Inc. 24,100 581
*Office Depot, Inc. 59,000 369
Omnicom Group, Inc. 31,800 2,832
Owens Corning 9,800 91
Pulte Corporation 7,700 167
*RadioShack Corporation 34,600 1,639
*Reebok International Ltd. 10,100 161
Russell Corporation 5,900 118
Sears, Roebuck & Co. 67,700 2,209
The Sherwin-Williams Company 29,700 629
Snap-on Incorporated 10,450 278
Springs Industries, Inc. -
Class A 3,200 103
The Stanley Works 16,000 380
*Staples, Inc. 84,200 1,295
Target Corporation 78,500 4,553
The TJX Companies, Inc. 55,600 1,043
*Toys 'R' Us, Inc. 43,000 626
Tribune Company 56,900 1,992
TRW, Inc. 21,800 946
V. F. Corporation 21,200 505
*Visteon Corporation 28,333 344
</TABLE>
Index 500 Stock Portfolio 26
<PAGE> 35
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (97.9%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
CONSUMER CYCLICAL continued
Wal-Mart Stores, Inc. 797,900 $ 45,978
Whirlpool Corporation 13,300 620
Young & Rubicam, Inc. 12,500 715
-----------
TOTAL CONSUMER CYCLICAL 164,897
-----------
CONSUMER STAPLES (10.0%)
Adolph Coors Company - Class B 6,600 399
Alberto-Culver Company - Class
B 10,000 306
Albertson's, Inc. 75,926 2,525
Anheuser-Busch Companies, Inc. 83,400 6,229
Avon Products, Inc. 43,400 1,931
Bestfoods 50,000 3,463
Brown-Forman Corporation -
Class B 12,300 661
Campbell Soup Company 76,400 2,225
Cardinal Health, Inc. 50,350 3,726
*Clear Channel Communications,
Inc. 60,600 4,545
The Clorox Company 42,400 1,900
The Coca-Cola Company 442,500 25,415
Coca-Cola Enterprises, Inc. 76,200 1,243
Colgate-Palmolive Company 104,400 6,251
Comcast Corporation - Class A 166,000 6,723
ConAgra, Inc. 88,200 1,681
CVS Corporation 70,200 2,808
Darden Restaurants, Inc. 23,000 374
Deluxe Corporation 13,200 311
Fort James Corporation 38,800 897
Fortune Brands, Inc. 29,400 678
General Mills, Inc. 53,900 2,062
The Gillette Company 192,200 6,715
The Great Atlantic & Pacific
Tea Company, Inc. 6,900 115
H.J. Heinz Company 63,550 2,780
Hershey Foods Corporation 24,800 1,203
Kellogg Company 72,600 2,160
Kimberly-Clark Corporation 99,544 5,711
*The Kroger Co. 149,500 3,298
Longs Drug Stores Corporation 7,000 152
McDonald's Corporation 242,600 7,991
McKesson HBOC, Inc. 50,445 1,056
Nabisco Group Holdings Corp. 58,400 1,515
Newell Rubbermaid, Inc. 50,532 1,301
PepsiCo, Inc. 260,800 11,589
Philip Morris Companies, Inc. 423,900 11,260
The Procter & Gamble Company 235,700 13,494
The Quaker Oats Company 24,000 1,803
R. R. Donnelley & Sons Company 22,700 512
Ralston Purina Company 54,100 1,079
Rite Aid Corporation 46,400 305
*Safeway, Inc. 91,200 4,115
Sara Lee Corporation 162,800 3,144
The Seagram Company Ltd. 77,700 4,507
*Starbucks Corporation 32,900 1,256
SUPERVALU INC 25,000 477
SYSCO Corporation 59,100 2,490
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (97.9%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES continued
Time Warner, Inc. 230,500 $ 17,518
*Tricon Global Restaurants,
Inc. 27,090 765
Tupperware Corporation 10,300 227
UST, Inc. 30,700 451
*Viacom, Inc. - Class B 273,048 18,618
Walgreen Co. 180,300 5,803
The Walt Disney Company 370,807 14,392
Wendy's International, Inc. 21,400 381
Winn-Dixie Stores, Inc. 26,200 375
Wm. Wrigley Jr. Company 20,700 1,660
-----------
TOTAL CONSUMER STAPLES 226,571
-----------
ENERGY (5.5%)
Amerada Hess Corporation 16,200 1,000
Anadarko Petroleum Corporation 22,800 1,124
Apache Corporation 20,400 1,200
Ashland, Inc. 12,700 445
Baker Hughes Incorporated 58,930 1,886
Burlington Resources, Inc. 38,920 1,489
Chevron Corporation 117,600 9,974
Conoco, Inc. - Class B 112,200 2,756
Exxon Mobil Corporation 618,685 48,567
Halliburton Company 79,100 3,733
Kerr-McGee Corporation 17,105 1,008
Occidental Petroleum
Corporation 65,900 1,388
Phillips Petroleum Company 45,400 2,301
*Rowan Companies, Inc. 16,500 501
Royal Dutch Petroleum Company 384,200 23,652
Schlumberger Limited 98,500 7,351
Sunoco, Inc. 16,200 477
Texaco, Inc. 99,100 5,277
Tosco Corporation 25,800 730
Unilever N.V. 102,367 4,402
Transocean Sedco Forex, Inc. 37,401 1,999
Union Pacific Resources Group,
Inc. 45,192 994
Unocal Corporation 43,400 1,438
USX-Marathon Group 55,700 1,396
-----------
TOTAL ENERGY 125,088
-----------
FINANCE (12.6%)
AFLAC Incorporated 47,700 2,191
The Allstate Corporation 144,328 3,211
American Express Company 240,600 12,541
American General Corporation 44,225 2,698
American International Group,
Inc. 277,395 32,594
AmSouth Bancorporation 70,100 1,104
Aon Corporation 46,000 1,429
Associates First Capital
Corporation - Class A 130,510 2,912
Bank of America Corporation 305,876 13,153
The Bank of New York Company,
Inc. 131,900 6,133
Bank One Corporation 205,486 5,458
BB&T Corporation 62,200 1,485
</TABLE>
27 Index 500 Stock Portfolio
<PAGE> 36
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (97.9%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
FINANCE continued
The Bear Stearns Companies,
Inc. 20,338 $ 847
Capital One Financial
Corporation 35,300 1,575
The Charles Schwab Corporation 237,550 7,988
The Chase Manhattan
Corporation 221,618 10,208
The Chubb Corporation 31,500 1,937
CIGNA Corporation 30,200 2,824
Cincinnati Financial
Corporation 29,400 924
Citigroup, Inc. 604,011 36,391
Comerica Incorporated 28,050 1,259
Conseco, Inc. 58,637 572
Countrywide Credit Industries,
Inc. 20,300 615
Federal Home Loan Mortgage
Corporation 124,500 5,042
Federal National Mortgage
Association 183,600 9,582
First Union Corporation 176,952 4,391
Firstar Corporation 175,565 3,698
Firth Third Bancorp 55,275 3,496
FleetBoston Financial
Corporation 164,020 5,577
Franklin Resources, Inc. 44,500 1,352
Golden West Financial
Corporation 29,000 1,184
The Hartford Financial
Services Group, Inc. 39,700 2,221
Household International, Inc. 84,179 3,499
Huntington Bancshares
Incorporated 40,984 648
J.P. Morgan & Co. Incorporated 31,000 3,414
Jefferson-Pilot Corporation 18,750 1,058
KeyCorp 80,100 1,412
Lehman Brothers Holdings, Inc. 21,500 2,033
Lincoln National Corporation 35,000 1,264
Loews Corporation 19,000 1,140
Marsh & McLennan Companies,
Inc. 47,750 4,987
MBIA, Inc. 17,800 858
MBNA Corporation 143,675 3,897
Mellon Financial Corporation 91,100 3,319
Merrill Lynch & Co., Inc. 66,400 7,636
MGIC Investment Corporation 18,900 860
Morgan Stanley Dean Witter &
Co. 204,110 16,992
National City Corporation 110,500 1,885
Northern Trust Corporation 39,900 2,596
Old Kent Financial Corporation 24,885 666
Paine Webber Group, Inc. 25,600 1,165
The PNC Financial Services
Group, Inc. 52,700 2,470
The Progressive Corporation 13,100 969
Providian Financial
Corporation 25,400 2,286
Regions Financial Corporation 39,200 779
SAFECO Corporation 23,300 463
SLM Holding Corporation 28,500 1,067
SouthTrust Corporation 30,100 681
The St. Paul Companies, Inc. 40,686 1,388
State Street Corporation 28,700 3,044
Summit Bancorp 31,300 771
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (97.9%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
FINANCE continued
SunTrust Banks, Inc. 57,300 $ 2,618
Synovus Financial Corp. 50,150 884
T. Rowe Price Associates, Inc. 21,400 910
Torchmark Corporation 23,600 583
U.S. Bancorp 134,931 2,597
Union Planters Corporation 25,300 707
UnumProvident Corporation 43,031 863
Wachovia Corporation 36,300 1,969
Washington Mutual, Inc. 103,436 2,987
Wells Fargo & Company 295,730 11,460
-----------
TOTAL FINANCE 285,417
-----------
HEALTHCARE (11.3%)
Abbott Laboratories 275,400 12,273
Aetna, Inc. 25,663 1,647
Allergan, Inc. 23,600 1,758
*ALZA Corporation 18,300 1,082
American Home Products
Corporation 233,900 13,742
*Amgen, Inc. 183,000 12,856
Bausch & Lomb Incorporated 9,500 735
Baxter International, Inc. 52,100 3,663
Becton, Dickinson and Company 45,100 1,294
*Biogen, Inc. 26,900 1,735
Biomet, Inc. 20,200 776
*Boston Scientific Corporation 74,300 1,630
Bristol-Myers Squibb Company 355,400 20,702
C. R. Bard, Inc. 9,200 443
Columbia/HCA Healthcare
Corporation 100,900 3,065
Eli Lilly and Company 195,400 19,516
*Guidant Corporation 55,100 2,727
*HEALTHSOUTH Corporation 69,200 497
*Humana, Inc. 30,000 146
Johnson & Johnson 249,300 25,397
Mallinckrodt, Inc. 12,300 534
*Manor Care, Inc. 18,500 130
Medtronic, Inc. 214,000 10,660
Merck & Co., Inc. 418,800 32,091
PE Corporation 36,900 2,431
Pfizer, Inc. 1,116,550 53,593
Pharmacia Corporation 224,270 11,592
*Quintiles Transnational Corp. 20,600 291
Schering-Plough Corporation 263,200 13,292
*St. Jude Medical, Inc. 15,100 693
*Tenet Healthcare Corporation 55,900 1,509
UnitedHealth Group
Incorporated 30,400 2,607
*Watson Pharmaceuticals, Inc. 17,200 925
*Wellpoint Health Networks,
Inc. - Class A 11,400 826
-----------
TOTAL HEALTHCARE 256,858
-----------
TECHNOLOGY (31.2%)
*3Com Corporation 61,300 3,532
*Adaptec, Inc. 18,600 423
</TABLE>
Index 500 Stock Portfolio 28
<PAGE> 37
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (97.9%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
TECHNOLOGY continued
*ADC Telecommunications, Inc. 53,800 $ 4,512
Adobe Systems Incorporated 21,200 2,756
*Advanced Micro Devices, Inc. 26,400 2,039
*Agilent Technologies, Inc. 80,980 5,972
*Altera Corporation 35,700 3,639
*America Online, Inc. 408,800 21,564
*Analog Devices, Inc. 62,700 4,765
*Andrew Corporation 14,437 485
*Apple Computer, Inc. 58,000 3,038
*Applied Materials, Inc. 137,100 12,425
Autodesk, Inc. 11,000 382
Automatic Data Processing,
Inc. 112,900 6,047
*BMC Software, Inc. 43,700 1,594
*Cabletron Systems, Inc. 32,700 826
*Ceridian Corporation 25,900 623
*Cisco Systems, Inc. 1,225,900 77,921
*Citrix Systems, Inc. 32,100 608
Compaq Computer Corporation 303,509 7,758
Computer Associates
International, Inc. 105,412 5,396
*Computer Sciences Corporation 30,000 2,241
*Compuware Corporation 64,600 670
*Comverse Technology, Inc. 27,400 2,548
*Conexant Systems, Inc. 38,500 1,872
*Dell Computer Corporation 459,600 22,664
Eastman Kodak Company 56,500 3,362
Electronic Data Systems
Corporation 84,300 3,477
*EMC Corporation 364,574 28,049
Equifax, Inc. 25,300 664
First Data Corporation 75,100 3,727
*Gateway, Inc. 56,700 3,218
Hewlett-Packard Company 180,100 22,490
IKON Office Solutions, Inc. 26,900 104
Intel Corporation 598,600 80,025
International Business
Machines Corporation 322,900 35,378
*KLA-Tencor Corporation 32,900 1,927
*Lexmark International Group,
Inc. - Class A 22,900 1,540
Linear Technology Corporation 55,700 3,561
*LSI Logic Corporation 53,300 2,885
Lucent Technologies, Inc. 571,100 33,838
*Maxim Integrated Products,
Inc. 49,700 3,376
*Micron Technology, Inc. 96,800 8,524
*Microsoft Corporation 932,500 74,600
*MIPS Technologies, Inc. -
Class B 4,573 176
Motorola, Inc. 381,110 11,076
*National Semiconductor
Corporation 30,700 1,742
*NCR Corporation 17,300 674
*Network Appliance, Inc. 54,600 4,395
Nortel Networks Corporation 517,300 35,306
*Novell, Inc. 58,500 541
*Oracle Corporation 505,500 42,494
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (97.9%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
TECHNOLOGY continued
*Parametric Technology
Corporation 49,300 $ 542
Paychex, Inc. 66,375 2,788
*PeopleSoft, Inc. 48,100 806
PerkinElmer, Inc. 8,600 569
Polaroid Corporation 8,000 145
QUALCOMM, Incorporated 132,200 7,932
Raytheon Company - Class B 60,600 1,167
Sabre Holdings Corporation -
Class A 23,167 660
*Sapient Corporation 10,500 1,123
Scientific-Atlanta, Inc. 28,300 2,108
*Seagate Technology, Inc. 40,700 2,239
Shared Medical Systems
Corporation 4,800 350
*Siebel Systems, Inc. 34,500 5,643
*Silicon Graphics, Inc. 33,000 124
*Sun Microsystems, Inc. 282,800 25,717
Tektronix, Inc. 8,450 625
*Tellabs, Inc. 72,100 4,934
*Teradyne, Inc. 30,600 2,249
Texas Instruments Incorporated 291,300 20,009
*Unisys Corporation 55,600 810
*VERITAS Software Corporation 69,600 7,866
W.W. Grainger, Inc. 16,700 515
Xerox Corporation 119,000 2,469
*Xilinx, Inc. 57,600 4,756
*Yahoo!, Inc. 94,300 11,681
-----------
TOTAL TECHNOLOGY 711,276
-----------
TRANSPORTATION (0.6%)
*AMR Corporation 26,500 701
Burlington Northern Santa Fe
Corporation 81,821 1,877
CSX Corporation 39,100 828
Delta Air Lines, Inc. 23,100 1,168
*FedEx Corporation 51,920 1,973
Kansas City Southern
Industries, Inc. 19,800 1,756
Norfolk Southern Corporation 68,400 1,017
Ryder System, Inc. 10,600 201
Southwest Airlines Co. 90,400 1,712
Union Pacific Corporation 44,500 1,655
*US Airways Group, Inc. 12,800 499
-----------
TOTAL TRANSPORTATION 13,387
-----------
UTILITIES (2.5%)
*The AES Corporation 77,800 3,550
Ameren Corporation 24,600 830
American Electric Power
Company, Inc. 57,720 1,710
Carolina Power & Light Company 28,600 913
Cinergy Corp. 28,517 725
CMS Energy Corporation 20,700 458
The Coastal Corporation 38,300 2,332
Columbia Energy Group 14,550 955
</TABLE>
29 Index 500 Stock Portfolio
<PAGE> 38
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (97.9%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
UTILITIES continued
Consolidated Edison, Inc. 39,600 $ 1,173
Constellation Energy Group 26,800 873
Dominion Resources, Inc. 42,595 1,826
DTE Energy Company 26,000 795
Duke Energy Corporation 65,465 3,691
Eastern Enterprises 4,900 309
Edison International 62,200 1,275
El Paso Energy Corporation 40,900 2,083
Enron Corp. 128,200 8,269
Entergy Corporation 44,200 1,202
FirstEnergy Corp. 41,700 975
Florida Progress Corporation 17,600 825
FPL Group, Inc. 32,100 1,589
GPU, Inc. 22,100 598
New Century Energies, Inc. 20,700 621
*Niagara Mohawk Holdings, Inc. 31,800 443
Nicor, Inc. 8,400 274
Northern States Power Company 27,700 559
ONEOK, Inc. 5,500 143
PECO Energy Company 33,300 1,342
Peoples Energy Corporation 6,400 207
PG&E Corporation 68,800 1,694
Pinnacle West Capital
Corporation 15,200 515
PPL Corporation 25,734 565
Public Service Enterprise
Group Incorporated 39,200 1,357
Reliant Energy, Inc. 52,962 1,566
Sempra Energy 36,602 622
The Southern Company 120,600 2,811
TXU Corp. 49,515 1,461
Unicom Corporation 39,000 1,509
The Williams Companies, Inc. 77,900 3,247
-----------
TOTAL UTILITIES 55,892
-----------
TOTAL COMMON STOCK
(COST $1,227,153) 2,223,070
-----------
<CAPTION>
MONEY MARKET INVESTMENTS (2.0%)
--------------------------------------------------------
FEDERAL GOVERNMENT AND AGENCIES (0.2%)
#Federal National Mortgage
Association, 6.40%, 7/17/00 5,000,000 4,986
-----------
TOTAL FEDERAL GOVERNMENT
AND AGENCIES 4,986
-----------
FINANCE SERVICES (0.4%)
#Ciesco LP, 6.55%, 8/14/00 10,000,000 9,916
-----------
TOTAL FINANCE SERVICES 9,916
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
MONEY MARKET INVESTMENTS SHARES/ VALUE
(2.0%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
MISC. BUSINESS CREDIT INSTITUTIONS (0.5%)
Quincy Capital, 6.76%, 7/12/00 10,000,000 $ 9,979
-----------
TOTAL MISC. BUSINESS
CREDIT INSTITUTIONS 9,979
-----------
OFFICE MACHINES (0.5%)
#Xerox Corporation, 6.68%,
7/5/00 10,000,000 9,993
-----------
TOTAL OFFICE MACHINES 9,993
-----------
PERSONAL CREDIT INSTITUTIONS (0.0%)
Associates Corporation of
North America, 6.94%, 7/3/00 700,000 700
-----------
TOTAL PERSONAL CREDIT
INSTITUTIONS 700
-----------
SECURITY BROKERS AND DEALERS (0.4%)
#Salomon Smith Barney Holdings
Inc., 6.58%, 8/07/00 10,000,000 9,932
-----------
TOTAL SECURITY BROKERS AND DEALERS 9,932
-----------
TOTAL MONEY MARKET INVESTMENTS
(COST $45,506) 45,506
-----------
TOTAL INVESTMENTS (99.9%)
(COST $1,272,659)/\ 2,268,576
-----------
OTHER ASSETS, LESS
LIABILITIES (0.1%) 1,194
-----------
TOTAL NET ASSETS (100.0%) $ 2,269,770
-----------
</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 period
end is summarized below.
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION/
NUMBER OF EXPIRATION (DEPRECIATION)
ISSUERS CONTRACTS DATE (000'S)
---------------------------------------------------------------
<S> <C> <C> <C>
S & P 500 125 Sep-00 ($107)
Total Notional Value
at 6/30/2000 $45,985
</TABLE>
/\At 6/30/2000, the aggregate cost of securities for federal income tax purposes
was $1,272,659 and the net unrealized appreciation of investments based on
that cost was $995,917 which is comprised of $1,084,945 aggregate gross
unrealized appreciation and $89,028 aggregate gross unrealized depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements
Index 500 Stock Portfolio 30
<PAGE> 39
<TABLE>
<CAPTION>
Objective: Portfolio Strategy: Net Assets:
<S> <C> <C> <C>
A high level of current income and Achieve consistent returns and low volatility by $3,443,516,967
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.
The mix of securities in the Balanced Portfolio is only slightly different from
that of six months ago. However, the highly volatile stock market of recent
months has provided the opportunity to increase returns through opportunistic
selling and adjustments among asset classes. In March, when the stock market
rose to a level that appeared overvalued, the equity position was reduced. After
the subsequent market drop, equity exposure was increased moderately, in order
to take advantage of good values in the equity market. The Portfolio's bond
exposure has been expanded modestly since December. A move to higher quality
bonds, 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
6/30/2000
[PERCENTAGE HOLDINGS PIE CHART]
<TABLE>
<S> <C>
Percent Holdings
Equities (including futures) 55
Bonds 40
Short-Term Investments 5
</TABLE>
PERFORMANCE RELATIVE TO RELEVANT INDICES
[LINE GRAPH]
<TABLE>
<CAPTION>
MERRILL LYNCH DOMESTIC
BALANCED PORTFOLIO MASTER INDEX 91 DAY T-BILL S&P 500 INDEX
------------------ ---------------------- ------------- -------------
<S> <C> <C> <C> <C>
6/90 10000 10000 10000 10000
11198 11089 10756 10730
6/92 12464 12657 11313 12168
13995 14167 11695 13823
6/94 14114 14020 12089 14002
16679 15785 12756 17629
6/96 19332 16567 13461 22195
23455 17922 14192 29868
6/98 28218 19834 14942 38837
32192 20445 15668 47653
6/00 34087 21380 16535 51136
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------
Average Annual Total Return
For Periods Ended June 30, 2000
1 Year 5 Years 10 Years
----------------------------------------------------------------
<S> <C> <C> <C>
Balanced Portfolio 5.89% 15.37% 13.05%
Merrill Lynch Domestic Master Index 4.57% 6.26% 7.89%
91 Day T-Bill 5.53% 5.33% 5.16%
S&P 500 Index 7.31% 23.74% 17.73%
----------------------------------------------------------------
</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 6/30/90. 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 58.
31 Balanced Portfolio
<PAGE> 40
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
June 30, 2000 (unaudited)
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
CORPORATE BONDS (5.4%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
BANK HOLDING COMPANIES (0.2%)
Banco Montevideo, 8.4%,
04/30/08 (144A) 6,250,000 $ 4,875
BT Institutional Capital
Trust, 7.75%, 12/01/26
(144A) 1,000,000 836
-----------
TOTAL 5,711
-----------
BEVERAGES (0.4%)
Anheuser-Busch Companies,
Inc., 7.5%, 3/15/12 4,500,000 4,510
Coca Cola Enterprises, Inc.,
8%, 1/4/05 8,750,000 8,940
-----------
TOTAL 13,450
-----------
CHEMICALS & ALLIED PRODUCTS (0.5%)
Chevron Corporation, 6.625%,
10/1/04 4,750,000 4,691
Dow Capital B.V., 8.5%,
6/8/10 8,200,000 8,625
Johnson & Johnson, 6.625%,
9/1/09 2,800,000 2,710
-----------
TOTAL 16,026
-----------
DURABLE GOODS (0.2%)
Tata Engineering &
Locomotive, 7.875%, 7/15/07,
(144A) 6,500,000 5,863
-----------
TOTAL 5,863
-----------
ELECTRIC SERVICES (1.3%)
Columbia Energy Group, 7.32%,
11/28/10 7,571,000 7,306
Dayton Power & Light Company,
8.15%, 1/15/26 5,750,000 5,513
Niagra Mohawk Power, 7%,
10/1/00 2,268,293 2,265
Niagra Mohawk Power, 7.25%,
10/1/02 1,134,147 1,119
Ohio Edison Company, 7.375%,
9/15/02 3,665,000 3,666
Public Service Electric & Gas
Co., 6.875%, 1/1/03 9,000,000 8,925
Scottish Power PLC, 5.65%,
11/1/06 4,650,000 4,190
South Carolina Electric &
Gas, 6.125%, 3/1/09 3,000,000 2,755
Southern California Edison
Co., 7.25%, 3/1/26 10,000,000 8,897
Texas Utilities Electric Co.,
7.875%, 3/1/23 4,000,000 3,773
-----------
TOTAL 48,409
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
CORPORATE BONDS (5.4%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
FINANCE COMPANIES (0.9%)
Ford Motor Credit Company,
6.3%, 7/16/02 11,700,000 $ 11,710
Ford Motor Credit
Corporation, 7.375%,
10/28/09 5,971,000 5,777
General Electric Capital
Corporation, 8.75%, 5/21/07 5,000,000 5,372
General Motors Acceptance
Corporation, 6.625%, 10/1/02 5,000,000 4,932
General Motors Acceptance
Corporation, 7.75%, 1/19/10 5,000,000 4,970
-----------
TOTAL 32,761
-----------
GENERAL MERCHANDISE STORES (0.7%)
The Home Depot, Inc., 6.5%,
9/15/04 8,550,000 8,470
Wal-Mart Stores, Inc., 6.55%,
8/10/04 13,300,000 13,125
Wal-Mart Stores, Inc.,
6.875%, 8/10/09 3,000,000 2,934
-----------
TOTAL 24,529
-----------
INSURANCE CARRIERS (0.1%)
Prudential Insurance Co.,
6.375%, 7/23/06 (144A) 2,500,000 2,310
-----------
TOTAL 2,310
-----------
MOTOR VEHICLES & CARS BODIES (0.4%)
General Motors Corporation,
6.75%, 5/1/28 6,000,000 5,209
General Motors Corporation,
8.8%, 3/1/21 6,500,000 7,086
-----------
TOTAL 12,295
-----------
NEWSPAPERS (0.1%)
Times Mirror Company, 7.45%,
10/15/09 5,050,000 4,990
-----------
TOTAL 4,990
-----------
REAL ESTATE OPERATOR LESSORS (0.1%)
Post Apartment Homes, 8.125%,
6/15/2005 2,250,000 2,247
-----------
TOTAL 2,247
-----------
TELEPHONE COMMUNICATIONS (0.3%)
Deutsche Telekom Int AG,
7.75%, 6/15/2005 3,150,000 3,171
New England Telephone and
Telegraph, 5.875%, 4/15/09 5,000,000 4,405
Sprint Capital Corp., 6.875%,
11/15/28 5,000,000 4,325
-----------
TOTAL 11,901
-----------
</TABLE>
Balanced Portfolio 32
<PAGE> 41
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
CORPORATE BONDS (5.4%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
TEXTILE GOODS (0.0%)
+Polysindo International
Finance, 11.375%, 6/15/06 6,500,000 $ 1,235
-----------
TOTAL 1,235
-----------
TRANSPORTATION SERVICES (0.1%)
United Parcel Service,
8.375%, 4/1/20 1,750,000 1,934
-----------
TOTAL 1,934
-----------
UTILITIES (0.1%)
Atlantic City Electric
Company, 6.625%, 8/1/13 4,000,000 3,677
-----------
TOTAL 3,677
-----------
TOTAL CORPORATE BONDS
(COST $198,150) 187,338
-----------
<CAPTION>
GOVERNMENT (DOMESTIC AND FOREIGN) AND
AGENCY BONDS (27.3%)
---------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (27.1%)
AID-ISRAEL, 0.00%, 11/15/22 11,600,000 2,697
AID-ISRAEL, 0.00%, 11/15/23 11,500,000 2,509
Federal Home Loan Bank,
5.54%, 1/8/09 5,000,000 4,436
Federal Home Loan Mortgage
Corporation, 6.5%, 5/5/04 12,267,913 11,913
Federal Home Loan Mortgage
Corporation, 7.0%, 03/15/07 7,250,000 7,195
Federal National Mortgage
Association, 5.97%, 10/1/08 1,749,519 1,619
Federal National Mortgage
Association, 6.24%, 2/1/06 4,814,804 4,581
Federal National Mortgage
Association, 6.265%, 10/1/08 5,642,836 5,304
Federal National Mortgage
Association, 6.315%, 3/1/06 5,084,479 4,851
Federal National Mortgage
Association, 6.34%, 2/1/08 4,129,191 3,915
Federal National Mortgage
Association, 6.43%, 6/1/08 7,265,045 6,915
Federal National Mortgage
Association, 6.5%, 9/25/05 4,625,009 4,497
Federal National Mortgage
Association, 6.75%, 11/1/07 3,046,087 2,952
Federal National Mortgage
Association, 6.75%, 4/25/18 5,276,643 5,144
Federal National Mortgage
Association, 6.75%, 12/25/23 6,500,000 6,088
Federal National Mortgage
Association, 6.835%, 7/1/03 3,153,764 3,107
Federal National Mortgage
Association, 6.895%, 5/1/06 5,953,225 5,822
Federal National Mortgage
Association, 6.9%, 4/1/06 2,400,394 2,348
Federal National Mortgage
Association, 7%, 6/1/03 2,697,747 2,673
</TABLE>
<TABLE>
<CAPTION>
GOVERNMENT (DOMESTIC AND MARKET
FOREIGN) AND AGENCY BONDS SHARES/ VALUE
(27.3%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES continued
Federal National Mortgage
Association, 7%, 6/25/10 7,680,222 $ 7,519
Federal National Mortgage
Association, 7%, 4/1/26 13,297,218 12,861
Federal National Mortgage
Association, 7.025%, 9/1/05 1,908,957 1,878
Federal National Mortgage
Association, 7.12%, 11/1/03 967,896 956
Federal National Mortgage
Association, 7.25%, 5/1/04 1,545,625 1,531
Federal National Mortgage
Association, 7.5%, 10/1/27 11,635,126 11,521
Federal National Mortgage
Association, 8.4%, 2/25/09 10,910,000 11,149
Federal National Mortgage
Association, 11%, 12/1/12 64,282 70
Federal National Mortgage
Association, 11%, 9/1/17 930,732 1,035
Federal National Mortgage
Association, 11%, 12/1/17 153,406 169
Federal National Mortgage
Association, 11%, 2/1/18 387,799 428
Federal National Mortgage
Association, 11.5%, 4/1/18 608,449 681
Federal National Mortgage
Association, 12%, 9/1/12 874,105 983
Federal National Mortgage
Association, 12%, 12/1/12 189,837 214
Federal National Mortgage
Association, 12%, 9/1/17 262,610 298
Federal National Mortgage
Association, 12%, 10/1/17 296,702 337
Federal National Mortgage
Association, 12%, 12/1/17 281,135 319
Federal National Mortgage
Association, 12%, 2/1/18 308,595 350
Federal National Mortgage
Association, 12.5%, 4/1/18 251,675 288
Federal National Mortgage
Association, 13%, 11/1/12 146,361 167
Federal National Mortgage
Association, 13%, 11/1/17 252,061 293
Federal National Mortgage
Association, 13%, 12/1/17 166,523 193
Federal National Mortgage
Association, 13%, 2/1/18 369,640 429
Federal National Mortgage
Association, 14%, 12/1/17 100,683 120
Government National Mortgage
Association, 7%, 11/3/08 232,506 226
Government National Mortgage
Association, 7%, 5/15/23 8,352,747 8,155
Government National Mortgage
Association, 7%, 6/15/23 602,599 588
</TABLE>
33 Balanced Portfolio
<PAGE> 42
<TABLE>
<CAPTION>
GOVERNMENT (DOMESTIC AND MARKET
FOREIGN) AND AGENCY BONDS SHARES/ VALUE
(27.3%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES continued
Government National Mortgage
Association, 7%, 7/15/23 859,190 $ 839
Government National Mortgage
Association, 7%, 8/15/23 15,567 15
Government National Mortgage
Association, 7%, 9/15/23 439,370 429
Government National Mortgage
Association, 7%, 10/15/23 333,147 325
Government National Mortgage
Association, 7%, 11/15/23 1,119,664 1,093
Government National Mortgage
Association, 7%, 12/15/27 289,439 282
Government National Mortgage
Association, 7%, 1/15/28 383,617 373
Government National Mortgage
Association, 7%, 2/15/28 106,790 104
Government National Mortgage
Association, 7%, 4/15/28 651,471 634
Government National Mortgage
Association, 7%, 5/15/28 1,304,174 1,269
Government National Mortgage
Association, 7%, 6/15/28 3,223,195 3,407
Government National Mortgage
Association, 7%, 7/15/28 4,454,107 4,333
Government National Mortgage
Association, 7.5%, 1/15/23 546,026 545
Government National Mortgage
Association, 7.5%, 6/15/23 298,281 298
Government National Mortgage
Association, 7.5%, 6/15/24 7,663 8
Government National Mortgage
Association, 7.5%, 7/15/24 252,719 252
Government National Mortgage
Association, 7.5%, 8/15/25 12,236 12
Government National Mortgage
Association, 7.5%, 9/15/25 216,241 215
Government National Mortgage
Association, 7.5%, 11/15/25 11,726 12
Government National Mortgage
Association, 7.5%, 12/15/25 406,463 404
Government National Mortgage
Association, 7.5%, 1/15/26 13,798 14
Government National Mortgage
Association, 7.5%, 3/15/26 527,983 525
Government National Mortgage
Association, 7.5%, 6/15/26 878,040 873
Government National Mortgage
Association, 7.5%, 9/15/26 12,231 12
Government National Mortgage
Association, 7.5%, 10/15/26 71,377 71
Government National Mortgage
Association, 7.5%, 12/15/26 578,260 575
Government National Mortgage
Association, 7.5%, 1/15/27 33,508 33
Government National Mortgage
Association, 7.5%, 2/15/27 369,365 367
</TABLE>
<TABLE>
<CAPTION>
GOVERNMENT (DOMESTIC AND MARKET
FOREIGN) AND AGENCY BONDS SHARES/ VALUE
(27.3%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES continued
Government National Mortgage
Association, 7.5%, 3/15/27 37,851 $ 38
Government National Mortgage
Association, 7.5%, 4/15/27 1,324,660 1,317
Government National Mortgage
Association, 7.5%, 5/15/27 139,525 139
Government National Mortgage
Association, 7.5%, 7/15/27 595,036 592
Government National Mortgage
Association, 7.5%, 12/15/27 156,873 156
Government National Mortgage
Association, 7.5%, 5/04/28 397,785 396
Government National Mortgage
Association, 7.5%, 7/15/28 725,628 721
Government National Mortgage
Association, 8%, 9/15/24 178,275 181
Government National Mortgage
Association, 8%, 3/15/26 59,148 60
Government National Mortgage
Association, 8%, 5/15/26 426,210 432
Government National Mortgage
Association, 8%, 6/15/26 357,293 362
Government National Mortgage
Association, 8%, 7/15/26 819,590 831
Government National Mortgage
Association, 8%, 8/15/26 347,141 352
Government National Mortgage
Association, 8%, 9/15/26 311,961 316
Government National Mortgage
Association, 8%, 10/15/26 604,736 613
Government National Mortgage
Association, 8%, 11/15/26 338,483 343
Government National Mortgage
Association, 8%, 12/15/26 358,821 364
Government National Mortgage
Association, 8%, 4/15/27 659,293 668
Government National Mortgage
Association, 8%, 6/15/27 297,910 302
Government National Mortgage
Association, 8%, 7/15/27 134,061 136
Government National Mortgage
Association, 8%, 7/20/28 2,246,770 2,259
Government National Mortgage
Association, 8.5%, 5/15/22 3,009 3
Government National Mortgage
Association, 8.5%, 9/15/22 3,891 4
Government National Mortgage
Association, 8.5%, 10/15/22 25,232 26
Government National Mortgage
Association, 8.5%, 12/15/22 17,777 18
Government National Mortgage
Association, 8.5%, 6/15/24 6,036 6
Government National Mortgage
Association, 8.5%, 7/15/24 21,392 22
</TABLE>
Balanced Portfolio 34
<PAGE> 43
<TABLE>
<CAPTION>
GOVERNMENT (DOMESTIC AND MARKET
FOREIGN) AND AGENCY BONDS SHARES/ VALUE
(27.3%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES continued
Government National Mortgage
Association, 8.5%, 8/15/24 45,477 $ 47
Government National Mortgage
Association, 8.5%, 12/15/24 6,910 7
Government National Mortgage
Association, 8.5%, 1/15/25 65,315 67
Government National Mortgage
Association, 8.5%, 2/15/25 59,335 61
Government National Mortgage
Association, 8.5%, 11/15/25 8,008 8
Government National Mortgage
Association, 8.5%, 1/15/26 40,427 41
Government National Mortgage
Association, 8.5%, 2/15/26 4,823 5
Government National Mortgage
Association, 8.5%, 3/15/26 19,435 20
Government National Mortgage
Association, 8.5%, 4/15/26 66,046 68
Government National Mortgage
Association, 8.5%, 5/15/26 17,982 18
Government National Mortgage
Association, 11%, 1/15/18 5,654,965 6,155
Rural Housing Trust - Class
D, 6.33%, 4/1/26 4,089,556 4,024
US Treasury Inflation Index
Bond, 3.625%, 7/15/02 2,537,375 2,521
US Treasury Inflation Index
Bond, 3.625%, 4/15/28 6,500,000 6,199
US Treasury Inflation Index
Bond, 3.875%, 4/15/29 168,439,903 172,611
US Treasury Inflation Index
Bond, 4.25%, 1/15/10 68,412,760 70,214
US Treasury, 4%, 10/31/00 11,650,000 11,559
US Treasury, 4.75%, 2/15/04 19,250,000 18,300
US Treasury, 4.75%, 11/15/08 38,050,000 34,554
#US Treasury, 5%, 2/28/01 4,500,000 4,458
US Treasury, 5.25%, 5/31/01 8,000,000 7,913
US Treasury, 5.25%, 5/15/04 29,700,000 28,651
US Treasury, 5.25%, 2/15/29 3,749,000 3,326
US Treasury, 5.5%, 1/31/03 3,500,000 3,427
US Treasury, 5.5%, 3/31/03 15,500,000 15,151
US Treasury, 5.5%, 2/15/08 175,000 168
US Treasury, 5.625%, 12/31/02 2,300,000 2,259
US Treasury, 5.625%, 2/15/06 108,000,000 104,726
US Treasury, 5.625%, 5/15/08 34,000,000 32,789
US Treasury, 6%, 7/31/02 4,000,000 3,965
US Treasury, 6%, 8/15/04 25,000,000 24,766
US Treasury, 6%, 8/15/09 3,818,000 3,787
US Treasury, 6.125%, 8/15/07 22,000,000 21,869
#US Treasury, 6.125%, 8/15/29 13,738,000 13,884
US Treasury, 6.25%, 2/15/07 4,500,000 4,504
#US Treasury, 6.375%, 8/15/07 4,100,000 4,217
US Treasury, 6.5%, 2/28/02 55,000,000 55,000
#US Treasury, 6.5%, 2/15/10 25,434,000 26,300
</TABLE>
<TABLE>
<CAPTION>
GOVERNMENT (DOMESTIC AND MARKET
FOREIGN) AND AGENCY BONDS SHARES/ VALUE
(27.3%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES continued
#US Treasury, 6.75%, 05/15/05 1,300,000 $ 1,330
US Treasury, 6.875%, 5/15/06 50,000,000 51,453
US Treasury, 7.25%, 8/15/04 6,000,000 6,201
US Treasury, 7.25%, 5/15/16 4,200,000 4,621
Vendee Mortgage Trust, Series
1998-3, Class E, 6.5%,
3/15/29 4,500,000 4,057
-----------
TOTAL 934,601
-----------
FOREIGN GOVERNMENT BONDS (0.2%)
Province of Quebec, 6.5%,
1/17/06 7,500,000 7,203
-----------
TOTAL 7,203
-----------
TOTAL GOVERNMENT
(DOMESTIC AND FOREIGN)
AND AGENCY BONDS (COST
$944,552) 941,804
-----------
<CAPTION>
MORTGAGE/ ASSET BACKED SECURITIES (6.5%)
---------------------------------------------------------
<S> <C> <C>
ASSET-BACKED SECURITIES (CMO'S) (0.7%)
BankBoston Marine Asset
Backed Trust - Class A6,
6.64%, 08/15/10 7,000,000 6,815
Citibank Credit Card Master
Trust I - Class A, 0%,
8/15/06 17,000,000 12,662
Commercial Mortgage
Acceptance Corporation,
Series 1997-ML1, Class B,
6.6437%, 12/15/07 (144A) 2,500,000 2,386
Iroquois Trust - Class A,
6.68%, 11/10/03 (144A) 4,898,603 4,876
Newcourt Equipment - Class C,
7.734%, 09/20/04 (144A) 399,470 390
-----------
TOTAL 27,129
-----------
AUTO RELATED (0.4%)
Fleetwood Credit Corporation
Grantor Trust - Class A,
6.4%, 05/15/13 1,396,533 1,381
Team Fleet Financing - Class
A, 6.65%, 12/15/02 (144A) 11,800,000 11,544
-----------
TOTAL 12,925
-----------
AUTOMOBILES AND OTHER MOTOR VEHICLES (0.1%)
Daimler-Chrysler N.A.
Holdings, 6.38%, 8/23/02 5,000,000 5,012
-----------
TOTAL 5,012
-----------
BANK HOLDING COMPANIES (0.1%)
Nationsbank Lease Pass
Through Trust, Series
1997-A, Class 1, 7.442%,
1/10/11 (144A) 1,917,387 1,873
-----------
TOTAL 1,873
-----------
</TABLE>
35 Balanced Portfolio
<PAGE> 44
<TABLE>
<CAPTION>
MARKET
MORTGAGE/ ASSET BACKED SHARES/ VALUE
SECURITIES (6.5%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
COMMERCIAL MORTGAGES (3.6%)
Asset Securitization
Corporation, Series
1996-MD6, Class CS1, 1.257%,
11/13/26, IO 17,806,426 $ 442
Asset Securitization
Corporation, Series 1997-D5,
Class PS1, 1.367%, 2/14/41,
IO 21,999,609 1,872
Chase Commercial Mortgage
Securities Corporation,
Series 1997-2, Class A2,
6.6%, 11/19/07 8,500,000 8,120
Chase Commercial Mortgage
Securities Corporation,
Series 1997-2, Class B,
6.6%, 11/19/07 2,500,000 2,363
Credit Suisse First Boston
Mortgage Securities
Corporation, Series 1997-C1,
Class A2, 7.26%, 6/20/07
(144A) 3,075,911 3,000
Credit Suisse First Boston
Mortgage Securities
Corporation, Series 1997-C1,
Class B, 7.28%, 6/20/07
(144A) 3,250,000 3,139
Criimi Mae Commercial
Mortgage Trust, Series
1998-C1, Class A1, 7%,
11/2/06 6,500,000 5,839
Criimi Mae Commercial
Mortgage Trust, Series
1998-C1, Class B, 7%,
11/2/11 5,700,000 4,501
DLJ Mortgage Acceptance
Corporation, Series
1997-CF2, Class S, .357%,
10/15/17 (144A) IO 18,449,916 369
DLJ Commercial Mortgage
Corporation, Series
1998-CF1, Class S, .718%,
1/15/18, IO 250,790,199 8,710
DLJ Mortgage Acceptance
Corp., Series 1994-MF11,
Class A2, 8.1%, 6/18/04 1,650,000 1,686
DLJ Mortgage Acceptance
Corporation, Series
1994-MF11, Class A1, 8.1%,
6/18/04 1,650,414 1,686
Kmart CMBS Financing, Inc. -
Class B, 6.597%, 3/01/07 8,000,000 7,987
Kmart CMBS Financing, Inc. -
Class C, 6.897%, 03/01/07
(144A) 12,500,000 12,441
Kmart CMBS Financing, Inc. -
Class D, 7.297%, 03/01/07
(144A) 4,500,000 4,479
LB Mortgage Trust, Series
1991-2, Class A3, 8.3962%,
1/20/17 9,714,449 10,040
</TABLE>
<TABLE>
<CAPTION>
MARKET
MORTGAGE/ ASSET BACKED SHARES/ VALUE
SECURITIES (6.5%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
COMMERCIAL MORTGAGES continued
Midland Realty Acceptance
Corporation, Series 1996-C2,
Class AEC, 1.389%, 1/25/29,
IO 26,079,789 $ 1,400
Morgan Stanley Capital,
Series 1998-WF2 - Class A,
6.54%, 5/15/08 15,000,000 14,246
Mortgage Capital Funding,
Inc., Series 1997-MC1,
Class A3, 7.288%, 3/20/07 19,000,000 18,739
Nomura Asset Securities
Corporation, Series 1998-D6,
Class A2, 7.028%, 3/17/28 15,000,000 14,038
RMF Commercial Mortgage Pass-
Through, Series 1997-1,
Class F, 7.471%, 1/15/19
(144A) 1,800,000 1,222
-----------
TOTAL 126,319
-----------
CREDIT CARD ASSET BACKED (0.1%)
Iroquois Trust, Series
1997-2, Class A, 6.752%,
6/25/07 (144A) 2,672,585 2,615
-----------
TOTAL 2,615
-----------
FRANCHISE LOAN RECEIVABLES (0.3%)
Enterprise Mortgage
Acceptance Company, Series
1998-1, Class IO, 1.378%,
1/15/23 (144A) IO 37,709,606 2,419
Enterprise Mortgage
Acceptance Company, Series
1998-1, Class A2, 6.38%,
4/15/07 (144A) 6,000,000 5,661
Global Franchise Trust,
Series 1998-1, Class A1,
6.349%, 4/10/04 2,581,122 2,519
-----------
TOTAL 10,599
-----------
HOME EQUITY LOAN (0.1%)
Amresco Residential
Securities, Series 1998-2,
Class A2, 6.245%, 5/25/22 2,151,857 2,134
-----------
TOTAL 2,134
-----------
MANUFACTURED HOUSING (0.1%)
Vanderbilt Mortgage and
Finance Inc. - Series 1997-B
- Class 1A4, 7.19%, 2/7/14 2,500,000 2,474
-----------
TOTAL 2,474
-----------
</TABLE>
Balanced Portfolio 36
<PAGE> 45
<TABLE>
<CAPTION>
MARKET
MORTGAGE/ ASSET BACKED SHARES/ VALUE
SECURITIES (6.5%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
OTHER ASSET BACKED (0.4%)
FMAC Loan Receivables Trust,
Series 1998-A, Class A1,
6.2%, 9/15/20 (144A) 4,150,905 $ 4,026
Harley-Davidson Eaglemark
Motorcycle Trust, Series
1998-2, Class A2, 5.87%,
4/15/04 1,900,000 1,870
Health Care Receivables,
6.25%, 2/01/03 (144A) 3,000,000 2,927
Heilig-Meyers Master Trust,
Series 1998-1A, Class A,
6.125%, 1/20/07 (144A) 6,500,000 6,318
-----------
TOTAL 15,141
-----------
OTHER INDUSTRIES (0.1%)
Nations Credit Grantor Trust
- Class A1, 6.35%, 4/15/14 1,335,020 1,314
Newcourt Equipment
Receivables, Series 1997-A,
Class B, 6.764%, 9/20/04
(144A) 499,338 489
-----------
TOTAL 1,803
-----------
RESIDENTIAL MORTGAGES (0.1%)
Blackrock Capital Finance
L.P., Series 1997-R3, Class
B3, 7.25%, 11/25/28 (144A) 5,730,428 1,777
Blackrock Capital Finance
L.P., Series 1997-R1, Class
B3, 7.75%, 3/25/37 (144A) 4,752,683 1,378
-----------
TOTAL 3,155
-----------
UTILITIES (0.4%)
Comed Transitional Funding
Trust, Series 1998-1, Class
A7, 5.74%, 12/25/10 5,500,000 4,934
Peco Energy Transition Trust,
Series 1999-A, Class A7,
6.13%, 3/1/09 8,000,000 7,375
-----------
TOTAL 12,309
-----------
TOTAL MORTGAGE/ASSET
BACKED SECURITIES (COST
$239,595) 223,488
-----------
<CAPTION>
MUNICIPAL BONDS (0.2%)
---------------------------------------------------------
<S> <C> <C>
MUNICIPAL BONDS - REVENUE (0.2%)
New Jersey Economic
Development Authority, 0%,
2/15/25 17,000,000 2,612
New Jersey Economic
Development Authority, 0%,
2/15/26 11,000,000 1,568
New Jersey Economic
Development Authority,
7.425%, 2/15/29 2,250,000 2,210
-----------
TOTAL MUNICIPAL BONDS
(COST $6,215) 6,390
-----------
</TABLE>
<TABLE>
<CAPTION>
COMMON STOCK (47.8%)
---------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS (0.9%)
Air Products and Chemicals,
Inc. 30,400 $ 937
Alcan Aluminium Ltd. 29,000 899
Alcoa, Inc. 115,308 3,344
Allegheny Technologies
Incorporated 10,981 198
Archer-Daniels-Midland
Company 80,423 789
Barrick Gold Corporation 52,200 949
Bemis Company, Inc. 6,900 232
*Bethlehem Steel Corporation 17,400 62
Boise Cascade Corporation 7,600 197
The Dow Chemical Company 87,300 2,635
E. I. du Pont de Nemours and
Company 138,400 6,054
Eastman Chemical Company 10,375 495
Ecolab, Inc. 17,200 672
Engelhard Corporation 16,700 285
*FMC Corporation 4,100 238
*Freeport-McMoRan Copper &
Gold, Inc. - Class B 21,700 201
Georgia-Pacific Corporation 22,700 596
Great Lakes Chemical
Corporation 7,200 227
Hercules Incorporated 14,100 198
Homestake Mining Company 34,500 237
*Inco Limited 25,400 391
International Flavors &
Fragrances, Inc. 13,900 420
International Paper Company 63,884 1,905
Louisiana-Pacific Corporation 14,100 153
The Mead Corporation 13,600 343
Newmont Mining Corporation 22,230 481
Nucor Corporation 11,600 385
*Pactiv Corporation 22,700 179
Phelps Dodge Corporation 10,710 398
Placer Dome, Inc. 43,100 412
Potlatch Corporation 3,800 126
PPG Industries, Inc. 23,000 1,019
Praxair, Inc. 21,100 790
Rohm and Haas Company 29,001 1,001
Sigma-Aldrich Corporation 13,400 392
Temple-Inland, Inc. 7,400 311
Union Carbide Corporation 17,700 876
USX-U. S. Steel Group 11,700 217
Vulcan Materials Company 13,300 568
*W.R. Grace & Co. 9,500 115
Westvaco Corporation 13,250 329
Weyerhaeuser Company 31,100 1,337
</TABLE>
37 Balanced Portfolio
<PAGE> 46
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (47.8%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS continued
Willamette Industries, Inc. 14,800 $ 403
Worthington Industries, Inc. 11,800 124
-----------
TOTAL 32,120
-----------
CAPITAL GOODS (4.1%)
*Allied Waste Industries,
Inc. 25,000 250
*American Power Conversion
Corporation 25,500 1,041
Avery Dennison Corporation 14,900 1,000
The B.F. Goodrich Company 14,600 497
Ball Corporation 4,000 129
The Boeing Company 115,118 4,813
Briggs & Stratton Corporation 3,000 103
Caterpillar, Inc. 47,100 1,596
Cooper Industries, Inc. 12,500 407
Corning Incorporated 36,500 9,850
Crane Co. 8,725 212
Crown Cork & Seal Company,
Inc. 17,100 257
Cummins Engine Company, Inc. 5,500 150
Danaher Corporation 18,900 934
Deere & Company 31,000 1,147
Dover Corporation 27,000 1,095
Eaton Corporation 9,800 657
Emerson Electric Co. 57,100 3,447
Fluor Corporation 10,100 319
General Dynamics Corporation 26,600 1,390
General Electric Company 1,304,300 69,128
Honeywell International, Inc. 104,850 3,532
Illinois Tool Works, Inc. 39,800 2,269
*Ingersoll-Rand Company 21,650 871
ITT Industries, Inc. 11,600 352
Johnson Controls, Inc. 11,300 580
Lockheed Martin Corporation 52,422 1,301
McDermott International, Inc. 7,900 70
Milacron, Inc. 4,900 71
Millipore Corporation 6,000 452
Minnesota Mining and
Manufacturing Company 52,900 4,364
Molex Incorporated 26,025 1,252
NACCO Industries, Inc. -
Class A 1,100 39
National Service Industries,
Inc. 5,400 105
*Navistar International
Corporation 8,370 260
Northrop Grumman Corporation 9,200 610
*Owens-Illinois, Inc. 19,900 233
PACCAR Inc. 10,390 412
Pall Corporation 16,466 305
Parker-Hannifin Corporation 14,900 510
Pitney Bowes, Inc. 35,100 1,404
Rockwell International
Corporation 25,100 791
*Sealed Air Corporation 11,086 581
*Solectron Corporation 78,500 3,287
Textron, Inc. 19,700 1,070
*Thermo Electron Corporation 21,000 442
Thomas & Betts Corporation 7,700 147
The Timken Company 8,200 153
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (47.8%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
CAPITAL GOODS continued
Tyco International Ltd. 224,118 $ 10,618
United Technologies
Corporation 62,900 3,703
Waste Management, Inc. 82,097 1,560
-----------
TOTAL 139,766
-----------
COMMUNICATION SERVICES (3.3%)
ALLTEL Corporation 41,600 2,577
AT&T Corp. 501,070 15,846
Bell Atlantic Corporation 205,780 10,456
BellSouth Corporation 249,400 10,631
CenturyTel, Inc. 18,500 532
*Global Crossing Ltd. 103,285 2,718
GTE Corporation 128,800 8,018
*Nextel Communications, Inc.
- Class A 96,600 5,911
SBC Communications, Inc. 452,050 19,550
Sprint Corporation (FON
Group) 115,500 5,891
*Sprint Corporation (PCS
Group) 114,200 6,795
U S WEST, Inc. 67,005 5,746
*WorldCom, Inc. 376,083 17,252
-----------
TOTAL 111,923
-----------
CONSUMER CYCLICAL (3.5%)
American Greetings
Corporation - Class A 8,500 162
Armstrong World Industries,
Inc. 5,300 81
*AutoZone, Inc. 18,300 403
*Bed Bath & Beyond, Inc. 18,600 674
*Best Buy Co., Inc. 27,100 1,714
The Black & Decker
Corporation 11,500 452
Brunswick Corporation 12,200 202
Carnival Corporation 81,800 1,595
*Cendant Corporation 93,573 1,310
Centex Corporation 7,900 186
Circuit City Stores, Inc. 26,900 893
*Consolidated Stores
Corporation 14,700 176
*Convergys Corporation 20,200 1,048
Cooper Tire & Rubber Company 10,100 112
*Costco Wholesale Corporation 58,902 1,944
Dana Corporation 21,765 461
Delphi Automotive Systems
Corporation 74,844 1,090
Dillard's, Inc. - Class A 13,900 170
Dollar General Corporation 43,785 854
Dow Jones & Company, Inc. 11,900 872
The Dun & Bradstreet
Corporation 21,300 610
*Federated Department Stores,
Inc. 27,800 938
Ford Motor Company 160,100 6,884
Gannett Co., Inc. 36,900 2,207
The Gap, Inc. 112,725 3,523
General Motors Corporation 73,405 4,262
Genuine Parts Company 23,575 472
The Goodyear Tire & Rubber
Company 20,700 414
H&R Block, Inc. 13,000 421
</TABLE>
Balanced Portfolio 38
<PAGE> 47
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (47.8%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
CONSUMER CYCLICAL continued
Harcourt General, Inc. 9,400 $ 511
Harley-Davidson, Inc. 40,100 1,544
*Harrah's Entertainment, Inc. 17,000 356
Hasbro, Inc. 23,325 351
Hilton Hotels Corporation 48,900 458
The Home Depot, Inc. 305,097 15,235
IMS Health Incorporated 40,800 734
The Interpublic Group of
Companies, Inc. 37,200 1,600
J. C. Penney Company, Inc. 34,500 636
Kaufman and Broad Home
Corporation 6,300 125
*Kmart Corporation 64,500 439
Knight-Ridder, Inc. 10,300 548
*Kohl's Corporation 43,200 2,403
Leggett & Platt, Incorporated 26,000 429
The Limited, Inc. 56,970 1,232
Liz Claiborne, Inc. 7,800 275
Lowe's Companies, Inc. 50,700 2,082
Marriott International, Inc.
- Class A 33,000 1,190
Masco Corporation 59,200 1,069
Mattel, Inc. 55,760 735
The May Department Stores
Company 44,050 1,057
Maytag Corporation 11,200 413
The McGraw-Hill Companies,
Inc. 26,000 1,404
Meredith Corporation 6,800 230
The New York Times Company -
Class A 22,700 897
NIKE, Inc. - Class B 36,600 1,457
Nordstrom, Inc. 17,800 429
*Office Depot, Inc. 43,600 273
Omnicom Group, Inc. 23,500 2,093
Owens Corning 7,300 68
Pulte Corporation 5,700 123
*RadioShack Corporation 25,600 1,213
*Reebok International Ltd. 7,500 120
Russell Corporation 4,400 88
Sears, Roebuck & Co. 50,100 1,635
The Sherwin-Williams Company 22,000 466
Snap-on Incorporated 7,750 206
Springs Industries, Inc. -
Class A 2,400 77
The Stanley Works 11,800 280
*Staples, Inc. 62,250 957
Target Corporation 58,100 3,370
The TJX Companies, Inc. 41,100 771
*Toys 'R Us, Inc. 31,800 463
Tribune Company 42,100 1,474
TRW, Inc. 16,100 698
V. F. Corporation 15,700 374
*Visteon Corporation 20,962 254
Wal-Mart Stores, Inc. 590,200 34,009
Whirlpool Corporation 9,900 462
Young & Rubicam, Inc. 9,200 526
-----------
TOTAL 121,969
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (47.8%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (5.0%)
Adolph Coors Company - Class
B 4,900 $ 296
Alberto-Culver Company -
Class B 7,400 226
Albertson's, Inc. 56,150 1,867
Anheuser-Busch Companies,
Inc. 61,700 4,608
Avon Products, Inc. 32,100 1,428
Bestfoods 37,000 2,562
Brown-Forman Corporation -
Class B 9,100 489
Campbell Soup Company 56,500 1,646
Cardinal Health, Inc. 37,300 2,760
*Clear Channel
Communications, Inc. 44,900 3,368
The Clorox Company 31,300 1,403
The Coca-Cola Company 327,300 18,799
Coca-Cola Enterprises, Inc. 56,400 920
Colgate-Palmolive Company 77,200 4,622
Comcast Corporation - Class A 122,800 4,973
ConAgra, Inc. 65,300 1,245
CVS Corporation 51,900 2,076
Darden Restaurants, Inc. 17,000 276
Deluxe Corporation 9,700 229
Fort James Corporation 28,700 664
Fortune Brands, Inc. 21,700 500
General Mills, Inc. 39,900 1,526
The Gillette Company 142,100 4,965
The Great Atlantic & Pacific
Tea Company, Inc. 5,100 85
H.J. Heinz Company 46,950 2,054
Hershey Foods Corporation 18,300 888
Kellogg Company 53,700 1,598
Kimberly-Clark Corporation 73,632 4,225
*The Kroger Co. 110,600 2,440
Longs Drug Stores Corporation 5,200 113
McDonald's Corporation 179,400 5,909
McKesson HBOC, Inc. 37,353 782
Nabisco Group Holdings Corp. 43,200 1,121
Newell Rubbermaid, Inc. 37,371 962
PepsiCo, Inc. 192,900 8,572
Philip Morris Companies, Inc. 313,500 8,327
The Procter & Gamble Company 174,300 9,979
The Quaker Oats Company 17,700 1,330
R. R. Donnelley & Sons
Company 16,800 379
Ralston Purina Company 40,000 798
Rite Aid Corporation 34,300 225
*Safeway, Inc. 67,400 3,041
Sara Lee Corporation 120,400 2,325
The Seagram Company Ltd. 57,400 3,329
*Starbucks Corporation 24,300 928
SUPERVALU INC 18,500 353
SYSCO Corporation 43,700 1,841
Time Warner, Inc. 170,500 12,958
*Tricon Global Restaurants,
Inc. 19,990 565
Tupperware Corporation 7,600 167
UST, Inc. 22,700 333
*Viacom, Inc. - Class B 201,961 13,771
Walgreen Co. 133,300 4,291
</TABLE>
39 Balanced Portfolio
<PAGE> 48
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (47.8%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES continued
The Walt Disney Company 274,308 $ 10,647
Wendy's International, Inc. 15,800 281
Winn-Dixie Stores, Inc. 19,400 278
Wm. Wrigley Jr. Company 15,300 1,227
-----------
TOTAL 167,570
-----------
ENERGY (2.6%)
Amerada Hess Corporation 12,000 741
Anadarko Petroleum
Corporation 16,900 833
Apache Corporation 15,100 888
Ashland, Inc. 9,400 330
Baker Hughes Incorporated 43,640 1,396
Burlington Resources, Inc. 28,775 1,101
Chevron Corporation 87,000 7,379
Conoco, Inc. - Class B 83,000 2,039
Exxon Mobil Corporation 457,673 35,927
Halliburton Company 58,500 2,760
Kerr-McGee Corporation 12,657 746
Occidental Petroleum
Corporation 48,700 1,026
Phillips Petroleum Company 33,600 1,703
*Rowan Companies, Inc. 12,200 371
Royal Dutch Petroleum Company 284,100 17,490
Schlumberger Limited 72,900 5,440
Sunoco, Inc. 12,000 353
Texaco, Inc. 73,300 3,903
Tosco Corporation 19,100 541
Transocean Sedco Forex, Inc. 27,704 1,480
Unilever N.V. 75,707 3,255
Union Pacific Resources
Group, Inc. 33,358 734
Unocal Corporation 32,100 1,063
USX-Marathon Group 41,200 1,033
-----------
TOTAL 92,532
-----------
FINANCE (6.1%)
AFLAC Incorporated 35,300 1,622
The Allstate Corporation 106,694 2,374
American Express Company 178,000 9,278
American General Corporation 32,703 1,995
American International Group,
Inc. 205,178 24,108
AmSouth Bancorporation 51,800 816
Aon Corporation 33,975 1,055
Associates First Capital
Corporation - Class A 96,538 2,154
Bank of America Corporation 226,195 9,726
The Bank of New York Company,
Inc. 97,600 4,538
Bank One Corporation 151,945 4,036
BB&T Corporation 46,000 1,098
The Bear Stearns Companies,
Inc. 15,002 624
Capital One Financial
Corporation 26,100 1,165
The Charles Schwab
Corporation 175,675 5,907
The Chase Manhattan
Corporation 163,972 7,553
The Chubb Corporation 23,300 1,433
CIGNA Corporation 22,300 2,085
Cincinnati Financial
Corporation 21,700 682
Citigroup, Inc. 446,782 26,919
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (47.8%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
FINANCE continued
Comerica Incorporated 20,700 $ 929
Conseco, Inc. 43,370 423
Countrywide Credit
Industries, Inc. 15,000 455
Federal Home Loan Mortgage
Corporation 92,100 3,730
Federal National Mortgage
Association 135,800 7,087
First Union Corporation 130,886 3,248
Firstar Corporation 129,929 2,737
Firth Third Bancorp 40,875 2,585
FleetBoston Financial
Corporation 121,351 4,126
Franklin Resources, Inc. 32,900 999
Golden West Financial
Corporation 21,400 873
The Hartford Financial
Services Group, Inc. 29,400 1,645
Household International, Inc. 62,259 2,588
Huntington Bancshares
Incorporated 30,328 480
J.P. Morgan & Co.
Incorporated 22,900 2,522
Jefferson-Pilot Corporation 13,875 783
KeyCorp 59,300 1,045
Lehman Brothers Holdings,
Inc. 15,900 1,504
Lincoln National Corporation 25,900 936
Loews Corporation 14,100 846
Marsh & McLennan Companies,
Inc. 35,400 3,697
MBIA, Inc. 13,200 636
MBNA Corporation 106,232 2,882
Mellon Financial Corporation 67,400 2,456
Merrill Lynch & Co., Inc. 49,100 5,647
MGIC Investment Corporation 14,000 637
Morgan Stanley Dean Witter &
Co. 150,960 12,567
National City Corporation 81,700 1,394
Northern Trust Corporation 29,500 1,919
Old Kent Financial
Corporation 18,480 494
Paine Webber Group, Inc. 18,900 860
The PNC Financial Services
Group, Inc. 39,000 1,828
The Progressive Corporation 9,700 718
Providian Financial
Corporation 18,850 1,697
Regions Financial Corporation 29,000 576
SAFECO Corporation 17,200 342
SLM Holding Corporation 21,100 790
SouthTrust Corporation 22,200 502
The St. Paul Companies, Inc. 30,106 1,027
State Street Corporation 21,200 2,249
Summit Bancorp 23,200 571
SunTrust Banks, Inc. 42,400 1,937
Synovus Financial Corp. 37,050 653
T. Rowe Price Associates,
Inc. 15,900 676
Torchmark Corporation 17,400 430
U.S. Bancorp 99,787 1,921
Union Planters Corporation 18,700 522
UnumProvident Corporation 31,806 638
</TABLE>
Balanced Portfolio 40
<PAGE> 49
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (47.8%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
FINANCE continued
Wachovia Corporation 26,900 $ 1,459
Washington Mutual, Inc. 76,514 2,209
Wells Fargo & Company 218,760 8,477
-----------
TOTAL 211,120
-----------
HEALTHCARE (5.5%)
Abbott Laboratories 203,700 9,077
Aetna, Inc. 18,993 1,219
Allergan, Inc. 17,400 1,296
*ALZA Corporation 13,500 798
American Home Products
Corporation 173,000 10,164
*Amgen, Inc. 135,400 9,512
Bausch & Lomb Incorporated 7,000 542
Baxter International, Inc. 38,600 2,714
Becton, Dickinson and Company 33,300 955
*Biogen, Inc. 19,900 1,284
Biomet, Inc. 15,000 577
*Boston Scientific
Corporation 55,000 1,207
Bristol-Myers Squibb Company 262,900 15,314
C. R. Bard, Inc. 6,800 327
Columbia/HCA Healthcare
Corporation 74,650 2,267
Eli Lilly and Company 144,500 14,432
*Guidant Corporation 40,700 2,015
*HEALTHSOUTH Corporation 51,200 368
*Humana, Inc. 22,200 108
Johnson & Johnson 184,400 18,786
Mallinckrodt, Inc. 9,100 395
*Manor Care, Inc. 13,700 96
Medtronic, Inc. 158,300 7,885
Merck & Co., Inc. 309,700 23,731
PE Corporation 27,300 1,798
Pfizer, Inc. 825,950 39,646
Pharmacia Corporation 165,821 8,571
*Quintiles Transnational
Corp. 15,200 215
Schering-Plough Corporation 194,700 9,832
*St. Jude Medical, Inc. 11,150 512
*Tenet Healthcare Corporation 41,300 1,115
UnitedHealth Group
Incorporated 22,500 1,929
*Watson Pharmaceuticals, Inc. 12,700 683
*Wellpoint Health Networks,
Inc. - Class A 8,400 608
-----------
TOTAL 189,978
-----------
TECHNOLOGY (15.3%)
*3Com Corporation 45,400 2,616
*Adaptec, Inc. 13,700 312
*ADC Telecommunications, Inc. 39,800 3,338
Adobe Systems Incorporated 15,700 2,041
*Advanced Micro Devices, Inc. 19,500 1,506
*Agilent Technologies, Inc. 59,845 4,414
*Altera Corporation 26,400 2,691
*America Online, Inc. 302,400 15,952
*Analog Devices, Inc. 46,300 3,519
*Andrew Corporation 10,662 358
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (47.8%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
TECHNOLOGY continued
*Apple Computer, Inc. 42,800 $ 2,242
*Applied Materials, Inc. 101,400 9,189
Autodesk, Inc. 8,200 284
Automatic Data Processing,
Inc. 83,500 4,472
*BMC Software, Inc. 32,400 1,182
*Cabletron Systems, Inc. 24,100 609
*Ceridian Corporation 19,200 462
*Cisco Systems, Inc. 906,700 57,632
*Citrix Systems, Inc. 23,700 449
Compaq Computer Corporation 224,467 5,738
Computer Associates
International, Inc. 78,012 3,993
*Computer Sciences
Corporation 22,200 1,658
*Compuware Corporation 47,800 496
*Comverse Technology, Inc. 20,200 1,879
*Conexant Systems, Inc. 28,500 1,386
*Dell Computer Corporation 339,900 16,761
Eastman Kodak Company 41,800 2,487
Electronic Data Systems
Corporation 62,400 2,574
*EMC Corporation 269,686 20,749
Equifax, Inc. 18,700 491
First Data Corporation 55,500 2,754
*Gateway, Inc. 41,900 2,378
Hewlett-Packard Company 133,200 16,633
IKON Office Solutions, Inc. 19,900 77
Intel Corporation 442,700 59,184
International Business
Machines Corporation 238,900 26,174
*KLA-Tencor Corporation 24,300 1,423
*Lexmark International Group,
Inc. - Class A 16,900 1,137
Linear Technology Corporation 41,200 2,634
*LSI Logic Corporation 39,400 2,133
Lucent Technologies, Inc. 422,347 25,024
*Maxim Integrated Products,
Inc. 36,800 2,500
*Micron Technology, Inc. 71,600 6,305
*Microsoft Corporation 689,700 55,176
*MIPS Technologies, Inc. -
Class B 3,381 130
Motorola, Inc. 281,886 8,192
*National Semiconductor
Corporation 22,700 1,288
*NCR Corporation 12,800 498
*Network Appliance, Inc. 40,400 3,252
Nortel Networks Corporation 382,640 26,115
*Novell, Inc. 43,300 401
*Oracle Corporation 373,850 31,427
*Parametric Technology
Corporation 36,300 399
Paychex, Inc. 49,100 2,062
*PeopleSoft, Inc. 35,600 596
PerkinElmer, Inc. 6,300 417
Polaroid Corporation 5,900 107
QUALCOMM, Incorporated 97,800 5,868
Raytheon Company - Class B 44,800 862
</TABLE>
41 Balanced Portfolio
<PAGE> 50
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (47.8%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
TECHNOLOGY continued
Sabre Holdings Corporation -
Class A 17,109 $ 488
*Sapient Corporation 7,700 823
Scientific-Atlanta, Inc. 21,000 1,565
*Seagate Technology, Inc. 30,100 1,656
Shared Medical Systems
Corporation 3,600 263
*Siebel Systems, Inc. 25,500 4,171
*Silicon Graphics, Inc. 24,400 92
*Sun Microsystems, Inc. 209,200 19,024
Tektronix, Inc. 6,300 466
*Tellabs, Inc. 53,300 3,648
*Teradyne, Inc. 22,700 1,668
Texas Instruments
Incorporated 215,500 14,802
*Unisys Corporation 41,200 600
*VERITAS Software Corporation 51,500 5,820
W.W. Grainger, Inc. 12,400 382
Xerox Corporation 88,000 1,826
*Xilinx, Inc. 42,600 3,517
*Yahoo!, Inc. 69,800 8,646
-----------
TOTAL 526,083
-----------
TRANSPORTATION (0.3%)
*AMR Corporation 19,600 518
Burlington Northern Santa Fe
Corporation 60,599 1,390
CSX Corporation 28,900 612
Delta Air Lines, Inc. 17,100 865
*FedEx Corporation 38,440 1,460
Kansas City Southern
Industries, Inc. 14,600 1,295
Norfolk Southern Corporation 50,600 753
Ryder System, Inc. 7,900 150
Southwest Airlines Co. 66,875 1,266
Union Pacific Corporation 32,900 1,223
*US Airways Group, Inc. 9,500 371
-----------
TOTAL 9,903
-----------
UTILITIES (1.2%)
*The AES Corporation 57,500 2,623
Ameren Corporation 18,200 614
American Electric Power
Company, Inc. 42,740 1,266
Carolina Power & Light
Company 21,100 674
Cinergy Corp. 21,105 537
CMS Energy Corporation 15,300 339
The Coastal Corporation 28,300 1,723
Columbia Energy Group 10,800 709
Consolidated Edison, Inc. 29,300 868
Constellation Energy Group 19,800 645
Dominion Resources, Inc. 31,525 1,352
DTE Energy Company 19,200 587
Duke Energy Corporation 48,471 2,733
Eastern Enterprises 3,600 227
Edison International 46,000 943
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
COMMON STOCK (47.8%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
UTILITIES continued
El Paso Energy Corporation 30,300 $ 1,543
Enron Corp. 94,800 6,114
Entergy Corporation 32,700 889
FirstEnergy Corp. 30,900 722
Florida Progress Corporation 13,000 609
FPL Group, Inc. 23,800 1,178
GPU, Inc. 16,400 444
New Century Energies, Inc. 15,300 459
*Niagara Mohawk Holdings,
Inc. 23,500 328
Nicor, Inc. 6,200 202
Northern States Power Company 20,500 414
ONEOK, Inc. 4,100 106
PECO Energy Company 24,600 992
Peoples Energy Corporation 4,700 152
PG&E Corporation 50,900 1,253
Pinnacle West Capital
Corporation 11,200 379
PPL Corporation 19,033 418
Public Service Enterprise
Group Incorporated 29,000 1,004
Reliant Energy, Inc. 39,226 1,160
Sempra Energy 27,059 460
The Southern Company 89,200 2,079
TXU Corp. 36,595 1,080
Unicom Corporation 28,800 1,114
The Williams Companies, Inc. 57,600 2,401
-----------
TOTAL 41,340
-----------
TOTAL COMMON STOCK (COST
$663,124) 1,644,304
-----------
<CAPTION>
MONEY MARKET INVESTMENTS (12.2%)
---------------------------------------------------------
<S> <C> <C>
CAPTIVE FINANCE COMPANIES (2.9%)
Daimler-Chrysler N.A.
Holdings, 6.54%, 7/31/00 23,500,000 23,372
General Motors Acceptance
Corporation, 6.55%, 8/21/00 40,000,000 39,630
Toyota Motor Credit, 6.6%,
8/2/00 39,000,000 38,771
-----------
TOTAL 101,773
-----------
FEDERAL GOVERNMENT AND AGENCIES (0.6%)
#Federal National Mortgage
Association, 6.40%, 7/17/00 21,000,000 20,940
-----------
TOTAL 20,940
-----------
FINANCE SERVICES (4.0%)
#Asset Securitization, 6.55%,
8/15/00 40,000,000 39,964
#Ciesco LP, 6.55%, 8/14/00 24,500,000 24,304
#Citicorp, 6.62%, 8/10/00 40,000,000 39,706
CXC Incorporated, 6.63%,
8/25/00 20,000,000 19,797
CXC Incorporated, 6.66%,
8/9/00 16,500,000 16,381
-----------
TOTAL 140,152
-----------
</TABLE>
Balanced Portfolio 42
<PAGE> 51
<TABLE>
<CAPTION>
MARKET
MONEY MARKET INVESTMENTS SHARES/ VALUE
(12.2%) PAR (000'S)
---------------------------------------------------------
<S> <C> <C>
MISC. BUSINESS CREDIT INSTITUTIONS (0.6%)
Quincy Capital, 6.76%,
7/12/00 19,023,000 $ 18,984
-----------
TOTAL 18,984
-----------
OFFICE MACHINES (0.3%)
#Xerox Corporation, 6.68%,
7/5/00 8,900,000 8,893
-----------
TOTAL 8,893
-----------
PERSONAL CREDIT INSTITUTIONS (1.2%)
Associates Corporation of
North America, 6.94%, 7/3/00 13,300,000 13,295
New Center Asset Trust,
6.55%, 8/21/00 30,000,000 29,721
-----------
TOTAL 43,016
-----------
SECURITY BROKERS AND DEALERS (2.0%)
The Goldman Sachs Group,
6.57%, 7/5/00 28,270,000 28,249
The Goldman Sachs Group,
6.95%, 7/5/00 10,000,000 9,992
Salomon Smith Barney
Holdings, Inc., 6.56%,
8/14/00 18,100,000 17,955
#Salomon Smith Barney
Holdings Inc., 6.58%,
8/07/00 11,100,000 11,025
-----------
TOTAL 67,221
-----------
SHORT TERM BUSINESS CREDIT (0.6%)
Transamerica Financial,
6.57%, 8/14/00 20,000,000 19,839
-----------
TOTAL 19,839
-----------
TOTAL MONEY MARKET INVESTMENTS
(COST $420,818) 420,818
-----------
TOTAL INVESTMENTS (99.4%)
(COST $2,472,454)/\ 3,424,142
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
VALUE
(000'S)
---------------------------------------------------------
<S> <C> <C>
OTHER ASSETS, LESS LIABILITIES (0.6%) $ 19,375
-----------
TOTAL NET ASSETS (100.0%) $ 3,443,517
-----------
</TABLE>
144A after the name of a security represents a security exempt from registration
under Rule 144A of the Securities Act of 1993. 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 period
end is summarized below.
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION/
NUMBER OF EXPIRATION (DEPRECIATION)
ISSUER CONTRACTS DATE (000'S)
-------------------------------------------------------------
<S> <C> <C> <C>
S & P 500 626 Sep-00 $(1,990)
Total Notional Value
at 6/30/2000
$231,748
US Long Bond 245 Sep-00 $(1,040)
Total Notional Value
at 6/30/2000
$23,610
</TABLE>
/\At 6/30/2000, the aggregate cost of securities for federal income tax purposes
was $2,472,454 and the net unrealized appreciation of investments based on
that cost was $951,688 which is comprised of $1,048,418 aggregate gross
unrealized appreciation and $97,130 aggregate gross unrealized depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements
43 Balanced Portfolio
<PAGE> 52
<TABLE>
<CAPTION>
Objective: Portfolio Strategy: Net Assets:
<S> <C> <C> <C>
High current income and capital Generate superior performance by investing in a $149,036,789
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.
In a difficult environment for high yield bonds, the Portfolio performed
slightly better than its benchmark, the Lehman Brothers High Yield Intermediate
Market Index, for the six months ended June 2000 but underperformed for the last
12 months.
High yield bond funds have been under pressure from several forces over the last
two years. A rising level of defaults of bonds issued two to three years ago,
when the market was very bullish and credit standards became somewhat lax, has
hurt the asset class. Rising interest rates and generally difficult conditions
in the bond market have exacerbated a challenging credit environment.
Disappointing short-term performance, especially relative to stock funds, has
caused retail investors to reduce investments in high yield bond funds, more
than offsetting increases in exposure by institutional investors such as
insurance companies and pension funds. Fund managers have had to sell securities
to meet net redemptions; these sales have created downward pressure on bond
prices.
PERCENTAGE HOLDINGS BY INDUSTRY SECTOR
6/30/2000
[PIE CHART]
<TABLE>
<CAPTION>
Percentage Holdings
-------------------
<S> <C>
Telecommunications 20
Consumer Cyclicals 17
Broadcast & Cable 13
Basic Materials/Capital Goods/Energy 9
Consumer Staples 9
Financials 8
Utilities 8
Transport Services 5
Miscellaneous 4
Cash Equivalents 7
</TABLE>
To cope with this situation, and also in anticipation that an economic slowdown
may result in further market pressure, the Portfolio's managers have adopted a
defensive stance. The focus is on relatively high quality issues that offer
long-term value and above-average liquidity; some yield has been sacrificed for
greater safety. The industry exposure has emphasized domestic sectors such as
telecommunications, cable, broadcasting, health care and lodging, which are less
subject to economic cycles than heavy industries. This approach is proving
successful, as there have been no major credit losses in the Portfolio during
2000; the annualized market default rate for high yield bonds at mid-year is
approximately 6%.
PERFORMANCE RELATIVE TO THE LEHMAN BROTHERS INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
LEHMAN BROTHERS HIGH YIELD
HIGH YIELD BOND PORTFOLIO INTERMEDIATE MARKET INDEX
------------------------- --------------------------
<S> <C> <C>
5/94 10000 10000
6/94 10110 10061
6/95 11490 11331
6/96 12836 12466
6/97 15684 14159
6/98 17635 15681
6/99 16476 15618
6/00 16124 15454
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------
Average Annual Total Return
For Periods Ended June 30, 2000
Since
1 Year 5 Years Inception#
--------------------------------------------------------------
<S> <C> <C> <C>
High Yield Bond Portfolio -2.14% 7.01% 8.07%
Lehman Brothers High Yield
Intermediate Market Index -1.05% 6.40% 7.32%
--------------------------------------------------------------
# Inception date of 5/3/1994
</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 58.
High Yield Bond Portfolio 44
<PAGE> 53
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
June 30, 2000 (unaudited)
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
BONDS (83.8%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS (3.6%)
METALS & MINING (3.1%)
Centaur Mining & Exploration
Limited, 11%, 12/01/07 1,250,000 $ 1,000
Glencore Nickel, Ltd., 9%,
12/01/14 500,000 415
Great Central Mines, Ltd.,
8.875%, 04/01/08 2,400,000 1,944
USEC Inc., 6.625%, 01/20/06 1,650,000 1,318
---------
TOTAL 4,677
---------
PAPER (0.5%)
APP China Group, Ltd., 14%,
03/15/10 (144A) 1,200,000 756
---------
TOTAL 756
---------
TOTAL BASIC MATERIALS 5,433
---------
CAPITAL GOODS (2.4%)
Building One Services, 10.5%,
05/01/09 1,500,000 1,275
Integrated Electrical Services,
Series B, 9.375%, 02/12/09 1,450,000 1,175
United Rentals, Inc., 8.8%,
08/15/08 1,250,000 1,100
---------
TOTAL CAPITAL GOODS 3,550
---------
CONSUMER CYCLICAL (15.7%)
AUTO & TRUCKS (1.5%)
Avis Group Holdings, Inc., 11%,
05/01/09 1,250,000 1,303
Budget Group Inc., 9.125%,
04/01/06 1,500,000 960
---------
TOTAL 2,263
---------
AUTO RELATED (1.4%)
American Axle & Manufacturing
Inc., 9.75%, 03/01/09 800,000 746
Federal-Mogul Corporation,
7.375%, 01/15/06 1,400,000 1,018
Lear Corporation, 8.11%, 05/15/09 400,000 364
---------
TOTAL 2,128
---------
FOOD SERVICE (0.6%)
Host Marriott L.P., 8.375%,
02/15/06 1,000,000 930
---------
TOTAL 930
---------
HOME CONSTRUCTION (0.8%)
Lennar Corporation, 9.95%,
05/01/10 (144A) 1,250,000 1,231
---------
TOTAL 1,231
---------
HOUSEHOLD FURNISHINGS - APPLIANCES (1.2%)
Rent-A-Center, Inc, 11%, 08/15/08 1,800,000 1,746
---------
TOTAL 1,746
---------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
BONDS (83.8%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
LEISURE RELATED (2.6%)
Bally Total Fitness Holdings,
Series D, 9.875%, 10/15/07 1,600,000 $ 1,448
Boyds Collection Ltd., Series B,
9%, 05/15/08 750,000 660
Park Place Entertainment
Corporation, 9.375%, 02/15/07 1,200,000 1,200
Royal Caribbean Cruises Ltd., 7%,
10/15/07 600,000 532
---------
TOTAL 3,840
---------
LODGING/RESORTS (4.2%)
Felcor Suites LP, 7.625%,
10/01/07 1,250,000 1,086
Hilton Hotels Corp., 5%, 05/15/06 2,450,000 1,936
HMH Properties, Inc., Series B,
7.875%, 08/01/08 900,000 808
John Q. Hammons Hotels, Inc.,
8.875%, 02/15/04 1,200,000 1,056
Starwood Hotels & Resorts,
7.375%, 11/15/15 1,650,000 1,390
---------
TOTAL 6,276
---------
PRINTING & PUBLISHING (1.9%)
Jostens, Inc., 12.75%, 05/01/10
(144A) 1,000,000 985
Mail-Well, Inc., 5%, 11/01/02 1,800,000 1,469
Marvel Enterprises, Inc., 12%,
06/15/09 400,000 320
---------
TOTAL 2,774
---------
RETAIL - GENERAL (1.5%)
Buhrmann US Inc., 12.25%,
11/01/09 2,150,000 2,258
---------
TOTAL 2,258
---------
TOTAL CONSUMER CYCLICAL 23,446
---------
CONSUMER STAPLES (9.4%)
DRUGS (0.7%)
ICN Pharmaceuticals, Inc., 8.75%,
11/15/08 (144A) 750,000 739
ICN Pharmaceuticals, Inc., 9.25%,
08/15/05 350,000 347
---------
TOTAL 1,086
---------
GAMING (2.9%)
Hollywood Casino, 13%, 08/01/06
(144A) 850,000 903
Jupiters Limited, 8.5%, 03/01/06 1,000,000 933
Mandalay Resort Group, 7.625%,
07/15/13 1,850,000 1,516
Station Casinos, Inc., 9.875%,
07/01/10 (144A) 1,000,000 1,003
---------
TOTAL 4,355
---------
</TABLE>
45 High Yield Bond Portfolio
<PAGE> 54
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
BONDS (83.8%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
HEALTHCARE (5.8%)
Columbia/HCA Healthcare, Inc.,
7.69%, 06/15/25 1,450,000 $ 1,146
Hanger Orthopedic Group, Inc.,
11.25%, 06/15/09 1,150,000 1,001
HEALTHSOUTH Corporation, 3.25%,
04/01/03 3,700,000 2,904
HEALTHSOUTH Corporation, 6.875%,
06/15/05 300,000 257
Renal Treatment Centers, Inc.,
5.625%, 07/15/06 1,200,000 798
Total Renal Care Holdings, Inc.,
7%, 05/15/09 3,600,000 2,425
---------
TOTAL 8,531
---------
TOTAL CONSUMER STAPLES 13,972
---------
ENERGY (2.9%)
COAL (0.7%)
P&L Coal Holdings Corporation,
8.875%, 05/15/08 1,100,000 1,037
---------
TOTAL 1,037
---------
REFINING (2.2%)
Conproca S.A., 12%, 06/16/10
(144A) 1,100,000 1,133
PDV America, Inc., 7.875%,
08/01/03 2,250,000 2,128
---------
TOTAL 3,261
---------
TOTAL ENERGY 4,298
---------
FINANCE (6.6%)
BANKS (1.3%)
Sovereign Bancorp, 10.5%,
11/15/06 1,900,000 1,876
---------
TOTAL 1,876
---------
FINANCE COMPANIES (3.2%)
Metris Companies, Inc., 10.125%,
07/15/06 2,600,000 2,470
PDVSA Finance Ltd. 1999-i, 9.75%,
02/15/10 2,600,000 2,483
---------
TOTAL 4,953
---------
FINANCIAL SERVICES (1.1%)
Labranche & Company, Series 144A,
12%, 03/01/07 1,600,000 1,594
---------
TOTAL 1,594
---------
INSURANCE (1.0%)
Willis Corroon Corp., 9%,
02/01/09 1,750,000 1,470
---------
TOTAL 1,470
---------
TOTAL FINANCE 9,893
---------
MISCELLANEOUS (4.8%)
R.E.I.T. (2.0%)
Macerich Company, 7.25%, 12/15/02
(144A) 1,200,000 1,065
Security Capital U.S. Realty, 2%,
05/22/03 (144A) 2,500,000 1,969
---------
TOTAL 3,034
---------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
BONDS (83.8%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
REAL ESTATE (2.8%)
Crescent Real Estate, 7%,
09/15/02 500,000 $ 460
Crescent Real Estate, 7.5%,
09/15/07 2,950,000 2,391
JDN Realty Corporation, 6.918%,
03/31/03 600,000 501
JDN Realty Corporation, 6.95%,
08/01/07 1,000,000 739
---------
TOTAL 4,091
---------
TOTAL MISCELLANEOUS 7,125
---------
TECHNOLOGY (27.1%)
BROADCASTING (1.8%)
Crown Castle International Corp.,
10.75%, 08/01/11 1,000,000 1,014
+Spectrasite Holdings, Inc.,
12.875%, 03/15/10 (144A) 800,000 436
XM Satellite Radio Holdings Inc.,
14%, 03/15/10 1,400,000 1,232
---------
TOTAL 2,682
---------
CABLE (7.1%)
Charter Communication Holdings,
LLC, 8.625%, 04/01/09 800,000 703
+Charter Communication Holdings,
LLC, 11.75%, 01/15/10 750,000 427
+Charter Communications Holdings,
LLC, 9.92%, 04/01/11 750,000 426
+International Cabletel, Inc.
11.5%, 02/01/06 1,000,000 923
NTL Communications Corp., 11.5%,
10/01/08 1,950,000 1,940
+NTL, Inc., 9.75%, 04/01/08 1,900,000 1,188
Telewest Communications Plc,
9.875%, 02/01/10 (144A) 400,000 372
+Telewest Communications Plc,
9.25%, 04/15/09 1,000,000 540
+United Global Communications,
Inc., Series B, 1.75%, 02/15/08 3,300,000 2,309
United Pan-Europe Communications
N.V., 10.875%, 08/01/09 1,550,000 1,349
+United Pan-Europe Communications
N.V., 13.75%, 2/01/10 600,000 282
---------
TOTAL 10,459
---------
ELECTRONICS (0.5%)
Flextronics International Ltd.,
9.875%, 07/01/10 800,000 806
---------
TOTAL 806
---------
TELECOMMUNICATIONS (17.7%)
Adelphia Business Solutions,
Inc., 12.25%, 09/01/04 1,900,000 1,919
Arch Communications Inc., 12.75%,
07/01/07 200,000 153
Arch Communications Inc., 13.75%,
04/15/08 4,100,000 3,300
Dobson Communications
Corporation, 10.875%, 07/01/10
(144A) 600,000 603
</TABLE>
High Yield Bond Portfolio 46
<PAGE> 55
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
BONDS (83.8%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS continued
Exodus Communications, Inc.,
11.625%, 07/15/10 (144A) 1,975,000 $ 1,980
FLAG Telecom Holdings Limited,
11.625%, 03/30/10 1,000,000 970
Global Crossing Holding, Ltd.,
9.5%, 11/15/09 1,000,000 965
+GT Group Telecom, 13.25%,
02/01/10 (144A) 1,650,000 916
+Intermedia Communications, Inc.,
12.5%, 05/15/06 600,000 545
+KMC Telecommunications Holdings,
Inc., 12.5%, 02/15/08 750,000 353
KMC Telecommunications Holdings,
13.5%, 05/15/09 1,550,000 1,364
Level 3 Communications, 11%,
03/15/08 2,000,000 1,980
Metrocall, Inc., 9.75%, 11/01/07 300,000 206
Metrocall, Inc., 11%, 09/15/08 1,250,000 875
Nextel Communications, Inc.,
9.375%, 11/15/09 1,150,000 1,098
+Nextel Communications, 9.95%,
02/15/08 1,150,000 842
NEXTLINK Communications, Inc.,
10.75%, 06/01/09 1,050,000 1,034
PSINet Inc., 10%, 02/15/05 1,250,000 1,150
PSINet Inc., 11.5%, 11/01/08 250,000 235
Verio Inc., 10.625%, 11/15/09 800,000 887
Viatel, Inc., 11.25%, 04/15/08 2,400,000 1,776
Voicestream Wireless, 10.375%,
11/15/09 400,000 414
Williams Communications Group,
10.875%, 10/01/09 2,750,000 2,687
---------
TOTAL 26,252
---------
TOTAL TECHNOLOGY 40,199
---------
TRANSPORT SERVICES (3.1%)
PROFESSIONAL SERVICES (0.6%)
Coinmach Corp, 11.75%, 11/15/05 800,000 768
Decisionone Holdings, 7.94%,
08/07/05 101,266 47
Decisionone Holdings, 7.98%,
08/07/05 145,823 67
Decisionone Holdings, 8.29%,
08/07/05 26,519 12
---------
TOTAL 894
---------
TRUCKING - SHIPPING (2.5%)
North American Van Lines,
13.375%, 12/01/09 (144A) 1,650,000 1,551
Stena AB, 8.75%, 06/15/07 1,150,000 1,003
Vectura Group Inc., Series B,
10.25%, 06/30/08 1,500,000 1,230
---------
TOTAL 3,784
---------
TOTAL TRANSPORT SERVICES 4,678
---------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
BONDS (83.8%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
UTILITIES (8.2%)
UTILITY - ELECTRIC (1.7%)
AES Corporation, 8.5%, 11/01/07 1,000,000 $ 913
Orion Power Holdings Inc., 12%,
05/01/10 (144A) 1,600,000 1,656
---------
TOTAL 2,569
---------
UTILITY - GARBAGE DISPOSAL (5.3%)
Allied Waste North America, Inc.,
7.625%, 01/01/06 2,100,000 1,837
Allied Waste North America, Inc.,
7.875%, 01/01/09 1,750,000 1,492
Allied Waste North America, Inc.,
Series B, 10%, 08/01/09 500,000 418
IT Group, Series B, 11.25%,
04/01/09 600,000 537
Waste Management, Inc., 4%,
02/01/02 2,100,000 1,947
Waste Management, Inc., 7.125%,
10/01/07 1,750,000 1,567
---------
TOTAL 7,798
---------
UTILITY - GAS (1.2%)
Eott Energy, 11%, 10/01/09 1,800,000 1,827
---------
TOTAL 1,827
---------
TOTAL UTILITIES 12,194
---------
TOTAL BONDS (COST $129,419) 124,788
---------
<CAPTION>
PREFERRED SECURITIES (7.6%)
--------------------------------------------------------
<S> <C> <C>
CONSUMER CYCLICAL (1.3%)
HOUSEHOLD FURNITURE, A (0.4%)
**Samsonite Corporation 7,870 567
---------
TOTAL 567
---------
PRINTING & PUBLISHING (0.9%)
PRIMEDIA, Inc. - Series D 5,000 480
PRIMEDIA, Inc. - Series F 10,000 904
---------
TOTAL 1,384
---------
TOTAL CONSUMER CYCLICAL 1,951
---------
FINANCE (1.1%)
California Federal Preferred
Capital 74,000 1,568
---------
TOTAL FINANCE 1,568
---------
HEALTHCARE (0.3%)
Fresenius Medical Capital Trust
II, 7.875%, 02/01/08 500,000 448
---------
TOTAL HEALTHCARE 448
---------
INFORMATIONAL RETRIEVAL SERVICES (0.5%)
PSINet Inc. 20,000 678
---------
TOTAL INFORMATIONAL RETRIEVAL
SERVICES 678
---------
TECHNOLOGY (4.4%)
BROADCASTING (2.8%)
**Crown Castle International
Corp. 10,960 1,107
**Cumulus Media Inc. 21,320 1,731
Sinclair Capital 16,000 1,448
---------
TOTAL 4,286
---------
</TABLE>
47 High Yield Bond Portfolio
<PAGE> 56
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
PREFERRED SECURITIES (7.6%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
CABLE (0.1%)
Adelphia Communications
Corporation 2,000 $ 201
---------
TOTAL 201
---------
TELECOMMUNICATIONS (1.5%)
**Adelphia Business Solutions,
Inc. 14,790 1,331
**NEXTLINK Communications, Inc. 17,738 914
---------
TOTAL 2,245
---------
TOTAL TECHNOLOGY 6,732
---------
TOTAL PREFERRED SECURITIES
(COST $12,541) 11,377
---------
<CAPTION>
COMMON STOCK (1.5%)
--------------------------------------------------------
<S> <C> <C>
COMPUTER PROGRAMMING SERVICES (0.0%)
*Decisionone Corporation 4,062 23
---------
TOTAL COMPUTER PROGRAMMING
SERVICES 23
---------
CONSUMER CYCLICAL (0.0%)
APPAREL, TEXTILE (0.0%)
*++Ithaca Industries, Inc. 136,000 0
---------
TOTAL 0
---------
LEISURE RELATED (0.0%)
*Hedstrom Holdings, Inc. 201,674 2
---------
TOTAL CONSUMER CYCLICAL 2
---------
MISCELLANEOUS (0.0%)
Meditrust Corporation 11,117 42
---------
TOTAL MISCELLANEOUS 42
---------
TECHNOLOGY (1.5%)
*Arch Communications Inc. 202,240 1,102
*McLeodUSA Incorporated 27,405 567
*Viatel, Inc. 16,325 466
---------
TOTAL TECHNOLOGY 2,135
---------
TELEPHONE COMMUNICATIONS (0.0%)
*RCN Corporation 2,494 63
---------
TOTAL TELEPHONE
COMMUNICATIONS 63
---------
TOTAL COMMON STOCK
(COST $6,895) 2,265
---------
<CAPTION>
WARRANTS (0.0%)
--------------------------------------------------------
<S> <C> <C>
COMPUTER RELATED SERVICES (0.0%)
*Decisionone Corporation 7,054 0
---------
TOTAL COMPUTER RELATED
SERVICES 0
---------
CONSUMER CYCLICAL (0.0%)
*Samsonite Corp. 6,250 19
---------
TOTAL CONSUMER CYCLICAL 19
---------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
WARRANTS (0.0%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
TECHNOLOGY (0.0%)
*Arch Communications Inc. 32,686 $ 30
*KMC Telecom Holdings, Inc. 6,250 19
---------
TOTAL TECHNOLOGY 49
---------
TOTAL WARRANTS (COST $1,692) 68
---------
<CAPTION>
MONEY MARKET INVESTMENTS (7.1%)
--------------------------------------------------------
<S> <C> <C>
FINANCE SERVICES (3.5%)
Ciesco-LP, 6.55%, 08/16/00 5,100,000 5,057
---------
TOTAL FINANCE SERVICES 5,057
---------
PERSONAL CREDIT INSTITUTIONS (0.3%)
Associates Corporation of North
America 6.94%, 07/03/00 500,000 500
---------
TOTAL PERSONAL CREDIT
INSTITUTIONS 500
---------
SECURITY BROKERS AND DEALERS (3.3%)
Salomon Smith Barney Holdings,
6.58%, 08/07/00 5,000,000 4,966
---------
TOTAL SECURITY BROKERS AND
DEALERS 4,966
---------
TOTAL MONEY MARKET INVESTMENTS
(COST $10,523) 10,523
---------
TOTAL INVESTMENTS (100.0%)
(COST $161,070)/\ 149,021
---------
OTHER ASSETS, LESS LIABILITIES (0.0%) 16
---------
TOTAL NET ASSETS (100.0%) $ 149,037
---------
</TABLE>
* Non-Income Producing
144A after the name of a security represents a security exempt from registration
under Rule 144A of the Securities Act of 1993. These securities may be
resold as transactions exempt from registration, normally to qualified
institutional buyers.
+ Step Bond security that presently receives no coupon payments. At a
predetermined date the stated coupon rate becomes effective.
++ Defaulted Security
** PIK- Payment in Kind
/\ At 6/30/2000, the aggregate cost of securities for federal income tax
purposes was $161,070 and the net unrealized depreciation of investments
based on that cost was $12,049 which is comprised of $3,367 aggregate gross
unrealized appreciation and $15,416 aggregate gross unrealized depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements
High Yield Bond Portfolio 48
<PAGE> 57
<TABLE>
<CAPTION>
Objective: Portfolio Strategy: Net Assets:
<S> <C> <C> <C>
A stable and relatively high level Invest in high grade corporate bonds, U.S. $275,428,134
of long-term total return and government bonds and bonds of government
preservation of capital agencies.
</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's focus in recent months has been on quality and liquidity, with
holdings concentrated in well-known names with ratings of AA or better. To take
advantage of unusually wide spreads between corporate and U.S. government bonds,
some government securities were replaced with high quality corporate issues.
Over the last six months the Select Bond Portfolio has moved toward a more
defensive posture with regard to spread and duration. At the end of June, the
Portfolio remains defensive, in the belief that wider spreads and higher yields
are likely in the near future.
During the first quarter of 2000 the position in mortgages was reduced because
mortgages appeared somewhat rich relative to corporate bonds. Despite this
reduced exposure, mortgage holdings hurt performance because defaults on
underlying loans caused the prices of two mortgage issues in the Portfolio to
fall. These two issues were the main reason the Portfolio's return was below its
benchmark. Overall, the Portfolio's mortgage holdings are of very good quality,
and no further defaults are expected.
PERCENTAGE HOLDINGS
6/30/2000
[PERCENTAGE HOLDINGS PIE CHART]
<TABLE>
<CAPTION>
Percentage Holdings
-------------------
<S> <C>
Corporate Bonds 24
Mortgage-Backed and Asset-Backed Securities 35
Government and Government Agencies 36
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 20% of
the Portfolio is invested in foreign securities, and no more than 10% is
invested in high-yield securities.
PERFORMANCE RELATIVE TO THE MERRILL LYNCH DOMESTIC MASTER INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
----------------------------------------------------
Average Annual Total Return
For Periods Ended June 30, 2000
1 Year 5 Years 10 Years
----------------------------------------------------
<S> <C> <C> <C>
Select Bond Portfolio 2.34% 5.62% 8.08%
Merrill Lynch Domestic
Master Index 4.57% 6.26% 7.89%
----------------------------------------------------
</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 6/30/90. 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 58.
49 Select Bond Portfolio
<PAGE> 58
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
June 30, 2000 (unaudited)
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
CORPORATE BONDS (24.0%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
BANK HOLDING COMPANIES (0.9%)
BT Institutional Capital
Trust, 7.75%, 12/01/26 (144A) 3,000,000 $ 2,508
---------
TOTAL BANK HOLDING
COMPANIES 2,508
---------
BEVERAGES (1.6%)
Anheuser-Busch Companies,
Inc., 7.5%, 3/15/12 4,500,000 4,510
---------
TOTAL BEVERAGES 4,510
---------
CHEMICALS & ALLIED PRODUCTS (3.3%)
Chevron Corporation, 6.625%,
10/1/04 4,500,000 4,444
Dow Capital B.V., 8.5%, 6/8/10 1,800,000 1,893
Johnson & Johnson, 6.625%,
9/1/09 2,750,000 2,661
---------
TOTAL CHEMICALS & ALLIED
PRODUCTS 8,998
---------
ELECTRIC SERVICES (3.6%)
Ohio Edison Company, 7.375%,
9/15/02 1,000,000 1,000
Public Service Electric & Gas
Co., 6.875%, 1/1/03 2,250,000 2,231
Scottish Power PLC, 5.65%,
11/1/06 4,500,000 4,056
South Carolina Electric & Gas,
6.125%, 3/1/09 1,750,000 1,607
Texas Utilities Electric Co.,
7.875%, 3/1/23 1,000,000 943
---------
TOTAL ELECTRIC SERVICES 9,837
---------
FINANCE COMPANIES (3.4%)
Ford Motor Credit Corporation,
7.375%, 10/28/09 824,000 797
General Electric Capital
Corporation, 8.75%, 5/21/07 4,000,000 4,298
General Motors Acceptance
Corporation, 7.75%, 1/19/10 4,250,000 4,225
---------
TOTAL FINANCE COMPANIES 9,320
---------
GENERAL MERCHANDISE STORES (3.6%)
The Home Depot, Inc., 6.5%,
9/15/04 6,300,000 6,240
Wal-Mart Stores, Inc., 6.55%,
8/10/04 2,300,000 2,270
Wal-Mart Stores, Inc., 6.875%,
8/10/09 1,800,000 1,760
---------
TOTAL GENERAL MERCHANDISE
STORES 10,270
---------
NEWSPAPERS (2.1%)
Times Mirror Company, 7.45%,
10/15/09 5,850,000 5,781
---------
TOTAL NEWSPAPERS 5,781
---------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
CORPORATE BONDS (24.0%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
REAL ESTATE OPERATOR LESSORS (0.8%)
Post Apartment Homes, 8.125%,
6/15/2005 2,125,000 $ 2,122
---------
TOTAL REAL ESTATE OPERATOR
LESSORS 2,122
---------
TELEPHONE COMMUNICATIONS (2.4%)
Deutsche Telekom Int AG,
7.75%, 6/15/2005 2,975,000 2,995
New England Telephone and
Telegraph, 5.875%, 4/15/09 4,000,000 3,524
---------
TOTAL TELEPHONE
COMMUNICATIONS 6,519
---------
TEXTILE GOODS (0.3%)
+Polysindo International
Finance, 11.375%, 6/15/06 4,200,000 798
---------
TOTAL TEXTILE GOODS 798
---------
TRANSPORTATION SERVICES (2.0%)
United Parcel Service, 8.375%,
4/1/20 5,000,000 5,525
---------
TOTAL TRANSPORTATION
SERVICES 5,525
---------
TOTAL CORPORATE BONDS
(COST $70,488) 66,188
---------
<CAPTION>
GOVERNMENT (DOMESTIC AND FOREIGN) AND
AGENCY BONDS (36.4%)
--------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (36.4%)
#Aid-Israel, 0%, 11/1/24 8,900,000 1,826
Federal Home Loan Bank, 5.54%,
1/8/09 3,700,000 3,283
Federal National Mortgage
Association, 5.97%, 10/1/08 3,887,820 3,597
Federal National Mortgage
Association, 6.22%, 2/1/06 1,881,574 1,788
Federal National Mortgage
Association, 6.24%, 1/1/06 5,303,365 5,049
Federal National Mortgage
Association, 6.265%, 10/1/08 2,944,088 2,767
Federal National Mortgage
Association, 6.32%, 2/1/06 3,814,839 3,642
Federal National Mortgage
Association, 6.36%, 4/1/08 3,706,599 3,514
Federal National Mortgage
Association, 6.39%, 4/1/08 1,424,340 1,353
Federal National Mortgage
Association, 6.5%, 9/25/05 1,982,538 1,928
Federal National Mortgage
Association, 6.75%, 4/25/18 2,261,418 2,204
Federal National Mortgage
Association, 6.75%, 12/25/23 3,500,000 3,278
</TABLE>
Select Bond Portfolio 50
<PAGE> 59
<TABLE>
<CAPTION>
GOVERNMENT (DOMESTIC AND MARKET
FOREIGN) AND AGENCY SHARES/ VALUE
BONDS (36.4%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES continued
Federal National Mortgage
Association, 7%, 6/1/03 217,187 $ 215
Federal National Mortgage
Association, 7.36%, 4/1/11 3,247,376 3,249
Federal National Mortgage
Association, 7.5%, 10/1/27 6,810,806 6,744
Federal National Mortgage
Association, 8.4%, 2/25/09 2,500,000 2,555
Federal National Mortgage
Association, 10%, 10/1/17 49,533 53
Federal National Mortgage
Association, 11%, 12/1/12 51,151 56
Federal National Mortgage
Association, 11%, 9/1/17 743,711 827
Federal National Mortgage
Association, 11%, 12/01/17 220,261 243
Federal National Mortgage
Association, 11%, 2/1/18 309,685 342
Federal National Mortgage
Association, 11.5%, 4/1/18 304,309 341
Federal National Mortgage
Association, 12%, 9/1/12 700,166 788
Federal National Mortgage
Association, 12%, 12/1/12 151,981 171
Federal National Mortgage
Association, 12%, 9/1/17 210,088 238
Federal National Mortgage
Association, 12%, 10/1/17 236,650 269
Federal National Mortgage
Association, 12%, 12/01/17 224,862 255
Federal National Mortgage
Association, 12%, 2/1/18 246,726 280
Federal National Mortgage
Association, 12.25%, 1/1/18 147,174 167
Federal National Mortgage
Association, 12.5%, 4/1/18 125,527 144
Federal National Mortgage
Association, 13%, 11/1/12 116,905 134
Federal National Mortgage
Association, 13%, 11/01/17 201,720 234
Federal National Mortgage
Association, 13%, 12/01/17 133,362 155
Federal National Mortgage
Association, 13%, 2/1/18 295,707 343
Federal National Mortgage
Association, 14%, 12/01/17 80,543 96
Government National Mortgage
Association, 7%, 5/15/23 275,202 269
Government National Mortgage
Association, 7.5%, 4/15/22 211,904 211
Government National Mortgage
Association, 7.5%, 10/15/23 582,603 581
Government National Mortgage
Association, 7.5%, 10/15/25 27,449 27
</TABLE>
<TABLE>
<CAPTION>
GOVERNMENT (DOMESTIC AND MARKET
FOREIGN) AND AGENCY SHARES/ VALUE
BONDS (36.4%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES continued
Government National Mortgage
Association, 7.5%, 11/15/25 11,602 $ 12
Government National Mortgage
Association, 7.5%, 5/15/26 11,720 12
Government National Mortgage
Association, 7.5%, 1/15/27 332,539 331
Government National Mortgage
Association, 7.5%, 2/15/27 431,811 429
Government National Mortgage
Association, 7.5%, 3/15/27 44,022 44
Government National Mortgage
Association, 7.5%, 4/15/27 91,339 91
Government National Mortgage
Association, 7.5%, 8/15/27 11,537 11
Government National Mortgage
Association, 7.5%, 6/15/28 416,494 414
Government National Mortgage
Association, 8%, 1/15/26 341,420 346
Government National Mortgage
Association, 8%, 2/15/26 414,811 420
Government National Mortgage
Association, 8%, 8/15/26 491,058 498
Government National Mortgage
Association, 8%, 9/15/26 226,266 229
Government National Mortgage
Association, 8%, 12/15/26 116,335 118
Government National Mortgage
Association, 8%, 1/15/27 357,887 362
Government National Mortgage
Association, 8%, 3/15/27 383,683 388
Government National Mortgage
Association, 8%, 4/15/27 747,523 757
Government National Mortgage
Association, 8%, 6/15/27 356,261 361
Government National Mortgage
Association, 8%, 7/15/27 371,918 377
Government National Mortgage
Association, 8%, 8/15/27 298,119 302
Government National Mortgage
Association, 8%, 9/15/27 284,917 288
Government National Mortgage
Association, 8.5%, 9/15/21 47,700 49
Government National Mortgage
Association, 8.5%, 3/15/23 1,842 2
Government National Mortgage
Association, 8.5%, 6/15/23 3,879 4
Government National Mortgage
Association, 8.5%, 6/15/24 86,913 89
Government National Mortgage
Association, 8.5%, 7/15/24 50,485 52
Government National Mortgage
Association, 8.5%, 9/15/24 1,449 1
Government National Mortgage
Association, 8.5%, 11/15/24 385,988 396
</TABLE>
51 Select Bond Portfolio
<PAGE> 60
<TABLE>
<CAPTION>
GOVERNMENT (DOMESTIC AND MARKET
FOREIGN) AND AGENCY SHARES/ VALUE
BONDS (36.4%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES continued
Government National Mortgage
Association, 8.5%, 2/15/25 45,869 $ 47
Government National Mortgage
Association, 11%, 1/15/18 3,619,623 3,940
Rural Housing Trust - Class D,
6.33%, 4/1/26 1,103,531 1,086
US Treasury Inflation Index
Bond, 3.875%, 4/15/29 3,497,868 3,584
#US Treasury, 4.875%, 3/31/01 2,380,000 2,351
#US Treasury, 5%, 2/28/01 4,000,000 3,963
#US Treasury, 5.5%, 8/15/28 580,000 532
#US Treasury, 6.125%, 11/15/27 1,030,000 1,027
#US Treasury, 6.125%, 8/15/29 11,050,000 11,168
#US Treasury, 6.375%, 8/15/07 1,300,000 1,337
#US Treasury, 6.5%, 2/15/10 10,055,000 10,398
#US Treasury, 6.75%, 05/15/05 1,235,000 1,264
---------
TOTAL GOVERNMENT (DOMESTIC
AND FOREIGN) AND AGENCY
BONDS (COST $101,955) 100,296
---------
<CAPTION>
MORTGAGE/ASSET BACKED SECURITIES (34.6%)
--------------------------------------------------------
ASSET-BACKED SECURITIES (CMO'S) (1.4%)
Commercial Mortgage Acceptance
Corporation, Series 1997-ML1,
Class B, 6.6437%, 12/15/07
(144A) 2,000,000 1,909
The Equitable Life Insurance
Society of the U S, Class C1,
7.52%, 5/15/06 2,000,000 1,967
---------
TOTAL ASSET-BACKED
SECURITIES (CMO'S) 3,876
---------
AUTO RELATED (1.4%)
Fleetwood Credit Corporation
Grantor Trust - Class A,
6.4%, 05/15/13 598,514 592
Team Fleet Financing - Class
A, 6.65%, 12/15/02 (144A) 3,200,000 3,130
---------
TOTAL AUTO RELATED 3,722
---------
BANK HOLDING COMPANIES (1.0%)
Nationsbank Lease Pass Through
Trust, Series 1997-A, Class
1, 7.442%, 1/10/11 (144A) 2,876,081 2,810
---------
TOTAL BANK HOLDING
COMPANIES 2,810
---------
</TABLE>
<TABLE>
<CAPTION>
MARKET
MORTGAGE/ASSET BACKED SHARES/ VALUE
SECURITIES (34.6%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
COMMERCIAL MORTGAGES (19.3%)
Asset Securitization
Corporation, Series 1996-MD6,
Class CS2, 1.098%, 11/13/26,
IO 52,000,000 $ 2,126
Asset Securitization
Corporation, Series 1996-MD6,
Class CS1, 1.257%, 11/13/26,
IO 14,098,517 350
Asset Securitization
Corporation, Series 1997-D5,
Class PS1, 1.367%, 2/14/41,
IO 11,845,943 1,008
Chase Commercial Mortgage
Securities Corporation, Class
B, 7.37%, 6/19/29 1,000,000 990
Chase Commercial Mortgage
Securities Corporation,
Series 1997-2, Class A2,
6.6%, 11/19/07 5,000,000 4,777
Chase Commercial Mortgage
Securities Corporation,
Series 1997-2, Class B, 6.6%,
11/19/07 2,000,000 1,891
Credit Suisse First Boston
Mortgage Securities
Corporation, Series 1997-C1,
Class A2, 7.26%, 6/20/07
(144A) 1,419,651 1,385
Credit Suisse First Boston
Mortgage Securities
Corporation, Series 1997-C1,
Class B, 7.28%, 6/20/07
(144A) 1,500,000 1,449
Criimi Mae Commercial Mortgage
Trust, Series 1998-C1, Class
A1, 7%, 11/2/06 3,000,000 2,695
Criimi Mae Commercial Mortgage
Trust, Series 1998-C1, Class
B, 7%, 11/2/11 4,000,000 3,159
DLJ Mortgage Acceptance
Corporation, Series 1997-CF2,
Class S, .357%, 10/15/17
(144A) IO 102,944,885 2,059
DLJ Commercial Mortgage
Corporation, Series 1998-CF1,
Class S, .718%, 1/15/18, IO 118,466,655 4,114
DLJ Mortgage Acceptance Corp.,
Series 1994-MF11, Class A2,
8.1%, 6/18/04 1,000,000 1,022
DLJ Mortgage Acceptance
Corporation, Series
1994-MF11, Class A1, 8.1%,
6/18/04 1,245,595 1,273
Kmart CMBS Financing, Inc. -
Class B, 6.597%, 3/01/07 2,000,000 1,997
Kmart CMBS Financing, Inc. -
Class C, 6.897%, 03/01/07
(144A) 2,500,000 2,488
Kmart CMBS Financing, Inc. -
Class D, 7.297%, 03/01/07
(144A) 2,000,000 1,991
LB Mortgage Trust, Series
1991-2, Class A3, 8.3962%,
1/20/17 5,483,963 5,667
</TABLE>
Select Bond Portfolio 52
<PAGE> 61
<TABLE>
<CAPTION>
MARKET
MORTGAGE/ASSET BACKED SHARES/ VALUE
SECURITIES (34.6%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
COMMERCIAL MORTGAGES continued
Malan Mortgage Series Trust,
Class A3, 7.8%, 8/15/05
(144A) 3,000,000 $ 3,005
Midland Realty Acceptance
Corporation, Series 1996-C2,
Class AEC, 1.389%, 1/25/29,
IO 13,039,894 700
Mortgage Capital Funding,
Inc., Series 1997-MC1, Class
A3, 7.288%, 3/20/07 5,323,000 5,250
Nomura Asset Securities
Corporation, Series 1998-D6,
Class A2, 7.028%, 3/17/28 2,800,000 2,620
RMF Commercial Mortgage Pass-
Through, Series 1997-1, Class
F, 7.471%, 1/15/19 (144A) 1,800,000 1,222
---------
TOTAL COMMERCIAL MORTGAGES 53,238
---------
CREDIT CARD ASSET BACKED (0.4%)
Iroquois Trust, Series 1997-2,
Class A, 6.752%, 6/25/07
(144A) 1,125,299 1,101
---------
TOTAL CREDIT CARD ASSET
BACKED 1,101
---------
FRANCHISE LOAN RECEIVABLES (2.2%)
Enterprise Mortgage Acceptance
Company, Series 1998-1, Class
A2, 6.38%, 4/15/07 (144A) 3,100,000 2,924
Enterprise Mortgage Acceptance
Company, Series 1998-1, Class
IO, 1.378%, 1/15/23 (144A) IO 29,565,923 1,897
Global Franchise Trust, Series
1998-1, Class A1, 6.349%,
4/10/04 1,342,183 1,310
---------
TOTAL FRANCHISE LOAN
RECEIVABLES 6,131
---------
HOME EQUITY LOAN (0.7%)
Amresco Residential
Securities, Series 1998-2,
Class A2, 6.245%, 5/25/22 1,893,635 1,878
---------
TOTAL HOME EQUITY LOAN 1,878
---------
MANUFACTURED HOUSING (1.2%)
Mid-State Trust, Series 6,
Class A3, 7.54%, 7/1/35 949,285 892
Vanderbilt Mortgage and
Finance Inc. - Series
1997-B - Class 1A4, 7.19%,
2/7/14 2,500,000 2,473
---------
TOTAL MANUFACTURED HOUSING 3,365
---------
</TABLE>
<TABLE>
<CAPTION>
MARKET
MORTGAGE/ASSET BACKED SHARES/ VALUE
SECURITIES (34.6%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
OTHER ASSET BACKED (2.5%)
Eaglemark Trust - Class A,
6.75%, 11/15/02 193,066 $ 193
FMAC Loan Receivables Trust,
Series 1998-A, Class A1,
6.2%, 9/15/20 (144A) 1,176,090 1,141
Harley-Davidson Eaglemark
Motorcycle Trust, Series
1998-2, Class A2, 5.87%,
4/15/04 1,500,000 1,476
Health Care Receivables,
6.25%, 2/01/03 (144A) 1,125,000 1,098
Heilig-Meyers Master Trust,
Series 1998-1A, Class A,
6.125%, 1/20/07 (144A) 3,000,000 2,915
---------
TOTAL OTHER ASSET BACKED 6,823
---------
OTHER INDUSTRIES (0.6%)
Nations Credit Grantor Trust -
Class A1, 6.35%, 4/15/14 1,335,020 1,314
Newcourt Equipment
Receivables, Series 1997-A,
Class B, 6.764%, 9/20/04
(144A) 399,470 391
---------
TOTAL OTHER INDUSTRIES 1,705
---------
RESIDENTIAL MORTGAGES (0.9%)
Blackrock Capital Finance
L.P., Series 1997-R1, Class
B3, 7.75%, 3/25/37 (144A) 3,802,146 1,103
Blackrock Capital Finance
L.P., Series 1997-R3, Class
B3, 7.25%, 11/25/28 (144A) 4,297,821 1,332
---------
TOTAL RESIDENTIAL
MORTGAGES 2,435
---------
UTILITIES (3.0%)
Comed Transitional Funding
Trust, Series 1998-1, Class
A7, 5.74%, 12/25/10 3,500,000 3,140
Peco Energy Transition Trust,
Series 1999-A, Class A7,
6.13%, 3/1/09 5,500,000 5,070
---------
TOTAL UTILITIES 8,210
---------
TOTAL MORTGAGE/ASSET
BACKED SECURITIES (COST
$105,776) 95,294
---------
<CAPTION>
MONEY MARKET INVESTMENTS (4.7%)
--------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (0.6%)
#Federal National Mortgage
Association, 6.40%, 7/17/00 1,600,000 1,595
---------
TOTAL FEDERAL GOVERNMENT
AND AGENCIES 1,595
---------
FINANCE (1.8%)
#The CIT Group, 6.6%, 8/9/00 5,000,000 4,965
---------
TOTAL FINANCE 4,965
---------
</TABLE>
53 Select Bond Portfolio
<PAGE> 62
<TABLE>
<CAPTION>
MARKET
MONEY MARKET INVESTMENTS SHARES/ VALUE
(4.7%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
FINANCE SERVICES (1.8%)
#Citicorp, 6.62%, 8/10/00 5,000,000 $ 4,963
---------
TOTAL FINANCE SERVICES 4,963
---------
PERSONAL CREDIT INSTITUTIONS (0.5%)
Associates Corporation of
North America, 6.94%, 7/3/00 1,400,000 1,399
---------
TOTAL PERSONAL CREDIT INSTITUTIONS 1,399
---------
TOTAL MONEY MARKET INVESTMENTS (COST
$12,922) 12,922
---------
TOTAL INVESTMENTS (99.7%) (COST
$291,141)/\ 274,700
---------
OTHER ASSETS, LESS LIABILITIES (0.3%) 728
---------
TOTAL NET ASSETS (100.0%) $ 275,428
---------
</TABLE>
#Partially held by the custodian in a segregated account as collateral for open
futures positions. Information regarding open futures contracts as of period
end is summarized below.
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION/
NUMBER OF EXPIRATION (DEPRECIATION)
ISSUERS CONTRACTS DATE (000'S)
---------------------------------------------------------------
<S> <C> <C> <C>
US 10 Yr Agency 165 Sep-00 $ (40)
Total Notional Value
at 6/30/2000, $15,220
90 Day Euro 31 Sep-00 $ (10)
Total Notional Value
at 6/30/2000, $7,202
US 10 Yr Note 165 Sep-00 $ 56
Total Notional Value
at 6/30/2000, $16,194
US Long Bond 475 Sep-00 $(451)
Total Notional Value
at 6/30/2000, $45,788
</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.
+Defaulted Security
/\At 6/30/2000, the aggregate cost of securities for federal income tax purposes
was $291,141 and the net unrealized depreciation of investments based on that
cost was $16,441 which is comprised of $1,116 aggregate gross unrealized
appreciation and $17,557 aggregate gross unrealized depreciation.
The Accompanying Notes are an Integral Part of the Financial Statements
Select Bond Portfolio 54
<PAGE> 63
<TABLE>
<CAPTION>
Objective: Portfolio Strategy: Net Assets:
<S> <C> <C> <C>
Maximum current income consistent Achieve stability of capital by investing in $358,519,221
with liquidity and stability of short-term debt securities.
capital
</TABLE>
THE 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.
During the first six months of 2000, managers of the Money Market Portfolio
continued to successfully forecast Federal Reserve policy. Maturities were kept
short in anticipation of the interest rate increases that occurred in February,
March and May, then lengthened slightly in the correct expectation that there
would be no increase at the June meeting of the Federal Reserve Board.
At the end of June, maturities are shorter than the market index, which is
indicating less than a 50% probability that rates will again be pushed upward in
August or September. In contrast, the Portfolio's managers believe that warning
signs of inflation will cause the Fed to raise rates 25 basis points or more by
the end of September. It is therefore advantageous to keep maturities short so
that funds will be available to take advantage of the higher returns on money
market instruments that are likely over the next few months.
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.
55 Money Market Portfolio
<PAGE> 64
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
June 30, 2000 (unaudited)
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
MONEY MARKET INVESTMENTS (107.2%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
ASSET-BACKED SECURITIES (CMO'S) (9.7%)
Asset Securitization, 6.55%,
8/15/00 9,825,000 $ 9,745
Asset Securitization, 6.6%,
7/6/00 5,000,000 4,995
Copelco Captial Funding, 6.13%,
3/19/01 11,000,000 11,000
Fidelity Equipment Lease,
6.13%, 12/15/00 5,073,126 5,073
Orix Credit Alliance, 6.12%,
12/15/00 4,075,783 4,076
---------
TOTAL ASSET-BACKED
SECURITIES (CMO'S) 34,889
---------
AUTO & TRUCKS (8.0%)
Ford Motor Credit Co., 6.55%,
7/17/00 9,000,000 8,974
General Motors Acceptance
Corp., 6.55%, 8/15/00 9,000,000 8,926
Toyota Motor Credit, 6.6%,
8/2/00 11,000,000 10,936
---------
TOTAL AUTO & TRUCKS 28,836
---------
CAPTIVE FINANCE COMPANIES (2.5%)
Daimler-Chrysler N.A., 6.54%,
7/31/00 9,000,000 8,951
---------
TOTAL CAPTIVE FINANCE
COMPANIES 8,951
---------
ELECTRICAL EQUIPMENT (5.0%)
General Electric Capital Corp.,
6.68%, 7/13/00 11,000,000 10,975
General Electric Capital Corp.,
6.9%, 7/5/00 7,000,000 6,995
---------
TOTAL ELECTRICAL EQUIPMENT 17,970
---------
ELECTRONIC COMPUTERS (1.4%)
International Business Machines
Corporation, 6.8%, 7/14/00 5,000,000 4,988
---------
TOTAL ELECTRONIC COMPUTERS 4,988
---------
FEDERAL GOVERNMENT AND AGENCIES (4.7%)
Federal Home Loan Bank, 6.48%,
7/3/00 16,850,000 16,844
---------
TOTAL FEDERAL GOVERNMENT
AND AGENCIES 16,844
---------
FINANCE LESSORS (3.3%)
Receivable Capital Trust,
6.58%, 7/26/00 6,000,000 5,973
Receivable Capital Trust,
6.59%, 7/6/00 5,000,000 4,995
Receivable Capital Trust,
6.85%, 7/11/00 700,000 699
---------
TOTAL FINANCE LESSORS 11,667
---------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
MONEY MARKET INVESTMENTS (107.2%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
FINANCE SERVICES (15.1%)
Caterpillar Financial Services
Corporation, 6.86%, 6/1/01 10,000,000 $ 10,000
Centric Capital Corp., 6.78%,
7/12/00 11,000,000 10,977
Ciesco LP, 6.54%, 8/21/00 11,000,000 10,898
Citicorp, 6.57%, 8/9/00 11,000,000 10,922
CXC Incorporated, 6.66%, 8/9/00 5,000,000 4,964
International Securitization
Corp., 6.65%, 7/31/00 6,461,000 6,425
---------
TOTAL FINANCE SERVICES 54,186
---------
FLAVORING EXTRACTS & SYRUPS (1.0%)
Coca-Cola Company, 6.63%,
7/13/00 3,500,000 3,492
---------
TOTAL FLAVORING EXTRACTS &
SYRUPS 3,492
---------
FOOD AND KINDRED PRODUCTS (2.5%)
Philip Morris Capital Company,
6.65%, 7/21/00 9,000,000 8,967
---------
TOTAL FOOD AND KINDRED
PRODUCTS 8,967
---------
MISC. BUSINESS CREDIT INSTITUTIONS (5.8%)
National Rural Utility, 6.54%,
8/16/00 11,000,000 10,908
Quincy Capital Corporation,
6.56%, 7/24/00 10,000,000 9,958
---------
TOTAL MISC. BUSINESS CREDIT
INSTITUTIONS 20,866
---------
OFFICE MACHINES (0.3%)
Xerox Credit Corporation,
7.02%, 7/5/00 1,100,000 1,099
---------
TOTAL OFFICE MACHINES 1,099
---------
PERSONAL CREDIT INSTITUTIONS (22.4%)
American General Finance, 6.6%,
8/21/00 9,000,000 8,916
Associates Corp. of NA, 6.77%,
6/26/01 10,000,000 10,000
Associates Corp. of NA, 6.94%,
7/3/00 8,000,000 7,997
The CIT Group Holdings, 5.63%,
2/2/01 10,500,000 10,442
CXC Incorporated, 6.56%, 8/1/00 6,000,000 5,966
Household Finance Corp., 6.7%,
7/14/00 9,000,000 8,978
Household Finance Corp., 6.88%,
7/3/00 8,000,000 7,997
New Center Asset Trust, 6.56%,
8/14/00 11,000,000 10,911
Variable Funding Capital,
6.57%, 7/5/00 8,930,000 8,923
---------
TOTAL PERSONAL CREDIT
INSTITUTIONS 80,130
---------
</TABLE>
Money Market Portfolio 56
<PAGE> 65
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
MONEY MARKET INVESTMENTS (107.2%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
PHARMACEUTICAL PREPARATIONS (1.6%)
Pfizer, Inc., 6.63%, 7/27/00 5,600,000 $ 5,573
---------
TOTAL PHARMACEUTICAL
PREPARATIONS 5,573
---------
PHONE COMMUNICATIONS EXCEPT RADIOPHONE (4.5%)
BellSouth Telecommunications,
Inc., 6.54%, 8/11/00 7,200,000 7,146
U.S. West Communication, 6.63,
7/12/00 9,000,000 8,982
---------
TOTAL PHONE COMMUNICATIONS
EXCEPT RADIOPHONE 16,128
---------
RETAIL-GENERAL (3.0%)
Wal-Mart Stores, 6.57%, 8/15/00 11,000,000 10,910
---------
TOTAL RETAIL-GENERAL 10,910
---------
SECURITY BROKERS AND DEALERS (11.6%)
The Goldman Sachs Group, 6.95%,
7/5/00 13,620,000 13,610
Merrill Lynch, 6.67%, 8/21/00 8,090,000 8,014
Morgan Stanley, Dean Witter,
Discover, & Co., 6.65%,
7/17/00 11,000,000 10,967
Salomon Smith Barney Holdings,
Inc., 6.56%, 8/14/00 9,000,000 8,928
---------
TOTAL SECURITY BROKERS AND
DEALERS 41,519
---------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
MONEY MARKET INVESTMENTS (107.2%) PAR (000'S)
--------------------------------------------------------
<S> <C> <C>
SHORT TERM BUSINESS CREDIT (4.8%)
American Express Credit, 6.6%,
8/11/00 2,300,000 $ 2,283
American Express Credit, 6.78%,
7/7/00 7,000,000 6,992
Transamerica Financial
Corporation, 6.62%, 7/18/00 8,000,000 7,975
---------
TOTAL SHORT TERM BUSINESS
CREDIT 17,250
---------
TOTAL MONEY MARKET INVESTMENTS
(COST $384,265) 384,265
---------
TOTAL INVESTMENTS (107.2%)
(COST $384,265)/\ 384,265
---------
OTHER ASSETS, LESS LIABILITIES (-7.2%) (25,746)
---------
TOTAL NET ASSETS (100.0%) $ 358,519
---------
</TABLE>
/\ Also represents cost for federal income tax purposes.
The Accompanying Notes are an Integral Part of the Financial Statements
57 Money Market Portfolio
<PAGE> 66
PERFORMANCE SUMMARY AS OF JUNE 30, 2000
Front Load Contract (Series QQ)
<TABLE>
<CAPTION>
AGGRESSIVE GROWTH &
TOTAL RETURN SMALL CAP GROWTH INTERNATIONAL INDEX 400 GROWTH INCOME INDEX 500
AT UNIT VALUE GROWTH STOCK STOCK EQUITY STOCK STOCK STOCK STOCK BALANCED
(AS OF 6/30/00) DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 year................ 78.86% 44.21% 6.56% 12.23% 8.86% -8.32% 2.52% 1.22%
5 years............... - 170.78% 76.46% - 172.35% 114.18% 172.67% 92.09%
Annualized.......... - 22.05% 12.03% - 22.19% 16.45% 22.22% 13.95%
10 years.............. - - - - - - 357.92%@ 206.99%
Annualized.......... - - - - - - 16.43% 11.87%
Since division incep-
tion in Account B... 116.09%~ 546.86%* 135.84%/\ 18.32%~ 215.11%# 150.53%# 406.87%/\/\ -
Annualized.......... 93.52% 21.54% 12.72% 15.50% 20.49% 16.08% 18.46% -
Since portfolio incep-
tion ++............. - 546.84%* - - - - - -
Annualized.......... - 21.51% - - - - - -
Current Yield##.......
<CAPTION>
Front Load Contract (Series RR)
--------------------------------------------------------------------------------------------------------------------------------
1 year................ 77.75% 43.32% 5.90% 11.53% 8.19% -8.89% 1.88% 0.60%
5 years............... - 168.04% 74.68% - 169.59% 112.02% 169.90% 90.15%
Annualized.......... - 21.80% 11.80% - 21.94% 16.22% 21.97% 13.72%
10 years.............. - - - - - - 351.03%@ 202.42%
Annualized.......... - - - - - - 16.26% 11.70%
Since division incep-
tion in Account B... 114.72%~ 537.43%/\ 132.95%' 17.57%~ 211.58%# 147.72%# 397.94%/\/\ -
Annualized.......... 92.46% 21.35% 12.52% 14.88% 20.27% 15.87% 18.26% -
Since portfolio
inception++......... - 539.95%* - - - - - -
Annualized.......... - 21.38% - - - - - -
Current Yield##.......
<CAPTION>
Back Load Contract Without Surrender (Series QQ/RR)
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 year................ 84.51% 48.77% 9.93% 15.78% 12.31% -5.42% 5.76% 4.42%
5 years............... - 168.75% 75.14% - 170.31% 112.57% 170.62% 90.65%
Annualized.......... - 21.86% 11.86% - 22.00% 16.28% 22.03% 13.77%
10 years.............. - - - - - - 333.03%@ 190.29%
Annualized.......... - - - - - - 15.78% 11.25%
Since division incep-
tion in Account B... 122.61%~ 514.65%* 129.27%/\ 21.89%~ 209.32%# 145.93%# 380.88%/\/\ -
Annualized.......... 98.51% 20.89% 12.27% 18.48% 20.12% 15.73% 17.83% -
Since portfolio
inception++......... - 514.58%* - - - - - -
Annualized.......... - 20.87% - - - - - -
Current Yield##.......
</TABLE>
Performance Summary 58
<PAGE> 67
<TABLE>
<CAPTION>
RUSSELL RUSSELL RUSSELL
HIGH YIELD SELECT MONEY MULTI-STYLE AGGRESSIVE RUSSELL RUSSELL REAL ESTATE
BOND BOND MARKET EQUITY EQUITY NON-U.S. CORE BOND SECURITIES
DIVISION DIVISION DIVISION DIVISION+ DIVISION+ DIVISION+ DIVISION+ DIVISION
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
-6.45% -2.17% 1.02% -4.48% 3.81% 13.55% -0.37% 0.69%
31.89% 23.55% 22.41% - - - - -
5.69% 4.32% 4.13% - - - - -
- 92.19% 49.80% - - - - -
- 6.75% 4.12% -
50.80%# - - -1.70% 9.57% 14.15% -1.80% -0.89%~
6.90% - - -1.46% 8.14% 12.01% -1.54% -0.76%
- - - 75.36% 41.60% 36.27% 14.88% -
- - - 17.46% 10.48% 9.27% 4.06% -
6.21%
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
-7.03% -2.78% 0.39% -5.07% 3.17% 12.85% -0.99% 0.07%
30.58% 22.30% 21.17% - - - - -
5.48% 4.11% 3.92% - - - - -
- 89.30% 47.55% - - - - -
- 6.59% 3.97% - - - - -
49.14%# - - -2.33% 8.87% 13.43% -2.42% -1.52%
6.71% - - -2.00% 7.55% 11.40% -2.08% -1.30%
- - - 73.85% 40.38% 35.11% 13.90% -
- - - 17.17% 10.21% 9.00% 3.80% -
6.21%
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
-3.49% 0.92% 4.22% -1.46% 7.09% 17.14% 2.78% 3.87%
30.89% 22.61% 21.49% - - - - -
5.53% 4.16% 3.97% - - - - -
- 81.73% 41.64% - - - - -
- 6.16% 3.54% - - - - -
48.03%# - - 1.26% 12.87% 17.60% 1.16% 2.10%
6.58% - - 1.08% 10.93% 14.90% 0.99% 1.80%
- - - 76.71% 42.69% 37.32% 15.77% -
- - - 17.72% 10.72% 9.51% 4.28% -
6.21%
</TABLE>
59 Performance Summary
<PAGE> 68
Back Load Contract With Surrender (Series QQ)
<TABLE>
<CAPTION>
AGGRESSIVE GROWTH &
TOTAL RETURN SMALL CAP GROWTH INTERNATIONAL INDEX 400 GROWTH INCOME INDEX 500
AT UNIT VALUE GROWTH STOCK STOCK EQUITY STOCK STOCK STOCK STOCK BALANCED
(AS OF 6/30/00) DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 year................ 76.51% 40.77% 1.93% 7.78% 4.31% -13.42% -2.24% -3.58%
5 years............... - 164.75% 71.14% - 166.31% 108.57% 166.62% 86.65%
Annualized.......... - 21.50% 11.34% - 21.64% 15.84% 21.67% 13.29%
10 years - - - - - - 333.03%@ 190.29%
Annualized.......... - - - - - - 15.78% 11.25%
Since division incep-
tion in Account B... 115.61%~ 514.65%* 128.27%/\ 14.89%~ 207.32%# 143.93%# 380.88%/\/\ -
Annualized.......... 93.15% 20.89% 12.20% 12.63% 20.00% 15.58% 17.83% -
Since portfolio
inception++......... - 514.58%* - - - - - -
Annualized.......... - 20.87% - - - - - -
Current Yield(##).....
<CAPTION>
Back Load Contract With Surrender (Series RR)
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 year................ 78.51% 42.77% 3.93% 9.78% 6.31% -11.42% -0.24% -1.58%
5 years............... - 164.75% 71.14% - 166.31% 108.57% 166.62% 86.65%
Annualized.......... - 21.50% 11.34% - 21.64% 15.84% 21.67% 13.29%
10 years - - - - - - 333.03%@ 190.29%
Annualized.......... - - - - - - 15.78% 11.25%
Since division incep-
tion in Account B... 117.61%~ 514.65%* 128.27%/\ 16.89%~ 207.32%# 143.93%# 380.88%*/\/\ -
Annualized.......... 94.69% 20.89% 12.20% 14.31% 20.00% 15.58% 17.83% -
Since portfolio
inception++......... - 514.58%* - - - - - -
Annualized.......... - 20.87% - - - - - -
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 Series QQ Back Load
contract with surrender reflect deductions for a maximum 8% withdrawal charge,
declining at a rate of 1% per year; figures for the Series RR Back Load contract
with surrender reflect deductions for a maximum 6% withdrawal charge for the
first three years, declining at a rate of 1% per year thereafter. 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.
++Returns stated are as of the inception date of the portfolio which precedes
availability in Account B. See the following footnotes for portfolio inception
dates.
*Inception date of this division in Account B was 12/3/1990. Actual portfolio
inception was 11/30/1990. Performance quoted prior to 12/3/1990 is based on
actual investment experience, adjusted for expenses of the product and premium
charges.
#Inception date of 5/3/94.
/\Inception date of 4/30/93.
@The Index 500 Stock Portfolio of the Northwestern Mutual Series Fund, Inc.
became available to this division on May 3, 1994. Performance quoted prior to
May 3, 1994 is based on actual investment experience, adjusted for expenses of
the product and premium charges. On April 30, 1993, the Index 500 Stock
Portfolio was indexed to approximate the performance of the Standard & Poor's
500 Composite Stock Price Index. Before then, the Portfolio was actively
managed.
~Inception date of 4/30/99.
+Inception date of this division 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 and premium charges.
##For the seven-day period ended June 30, 2000, the Money Market Portfolio's
yield was 6.21% and was equivalent to a compound effective yield of 6.40%. 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.
/\/\Inception date of this division in Account B was 12/3/1990.
Performance Summary 60
<PAGE> 69
<TABLE>
<CAPTION>
RUSSELL RUSSELL RUSSELL RUSSELL
HIGH YIELD SELECT MONEY MULTI-STYLE AGGRESSIVE NON- RUSSELL REAL ESTATE
BOND BOND MARKET EQUITY EQUITY U.S. CORE BOND SECURITIES
DIVISION DIVISION DIVISION DIVISION+ DIVISION+ DIVISION+ DIVISION+ DIVISION
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
-11.49% -7.08% -3.78% -9.46% -0.91% 9.14% -5.22% -4.13%
26.89% 18.61% 17.49% - - - - -
4.88% 3.47% 3.28% - - - - -
- 81.73% 41.64% - - - - -
- 6.16% 3.54% - - - - -
46.03%# - - -5.74% 5.87% 10.60% -5.84% -4.90%~
6.34% - - -4.94% 5.01% 9.01% -5.02% -4.21%
- - - 71.71% 37.69% 32.32% 10.77% -
- - - 16.75% 9.60% 8.35% 2.97% -
6.21%
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
-9.49% -5.08% -1.78% -7.46% 1.09% 11.14% -3.22% -2.13%
26.89% 18.61% 17.49% - - - - -
4.88% 3.47% 3.28% - - - - -
- 81.73% 41.64% - - - - -
- 6.16% 3.54% - - - - -
46.03%# - - -3.74% 7.87% 12.60% -3.84% -2.90%~
6.34% - - -3.21% 6.71% 10.70% -3.30% -2.49%
- - - 71.71% 37.69% 32.32% 10.77% -
- - - 16.75% 9.60% 8.35% 2.97% -
6.21%
</TABLE>
61 Performance Summary
<PAGE> 70
NORTHWESTERN MUTUAL SERIES FUND, INC.
Statement of Assets and Liabilities
June 30, 2000
(in thousands, except per share amounts)
<TABLE>
<CAPTION>
SMALL CAP AGGRESSIVE INTERNATIONAL INDEX 400 GROWTH
GROWTH STOCK GROWTH STOCK EQUITY STOCK STOCK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at value (1)........................... $ 204,161 $1,810,674 $ 825,318 $ 106,570 $ 764,774
Cash................................................ -- 10,649 -- -- --
Due from Futures Variation Margin................... -- -- -- -- 477
Due from Sale of Fund Shares........................ 1,525 11,981 40,775 846 196
Due from Sale of Securities......................... 3,987 3,608 24,049 -- 8,789
Due from Sale of Foreign Currency................... -- -- 1,314 -- --
Dividends and Interest Receivable................... 15 166 3,096 62 374
---------- ---------- ---------- ---------- ----------
TOTAL ASSETS...................................... 209,688 1,837,078 894,552 107,478 774,610
---------- ---------- ---------- ---------- ----------
LIABILITIES
Due on Purchase of Securities....................... 12,742 8,343 15,423 16 4,248
Due on Purchase of Foreign Currency................. -- -- 1,311 -- --
Due on Redemption of Fund Shares.................... -- 15,108 41,229 -- 737
Due to Investment Advisor........................... 183 1,499 444 -- 536
Accrued Expenses.................................... 38 16 223 99 34
Due on Futures Variation Margin..................... -- -- -- 157 --
---------- ---------- ---------- ---------- ----------
TOTAL LIABILITIES................................. 12,963 24,966 58,630 272 5,555
---------- ---------- ---------- ---------- ----------
NET ASSETS........................................ $ 196,725 $1,812,112 $ 835,922 $ 107,206 $ 769,055
========== ========== ========== ========== ==========
REPRESENTED BY:
Aggregate Paid in Capital (2), (3).................. $ 159,807 $ 967,829 $ 687,333 $ 96,144 $ 528,786
Undistributed Net Investment Income................. 75 529 8,454 737 3,772
Undistributed Accumulated Net Realized Gain (Loss)
on Investments.................................... 7,447 188,039 21,775 8,317 12,969
Net Unrealized Appreciation (Depreciation) of:
Investment Securities............................. 29,396 655,715 119,070 2,351 223,777
Index Futures Contracts........................... -- -- -- (343) (249)
Foreign Currency Transactions..................... -- -- (710) -- --
---------- ---------- ---------- ---------- ----------
Net Assets for Shares Outstanding (2)............... $ 196,725 $1,812,112 $ 835,922 $ 107,206 $ 769,055
========== ========== ========== ========== ==========
Net Asset Value, Offering and Redemption Price per
Share............................................. $ 2.12 $ 4.86 $ 1.67 $ 1.20 $ 2.64
========== ========== ========== ========== ==========
(1) Investments, at cost.............................. $ 174,765 $1,154,959 $ 706,248 $ 104,219 $ 540,997
(2) Shares outstanding................................ 92,902 372,944 500,776 89,010 290,912
(3) Shares authorized, $.01 par value................. 2,000,000 2,000,000 2,000,000 2,000,000 2,000,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
Statements of Assets and Liabilities 62
<PAGE> 71
<TABLE>
<CAPTION>
GROWTH AND INDEX 500 HIGH YIELD SELECT MONEY
INCOME STOCK STOCK BALANCED BOND BOND MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$ 630,221 $2,268,576 $3,424,142 $ 149,021 $ 274,700 $ 384,265
-- 165 1,141 525 -- --
-- 316 1,619 -- 64 --
160 243 -- 104 54 28,215
5,623 4,420 14,016 999 4,069 --
-- -- -- -- -- --
527 1,973 20,220 3,097 3,180 350
---------- ---------- ---------- ---------- ---------- ----------
636,531 2,275,693 3,461,138 153,746 282,067 412,830
---------- ---------- ---------- ---------- ---------- ----------
10,999 -- 10,492 4,352 5,782 27,260
-- -- -- -- -- --
868 5,078 5,364 216 715 26,793
605 772 1,764 128 141 192
30 73 1 13 1 66
-- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
12,502 5,923 17,621 4,709 6,639 54,311
---------- ---------- ---------- ---------- ---------- ----------
$ 624,029 $2,269,770 $3,443,517 $ 149,037 $ 275,428 $ 358,519
========== ========== ========== ========== ========== ==========
$ 573,718 $1,237,035 $2,326,267 $ 193,882 $ 293,282 $ 358,519
2,126 11,484 58,833 8,283 9,238 --
5,561 25,441 109,759 (41,079) (10,206) --
42,624 995,917 951,688 (12,049) (16,441) --
-- (107) (3,030) -- (445) --
-- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
$ 624,029 $2,269,770 $3,443,517 $ 149,037 $ 275,428 $ 358,519
========== ========== ========== ========== ========== ==========
$ 1.45 $ 3.72 $ 2.07 $ 0.81 $ 1.08 $ 1.00
========== ========== ========== ========== ========== ==========
$ 587,597 $1,272,659 $2,472,454 $ 161,070 $ 291,141 $ 384,265
430,199 610,132 1,662,433 183,739 254,833 358,536
2,000,000 2,000,000 3,000,000 2,000,000 1,000,000 1,000,000
</TABLE>
63 Statements of Assets and Liabilities
<PAGE> 72
NORTHWESTERN MUTUAL SERIES FUND, INC.
Statement of Operations
June 30, 2000
(in thousands)
<TABLE>
<CAPTION>
SMALL CAP AGGRESSIVE INDEX GROWTH AND
GROWTH GROWTH INTERNATIONAL 400 GROWTH INCOME
STOCK STOCK EQUITY STOCK STOCK STOCK
PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO PORTFOLIO
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Income
Interest.................................... $ 477 $ 4,184 $ 1,549 $ 500 $ 3,080 $ 219
Dividends (1)............................... 70 619 9,821 376 2,201 3,695
------- -------- -------- ------- ------- --------
TOTAL INCOME........................... 547 4,803 11,370 876 5,281 3,914
------- -------- -------- ------- ------- --------
Expenses
Management Fees............................. 443 4,264 2,592 103 1,497 1,777
Custodian Expenses.......................... 10 14 129 16 10 10
Other Expenses.............................. 18 10 173 12 12 11
Audit Fees.................................. -- -- -- 10 -- --
------- -------- -------- ------- ------- --------
TOTAL EXPENSES......................... 471 4,288 2,894 141 1,519 1,798
------- -------- -------- ------- ------- --------
Less Waived Fees:
Paid by Affiliate...................... -- (5) -- -- (2) (5)
Paid Indirectly........................ (4) (9) -- (2) (8) (5)
------- -------- -------- ------- ------- --------
TOTAL NET EXPENSES..................... 467 4,274 2,894 139 1,509 1,788
------- -------- -------- ------- ------- --------
Net Investment Income (Loss).................. 80 529 8,476 737 3,772 2,126
------- -------- -------- ------- ------- --------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES
Net Realized Gain (Loss) on:
Investment Securities....................... 7,579 193,923 21,917 6,536 15,408 9,721
Index Futures Contracts..................... 342 (1,556) -- 1,913 435 --
Foreign Currency Transactions............... -- -- (114) -- -- --
------- -------- -------- ------- ------- --------
NET REALIZED GAIN (LOSS) ON
INVESTMENTS.......................... 7,921 192,367 21,803 8,449 15,843 9,721
------- -------- -------- ------- ------- --------
Net Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities....................... 15,886 45,393 (12,979) (1,499) 12,878 (21,217)
Index Futures Contracts..................... (391) (2,409) -- (475) (3,124) --
Foreign Currency Transactions............... -- -- (638) -- -- --
------- -------- -------- ------- ------- --------
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) OF INVESTMENTS........ 15,495 42,984 (13,617) (1,974) 9,754 (21,217)
------- -------- -------- ------- ------- --------
Net Gain (Loss) on Investments................ 23,416 235,351 8,186 6,475 25,597 (11,496)
------- -------- -------- ------- ------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS............................... $23,496 $235,880 $ 16,662 $ 7,212 $29,369 $ (9,370)
======= ======== ======== ======= ======= ========
(1) Less Foreign dividend tax................. $ -- $ -- $ 697 $ -- $ 7 $ 17
</TABLE>
* Portfolio commenced operations April 30, 1999.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
Statement of Operations 64
<PAGE> 73
<TABLE>
<CAPTION>
INDEX
500 HIGH YIELD SELECT MONEY
STOCK BALANCED BOND BOND MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 1,249 $ 54,815 $ 7,722 $ 9,911 $11,429
12,489 9,657 951 -- --
-------- --------- -------- ------- -------
13,738 64,472 8,073 9,911 11,429
-------- --------- -------- ------- -------
2,214 5,140 381 413 563
22 -- 14 -- --
21 -- 11 -- --
-- -- -- -- --
-------- --------- -------- ------- -------
2,257 5,140 406 413 563
-------- --------- -------- ------- -------
-- -- (13) -- --
(3) -- (1) -- --
-------- --------- -------- ------- -------
2,254 5,140 392 413 563
-------- --------- -------- ------- -------
11,484 59,332 8,281 9,498 10,866
-------- --------- -------- ------- -------
26,837 120,010 (11,229) (1,959) --
(50) (3,737) -- (1,064) --
-- -- -- -- --
-------- --------- -------- ------- -------
26,787 116,273 (11,229) (3,023) --
-------- --------- -------- ------- -------
(46,060) (112,408) 1,137 1,923 --
(1,221) (7,441) -- (420) --
-- -- -- -- --
-------- --------- -------- ------- -------
(47,281) (119,849) 1,137 1,503 --
-------- --------- -------- ------- -------
(20,494) (3,576) (10,092) (1,520) --
-------- --------- -------- ------- -------
$ (9,010) $ 55,756 $ (1,811) $ 7,978 $10,866
======== ========= ======== ======= =======
$ 67 $ 50 $ -- $ -- $ --
</TABLE>
65 Statement of Operations
<PAGE> 74
NORTHWESTERN MUTUAL SERIES FUND, INC.
Statements of Changes in Net Assets
(in thousands)
SMALL CAP GROWTH STOCK PORTFOLIO
<TABLE>
<CAPTION>
FOR THE FOR THE PERIOD
SIX MONTHS APRIL 30, 1999*
ENDED THROUGH
JUNE 30, 2000 DECEMBER 31,
(UNAUDITED) 1999
----------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income (Loss)............................ $ 80 $ (11)
Net Realized Gain on Investments........................ 7,921 6,449
Net Change in Unrealized Appreciation of Investments for
the Period............................................. 15,495 13,901
-------- -------
Net Increase in Net Assets Resulting from
Operations........................................... 23,496 20,339
-------- -------
Distributions to Shareholders from:
Net Investment Income................................... -- --
Net Realized Gain on Investments........................ (4,560) (2,362)
-------- -------
Net Decrease in Net Assets Resulting from
Distributions to Shareholders........................ (4,560) (2,362)
-------- -------
Fund Share Transactions
Proceeds from Sale of 60,108 and 41,794 Shares.......... 119,897 55,379
Proceeds from Shares Issued on Reinvestment of
Distributions Paid (2,378 and 1,007 shares,
respectively).......................................... 4,560 2,362
Payments for 9,434 and 2,952 Shares Redeemed............ (18,151) (4,235)
-------- -------
Net Increase in Net Assets Resulting from Fund Share
Transactions (53,052 and 39,849 shares,
respectively)........................................ 106,306 53,506
-------- -------
Total Increase in Net Assets.............................. 125,242 71,483
NET ASSETS
Beginning of Period..................................... 71,483 --
-------- -------
End of Period (Includes undistributed net investment
income of $75 and $0, respectively).................... $196,725 $71,483
======== =======
</TABLE>
* Portfolio commenced operations April 30, 1999.
AGGRESSIVE GROWTH STOCK PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE
ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31,
(UNAUDITED) 1999
------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income (Loss)............................ $ 529 $ (180)
Net Realized Gain on Investments........................ 192,367 201,622
Net Change in Unrealized Appreciation of Investments for
the Period............................................. 42,984 247,911
---------- ----------
Net Increase in Net Assets Resulting from
Operations........................................... 235,880 449,353
---------- ----------
Distributions to Shareholders from:
Net Investment Income................................... -- (389)
Net Realized Gain on Investments........................ (203,984) (38,180)
---------- ----------
Net Decrease in Net Assets Resulting from
Distributions to Shareholders........................ (203,984) (38,569)
---------- ----------
Fund Share Transactions
Proceeds from Sale of 86,558 and 14,536 Shares.......... 439,770 53,705
Proceeds from Shares Issued on Reinvestment of
Distributions Paid (45,880 and 11,023 shares,
respectively).......................................... 203,984 38,569
Payments for 68,503 and 44,946 Shares Redeemed.......... (348,849) (155,213)
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Fund Share Transactions (63,935 and (19,387) shares,
respectively)........................................ 294,905 (62,939)
---------- ----------
Total Increase in Net Assets.............................. 326,801 347,845
NET ASSETS
Beginning of Period..................................... 1,485,311 1,137,466
---------- ----------
End of Period (Includes undistributed net investment
income of $529 and $0, respectively)................... $1,812,112 $1,485,311
========== ==========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
Statement of Changes in Net Assets 66
<PAGE> 75
NORTHWESTERN MUTUAL SERIES FUND, INC.
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, YEAR ENDED
2000 DECEMBER 31,
(UNAUDITED) 1999
--------------------------------------------------------------------------------------------
(IN THOUSANDS)
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income................................... $ 8,476 $ 18,083
Net Realized Gain on Investments........................ 21,803 42,589
Net Change in Unrealized Appreciation (Depreciation) of
Investments for the Period............................. (13,617) 84,953
--------- ---------
Net Increase in Net Assets Resulting from
Operations........................................... 16,662 145,625
--------- ---------
Distributions to Shareholders from:
Net Investment Income................................... (16,173) (18,221)
Net Realized Gain on Investments........................ (41,802) (78,977)
--------- ---------
Net Decrease in Net Assets Resulting from
Distributions to Shareholders........................ (57,975) (97,198)
--------- ---------
Fund Share Transactions
Proceeds from Sale of 437,225 and 210,725 Shares........ 725,402 347,201
Proceeds from Shares Issued on Reinvestment of
Distributions Paid (37,092 and 58,943 shares,
respectively).......................................... 57,975 97,198
Payments for 398,842 and 236,223 Shares Redeemed........ (678,312) (391,762)
--------- ---------
Net Increase in Net Assets Resulting from Fund Share
Transactions (75,475 and 33,445 shares,
respectively)........................................ 105,065 52,637
--------- ---------
Total Increase in Net Assets.............................. 63,752 101,064
NET ASSETS
Beginning of Period..................................... 772,170 671,106
--------- ---------
End of Period (Includes undistributed net investment
income of $8,454 and $16,150, respectively)............ $ 835,922 $ 772,170
========= =========
</TABLE>
INDEX 400 STOCK PORTFOLIO
<TABLE>
<CAPTION>
FOR THE FOR THE PERIOD
SIX MONTHS ENDED APRIL 30, 1999*
JUNE 30, THROUGH
2000 DECEMBER 31,
(UNAUDITED) 1999
-----------------------------------------------------------------------------------------------
(IN THOUSANDS)
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income................................... $ 737 $ 451
Net Realized Gain on Investments........................ 8,449 1,579
Net Change in Unrealized Appreciation (Depreciation) of
Investments for the Period............................. (1,974) 3,982
-------- -------
Net Increase in Net Assets Resulting from
Operations........................................... 7,212 6,012
-------- -------
Distributions to Shareholders from:
Net Investment Income................................... -- (473)
Net Realized Gain on Investments........................ (1,379) (319)
-------- -------
Net Decrease in Net Assets Resulting from
Distributions to Shareholders........................ (1,379) (792)
-------- -------
Fund Share Transactions
Proceeds from Sale of 35,721 and 55,140 Shares.......... 42,052 55,323
Proceeds from Shares Issued on Reinvestment of
Distributions Paid (1,160 and 35 shares,
respectively).......................................... 1,379 792
Payments for 1,438 and 1,608 Shares Redeemed............ (1,702) (1,691)
-------- -------
Net Increase in Net Assets Resulting from Fund Share
Transactions (35,443 and 53,567 shares,
respectively)........................................ 41,729 54,424
-------- -------
Total Increase in Net Assets.............................. 47,562 59,644
NET ASSETS
Beginning of Period..................................... 59,644 --
-------- -------
End of Period (Includes undistributed net investment
income of $737 and $0, respectively)................... $107,206 $59,644
======== =======
</TABLE>
* Portfolio commenced operations April 30, 1999.
The Accompanying Notes are an Integral Part of the Financial Statements
67 Statement of Changes in Net Assets
<PAGE> 76
NORTHWESTERN MUTUAL SERIES FUND, INC.
GROWTH STOCK PORTFOLIO
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31,
(UNAUDITED) 1999
--------------------------------------------------------------------------------------------
(IN THOUSANDS)
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income................................... $ 3,772 $ 6,595
Net Realized Gain on Investments........................ 15,843 29,373
Net Change in Unrealized Appreciation of Investments for
the Period............................................. 9,754 79,082
-------- --------
Net Increase in Net Assets Resulting from
Operations........................................... 29,369 115,050
-------- --------
Distributions to Shareholders from:
Net Investment Income................................... (1,365) (6,147)
Net Realized Gain on Investments........................ (30,684) (13,531)
-------- --------
Net Decrease in Net Assets Resulting from
Distributions to Shareholders........................ (32,049) (19,678)
-------- --------
Fund Share Transactions
Proceeds from Sale of 29,219 and 65,947 Shares.......... 77,574 156,519
Proceeds from Shares Issued on Reinvestment of
Distributions Paid (12,470 and 8,157 shares,
respectively).......................................... 32,049 19,678
Payments for 5,336 and 7,013 Shares Redeemed............ (14,022) (16,717)
-------- --------
Net Increase in Net Assets Resulting from Fund Share
Transactions (36,353 and 67,091 shares,
respectively)........................................ 95,601 159,480
-------- --------
Total Increase in Net Assets.............................. 92,921 254,852
NET ASSETS
Beginning of Period..................................... 676,134 421,282
-------- --------
End of Period (includes undistributed net investment
income of $3,772 and $1,365, respectively)............. $769,055 $676,134
======== ========
</TABLE>
GROWTH AND INCOME STOCK PORTFOLIO
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31,
(UNAUDITED) 1999
--------------------------------------------------------------------------------------------
(IN THOUSANDS)
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income................................... $ 2,126 $ 4,979
Net Realized Gain on Investments........................ 9,721 28,648
Net Change in Unrealized Appreciation (Depreciation) of
Investments for the Period............................. (21,217) 10,475
-------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations........................................... (9,370) 44,102
-------- --------
Distributions to Shareholders from:
Net Investment Income................................... (4,979) (164)
Net Realized Gain on Investments........................ (30,759) (69,388)
-------- --------
Net Decrease in Net Assets Resulting from
Distributions to Shareholders........................ (35,738) (69,552)
-------- --------
Fund Share Transactions
Proceeds from Sale of 12,184 and 53,719 Shares.......... 18,362 85,448
Proceeds from Shares Issued on Reinvestment of
Distributions Paid (24,732 and 43,992 shares,
respectively).......................................... 35,738 69,552
Payments for 30,592 and 25,373 Shares Redeemed.......... (46,515) (38,968)
-------- --------
Net Increase in Net Assets Resulting from Fund Share
Transactions (6,375 and 72,338 shares,
respectively)........................................ 7,585 116,032
-------- --------
Total Increase (Decrease) in Net Assets................... (37,523) 90,582
NET ASSETS
Beginning of Period..................................... 661,552 570,970
-------- --------
End of Period (includes undistributed net investment
income of $2,126 and $4,979, respectively)............. $624,029 $661,552
======== ========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
Statement of Changes in Net Assets 68
<PAGE> 77
NORTHWESTERN MUTUAL SERIES FUND, INC.
INDEX 500 STOCK PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, YEAR ENDED
2000 DECEMBER 31,
(UNAUDITED) 1999
--------------------------------------------------------------------------------------------
(IN THOUSANDS)
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income................................... $ 11,484 $ 22,921
Net Realized Gain on Investments........................ 26,787 64,417
Net Change in Unrealized Appreciation (Depreciation) of
Investments for the Period............................. (47,281) 293,988
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations........................................... (9,010) 381,326
---------- ----------
Distributions to Shareholders from:
Net Investment Income................................... (22,921) (19,629)
Net Realized Gain on Investments........................ (65,358) (25,890)
---------- ----------
Net Decrease in Net Assets Resulting from
Distributions to Shareholders........................ (88,279) (45,519)
---------- ----------
Fund Share Transactions
Proceeds from Sale of 22,634 and 79,345 Shares.......... 85,293 277,173
Proceeds from Shares Issued on Reinvestment of
Distributions Paid (24,021 and 12,786 shares,
respectively).......................................... 88,278 45,519
Payments for 20,937 and 21,770 Shares Redeemed.......... (78,468) (77,223)
---------- ----------
Net Increase in Net Assets Resulting from Fund Share
Transactions (610,132 and 70,361 shares,
respectively)........................................ 95,103 245,469
---------- ----------
Total Increase (Decrease) in Net Assets................... (2,186) 581,276
NET ASSETS
Beginning of Period..................................... 2,271,956 1,690,680
---------- ----------
End of Period (includes undistributed net investment
income of $11,484 and $22,921, respectively)........... $2,269,770 $2,271,956
========== ==========
</TABLE>
BALANCED PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, YEAR ENDED
2000 DECEMBER 31,
(UNAUDITED) 1999
--------------------------------------------------------------------------------------------
(IN THOUSANDS)
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income................................... $ 59,332 $ 114,902
Net Realized Gain on Investments........................ 116,273 181,565
Net Change in Unrealized Appreciation (Depreciation) of
Investments for the Period............................. (119,849) 67,796
---------- ----------
Net Increase in Net Assets Resulting from
Operations........................................... 55,756 364,263
---------- ----------
Distributions to Shareholders from:
Net Investment Income................................... (114,893) (104,192)
Net Realized Gain on Investments........................ (167,534) (250,227)
---------- ----------
Net Decrease in Net Assets Resulting from
Distributions to Shareholders........................ (282,427) (354,419)
---------- ----------
Fund Share Transactions
Proceeds from Sale of 8,124 and 47,979 Shares........... 17,508 105,834
Proceeds from Shares Issued on Reinvestment of
Distributions Paid (139,058 and 167,416 shares,
respectively).......................................... 282,427 354,419
Payments for 86,234 and 89,877 Shares Redeemed.......... (187,647) (194,268)
---------- ----------
Net Increase in Net Assets Resulting from Fund Share
Transactions (60,948 and 125,518 shares,
respectively)........................................ 112,288 265,985
---------- ----------
Total Increase (Decrease) in Net Assets................... (114,383) 275,829
NET ASSETS
Beginning of Period..................................... 3,557,900 3,282,071
---------- ----------
End of Period (includes undistributed net investment
income of $58,833 and $114,394, respectively).......... $3,443,517 $3,557,900
========== ==========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
69 Statement of Changes in Net Assets
<PAGE> 78
NORTHWESTERN MUTUAL SERIES FUND, INC.
HIGH YIELD BOND PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, YEAR ENDED
2000 DECEMBER 31,
(UNAUDITED) 1999
---------------------------------------------------------------------------------------------
(IN THOUSANDS)
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income................................... $ 8,281 $ 19,127
Net Realized Loss on Investments........................ (11,229) (26,106)
Net Change in Unrealized Appreciation of Investments for
the Period............................................. 1,137 6,190
-------- --------
Net Decrease in Net Assets Resulting from
Operations........................................... (1,811) (789)
-------- --------
Distributions to Shareholders from:
Net Investment Income................................... (271) (19,051)
Net Realized Gain on Investments........................ -- --
-------- --------
Net Decrease in Net Assets Resulting from
Distributions to Shareholders........................ (271) (19,051)
-------- --------
Fund Share Transactions
Proceeds from Sale of 6,186 and 14,760 Shares........... 5,035 11,697
Proceeds from Shares Issued on Reinvestment of
Distributions Paid (340 and 21,045 shares,
respectively).......................................... 271 19,052
Payments for 19,132 and 36,981 Shares Redeemed.......... (15,611) (34,267)
-------- --------
Net Decrease in Net Assets Resulting from Fund Share
Transactions ((12,606) and (1,176) shares,
respectively)........................................ (10,305) (3,518)
-------- --------
Total Decrease in Net Assets.............................. (12,387) (23,358)
NET ASSETS
Beginning of Period..................................... 161,424 184,782
-------- --------
End of Period (Includes undistributed net investment
income of $8,283 and $273, respectively)............... $149,037 $161,424
======== ========
</TABLE>
SELECT BOND PORTFOLIO
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31,
(UNAUDITED) 1999
--------------------------------------------------------------------------------------------
(IN THOUSANDS)
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income..................................... $ 9,498 $ 19,306
Net Realized Loss on Investments........................ (3,023) (2,358)
Net Change in Unrealized Appreciation (Depreciation) of
Investments for the Period............................. 1,503 (19,883)
-------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations........................................... 7,978 (2,935)
-------- --------
Distributions to Shareholders from:
Net Investment Income................................... (19,349) (17,828)
Net Realized Gain on Investments........................ -- (7,228)
-------- --------
Net Decrease in Net Assets Resulting from
Distributions to Shareholders........................ (19,349) (25,056)
-------- --------
Fund Share Transactions
Proceeds from Sale of 7,161 and 23,659 Shares........... 8,057 27,875
Proceeds from Shares Issued on Reinvestment of
Distributions Paid (18,463 and 22,018 shares,
respectively).......................................... 19,349 25,056
Payments for 24,043 and 31,015 Shares Redeemed.......... (27,100) (36,481)
-------- --------
Net Increase in Net Assets Resulting from Fund Share
Transactions (1,580 and 14,662 shares,
respectively)........................................ 306 16,450
-------- --------
Total Decrease in Net Assets.............................. (11,065) (11,541)
NET ASSETS
Beginning of Period..................................... 286,493 298,034
-------- --------
End of Period (Includes undistributed net investment
income of $9,238 and $19,088, respectively)............ $275,428 $286,493
======== ========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
Statement of Changes in Net Assets 70
<PAGE> 79
NORTHWESTERN MUTUAL SERIES FUND, INC.
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, YEAR ENDED
2000 DECEMBER 31,
(UNAUDITED) 1999
--------------------------------------------------------------------------------------------
(IN THOUSANDS)
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income................................... $ 10,866 $ 16,692
----------- ---------
Net Increase in Net Assets Resulting from
Operations........................................... 10,866 16,692
----------- ---------
Distributions to Shareholders from:
Net Investment Income................................... (10,866) (16,692)
----------- ---------
Net Decrease in Net Assets Resulting from
Distributions to Shareholders........................ (10,866) (16,692)
----------- ---------
Fund Share Transactions
Proceeds from Sale of 1,050,021 and 543,084 Shares...... 1,050,021 543,082
Proceeds from Shares Issued on Reinvestment of
Distributions Paid 10,801 and 16,692 shares,
respectively........................................... 10,798 16,692
Payments for 1,106,584 and 446,954 Shares Redeemed...... (1,106,584) (446,954)
----------- ---------
Net Increase (Decrease) in Net Assets Resulting from
Fund Share Transactions ((45,762) and 112,822 shares,
respectively)........................................ (45,765) 112,820
----------- ---------
Total Increase (Decrease) in Net Assets..................... (45,765) 112,820
NET ASSETS
Beginning of Period..................................... 404,284 291,464
----------- ---------
End of Period (includes no undistributed net investment
income)................................................ $ 358,519 $ 404,284
=========== =========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
71 Statement of Changes in Net Assets
<PAGE> 80
NORTHWESTERN MUTUAL SERIES FUND, INC.
Financial Highlights
SMALL CAP GROWTH STOCK PORTFOLIO
<TABLE>
<CAPTION>
FOR THE FOR THE PERIOD
SIX MONTHS ENDED APRIL 30, 1999*
JUNE 30, THROUGH
2000 DECEMBER 31,
(For a share outstanding throughout the period) (UNAUDITED) 1999
------------------------------------------------------------------------------------------------
<S> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period........................ $ 1.79 $ 1.00
Income from Investment Operations:
Net Investment Income................................... -- --
Net Realized and Unrealized Gains on Investments........ 0.38 0.85
-------- -------
Total from Investment Operations...................... 0.38 0.85
-------- -------
Less Distributions:
Distributions from Net Investment Income................ -- --
Distributions from Realized Gains on Investments........ (0.05) (0.06)
-------- -------
Total Distributions................................... (0.05) (0.06)
-------- -------
Net Asset Value, End of Period.............................. $ 2.12 $ 1.79
======== =======
Total Return+............................................... 21.54%++ 86.09%++
======== =======
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands).................... $196,725 $71,483
======== =======
Ratio of Gross Expenses to Average Net Assets............... 0.70%** 1.03%**
======== =======
Ratio of Net Expenses to Average Net Assets................. 0.70%** 1.00%**
======== =======
Ratio of Net Investment Income (Loss) to Average Net
Assets.................................................... 0.12%** (0.07)%**
======== =======
Portfolio Turnover Rate..................................... 12.11% 70.72%
======== =======
</TABLE>
AGGRESSIVE GROWTH STOCK PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED
JUNE 30, FOR THE YEAR ENDED DECEMBER 31,
2000 ----------------------------------------------------------
(For a share outstanding throughout the period) (UNAUDITED) 1999 1998 1997 1996 1995
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period.............. $ 4.81 $ 3.46 $ 3.34 $ 3.15 $ 2.77 $ 2.00
Income from Investment Operations:
Net Investment Income......................... -- -- -- -- -- --
Net Realized and Unrealized Gains on
Investments................................. 0.68 1.48 0.24 0.39 0.49 0.78
---------- ---------- ---------- ---------- -------- --------
Total from Investment Operations............ 0.68 1.48 0.24 0.39 0.49 0.78
---------- ---------- ---------- ---------- -------- --------
Less Distributions:
Distributions from Net Investment Income...... -- -- -- -- -- --
Distributions from Realized Gains on
Investments................................. (0.63) (0.13) (0.12) (0.20) (0.11) (0.01)
---------- ---------- ---------- ---------- -------- --------
Total Distributions......................... (0.63) (0.13) (0.12) (0.20) (0.11) (0.01)
---------- ---------- ---------- ---------- -------- --------
Net Asset Value, End of Period.................... $ 4.86 $ 4.81 $ 3.46 $ 3.34 $ 3.15 $ 2.77
========== ========== ========== ========== ======== ========
Total Return+............................... 15.39%++ 43.78% 7.56% 13.86% 17.70% 39.29%
========== ========== ========== ========== ======== ========
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands).......... $1,812,112 $1,485,311 $1,137,466 $1,067,068 $871,926 $577,014
========== ========== ========== ========== ======== ========
Ratio of Net Expenses to Average Net Assets....... 0.51%** 0.51% 0.52% 0.53% 0.54% 0.56%
========== ========== ========== ========== ======== ========
Ratio of Net Investment Income (Loss) to Average
Net Assets...................................... 0.06%** (0.02%) 0.04% 0.06% (0.03%) 0.13%
========== ========== ========== ========== ======== ========
Portfolio Turnover Rate........................... 30.43% 68.64% 50.43% 57.27% 47.25% 37.84%
========== ========== ========== ========== ======== ========
</TABLE>
* Portfolio commenced operations on April 30, 1999
** Computed on a 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
Financial Highlights 72
<PAGE> 81
NORTHWESTERN MUTUAL SERIES FUND, INC.
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, 2000 ----------------------------------------------------
(For a share outstanding throughout the period) (UNAUDITED) 1999 1998 1997 1996 1995
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period.................. $ 1.78 $ 1.68 $ 1.69 $ 1.56 $ 1.35 $ 1.19
Income from Investment Operations:
Net Investment Income............................. 0.02 0.03 0.05 0.04 0.04 0.04
Net Realized and Unrealized Gains (Loss) on
Investments..................................... (0.02) 0.33 0.04 0.15 0.24 0.13
-------- -------- -------- -------- -------- --------
Total from Investment Operations................ -- 0.36 0.09 0.19 0.28 0.17
-------- -------- -------- -------- -------- --------
Less Distributions:
Distributions from Net Investment Income.......... (0.03) (0.05) (0.04) (0.04) (0.03) --
Distributions from Realized Gains on
Investments..................................... (0.08) (0.21) (0.06) (0.02) (0.04) (0.01)
-------- -------- -------- -------- -------- --------
Total Distributions............................. (0.11) (0.26) (0.10) (0.06) (0.07) (0.01)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period........................ $ 1.67 $ 1.78 $ 1.68 $ 1.69 $ 1.56 $ 1.35
======== ======== ======== ======== ======== ========
Total Return+......................................... 1.39%++ 22.88% 4.82% 12.28% 21.01% 14.57%
======== ======== ======== ======== ======== ========
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands).............. $835,922 $772,170 $671,106 $659,850 $505,189 $342,127
======== ======== ======== ======== ======== ========
Ratio of Net Expenses to Average Net Assets........... 0.74%** 0.74% 0.76% 0.77% 0.81% 0.85%
======== ======== ======== ======== ======== ========
Ratio of Net Investment Income to Average Net
Assets.............................................. 2.95%** 2.62% 3.38% 2.75% 3.02% 2.68%
======== ======== ======== ======== ======== ========
Portfolio Turnover Rate............................... 8.34% 38.37% 30.41% 16.74% 17.07% 26.71%
======== ======== ======== ======== ======== ========
</TABLE>
INDEX 400 STOCK PORTFOLIO
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE APRIL 30, 1999*
SIX MONTHS ENDED THROUGH
JUNE 30, 2000 DECEMBER 31,
(For a share outstanding throughout the period) (UNAUDITED) 1999
------------------------------------------------------------------------------------------------
<S> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period........................ $ 1.11 $ 1.00
Income from Investment Operations:
Net Investment Income................................... 0.01 0.01
Net Realized and Unrealized Gains on Investments........ 0.10 0.12
-------- -------
Total from Investment Operations...................... 0.11 0.13
-------- -------
Less Distributions:
Distributions from Net Investment Income................ -- (0.01)
Distributions from Realized Gains on Investments........ (0.02) (0.01)
-------- -------
Total Distributions................................... (0.02) (0.02)
-------- -------
Net Asset Value, End of Period.............................. $ 1.20 $ 1.11
======== =======
Total Return+............................................... 9.77%++ 12.83%++
======== =======
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands).................... $107,206 $59,644
======== =======
Ratio of Gross Expenses to Average Net Assets............... 0.34%** 0.46%**
======== =======
Ratio of Net Expenses to Average Net Assets................. 0.34%** 0.35%**
======== =======
Ratio of Net Investment Income to Average Net Assets........ 1.78%** 1.69%**
======== =======
Portfolio Turnover Rate..................................... 10.09% 26.51%
======== =======
</TABLE>
* Portfolio commenced operations on April 30, 1999
** 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
73 Financial Highlights
<PAGE> 82
NORTHWESTERN MUTUAL SERIES FUND, INC.
GROWTH STOCK PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, 2000 ---------------------------------------------------
(For a share outstanding throughout the period) (UNAUDITED) 1999 1998 1997 1996 1995
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period....................... $ 2.66 $ 2.25 $ 1.81 $ 1.46 $ 1.26 $ 1.00
Income from Investment Operations:
Net Investment Income.................................. 0.01 0.03 0.02 0.02 0.02 0.02
Net Realized and Unrealized Gains on Investments....... 0.09 0.47 0.46 0.42 0.25 0.28
-------- -------- -------- -------- -------- -------
Total from Investment Operations..................... 0.10 0.50 0.48 0.44 0.27 0.30
-------- -------- -------- -------- -------- -------
Less Distributions:
Distributions from Net Investment Income............... (0.01) (0.03) (0.02) (0.02) (0.02) (0.02)
Distributions from Realized Gains on Investments....... (0.11) (0.06) (0.02) (0.07) (0.05) (0.02)
-------- -------- -------- -------- -------- -------
Total Distributions.................................. (0.12) (0.09) (0.04) (0.09) (0.07) (0.04)
-------- -------- -------- -------- -------- -------
-------- -------- -------- -------- -------- -------
Net Asset Value, End of Period............................. $ 2.64 $ 2.66 $ 2.25 $ 1.81 $ 1.46 $ 1.26
======== ======== ======== ======== ======== =======
Total Return+........................................ 4.07%++ 22.50% 26.69% 29.85% 20.91% 30.82%
======== ======== ======== ======== ======== =======
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands)................... $769,055 $676,134 $421,282 $243,071 $170,482 $85,557
======== ======== ======== ======== ======== =======
Ratio of Net Expenses to Average Net Assets................ 0.42%** 0.43% 0.46% 0.49% 0.57% 0.61%
======== ======== ======== ======== ======== =======
Ratio of Net Investment Income to Average Net Assets....... 1.05%** 1.22% 1.10% 1.24% 1.41% 1.77%
======== ======== ======== ======== ======== =======
Portfolio Turnover Rate.................................... 13.66% 27.26% 21.64% 33.20% 37.61% 46.83%
======== ======== ======== ======== ======== =======
</TABLE>
GROWTH AND INCOME STOCK PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, 2000 ----------------------------------------------------
(For a share outstanding throughout the period) (UNAUDITED) 1999 1998 1997 1996 1995
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period...................... $ 1.56 $ 1.62 $ 1.33 $ 1.32 $ 1.21 $ 0.98
Income from Investment Operations:
Net Investment Income................................. -- 0.01 0.01 0.01 0.02 0.02
Net Realized and Unrealized Gains (Loss) on
Investments......................................... (0.03) 0.12 0.29 0.37 0.23 0.29
---------- -------- -------- -------- -------- --------
Total from Investment Operations.................... (0.03) 0.13 0.30 0.38 0.25 0.31
---------- -------- -------- -------- -------- --------
Less Distributions:
Distributions from Net Investment Income.............. (0.01) -- (0.01) (0.01) (0.02) (0.02)
Distributions from Realized Gains on Investments...... (0.07) (0.19) -- (0.36) (0.12) (0.06)
---------- -------- -------- -------- -------- --------
Total Distributions................................. (0.08) (0.19) (0.01) (0.37) (0.14) (0.08)
---------- -------- -------- -------- -------- --------
Net Asset Value, End of Period............................ $ 1.45 $ 1.56 $ 1.62 $ 1.33 $ 1.32 $ 1.21
========== ======== ======== ======== ======== ========
Total Return+....................................... (1.40%)++ 7.47% 23.14% 30.03% 19.97% 31.12%
========== ======== ======== ======== ======== ========
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands).................. $ 624,029 $661,552 $570,970 $371,935 $234,184 $136,923
========== ======== ======== ======== ======== ========
Ratio of Net Expenses to Average Net Assets............... .56%** 0.57% 0.58% 0.60% 0.62% 0.69%
========== ======== ======== ======== ======== ========
Ratio of Net Investment Income to Average Net Assets...... .67%** 0.80% 1.00% 1.04% 1.44% 1.68%
========== ======== ======== ======== ======== ========
Portfolio Turnover Rate................................... 25.61% 106.93% 160.40% 144.52% 93.92% 80.00%
========== ======== ======== ======== ======== ========
</TABLE>
** Computed on a 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
Financial Highlights 74
<PAGE> 83
NORTHWESTERN MUTUAL SERIES FUND, INC.
INDEX 500 STOCK PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, 2000 --------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) (UNAUDITED) 1999 1998 1997 1996 1995
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period............ $ 3.89 $ 3.29 $ 2.64 $ 2.06 $ 1.72 $ 1.27
Income from Investment Operations:
Net Investment Income....................... 0.02 0.04 0.04 0.04 0.04 0.04
Net Realized and Unrealized Gains (Loss) on
Investments............................... (0.04) 0.64 0.71 0.62 0.35 0.42
---------- ---------- ---------- ---------- -------- --------
Total from Investment Operations.......... (0.02) 0.68 0.75 0.66 0.39 0.46
---------- ---------- ---------- ---------- -------- --------
Less Distributions:
Distributions from Net Investment Income.... (0.04) (0.03) (0.04) (0.04) (0.02) (0.01)
Distributions from Realized Gains on
Investments............................... (0.11) (0.05) (0.06) (0.04) (0.03) --
---------- ---------- ---------- ---------- -------- --------
Total Distributions....................... (0.15) (0.08) (0.10) (0.08) (0.05) (0.01)
---------- ---------- ---------- ---------- -------- --------
Net Asset Value, End of Period.................. $ 3.72 $ 3.89 $ 3.29 $ 2.64 $ 2.06 $ 1.72
========== ========== ========== ========== ======== ========
Total Return+................................... (0.37%)++ 20.91% 28.72% 33.20% 22.75% 37.25%
========== ========== ========== ========== ======== ========
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands)........ $2,269,770 $2,271,956 $1,690,680 $1,152,857 $740,066 $495,133
========== ========== ========== ========== ======== ========
Ratio of Net Expenses to Average Net Assets..... 0.20%** 0.20% 0.21% 0.21% 0.21% 0.21%
========== ========== ========== ========== ======== ========
Ratio of Net Investment Income to Average Net
Assets........................................ 1.03%** 1.16% 1.40% 1.86% 2.27% 2.51%
========== ========== ========== ========== ======== ========
Portfolio Turnover Rate......................... 2.56% 5.65% 3.03% 3.15% 3.45% 3.19%
========== ========== ========== ========== ======== ========
</TABLE>
BALANCED PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, 2000 --------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) (UNAUDITED) 1999 1998 1997 1996 1995
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period..... $ 2.22 $ 2.22 $ 1.99 $ 1.72 $ 1.60 $ 1.31
Income from Investment Operations:
Net Investment Income (Loss)......... 0.03 0.07 0.07 0.07 0.06 0.07
Net Realized and Unrealized Gains (Loss) on
Investments........................ -- 0.17 0.29 0.28 0.15 0.27
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations... 0.03 0.24 0.36 0.35 0.21 0.34
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions:
Distributions from Net Investment Income... (0.07) (0.07) (0.07) (0.06) (0.06) (0.04)
Distributions from Realized Gains on
Investments........................ (0.11) (0.17) (0.06) (0.02) (0.03) (0.01)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions................ (0.18) (0.24) (0.13) (0.08) (0.09) (0.05)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period........... $ 2.07 $ 2.22 $ 2.22 $ 1.99 $ 1.72 $ 1.60
========== ========== ========== ========== ========== ==========
Total Return+............................ 1.65%++ 11.18% 18.88% 21.52% 13.45% 26.39%
========== ========== ========== ========== ========== ==========
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands)... $3,443,517 $3,557,900 $3,282,071 $2,788,494 $2,326,234 $2,083,289
========== ========== ========== ========== ========== ==========
Ratio of Net 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................................. 3.43%** 3.36% 3.48% 3.70% 3.95% 4.40%
========== ========== ========== ========== ========== ==========
Portfolio Turnover Rate.................. 14.26% 27.16% 44.18% 29.94% 67.66% 37.28%
========== ========== ========== ========== ========== ==========
</TABLE>
** Computed on a 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
75 Financial Highlights
<PAGE> 84
NORTHWESTERN MUTUAL SERIES FUND, INC.
HIGH YIELD BOND PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, 2000 --------------------------------------------------
(For a share outstanding throughout the period) (UNAUDITED) 1999 1998 1997 1996 1995
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period........................ $ 0.82 $ 0.94 $ 1.06 $ 1.10 $ 1.03 $ 0.97
Income from Investment Operations:
Net Investment Income................................... 0.05 0.11 0.10 0.11 0.09 0.10
Net Realized and Unrealized Gains (Loss) on
Investments........................................... (0.06) (0.12) (0.12) 0.06 0.10 0.07
-------- -------- -------- -------- ------- -------
Total from Investment Operations...................... (0.01) (0.01) (0.02) 0.17 0.19 0.17
-------- -------- -------- -------- ------- -------
Less Distributions:
Distributions from Net Investment Income................ -- (0.11) (0.10) (0.14) (0.09) (0.10)
Distributions from Realized Gains on Investments........ -- -- -- (0.07) (0.03) (0.01)
-------- -------- -------- -------- ------- -------
Total Distributions................................... -- (0.11) (0.10) (0.21) (0.12) (0.11)
-------- -------- -------- -------- ------- -------
Net Asset Value, End of Period.............................. $ 0.81 $ 0.82 $ 0.94 $ 1.06 $ 1.10 $ 1.03
======== ======== ======== ======== ======= =======
Total Return+......................................... (1.16%)++ 0.44% (1.84%) 15.85% 19.77% 16.78%
======== ======== ======== ======== ======= =======
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands).................... $149,037 $161,424 $184,782 $153,038 $93,878 $55,974
======== ======== ======== ======== ======= =======
Ratio of Net Expenses to Average Net Assets................. 0.49%** 0.50% 0.50% 0.55% 0.60% 0.65%
======== ======== ======== ======== ======= =======
Ratio of Net Investment Income to Average Net Assets........ 10.76%** 11.15% 10.85% 9.95% 9.54% 9.90%
======== ======== ======== ======== ======= =======
Portfolio Turnover Rate..................................... 67.06% 139.87% 153.71% 129.49% 143.91% 116.57%
======== ======== ======== ======== ======= =======
</TABLE>
SELECT BOND PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, 2000 ----------------------------------------------------
(For a share outstanding throughout the period) (UNAUDITED) 1999 1998 1997 1996 1995
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period....................... $ 1.13 $ 1.25 $ 1.26 $ 1.22 $ 1.23 $ 1.06
Income from Investment Operations:
Net Investment Income.................................. 0.04 0.08 0.08 0.08 0.07 0.07
Net Realized and Unrealized Gains (Loss) on
Investments.......................................... (0.01) (0.09) -- 0.04 (0.04) 0.13
-------- -------- -------- -------- -------- --------
Total from Investment Operations..................... 0.03 (0.01) 0.08 0.12 0.03 0.20
-------- -------- -------- -------- -------- --------
Less Distributions:
Distributions from Net Investment Income............... (0.08) (0.08) (0.08) (0.08) (0.04) (0.03)
Distributions from Realized Gains on Investments....... -- (0.03) (0.01) -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions.................................. (0.08) (0.11) (0.09) (0.08) (0.04) (0.03)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period............................. $ 1.08 $ 1.13 $ 1.25 $ 1.26 $ 1.22 $ 1.23
======== ======== ======== ======== ======== ========
Total Return+........................................ 2.97%++ (1.00%) 7.07% 9.46% 3.31% 19.10%
======== ======== ======== ======== ======== ========
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands)................... $275,428 $286,493 $298,034 $244,835 $214,333 $198,142
======== ======== ======== ======== ======== ========
Ratio of Net 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....... 6.84%** 6.56% 6.87% 7.03% 6.48% 6.61%
======== ======== ======== ======== ======== ========
Portfolio Turnover Rate.................................... 77.31% 76.65% 161.79% 184.93% 195.98% 69.06%
======== ======== ======== ======== ======== ========
</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
Financial Highlights 76
<PAGE> 85
NORTHWESTERN MUTUAL SERIES FUND, INC.
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED
JUNE 30, FOR THE YEAR ENDED DECEMBER 31,
2000 ----------------------------------------------------
(For a share outstanding throughout the period) (UNAUDITED) 1999 1998 1997 1996 1995
-------------------------------------------------------------------------------------------------------------------------------
<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.................................. 0.03 0.05 0.05 0.05 0.05 0.06
Less Distributions from Net Investment Income.......... (0.03) (0.05) (0.05) (0.05) (0.05) (0.06)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period......................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total Return+.......................................... 2.92%++ 5.10% 5.43% 5.47% 5.29% 5.82%
======== ======== ======== ======== ======== ========
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands)............... $358,519 $404,284 $291,464 $194,470 $176,298 $132,572
======== ======== ======== ======== ======== ========
Ratio of Net 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... 5.74%** 4.99% 5.26% 5.33% 5.13% 5.61%
======== ======== ======== ======== ======== ========
</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
77 Financial Highlights
<PAGE> 86
NORTHWESTERN MUTUAL SERIES FUND, INC.
Notes to Financial Statements
June 30, 2000
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.
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.
Notes to Financial Statements 78
<PAGE> 87
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
transactions are accounted for on trade date. The basis for determining cost on
sale of securities is identified cost. For the period ended June 30, 2000,
transactions in securities other than money market investments were:
<TABLE>
<CAPTION>
TOTAL U.S. GOVT.
TOTAL U.S. GOVT. SECURITY SECURITY
SECURITY SECURITY SALES/ SALES/
PORTFOLIOS PURCHASES PURCHASES MATURITIES MATURITIES
---------- --------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Small Cap Growth Stock............................. $152,777,716 -- $ 51,402,973 --
Aggressive Growth Stock............................ 611,358,986 -- 466,688,550 --
International Equity............................... 90,784,118 -- 61,651,802 --
Index 400 Stock.................................... 55,112,108 -- 20,853,094 --
Growth Stock....................................... 136,566,005 -- 84,857,826 --
Growth and Income Stock............................ 160,104,870 -- 192,847,741 --
Index 500 Stock.................................... 59,856,916 -- 56,036,485 --
Balanced........................................... 442,963,255 $238,063,120 559,243,317 $164,128,308
High Yield Bond.................................... 97,509,461 -- 103,469,737 --
Select Bond........................................ 209,701,545 140,155,939 214,706,091 77,407,571
</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 NEXT
$50 $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, LLC. ("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.
The Small Cap Growth Stock Portfolio, International Equity Portfolio, Index 400
Stock Portfolio and the Index 500 Stock Portfolio pay their own custodian fees.
In addition, 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,
2000, the amounts paid through expense offset arrangements are $3,754 in the
Small Cap Growth Stock Portfolio, $5,199 in the Aggressive Growth Stock
Portfolio, $1,758 in the Index 400 Stock Portfolio, $2,351 in the Growth Stock
Portfolio, $5,451 in the Growth and Income Stock Portfolio, $3,000 in the Index
500 Stock Portfolio and $1,124 in the High Yield Bond Portfolio.
79 Notes to Financial Statements
<PAGE> 88
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 Small Cap Growth Stock and Aggressive Growth Stock Portfolios paid
commissions on Fund transactions to an affiliated broker in the amounts of
$1,458 and $16,044, respectively for the period ended June 30, 2000.
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.
After October 31, 1999, the High Yield Bond Portfolio and the Select Bond
Portfolio had losses in the amounts of $2,850,813 and $3,815,499, respectively.
These amounts are deferred and deemed to have occurred in the next fiscal year.
For Federal income tax purposes, the High Yield Bond Portfolio also has a net
realized capital loss of $26,639,854 which will be carried forward to offset
future net realized capital gains. The amount expires as follows: $2,661,875 in
2006 and $23,977,979 in 2007.
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 -- Effective April 1, 1996, Northwestern Mutual voluntarily reimburses
the International Equity Portfolio for the benefit Northwestern Mutual 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 period ended June 30, 2000 and the year
ended December 31, 1999 was $452,907 and $1,243,988, respectively.
Notes to Financial Statements 80
<PAGE> 89
NML VARIABLE ANNUITY ACCOUNT B
Statement of Assets and Liabilities
June 30, 2000
(in thousands)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS
Investments at Market Value:
Northwestern Mutual Series Fund, Inc.
Small Cap Growth Stock
66,293 shares (cost $116,862)...................... $ 139,745
Aggressive Growth Stock
257,647 shares (cost $954,370)..................... 1,251,908
International Equity
345,137 shares (cost $575,514)..................... 576,034
Index 400 Stock
46,883 shares (cost $51,868)....................... 56,447
Growth Stock
199,745 shares (cost $377,979)..................... 528,127
Growth and Income Stock
309,542 shares (cost $440,978)..................... 449,146
Index 500 Stock
412,057 shares (cost $895,307)..................... 1,532,853
Balanced
1,356,044 shares (cost $2,131,396)................. 2,808,368
High Yield Bond
129,507 shares (cost $135,633)..................... 105,030
Select Bond
204,604 shares (cost $240,442)..................... 221,177
Money Market
241,347 shares (cost $241,318)..................... 241,346
Russell Insurance Funds
Multi-Style Equity
4,866 shares (cost $77,922)........................... 75,761
Aggressive Equity
2,198 shares (cost $28,269)........................ 29,634
Non-U.S.
3,402 shares (cost $44,680)........................ 44,602
Real Estate Securities
1,104 shares (cost $9,919)......................... 10,742
Core Bond
2,138 shares (cost $21,068)........................ 21,058 $8,091,978
----------
Due from Sale of Fund Shares.............................. 31,911
Due from Northwestern Mutual Life Insurance Company....... 25,492
----------
Total Assets..................................... $8,149,381
==========
LIABILITIES
Due to Participants....................................... $ 11,575
Due to Northwestern Mutual Life Insurance Company......... 31,911
Due on Purchase of Fund Shares............................ 25,492
----------
Total Liabilities................................ 68,978
----------
EQUITY (NOTE 8)
Contracts Issued Prior to December 17, 1981............... 120,998
Contracts Issued After December 16, 1981 and Prior to
March 31, 1995.......................................... 4,714,321
Contracts Issued On or After March 31, 1995............... 3,194,608
Contracts Issued On or After March 31, 2000............... 50,476
----------
Total Equity..................................... 8,080,403
----------
Total Liabilities and Equity..................... $8,149,381
==========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
81 Account B Financial Statements
<PAGE> 90
NML VARIABLE ANNUITY ACCOUNT B
Statement of Operations
(in thousands)
<TABLE>
<CAPTION>
SMALL CAP GROWTH AGGRESSIVE GROWTH
COMBINED STOCK DIVISION# STOCK DIVISION
--------------------------- --------------------------- ---------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED EIGHT MONTHS ENDED
JUNE 30, YEAR ENDED JUNE 30, ENDED JUNE 30, YEAR ENDED
2000 DECEMBER 31, 2000 DECEMBER 31, 2000 DECEMBER 31,
(UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend Income.......... $ 549,050 $ 529,297 $ 3,406 $ 1,623 $140,605 $ 27,399
Annuity Rate and Expense
Guarantees............. 44,249 79,966 524 114 6,642 9,338
--------- ---------- ------- ------- -------- --------
Net Investment Income
(Loss)................. 504,801 449,331 2,882 1,509 133,963 18,061
--------- ---------- ------- ------- -------- --------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS
Realized Gain (Loss) on
Investments............ (109,379) 206,068 (9,169) 152 (22,402) 59,354
Unrealized Appreciation
(Depreciation) of
Investments During the
Period................. (178,179) 384,910 22,210 11,180 46,028 227,531
--------- ---------- ------- ------- -------- --------
Net Gain (Loss) on
Investments............ (287,558) 590,978 13,041 11,332 23,626 286,885
--------- ---------- ------- ------- -------- --------
Increase (Decrease) in
Equity Derived from
Investment Activity.... $ 217,243 $1,040,309 $15,923 $12,841 $157,589 $304,946
========= ========== ======= ======= ======== ========
<CAPTION>
INTERNATIONAL EQUITY
DIVISION
---------------------------
SIX MONTHS
ENDED
JUNE 30, YEAR ENDED
2000 DECEMBER 31,
(UNAUDITED) 1999
--------------------------- ---------------------------
<S> <C> <C>
INVESTMENT INCOME
Dividend Income.......... $ 39,826 $ 69,655
Annuity Rate and Expense
Guarantees............. 3,040 5,699
-------- --------
Net Investment Income
(Loss)................. 36,786 63,956
-------- --------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS
Realized Gain (Loss) on
Investments............ 21,711 78,270
Unrealized Appreciation
(Depreciation) of
Investments During the
Period................. (49,154) (44,084)
-------- --------
Net Gain (Loss) on
Investments............ (27,443) 34,186
-------- --------
Increase (Decrease) in
Equity Derived from
Investment Activity.... $ 9,343 $ 98,142
======== ========
</TABLE>
# The initial investment in this Division was made on April 30, 1999.
The Accompanying Notes are an Integral Part of the Financial Statements
Account B Financial Statements
82
<PAGE> 91
<TABLE>
<CAPTION>
INDEX 400 GROW AND INCOME INDEX 500
STOCK DIVISION# GROWTH STOCK DIVISION STOCK DIVISION STOCK DIVISION
-------------------------- -------------------------- -------------------------- --------------------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED EIGHT MONTHS ENDED ENDED ENDED
JUNE 30, ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED
2000 DECEMBER 31, 2000 DECEMBER 31, 2000 DECEMBER 31, 2000 DECEMBER 31,
(UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 727 $ 321 $ 22,105 $13,945 $ 25,735 $ 51,672 $ 59,731 $ 31,626
208 76 2,688 4,263 2,491 5,158 8,419 15,550
------- ------ -------- ------- -------- -------- -------- --------
519 245 19,417 9,682 23,244 46,514 51,312 16,076
------- ------ -------- ------- -------- -------- -------- --------
(1,641) 14 (31,739) 2,979 29,102 5,902 (58,793) 24,827
4,417 1,819 30,077 64,234 (61,497) (24,965) (7,000) 206,443
------- ------ -------- ------- -------- -------- -------- --------
2,776 1,833 (1,662) 67,213 (32,395) (19,063) (65,793) 231,270
------- ------ -------- ------- -------- -------- -------- --------
$ 3,295 $2,078 $ 17,755 $76,895 $ (9,151) $ 27,451 $(14,481) $247,346
======= ====== ======== ======= ======== ======== ======== ========
<CAPTION>
BALANCED DIVISION
--------------------------
SIX MONTHS
ENDED
JUNE 30, YEAR ENDED
2000 DECEMBER 31,
(UNAUDITED) 1999
--- --------------------------
<S> <C> <C>
$ 230,003 $284,717
16,410 32,960
--------- --------
213,593 251,757
--------- --------
(41,023) 38,856
(143,593) (29,796)
--------- --------
(184,616) 9,060
--------- --------
$ 28,977 $260,817
========= ========
</TABLE>
83 Account B Financial Statements
<PAGE> 92
NML VARIABLE ANNUITY ACCOUNT B
(in thousands)
<TABLE>
<CAPTION>
HIGH YIELD BOND DIVISION SELECT BOND DIVISION MONEY MARKET DIVISION
-------------------------- -------------------------- --------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED ENDED
JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED
2000 DECEMBER 31, 2000 DECEMBER 31, 2000 DECEMBER 31,
(UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend Income............ $ 190 $ 13,571 $15,508 $ 20,187 $7,556 $11,719
Annuity Rate and Expense
Guarantees............... 566 1,319 1,207 2,641 1,347 2,547
-------- -------- ------- -------- ------ -------
Net Investment Income
(Loss)................... (376) 12,252 14,301 17,546 6,209 9,172
-------- -------- ------- -------- ------ -------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Realized Gain (Loss) on
Investments.............. 8,741 (4,630) 209 294 -- --
Unrealized Appreciation
(Depreciation) of
Investments During the
Period................... (10,172) (9,614) (9,179) (22,857) -- --
-------- -------- ------- -------- ------ -------
Net Gain (Loss) on
Investments.............. (1,431) (14,244) (8,970) (22,563) -- --
-------- -------- ------- -------- ------ -------
Increase (Decrease) in
Equity Derived from
Investment Activity...... $ (1,807) $ (1,992) $ 5,331 $ (5,017) $6,209 $ 9,172
======== ======== ======= ======== ====== =======
<CAPTION>
RUSSELL
MULTI-STYLE
EQUITY DIVISION#
--------------------------
SIX MONTHS
ENDED EIGHT MONTHS
JUNE 30, ENDED
2000 DECEMBER 31,
(UNAUDITED) 1999
----------------------------- --------------------------
<S> <C> <C>
INVESTMENT INCOME
Dividend Income............ $ 1,789 $1,443
Annuity Rate and Expense
Guarantees............... 306 135
------- ------
Net Investment Income
(Loss)................... 1,483 1,308
------- ------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Realized Gain (Loss) on
Investments.............. (1,611) --
Unrealized Appreciation
(Depreciation) of
Investments During the
Period................... (2,347) 1,788
------- ------
Net Gain (Loss) on
Investments.............. (3,958) 1,788
------- ------
Increase (Decrease) in
Equity Derived from
Investment Activity...... $(2,475) $3,096
======= ======
</TABLE>
# The initial investment in this Division was made on April 30, 1999.
The Accompanying Notes are an Integral Part of the Financial Statements
Account B Financial Statements 84
<PAGE> 93
<TABLE>
<CAPTION>
RUSSELL
RUSSELL AGGRESSIVE REAL ESTATE RUSSELL CORE
EQUITY DIVISION# RUSSELL NON-U.S. DIVISION# SECURITIES DIVISION# BOND DIVISION#
------------------------------ --------------------------- -------------------------- --------------------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED EIGHT MONTHS ENDED EIGHT MONTHS ENDED EIGHT MONTHS ENDED EIGHT MONTHS
JUNE 30, ENDED JUNE 30, ENDED JUNE 30, ENDED JUNE 30, ENDED
2000 DECEMBER 31, 2000 DECEMBER 31, 2000 DECEMBER 31, 2000 DECEMBER 31,
(UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 540 $ 64 $ 954 $ 604 $ 109 $ 249 $266 $ 502
118 48 166 60 40 22 77 36
------- ------ ------- ------ ------ ----- ---- -----
422 16 788 544 69 227 189 466
------- ------ ------- ------ ------ ----- ---- -----
(1,079) (17) (2,193) 130 71 (62) 437 (1)
1,283 1,221 (109) 2,706 868 (231) (11) (465)
------- ------ ------- ------ ------ ----- ---- -----
204 1,204 (2,302) 2,836 939 (293) 426 (466)
------- ------ ------- ------ ------ ----- ---- -----
$ 626 $1,220 $(1,514) $3,380 $1,008 $ (66) $615 $ --
======= ====== ======= ====== ====== ===== ==== =====
</TABLE>
85 Account B Financial Statements
<PAGE> 94
NML VARIABLE ANNUITY ACCOUNT B
Statement of Changes in Equity
(in thousands)
<TABLE>
<CAPTION>
SMALL CAP GROWTH AGGRESSIVE GROWTH
COMBINED STOCK DIVISION# STOCK DIVISION
--------------------------- --------------------------- ---------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED EIGHT MONTHS ENDED
JUNE 30, YEAR ENDED JUNE 30, ENDED JUNE 30, YEAR ENDED
2000 DECEMBER 31, 2000 DECEMBER 31, 2000 DECEMBER 31,
(UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net Investment Income......... $ 504,801 $ 449,331 $ 2,882 $ 1,509 $ 133,963 $ 18,061
Net Realized Gain (Loss)...... (109,379) 206,068 (9,169) 152 (22,402) 59,354
Net Change in unrealized
Appreciation
(Depreciation).............. (178,179) 384,910 22,210 11,180 46,028 227,531
----------- ----------- -------- ------- ---------- ----------
Increase (Decrease) in
Equity...................... 217,243 1,040,309 15,923 12,841 157,589 304,946
----------- ----------- -------- ------- ---------- ----------
EQUITY TRANSACTIONS
Contract Owners' Net
Payments.................. 441,227 836,316 22,679 5,800 47,649 62,382
Annuity Payments............ (7,893) (14,043) (19) (3) (524) (673)
Surrenders and Other
(net)..................... (329,350) (478,867) (4,344) (366) (44,377) (58,870)
Transfers from Other
Divisions or Sponsor...... 3,033,981 1,766,343 93,271 38,489 499,207 64,476
Transfers to Other Divisions
or Sponsor................ (3,043,227) (1,783,287) (36,617) (7,980) (442,682) (155,561)
----------- ----------- -------- ------- ---------- ----------
Increase (Decrease) in Equity
Derived from Equity
Transactions................ 94,738 326,462 74,970 35,940 59,273 (88,246)
----------- ----------- -------- ------- ---------- ----------
Net Increase (Decrease) in
Equity...................... 311,981 1,366,771 90,893 48,781 216,862 216,700
EQUITY
Beginning of Period......... 7,768,422 6,401,651 48,781 -- 1,033,918 817,218
----------- ----------- -------- ------- ---------- ----------
End of Period............... $ 8,080,403 $ 7,768,422 $139,674 $48,781 $1,250,780 $1,033,918
=========== =========== ======== ======= ========== ==========
<CAPTION>
INTERNATIONAL
EQUITY DIVISION
---------------------------
SIX MONTHS
ENDED
JUNE 30, YEAR ENDED
2000 DECEMBER 31,
(UNAUDITED) 1999
------------------------------ ---------------------------
<S> <C> <C>
OPERATIONS
Net Investment Income......... $ 36,786 $ 63,956
Net Realized Gain (Loss)...... 21,711 78,270
Net Change in unrealized
Appreciation
(Depreciation).............. (49,154) (44,084)
--------- ---------
Increase (Decrease) in
Equity...................... 9,343 98,142
--------- ---------
EQUITY TRANSACTIONS
Contract Owners' Net
Payments.................. 27,314 39,987
Annuity Payments............ (349) (630)
Surrenders and Other
(net)..................... (20,881) (33,344)
Transfers from Other
Divisions or Sponsor...... 784,384 396,413
Transfers to Other Divisions
or Sponsor................ (763,354) (449,369)
--------- ---------
Increase (Decrease) in Equity
Derived from Equity
Transactions................ 27,114 (46,943)
--------- ---------
Net Increase (Decrease) in
Equity...................... 36,457 51,199
EQUITY
Beginning of Period......... 539,182 487,983
--------- ---------
End of Period............... $ 575,639 $ 539,182
========= =========
</TABLE>
# The initial investment in this Division was made on April 30, 1999.
The Accompanying Notes are an Integral Part of the Financial Statements
Account B Financial Statements 86
<PAGE> 95
<TABLE>
<CAPTION>
INDEX 400 GROWTH AND INCOME INDEX 500
STOCK DIVISION# GROWTH STOCK DIVISION STOCK DIVISION STOCK DIVISION
-------------------------- -------------------------- -------------------------- --------------------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED EIGHT MONTHS ENDED ENDED ENDED
JUNE 30, ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED
2000 DECEMBER 31, 2000 DECEMBER 31, 2000 DECEMBER 31, 2000 DECEMBER 31,
(UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 519 $ 245 $ 19,417 $ 9,682 $ 23,244 $ 46,514 $ 51,312 $ 16,076
(1,641) 14 (31,739) 2,979 29,102 5,902 (58,793) 24,827
4,417 1,819 30,077 64,234 (61,497) (24,965) (7,000) 206,443
------- ------- -------- -------- -------- -------- ---------- ----------
3,295 2,078 17,755 76,895 (9,151) 27,451 (14,481) 247,346
------- ------- -------- -------- -------- -------- ---------- ----------
9,387 7,316 34,786 65,324 22,347 59,687 77,450 167,133
(14) (7) (394) (572) (454) (868) (1,478) (2,567)
(998) (323) (18,129) (23,057) (18,489) (27,142) (59,958) (85,802)
30,032 19,597 72,262 111,147 28,265 73,083 111,603 223,692
(9,724) (4,217) (48,831) (59,550) (54,440) (74,859) (132,842) (169,952)
------- ------- -------- -------- -------- -------- ---------- ----------
28,683 22,366 39,694 93,292 (22,771) 29,901 (5,225) 132,504
------- ------- -------- -------- -------- -------- ---------- ----------
31,978 24,444 57,449 170,187 (31,922) 57,352 (19,706) 379,850
24,444 -- 470,433 300,246 480,677 423,325 1,550,820 1,170,970
------- ------- -------- -------- -------- -------- ---------- ----------
$56,422 $24,444 $527,882 $470,433 $448,755 $480,677 $1,531,114 $1,550,820
======= ======= ======== ======== ======== ======== ========== ==========
<CAPTION>
BALANCED DIVISION
--------------------------
SIX MONTHS
ENDED
JUNE 30, YEAR ENDED
2000 DECEMBER 31,
(UNAUDITED) 1999
--- --------------------------
<S> <C> <C>
$ 213,593 $ 251,757
(41,023) 38,856
(143,593) (29,796)
---------- ----------
28,977 260,817
---------- ----------
87,161 228,829
(3,938) (7,284)
(115,540) (176,628)
57,926 130,806
(129,253) (181,406)
---------- ----------
(103,644) (5,683)
---------- ----------
(74,667) 255,134
2,876,831 2,621,697
---------- ----------
$2,802,164 $2,876,831
========== ==========
</TABLE>
87 Account B Financial Statements
<PAGE> 96
NML VARIABLE ANNUITY ACCOUNT B
Statement of Changes in Equity
(in thousands)
<TABLE>
<CAPTION>
HIGH YIELD BOND DIVISION SELECT BOND DIVISION MONEY MARKET DIVISION
--------------------------- --------------------------- ---------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED ENDED
JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED
2000 DECEMBER 31, 2000 DECEMBER 31, 2000 DECEMBER 31,
(CONTINUED) (UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net Investment Income............... $ (376) $ 12,252 $ 14,301 $ 17,546 $ 6,209 $ 9,172
Net Realized Gain (Loss)............ 8,741 (4,630) 209 294 -- --
Net Change in unrealized
Appreciation (Depreciation)....... (10,172) (9,614) (9,179) (22,857) -- --
-------- -------- -------- -------- ----------- ---------
Increase (Decrease) in Equity....... (1,807) (1,992) 5,331 (5,017) 6,209 9,172
-------- -------- -------- -------- ----------- ---------
EQUITY TRANSACTIONS
Contract Owners' Net Payments....... 6,506 14,760 9,850 27,862 59,352 122,518
Annuity Payments.................... (146) (308) (303) (729) (141) (359)
Surrenders and Other (net).......... (4,307) (8,909) (9,497) (17,847) (27,378) (46,116)
Transfers from Other Divisions or
Sponsor........................... 8,609 17,472 15,149 38,916 1,238,910 568,077
Transfers to Other Divisions or
Sponsor........................... (18,715) (42,377) (30,692) (50,320) (1,325,273) (570,187)
-------- -------- -------- -------- ----------- ---------
Increase (Decrease) in Equity Derived
from Equity Transactions............ (8,053) (19,362) (15,493) (2,118) (54,530) 73,933
-------- -------- -------- -------- ----------- ---------
Net Increase (Decrease) in Equity..... (9,860) (21,354) (10,162) (7,135) (48,321) 83,105
EQUITY
Beginning of Period................. 115,015 136,369 231,122 238,257 288,691 205,586
-------- -------- -------- -------- ----------- ---------
End of Period....................... $105,155 $115,015 $220,960 $231,122 $ 240,370 $ 288,691
======== ======== ======== ======== =========== =========
</TABLE>
# The initial investment in this Division was made on April 30, 1999.
The Accompanying Notes are an Integral Part of the Financial Statements
Account B Financial Statements 88
<PAGE> 97
<TABLE>
<CAPTION>
RUSSELL MULTI-STYLE RUSSELL AGGRESSIVE RUSSELL REAL ESTATE
EQUITY DIVISION# EQUITY DIVISION# RUSSELL NON-U.S. DIVISION# SECURITIES DIVISION#
------------------------------ -------------------------- --------------------------- --------------------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED EIGHT MONTHS ENDED EIGHT MONTHS ENDED EIGHT MONTHS ENDED EIGHT MONTHS
JUNE 30, ENDED JUNE 30, ENDED JUNE 30, ENDED JUNE 30, ENDED
2000 DECEMBER 31, 2000 DECEMBER 31, 2000 DECEMBER 31, 2000 DECEMBER 31,
(UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999 (UNAUDITED) 1999
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1,483 $ 1,308 $ 422 $ 16 $ 788 $ 544 $ 69 $ 227
(1,611) -- (1,079) (17) (2,193) 130 71 (62)
(2,347) 1,788 1,283 1,221 (109) 2,706 868 (231)
-------- ------- ------- ------- -------- ------- ------- -------
(2,475) 3,096 626 1,220 (1,514) 3,380 1,008 (66)
-------- ------- ------- ------- -------- ------- ------- -------
15,896 16,904 4,966 4,683 8,975 5,356 2,017 2,060
(65) (24) (9) (3) (27) (6) (5) (2)
(1,704) (279) (1,227) (12) (1,367) 8 (548) (96)
29,263 33,711 13,824 11,989 37,062 21,654 5,460 6,530
(14,299) (4,479) (4,937) (1,531) (21,448) (7,493) (3,873) (1,760)
-------- ------- ------- ------- -------- ------- ------- -------
29,091 45,833 12,617 15,126 23,195 19,519 3,051 6,732
-------- ------- ------- ------- -------- ------- ------- -------
26,616 48,929 13,243 16,346 21,681 22,899 4,059 6,666
48,929 -- 16,346 -- 22,899 -- 6,666 --
-------- ------- ------- ------- -------- ------- ------- -------
$ 75,545 $48,929 $29,589 $16,346 $ 44,580 $22,899 $10,725 $ 6,666
======== ======= ======= ======= ======== ======= ======= =======
<CAPTION>
RUSSELL CORE
BOND DIVISION#
--- --------------------------
SIX MONTHS
ENDED EIGHT MONTHS
JUNE 30, ENDED
2000 DECEMBER 31,
(UNAUDITED) 1999
--- --------------------------
<S> <C> <C>
$ 189 $ 466
437 (1)
(11) (465)
------- -------
615 --
------- -------
4,892 5,715
(27) (8)
(606) (84)
8,754 10,291
(6,247) (2,246)
------- -------
6,766 13,668
------- -------
7,381 13,668
13,668 --
------- -------
$21,049 $13,668
======= =======
</TABLE>
Account B Financial Statements
89
<PAGE> 98
NML VARIABLE ANNUITY ACCOUNT B
Notes to Financial Statements
June 30, 2000
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 prices per share.
The Funds are open-end investment companies 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 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, 2000 by each
Division are shown below:
<TABLE>
<CAPTION>
DIVISIONS: PURCHASES SALES
---------- --------- -----
<S> <C> <C>
Small Cap Growth
Stock................ $ 81,004,023 $ 3,082,618
Aggressive Growth
Stock................ 517,377,091 323,923,884
International Equity... 727,840,492 663,720,333
Index 400 Stock........ 29,322,857 97,912
Growth Stock........... 62,607,274 4,176,108
Growth and Income
Stock................ 29,597,256 29,411,621
Index 500 Stock........ 86,391,506 40,914,706
Balanced............... 234,768,979 123,854,540
High Yield Bond........ 1,474,048 9,888,439
Select Bond............ 17,536,386 18,728,181
Money Market........... 995,797,872 1,043,391,292
Russell Multi-Style
Equity Fund.......... 31,025,144 231,541
Russell Aggressive
Equity Fund.......... 13,750,703 673,954
Russell Non-U.S.
Fund................. 28,741,296 4,736,813
Russell Real Estate
Securities Fund...... 4,422,077 1,283,092
Russell Core Bond
Fund................. 7,683,957 712,676
</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, 2000, 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 5/10 of 1% and 1 1/4%, respectively, of the
net assets of each Division attributable to those contracts and is paid to
Northwestern Mutual. For those 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. The current charges will not be
increased for five years.
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
Notes to Financial Statements
90
<PAGE> 99
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 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.
91 Notes to Financial Statements
<PAGE> 100
NML VARIABLE ANNUITY ACCOUNT B
Notes to Financial Statements
June 30, 2000
(in thousands, except accumulation unit values)
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................. $2.231747 366 $ 818 $2.218735 27,559 $ 61,147
Aggressive Growth Stock................ 6.529869 1,025 6,693 6.224473 119,987 746,856
International Equity................... 2.399741 1,389 3,333 2.315263 141,464 327,526
Index 400 Stock........................ 1.227756 276 339 1.220591 16,967 20,710
Growth Stock........................... 3.213666 655 2,105 3.116134 69,871 217,727
Growth and Income Stock................ 2.555022 581 1,484 2.477514 75,862 187,949
Index 500 Stock........................ 5.108540 9,713 49,619 4.869860 157,764 768,289
Balanced............................... 8.280059 4,989 41,309 7.549099 264,769 1,998,767
High Yield Bond........................ 1.539503 112 172 1.492752 22,584 33,712
Select Bond............................ 7.854790 763 5,993 7.159210 15,300 109,536
Money Market........................... 2.837270 1,088 3,087 2.586485 42,061 108,790
Russell Multi-Style Equity............. 1.019980 148 151 1.014022 22,094 22,404
Russell Aggressive Equity.............. 1.136912 219 249 1.130279 9,512 10,751
Russell Non-U.S........................ 1.184537 95 113 1.177632 12,995 15,303
Russell Real Estate Securities......... 1.028467 7 7 1.022458 3,104 3,174
Russell Core Bond...................... 1.018990 3 3 1.013038 4,437 4,495
-------- ----------
Equity............................... 115,475 4,637,136
Annuity Reserves..................... 5,523 77,185
-------- ----------
Total Equity......................... $120,998 $4,714,321
======== ==========
</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............... $2.240800 13,650 $ 30,586 $2.218735 19,545 43,364
Aggressive Growth Stock.............. 3.065521 47,090 144,355 6.224473 54,584 339,757
International Equity................. 1.987706 43,144 85,758 2.315263 64,827 150,092
Index 400 Stock...................... 1.232752 11,736 14,468 1.220591 15,448 18,856
Growth Stock......................... 3.010000 32,698 98,421 3.116134 63,597 198,176
Growth and Income Stock.............. 2.392365 33,180 79,379 2.477514 68,982 170,904
Index 500 Stock...................... 3.110041 66,940 208,186 4.869860 97,021 472,479
Balanced............................. 2.148479 105,115 225,837 7.549099 61,127 461,454
High Yield Bond...................... 1.462948 16,837 24,632 1.492752 29,563 44,130
Select Bond.......................... 1.368015 28,714 39,281 7.159210 8,505 60,889
Money Market......................... 1.293601 45,035 58,257 2.586485 23,570 60,962
Russell Multi-Style Equity........... 1.024124 24,815 25,414 1.014022 23,675 24,007
Russell Aggressive Equity............ 1.141531 7,941 9,065 1.130279 7,508 8,486
Russell Non-U.S...................... 1.189352 12,485 14,849 1.177632 10,337 12,173
Russell Real Estate Securities....... 1.032644 3,613 3,731 1.022458 3,216 3,288
Russell Core Bond.................... 1.023131 8,453 8,649 1.013038 6,644 6,731
---------- ----------
Equity............................. 1,070,868 2,075,748
Annuity Reserves................... 11,553 36,439
---------- ----------
Total Equity....................... $1,082,421 $2,112,187
========== ==========
</TABLE>
Notes to Financial Statements
92
<PAGE> 101
NML VARIABLE ANNUITY ACCOUNT B
Notes to Financial Statements
June 30, 2000
(in thousands, except accumulation unit values)
<TABLE>
<CAPTION>
CONTRACTS ISSUED: CONTRACTS ISSUED:
ON OR AFTER MARCH 31, 2000 ON OR AFTER MARCH 31, 2000
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.......... $1.027733 1,393 $ 1,432 $2.218735 $ 815 $ 1,807
Aggressive Growth Stock......... 0.982626 2,175 2,137 6.224473 380 2,365
International Equity............ 1.020129 1,528 1,559 2.315263 475 1,100
Index 400 Stock................. 0.972268 875 851 1.220591 644 786
Growth Stock.................... 0.981047 1,838 1,803 3.116134 737 2,297
Growth and Income Stock......... 0.942549 801 755 2.477514 379 940
Index 500 Stock................. 0.972530 4,798 4,667 4.869860 902 4,393
Balanced........................ 0.993302 4,449 4,419 7.549099 757 5,716
High Yield Bond................. 1.000583 443 443 1.492752 145 216
Select Bond..................... 1.010548 550 556 7.159210 48 344
Money Market.................... 1.013756 5,400 5,474 2.586485 603 1,560
Russell Multi-Style Equity...... 0.961644 864 832 1.014022 820 831
Russell Aggressive Equity....... 0.970955 435 422 1.130279 206 233
Russell Non-U.S................. 0.950197 820 779 1.177632 448 528
Russell Real Estate
Securities.................... 1.093723 239 261 1.022458 92 94
Russell Core Bond............... 1.015535 363 369 1.013038 148 150
------- -------
Equity........................ 26,759 23,360
Annuity Reserves.............. 73 284
------- -------
Total Equity.................. $26,832 $23,644
======= =======
</TABLE>
Notes to Financial Statements
93
<PAGE> 102
NORTHWESTERN MUTUAL SERIES FUND, INC.
D IRECTORS
<TABLE>
<S> <C>
James D. Ericson.................................. Chairman and Chief Executive Officer, Northwestern Mutual,
.................................................. 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
</TABLE>
O FFICERS
<TABLE>
<S> <C>
James D. Ericson.................................. President
Mark G. Doll...................................... Vice President & Treasurer
Merrill C. Lundberg............................... Secretary
Barbara E. Courtney............................... Controller
</TABLE>
Directors and Officers 94
<PAGE> 103
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 (7-2000)
<PAGE> 104
Make the time for your most important activities
ACHIEVING A MORE FOCUSED LIFE
In today's hectic world, it's easy to feel stressed for time. The demands
of work can take most of our time and energy, leaving less than adequate room
in our lives for family, friends and other responsibilities. Often, we feel
like we are on a treadmill, always running to catch up, always tired and never
feeling a true sense of accomplishment.
Finding a balance between work and family is popular advice for coping
with this situation, but for many of us, it is an unsatisfactory solution, for
a number of reasons. The word "balance" implies allocating similar amounts of
time to different activities, advocating that we cut back sharply on time spent
at work. However, that's often not feasible, or even compatible with personal
career goals. Striving for balance can also leave us feeling less in control
and less satisfied as we end up doing a greater number of activities with
lesser levels of involvement. As a result, we may accomplish everything while
doing nothing well, continuing to feel stressed for time. So if balance is not
the solution, what is?
For many of us, striving for "focus" is a better way to take control of
our time and achieve more personal satisfaction. Focus is about concentrating
on the few things that are most important in your life, and organizing your
time around these activities. It often means sacrificing some of the more
peripheral activities, but it can lead to a higher level of happiness with the
things that are most important to you. And, focus can reduce that
stressed-for-time feeling.
To achieve a more focused life, start by identifying those activities and
goals that are most important in your life. Be sure to include both personal
and professional goals in this short list. Then, identify the trade-offs you
will need to make in order to focus on your most important activities and
goals. These sacrifices may be difficult, even life-changing decisions, so keep
in mind that they will help make your life more personally satisfying. Also,
realize that your focus may change at different points in your life, which may
allow you to return to activities or goals you had sacrificed at an earlier
time.
[PHOTO]
With your decisions made, start transitioning your time to your most
important activities. If you are more comfortable with gradual change, phase
out your peripheral activities slowly, giving yourself time to adjust to your
new, more focused way of life. Other people may prefer a more dramatic change.
Either way, it is important to allow yourself the flexibility to adjust your
schedule until it works for you.
Finally, be sure to monitor your progress. Do an occasional check of your
time to make sure you are still concentrating on the things that mean the most,
and that you have not slipped back into activities that are less important.
It's also a good idea to re-evaluate your focus from time to time, adjusting it
as necessary.
How soon can you expect results? Depending on your rate of transition, you
may begin to notice small, upbeat differences immediately, or gradual, positive
change in your overall state of mind. Either way, as you reduce your
time-stressed feeling, you will most likely notice a corresponding improvement
in your physical being.
STRIVING FOR FOCUS AT WORK
The same principles you apply to achieve a more focused life can also help
you become more productive at work. If you are spending large quantities of
time on the job, explore the reasons why. Are you mired down by the
responsibilities of your position? Are all of the hours you spend at work
productive? Could some of the activities you normally do be performed by your
subordinates? Striving for focus at work can help you deal with some of these
issues, allowing you to feel less time-stressed on the job, and to spend more
time on other important activities outside of work.
Start by taking the time to identify the activities and goals at work that
are most important to you and to the company. Chances are that these are the
activities that best match your skills, and may be the ones you find most
enjoyable too. Evaluate every task to make sure it adds value to the company,
and discard work that is unnecessary. Then, look for new ways to get the
remaining tasks accomplished, including delegating work to your subordinates
and possibly even colleagues.
[PHOTO]
ANNUITY ASPECTS SEMI-ANNUAL REPORT 06
<PAGE> 105
[PHOTO] The True Measure of the market
Every day you hear on the news that the market is up or
down. Specifically, you may hear that the Dow Jones Industrial
[PHOTO] Average or the NASDAQ has risen or declined a certain number of
points. But is that a true reflection of how your investments
performed that day? Perhaps, but only if your portfolio is
comprised of the same 30 large US industrial stocks as the Dow
Jones or more than 6,200 securities that make up the NASDAQ
markets.
Chances are your variable annuity is more diversified
across the total market. To get an accurate assessment of how
your particular investment within the Northwestern Mutual Series
Fund is performing over time, you are better off checking it
against the index or indices that it reflects. An index, such as
the Standard & Poor's 500(R) Index, is a statistical composite
that measures the performance of a particular group of
securities. It is not possible to invest directly in an
unmanaged index. There are many different indices, each
reflecting a specific market segment, including large cap
stocks, small cap stocks, international stocks, etc.
Northwestern Mutual through the Select(SM) Variable Annuity
offers both actively managed funds and unmanaged index funds. You
could use a third party report, such as Morningstar or Lipper,
which tend to compare funds that have similar objectives.
However, here is a list of funds available and the indices you
can use to benchmark each fund's performance.
<TABLE>
<CAPTION>
Northwestern Mutual
Series Fund, Inc. Description Comparable Index
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Small Cap Growth - S&P 600 Index
Stock Portfolio Owns the small cap stocks of emerging companies. - Russell 2000(R) Index
------------------------------------------------------------------------------------------------------------------------------------
Aggressive Growth Owns the stocks of mid cap emerging growth companies, generally - Wilshire Small Cap
Stock Portfolio with market capitalization of less than $10 billion. - Wilshire Next 1750
- S&P MidCap 400 Index
------------------------------------------------------------------------------------------------------------------------------------
International Equity Participate in the growth of foreign economies by investing in
Portfolio securities with high long-term earnings potential relative to - EAFE Index
current market values.
------------------------------------------------------------------------------------------------------------------------------------
Index 400 Designed to achieve results that approximate the performance of - S&P MidCap 400 Index
Stock Portfolio the Standard & Poor's MidCap 400 Composite Stock Price Index.
------------------------------------------------------------------------------------------------------------------------------------
Growth Stock Invests in high quality companies of large to medium - S&P 500(R) Index
Portfolio capitalization with strong financial characteristics and the
ability to generate internal growth.
------------------------------------------------------------------------------------------------------------------------------------
Growth & Income Invests mainly in large-capitalization stocks, with a focus on - S&P 500(R) Index
Stock Portfolio seeking the best values in the market based on long-term earnings
forecasts.
------------------------------------------------------------------------------------------------------------------------------------
Index 500 Designed to achieve results that approximate the performance of - S&P 500(R) Index
Stock Portfolio the Standard and Poor's 500(R) Composite Stock Price Index.
------------------------------------------------------------------------------------------------------------------------------------
Balanced Asset allocation is adjusted as appropriate among three - S&P 500(R) Index
Portfolio investment classes: stock, bonds, and money market instruments. - Merrill Lynch Domestic Master Index
- Merrill Lynch 91 Day T-Bill Index
------------------------------------------------------------------------------------------------------------------------------------
High Yield Invests in a diversified mix of fixed income securities rated - Lehman Brothers High Yield
Bond Portfolio below investment grade. Intermediate Market Index
------------------------------------------------------------------------------------------------------------------------------------
Select Bond Invests in high grade corporate bonds, U.S. government bonds - Merrill Lynch Domestic Master Index
Portfolio and bonds of government agencies.
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
07 ANNUITY ASPECTS SEMI-ANNUAL REPORT
<PAGE> 106
<TABLE>
<CAPTION>
Russell Insurance Fund Description Comparable Index
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Russell Aggressive Owns stocks of small and medium capitalization - Russell 2500(TM) Index
Equity Fund companies with a focus on long-term growth.
------------------------------------------------------------------------------------------------------------------------------------
Russell Non-U.S. Attempts to reduce volatility for a given level of - Salomon Smith Barney Broad Market
Fund return by investing primarily in stocks of non-U.S. Index (BMI) ex-US
companies.
------------------------------------------------------------------------------------------------------------------------------------
Russell Multi-Style Invests in stocks of medium and large capitalization - Russell 1000(R) Index
Equity Fund companies.
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Russell Real Estate Invests in securities of companies that own and/or manage - NAREIT Equity REIT Index
Securities Fund properties known as real estate investments trust (REITS).
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Russell Core Investments in U.S. government, corporate, and mortgage-backed -Lehman Brothers Aggregate Bond Index
Bond Fund securities, but foreign bonds may also be held within the fund.
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</TABLE>
THE S&P SMALLCAP 600 INDEX
An unmanaged index of 600 selected common stocks of smaller U.S.-based companies
compiled by the Standard and Poor's Corporation.
THE RUSSELL 2000(R) INDEX
Measures the performance of the 2,000 smallest companies in the Russell 3000(R)
Index. The Russell 3000(R) Index measures the performance of the 3,000 largest
U.S. companies based on total market capitalization.
THE WILSHIRE SMALL CAP INDEX
A subset of the Wilshire Next 1750, this index includes 250 stocks chosen based
upon their size, sector and liquidity characteristics. Each stock is equally
rated in this unmanaged index.
THE WILSHIRE NEXT 1750
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 S&P MIDCAP 400 INDEX
A capitalization-weighted index that measures the performance of the mid-range
sector of the U.S. stock market compiled by the Standard and Poor's Corporation.
THE MORGAN STANLEY CAPITAL INTERNATIONAL EAFE (Europe-Australasia-Far East)
INDEX.
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 S&P 500(R) INDEX
An 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 representing three-fourths of the total market. It is
one of the most widely used benchmarks of U.S. equity performance.
THE MERRILL LYNCH DOMESTIC MASTER INDEX
An unmanaged market value weighted index comprised of the 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
Comprised of a simple issue purchased at the beginning of each month and help
for a full month. The issue at each month-end rebalancing is the outstanding
Treasury Bill that matures closest to, but not beyond, three months from the
rebalancing date.
THE LEHMAN BROTHERS HIGH YIELD INTERMEDIATE MARKET INDEX
An unmanaged market value weighted index comprised of non-investment grade
bonds. It is made up of dollar-denominated, non-convertible, SEC publicly
registered fixed rate non-investment grade issues.
RUSSELL 2500(TM) INDEX
This index measures the performance of the 2500 smallest companies in the
Russell 3000(R) Index. It reflects reinvestment of all dividends and capital
gains.
SALOMON SMITH BARNEY BROAD MARKET INDEX (BMI) EX-US
This index contains approximately 3000 issues in more than 20 countries, is
calculated gross of withholding taxes and is capitalization-weighted.
THE RUSSELL 1000(R) INDEX
This index measures the performance of the 1000 largest companies in the
Russell 3000(R) Index.
NAREIT EQUITY REIT INDEX
A market weighted total return of all tax-qualified REITs listed in the New
York Stock Exchange, American Stock Exchange, and the NASDAQ National Market
System.
LEHMAN BROTHERS AGGREGATE BOND INDEX
An unmanaged index that is comprised of securities from Lehman Brothers
Government/Corporate Bond Index, Mortgage-Backed Securities Index, and the
Asset-Backed Securities Index that tracks investment-grade corporate and
government bonds.
ANNUITY ASPECTS SEMI-ANNUAL REPORT 08
<PAGE> 107
[PHOTO]
Your child...you have hopes and dreams for him. You believe he'll
be whatever he wants to be when he grows up. But you have plenty
[PHOTO] of time before then, right? Wrong. The time to start planning for
your little one's future is now.
The Time To Start Planning
For College Is Now
College costs are rising faster than inflation. In fact, according to
www.money.com, tuition will run upwards of $100,000 in the next 17 years and
that's not including room, board, books, supplies, transportation and other
miscellaneous costs. But, don't panic! All you need is a good plan to save for
college expenses.
Begin by taking care of yourself and plan for your own retirement.
Retirement plans are not considered an asset so most colleges don't count
retirement savings when calculating the parent's ability to pay. Your children
will also have more sources for supplemental money than you have available for
your retirement.
THE EARLY YEARS
The earlier you start saving the better. You'll not only save more, you'll
ride the ups and downs of the financial markets. To determine how much you may
need to save, meet with a professional advisor or use the College Funding
Calculator available on the Northwest Mutual website, northwesternmutual.com.
Determine if you want to save for a public or private university. The cost
discrepancies between public and private colleges are great. This year students
entering a public college may pay around $15,000 while those going to a private
college may pay $66,000.
Once you have a financial college goal in mind, you can start building your
portfolio. Think twice before placing money in your child's name. Though a
child's income is taxed at a lower rate and it will cut your tax bill, it may
also hurt Junior's chances of receiving financial aid since his assets will be
valued at a higher rate.
While every individual's financial situation is unique, you'll want to
start early with an investment that will best keep pace with rising tuition.
Keep things simple with a mix of bonds and cash as well as stocks.
A mutual fund allows a professional to monitor the funds while you manage
your family. Generally, as your child ages you will want to shift investments.
Take your greatest risk in the earlier years, scaling back on that risk as your
child ages. For example:
LITTLE TYKES
If your tyke is 8 or younger, it's best to be aggressive, placing 60 to 95%
of your money in stocks and the remaining in moderate or intermediate bond
funds. Once the child is between the ages of 5 and 8, new contributions should
go into moderate bond funds.
Once your child is between 9 and 13 you should shift some of your most
aggressive funds to ones with a more moderate risk level. All new contributions
should be placed into low-risk vehicles, tamer stock funds, treasury securities
and convertible or short-term bonds.
TEENAGERS
Welcome to the teen years. While between the ages of 14 and 16 and you
should no longer have aggressive stock, and at most, 25% of your assets
remaining in moderate to conservative funds. The remainder should be reallocated
to a money market, short-term bond or into 100% guaranteed U.S. Treasury strips.
Over the remaining years, you could move 20 to 30% each year into the money
market and short-term bond funds, or you could keep a small percentage in a
conservative fund but transfer about 80% in the 100% guaranteed U.S. Treasury
strips.
09 ANNUITY ASPECTS SEMI-ANNUAL REPORT
<PAGE> 108
EDUCATION IRA
The Education IRA allows you to deposit up to $500 annually for a child
under 18 years of age. The money you invest is not tax-deductible, however,
funds grow and can be withdrawn tax-free if used for higher education. Anyone
may contribute to the Educational IRA as long as no more than $500 is
contributed over the course of a year and the contributor's adjusted gross
income is $150,000 or less for a couple. ($95,000 for a single parent.) This
allows grandparents to contribute for parents whose income is in excess of the
limit.
FINANCIAL AID
When the time for college comes, make sure you apply for financial aid.
Many families mistakenly don't apply because they don't think they'll qualify.
It's worth the time to apply. But be careful when you convert your liquid
holdings into more conservative holdings.
The capital gains and income realized could show up on your tax return.
Since you must submit your previous year's return when applying for aid, try to
liquidate investments before January of your child's junior year of high school.
Because it is challenging to simultaneously save for college, manage the
expense of raising a family, and manage your other financial obligations, you
should seek the advice of a professional advisor such as a Northwestern Mutual
Investment Services Registered Representative. He or she can help you define
important factors such as your time horizon and attitude toward risk and
investing. Once you have a plan in place, enjoy your time with your kids. After
all, they grow up so fast.
[PHOTO]
[PHOTO]
[PHOTO]
STREET SMART INVESTING
Whether it's saving for your child's or grandchild's college education or
planning for your other financial needs, our mutual fund family of Mason Street
Funds(R) can help you reach your investment goals, now and in the future.
Choose from 11 diversified investment portfolios, ranging from very low-risk to
highly aggressive funds, including our Index 400 and Index 500 Stock Funds.
Mason Street Funds(R) investment advisor is Northwestern Mutual Investment
Services, LLC. (NMIS), a wholly-owned subsidiary of Northwestern Mutual Life.
NMIS is the investment advisor of the separate accounts for Northwestern Mutual
Variable Annuity contract and Variable Life policy.
You can begin with an automatic investment plan for as little as $50 per
month. Call your Northwestern Mutual Investment Services Registered
Representative, who is a registered representative of Robert W. Baird & Co.
Incorporated, Distributor to arrange for a consultation or Prospectus on Mason
Street Funds(R). Together, we'll determine the portfolio mix that fits your
financial goals.
For more complete information about Mason Street Funds(R) or to obtain a
current Prospectus, including management fees and expenses, call a Northwestern
Mutual Investment Services Registered Representative, who is also a Registered
Representative of Robert W. Baird & Co. Incorporated, Distributor. You will
want to read the Prospectus carefully before investing.
Distributor, Robert W. Baird & Co. Incorporated, Member New York Stock Exchange
and other principal exchanges, member SIPC, and a subsidiary of The
Northwestern Mutual Life Insurance Company.
MasonStreet
FUNDS(R)
www.masonstreetfunds.com
ANNUITY ASPECTS SEMI-ANNUAL REPORT 10
<PAGE> 109
Northwestern Mutual wants to hear what financial questions are
on your mind. Whether it's about saving for retirement, funding for education,
providing for your heirs or giving to your favorite charity, let us know. We'll
make your topic one of ours in an upcoming Northwestern Mutual Annuity Aspects
publication. Just write your question or your topic in the space below and fax
it to 414-299-5718. Or you can mail it to: Northwestern Mutual, Attn. Annuity
and Accumulation Products Marketing, 720 E. Wisconsin Ave., E12, Milwaukee, WI
53201-3095.
[PHOTO]
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CONTRACT OWNER PRIVILEGES. Having a variable annuity with Northwestern Mutual
includes having certain privileges. In case you're not sure of what those
privileges are, we've listed them here. If you would like more information on
any or all of these, please check the box next to the category and fax or mail
it to us.
[ ] FREE TRANSFERS AMONG PORTFOLIOS [ ] PORTFOLIO REBALANCING
[ ] CONTRACT OWNER COMMUNICATIONS [ ] INTEREST SWEEPS
[ ] AUTOMATIC INVESTMENT PLAN [ ] SPECIAL WITHDRAWAL PRIVILEGE
[ ] AUTOMATIC DOLLAR COST AVERAGING PLAN*
#90-1776 (07/00)
*Dollar cost averaging does not assume a profit or protect against loss in a
declining market. Carefully consider your willingness to continue payments
during periods of low prices because the plan involves continuous investment in
securities regardless of fluctuating price levels.
[LOGO] NORTHWESTERN MUTUAL(TM)
PO BOX 3095
MILWAUKEE WI 53201-3095
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