<PAGE> 1
June 30, 1996
SEMI - ANNUAL REPORT
Northwestern
Mutual
Variable
Life
Account
NORTHWESTERN MUTUAL SERIES FUND, INC.
Northwestern
Mutual Life(R)
720 East Wisconsin Avenue
Milwaukee, Wisconsin 53202
<PAGE> 2
NORTHWESTERN MUTUAL SERIES FUND, INC.
<TABLE>
<S> <C>
DIRECTORS
James D. Ericson . President and Chief Executive Officer, Northwestern Mutual Life,
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Milwaukee
Martin F. Stein . . . . . . . . . . . Chairman of the Board, EyeCare One Corporation,
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Milwaukee
John K. MacIver . . . . . . . . . Partner, Michael Best & Friedrich Attorneys at Law,
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Milwaukee
Stephen N. Graff . . . . . . . . . . . . . . Retired Partner, Arthur Andersen LLP,
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Milwaukee
William J. Blake . . . . . . . . . . . . . . Chairman, Blake Financial Corporation,
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Milwaukee
OFFICERS
James D. Ericson . . . . . . . . . . . . . . . . . . . . . . . . . . . . . President
Mark G. Doll . . . . . . . . . . . . . . . . . . . . . . Vice President & Treasurer
Merrill C. Lundberg . . . . . . . . . . . . . . . . . . . . . . . . . . . . Secretary
Gary E. Long . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Controller
</TABLE>
This report is submitted for the general information of owners of
Northwestern Mutual Variable Life policies. This report is not authorized
for distribution to prospective purchasers of variable life policies unless
it is accompanied by an effective prospectus. Northwestern Mutual
Variable Life policies are sold through individuals who, in addition to
being licensed life insurance agents of Northwestern Mutual Life, are
registered representatives of Northwestern Mutual Investment Services,
Inc., 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.
90-1899 (6-96)
Northwestern
Mutual Life
PO Box 3095
Milwaukee WI 53201-3095
Forwarding and Address Correction Requested
<PAGE> 3
POLICYOWNER PRIVILEGES
FREE TRANSFERS AMONG PORTFOLIOS
A limited number of free transfers per year are available with your policy. Same
day transfers are permitted among our investment portfolios by FAX 414-299-4268.
The appropriate form (form number 18-1425) must be used. A blank form is
included at the end of this report. Additional forms are available from your
Northwestern Mutual Life Agent.
NORTHWESTERN MUTUAL LIFE'S VARIABLE LIFE POLICIES ARE PARTICIPATING*
Policies are expected to pay dividends, based on the company's recent mortality
and expense experience.
SOME OF THE POPULAR ADDITIONAL BENEFITS WHICH MAY BE AVAILABLE TO POLICYOWNERS
INCLUDE THE FOLLOWING (SUBJECT TO UNDERWRITING AND PAYMENT OF APPROPRIATE
PREMIUM).
OPTIONAL WAIVER OF PREMIUM BENEFIT
The Waiver of Premium Benefit waives premiums during total disability. Available
at ages 0-59.
OPTIONAL ACCIDENTAL DEATH BENEFIT
The Accidental Death Benefit provides an additional death benefit when death
results from accidental bodily injury. Available at ages 0-65.
OPTIONAL ADDITIONAL PURCHASE BENEFIT
When the Additional Purchase Benefit is purchased, the company agrees to issue
additional policies on several specified purchase dates without requiring
evidence of insurability. Available at ages 0-38.
CONTACT YOUR NORTHWESTERN MUTUAL LIFE AGENT IF YOU WISH TO LEARN MORE ABOUT ANY
OF THE POLICYOWNER PRIVILEGES DESCRIBED ABOVE.
* Dividends are based on actual experiences and are not guaranteed.
<PAGE> 4
TO OUR POLICYOWNERS:
Though many forecasters had predicted a recession in the first half of 1996, the
economy proved to be much stronger than expected. New jobs were created at a
well above average pace, reflecting strength in the manufacturing and service
sectors of the economy. Consumers became more confident, which, in turn, led to
increased spending on housing, autos, and non-durable goods. Faster economic
growth raises the possibility of higher inflation. Up until now, there have been
few early signs of rising raw material prices, but there is a noticeable
tightening of the labor force.
The financial markets reacted quite differently to these economic developments.
Bond prices fell, resulting in higher interest rates as investors adjusted to
the prospect of faster economic growth. This heightened fears that the Federal
Reserve Board would eventually have to tighten monetary policy. The failure by
Congress to come to a meaningful resolution on a balanced budget was a further
disappointment for the bond market. The stock market, on the other hand, turned
in a solid performance during the first six months. Investors chose to overlook
rising interest rates and focused instead on the positives of stronger corporate
profits and low inflation. Inflows into equity mutual funds reached all-time
record highs during this period, and the market became increasingly speculative.
Approaching the middle of the year, however, the stock market began to lose
momentum when the sustainability of future earnings growth became more
questionable.
As we approach the second half of the year, the markets seem to be entering a
period of greater uncertainty, with broader swings on a day to day basis. In our
view, it is not unreasonable to expect a correction at some point. However, the
magnitude of such moves will depend on several important factors, including the
strength of the economy, the outlook for inflation, and the response from the
Federal Reserve Board. Perhaps most important will be the reaction of individual
investors, who determine the inflows into the stock market, primarily through
mutual funds. It is never easy to consistently predict changes in market
direction. The best approach is to stay focused on long-term investment goals,
regardless of market fluctuations.
IMPORTANT NOTE:
The average annual total returns shown with the graphs on the following pages
are not an estimate or a guarantee of future performance. These average annual
total returns reflect reinvestment of investment income and capital gain
distributions, and deduction of investment management fees and fund expenses,
but not product charges. See the prospectus for a description of the effect of
investment performance on policy benefits. Policy benefits reflect the
investment rates of return of the divisions in which the policy is invested, and
will vary depending on the insurance and administrative charges, applicable
sales charges, and the mortality and expense risk charge associated with the
product. These product charges effectively reduce the dollar amount of any net
gains and increase the dollar amount of any net losses. The net investment rates
of return shown on page 10 reflect the product charges borne by each division of
the Variable Life Account, but not the additional charges that are unique to
your policy. Your Northwestern Mutual Life agent/registered representative of
Northwestern Mutual Investment Service ("NMIS") can provide you with actual
rates of return for your variable life insurance policy, showing the effect of
all of the applicable charges.
1
<PAGE> 5
AGGRESSIVE GROWTH STOCK PORTFOLIO
The chart below 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. The net investment rates of return shown
on page 10 reflect mortality and expense risk charges deducted from the assets
of the separate account. The cost of insurance protection, which is not
reflected in the returns shown on this chart, would make the returns
significantly lower. Investors are urged to obtain a personalized illustration
of historical performance which reflects the cost of insurance protection.
Average Annual Total Return
For Periods Ended June 30,1996
<TABLE>
<CAPTION>
One Five Since
Year Year Inception *
---- ---- -----------
<S> <C> <C> <C> <C>
Aggressive Growth Stock Portfolio 43.17% 22.69% 25.17%
Wilshire Small Cap 25.55% 17.00% 20.96%
Wilshire Next 1750 25.13% 17.88% 21.77%
*November 30, 1990 inception.
11/90 6/91 6/92 6/93
Aggressive Growth Stock Portfolio $10,000 $12,593 $13,994 $17,133
Wilshire Small Cap $10,000 $13,189 $15,522 $19,336
Wilshire Next 1750 $10,000 $13,186 $15,086 $19,108
6/94 6/95 6/96
Aggressive Growth Stock Portfolio $19,354 $24,448 $35,003
Wilshire Small Cap $20,012 $23,034 $28,918
Wilshire Next 1750 $19,670 $23,986 $30,014
</TABLE>
2
<PAGE> 6
INTERNATIONAL EQUITY STOCK PORTFOLIO
The chart below 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. The net investment rates of return shown
on page 10 reflect mortality and expense risk charges deducted from the assets
of the separate account. The cost of insurance protection, which is not
reflected in the returns shown on this chart, would make the returns
significantly lower. Investors are urged to obtain a personalized illustration
of historical performance which reflects the cost of insurance protection.
Average Annual Total Return
For Periods Ended June 30, 1996
<TABLE>
<CAPTION>
One Since
Year Inception*
------ ----------
<S> <C> <C> <C> <C> <C>
International Equity Stock Portfolio 15.44% 15.00%
EAFE 13.60% 10.78%
*April 30, 1993 inception.
4/93 6/93 6/94 6/95 6/96
International Equity Stock Portfolio $10,000 $10,118 $12,155 $13,487 $15,569
EAFE $10,000 $10,202 $11,936 $12,175 $13,831
</TABLE>
3
<PAGE> 7
INDEX 500 STOCK PORTFOLIO
The chart below assumes an initial investment of $10,000 made on 6/30/86.
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. The
net investment rates of return shown on page 10 reflect mortality and expense
risk charges deducted from the assets of the separate account. The cost of
insurance protection, which is not reflected in the returns shown on this chart,
would make the return significantly lower. Investors are urged to obtain a
personalized illustration of historical performance which reflects the cost of
insurance protection.
Average Annual Total Return
For Periods Ended June 30, 1996
<TABLE>
<CAPTION>
One Five Ten
Year Years Years
---- ----- -----
<S> <C> <C> <C> <C> <C> <C>
Index 500 Stock Portfolio 25.89% 14.55% 11.68%
S&P 500 Index 25.90% 15.65% 13.62%
6/86 6/87 6/88 6/89 6/90
Index 500 Stock Portfolio $ 10,000 $ 12,313 $ 11,888 $ 13,021 $ 13,972
S&P 500 Index $ 10,000 $ 12,450 $ 11,566 $ 13,902 $ 16,155
6/91 6/92 6/93 6/94 6/95 6/96
Index 500 Stock Portfolio $ 15,299 $ 16,768 $ 18,850 $ 19,035 $ 23,967 $ 30,172
S&P 500 Index $ 17,334 $ 19,657 $ 22,330 $ 22,620 $ 28,479 $ 35,855
</TABLE>
4
<PAGE> 8
GROWTH STOCK PORTFOLIO
The chart below 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. The net investment rates of return shown on page 10
reflect mortality and expense risk charges deducted from the assets of the
separate account. The cost of insurance protection, which is not reflected in
the returns shown on this chart, would make the returns significantly lower.
Investors are urged to obtain a personalized illustration of historical
performance which reflects the cost of insurance protection.
Average Annual Total Return
For Periods Ended June 30, 1996
<TABLE>
<CAPTION>
One Since
Year Inception*
---- ----------
<S> <C> <C> <C> <C>
Growth Stock Portfolio 26.39% 19.51%
S&P 500 Index 25.90% 22.89%
*May 3, 1994 inception.
5/3/94 6/94 6/95 6/96
Growth Stock Portfolio $ 10,000 $ 9,884 $ 11,626 $ 14,694
S&P 500 Index $ 10,000 $ 9,845 $ 12,394 $ 15,604
</TABLE>
5
<PAGE> 9
GROWTH AND INCOME STOCK PORTFOLIO
The chart below 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. The net investment rates of return shown on page 10
reflect mortality and expense risk charges deducted from the assets of the
separate account. The cost of insurance protection, which is not reflected in
the returns shown on this chart, would make the returns significantly lower.
Investors are urged to obtain a personalized illustration of historical
performance which reflects the cost of insurance protection.
Average Annual Total Return
For Periods Ended June 30, 1996
<TABLE>
<CAPTION>
One Since
Year Inception*
---- ----------
<S> <C> <C> <C> <C>
Growth and Income Stock Portfolio 19.95% 17.25%
S&P 500 Index 25.90% 22.89%
*May 3, 1994 inception.
5/3/94 6/94 6/95 6/96
Growth and Income Stock Portfolio $ 10,000 $ 9,784 $ 11,754 $ 14,099
S&P 500 Index $ 10,000 $ 9,845 $ 12,394 $ 15,604
</TABLE>
6
<PAGE> 10
SELECT BOND PORTFOLIO
The chart below assumes an initial investment of $10,000 made on 6/30/86.
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. The
net investment rates of return shown on page 10 reflect mortality and expense
risk charges deducted from the assets of the separate account. The cost of
insurance protection, which is not reflected in the returns shown on this chart,
would make the returns significantly lower. Investors are urged to obtain a
personalized illustration of historical performance which reflects the cost of
insurance protection.
Average Annual Total Return
For Periods Ended June 30, 1996
<TABLE>
<CAPTION>
One Five Ten
Year Years Years
---- ----- -----
<S> <C> <C> <C> <C> <C> <C>
Select Bond Portfolio 5.00% 8.93% 8.49%
Merrill Lynch Domestic Master Index 4.96% 8.36% 8.55%
6/86 6/87 6/88 6/89 6/90
Select Bond Portfolio $10,000 $10,398 $11,108 $12,498 $13,296
Merrill Lynch Domestic Master Index $10,000 $10,538 $11,363 $12,776 $13,712
6/91 6/92 6/93 6/94 6/95 6/96
Select Bond Portfolio $14,735 $16,959 $19,127 $19,082 $21,520 $22,596
Merrill Lynch Domestic Master Index $15,204 $17,355 $19,426 $19,224 $21,644 $22,717
</TABLE>
<PAGE> 11
HIGH YIELD BOND PORTFOLIO
The chart below 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. The net investment rates of return shown on page 10
reflect mortality and expense risk charges deducted from the assets of the
separate account. The cost of insurance protection, which is not reflected in
the returns shown on this chart, would make the returns significantly lower.
Investors are urged to obtain a personalized illustration of historical
performance which reflects the cost of insurance protection.
Average Annual Total Return
For Periods Ended June 30, 1996
<TABLE>
<CAPTION>
One Since
Year Inception
---- ---------
<S> <C> <C>
High Yield Bond Portfolio 11.71% 12.26%
Salomon Brothers High Yield
Market Index 9.59% 11.05%
Lehman Brothers High Yield
Intermediate Market Index 10.02% 10.75%
*May 3, 1994 inception.
<CAPTION>
5/3/94 6/94 6/95 6/95
<S> <C> <C> <C> <C>
High Yield Bond Portfolio $10,000 $10,110 $11,490 $12,836
Salomon Brothers High Yield
Market Index $10,000 $10,046 $11,442 $12,539
Lehman Brothers High Yield
Intermediate Market Index $10,000 $10,061 $11,330 $12,465
</TABLE>
<PAGE> 12
BALANCED PORTFOLIO
The chart below assumes an initial investment of $10,000 made on 6/30/86.
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. The
net investment rates of return shown on page 10 reflect mortality and expense
risk charges deducted from the assets of the separate account. The cost of
insurance protection, which is not reflected in the returns shown on this chart,
would make the returns significantly lower. Investors are urged to obtain a
personalized illustration of historical performance which reflects the cost of
insurance protection.
Average Annual Total Return
For Periods Ended June 30, 1996
<TABLE>
<CAPTION>
One Five Ten
Year Years Years
---- ----- -----
<S> <C> <C> <C> <C> <C> <C>
Balanced Portfolio 15.91% 11.54% 10.15%
S&P 500 Index 25.90% 15.65% 13.62%
Merrill Lynch Domestic Master Index 4.96% 8.36% 8.55%
Merrill Lynch 91-Day Treasury Bill 5.53% 4.59% 5.98%
6/86 6/87 6/88 6/89 6/90
Balanced Portfolio $10,000 $11,619 $11,821 $12,920 $13,825
S&P 500 Index $10,000 $12,450 $11,566 $13,902 $16,155
Merrill Lynch Domestic Master Index $10,000 $10,538 $11,363 $12,776 $13,712
Merrill Lynch 91-Day Treasury Bill $10,000 $10,616 $11,288 $12,244 $13,284
6/91 6/92 6/93 6/94 6/95 6/96
Balanced Portfolio $15,224 $16,946 $19,027 $19,189 $22,675 $26,282
S&P 500 Index $17,334 $19,657 $22,330 $22,620 $28,479 $35,855
Merrill Lynch Domestic Master Index $15,204 $17,355 $19,426 $19,224 $21,644 $22,717
Merrill Lynch 91-Day Treasury Bill $14,288 $15,028 $15,535 $16,059 $16,944 $17,881
</TABLE>
<PAGE> 13
VARIABLE LIFE ACCOUNT
The annual report of Northwestern Mutual Series Fund Inc., is included because
all payments to the Variable Life Account are invested in one or more Portfolios
of this Fund. The Series Fund is a mutual fund currently offering shares only to
The Northwestern Mutual Life Insurance Company and its separate investment
accounts.
THE NORTHWESTERN MUTUAL LIFE INSURANCE
COMPANY
JAMES D. ERICSON
James D. Ericson, President and C.E.O.
The following table shows the net investment rates of return for each of the
divisions of the Variable Life Account.
POLICIES ISSUED BEFORE OCTOBER 11, 1995:
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED
JUNE 30 FOR THE YEARS ENDED DECEMBER 31
---------- ------------------------------------------------------------------
DIVISION 1996 1995 1994 1993 1992 1991 1990 1989 1988
- ------------------------------- ---------- ----- ----- ----- ---- ----- ----- ----- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Index 500 Stock*............... 9.64% 36.30% 0.51% 9.13% 3.81% 28.88% -4.99% 17.47% 8.07%
Growth Stock................... 10.22 29.91 1.08** N/A N/A N/A N/A N/A N/A
Growth and Income Stock........ 6.79 30.21 -0.13** N/A N/A N/A N/A N/A N/A
Aggressive Growth Stock........ 18.45 38.32 3.98** N/A N/A N/A N/A N/A N/A
International Equity........... 8.75 13.78 -0.36** N/A N/A N/A N/A N/A N/A
Select Bond.................... -1.76 18.27 -2.96 10.04 6.99 16.51 7.34 13.27 7.47
High Yield Bond................ 6.32 15.96 2.54** N/A N/A N/A N/A N/A N/A
Money Market................... 2.21 5.09 3.33 2.19 2.77 5.13 7.49 8.45 6.74
Balanced....................... 4.70 25.51 -0.54 9.14 4.87 22.47 0.81 14.76 7.33
</TABLE>
POLICIES ISSUED ON OR AFTER OCTOBER 11, 1995:
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS PERIOD
ENDED ENDED
JUNE 30 DECEMBER 31
---------- -----------
DIVISION 1996 1995+
- ------------------------------------ ---------- -----------
<S> <C> <C>
Index 500 Stock..................... 9.70% 6.61%
Growth Stock........................ 10.28 6.34
Growth and Income Stock............. 6.85 6.29
Aggressive Growth Stock............. 18.51 9.83
International Equity................ 8.81 2.83
Select Bond......................... -1.71 3.66
High Yield Bond..................... 6.38 0.89
Money Market........................ 2.26 1.10
Balanced............................ 4.75 4.97
</TABLE>
+ Reflects actual return from October 11, 1995 (Inception Date) through
December 31, 1995.
* As of April 30, 1993 the portfolio was indexed to the S&P 500 Stock Index;
prior to that date the portfolio was actively managed.
** Growth Stock, Growth and Income Stock, Aggressive Growth Stock, International
Equity, and High Yield Bond Divisions began operations on May 3, 1994. The
investment rates of return reflect performance from May 3, 1994.
The net investment rates of return shown above should not be considered a
representation of investment results which may be anticipated in the future. The
net investment rates of return include investment income and capital gains. See
the prospectus for a description of the effect of investment performance on
policy benefits. Policy benefits reflect the investment rates of return of the
divisions in which the policy is invested, and will vary depending on the fees
and expenses associated with the policy. Policy fees and expenses will vary with
each individual investor. All common fees of the divisions of the Variable Life
Account are reflected in the net investment rates of return shown above.
AN INVESTMENT IN THE MONEY MARKET PORTFOLIO IS NEITHER INSURED NOR GUARANTEED BY
THE U.S. GOVERNMENT AND THERE CAN BE NO ASSURANCE THAT THE PORTFOLIO WILL BE
ABLE TO MAINTAIN A STABLE NET ASSET VALUE OF $1.00 PER SHARE.
Note: "Standard and Poor's 500" and "S&P 500(R)" are trademarks of McGraw-Hill,
Inc. and have been licensed for use by The Northwestern Mutual Life
Insurance Company. The Series Funds and its Portfolios are not sponsored,
endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's
makes no representation regarding the advisability of investing in them.
10
<PAGE> 14
NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
(IN THOUSANDS)
<TABLE>
<S> <C> <C>
ASSETS
Investments at Market Value:
Northwestern Mutual Series Fund, Inc.
Index 500 Stock
24,569 shares (cost $35,218)........................................................ $45,256
Growth Stock
6,632 shares (cost $7,682).......................................................... 9,212
Growth and Income Stock
9,290 shares (cost $10,446)......................................................... 11,818
Aggressive Growth Stock
9,373 shares (cost $22,720)......................................................... 29,767
International Equity
14,496 shares (cost $18,716)........................................................ 20,366
Select Bond
4,593 shares (cost $5,321).......................................................... 5,365
High Yield Bond
2,349 shares (cost $2,448).......................................................... 2,556
Money Market
9,837 shares (cost $9,837).......................................................... 9,837
Balanced
58,350 shares (cost $79,177)........................................................ 92,835 $227,012
-------
Due from Sale of Fund Shares........................................................................ 25
Due from Northwestern Mutual Life Insurance Company................................................. 210
--------
Total Assets............................................................................... $227,247
========
LIABILITIES
Due to Northwestern Mutual Life Insurance Company................................................... $ 25
Due on Purchase of Fund Shares...................................................................... 210
--------
Total Liabilities.......................................................................... 235
--------
EQUITY (Note 8)
Policies Issued Before October 11, 1995............................................................. 208,941
Policies Issued On or After October 11, 1995........................................................ 18,071
--------
Total Equity............................................................................... 227,012
--------
Total Liabilities and Equity...................................................................... $227,247
========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
11
<PAGE> 15
NORTHWESTERN MUTUAL LIFE VARIABLE LIFE ACCOUNT
STATEMENT OF OPERATIONS AND CHANGES IN EQUITY
(IN THOUSANDS)
<TABLE>
<CAPTION>
INDEX 500
COMBINED STOCK DIVISION GROWTH STOCK DIVISION
-------------------------- -------------------------- --------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
---------- ------------ ---------- ------------ ---------- ------------
1996 1995 1996 1995 1996 1995
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend Income....................... $ 8,630 $ 4,153 $ 1,153 $ 282 $ 46 $ 188
Mortality and Expense Risks........... 492 736 98 141 18 21
Taxes................................. 204 314 41 60 7 9
-------- -------- ------- ------- ------ ------
Net Investment Income (Loss).......... 7,934 3,103 1,014 81 21 158
-------- -------- ------- ------- ------ ------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Realized Gain on Investments.......... 1,075 1,300 155 339 49 16
Unrealized Appreciation (Depreciation)
of
Investments During the Period....... 5,702 30,929 2,543 8,323 648 906
-------- -------- ------- ------- ------ ------
Net Gain (Loss) on Investments........ 6,777 32,229 2,698 8,662 697 922
-------- -------- ------- ------- ------ ------
Increase (Decrease) in Equity Derived
from
Investment Activity................. 14,711 35,332 3,712 8,743 718 1,080
-------- -------- ------- ------- ------ ------
EQUITY TRANSACTIONS
Policyowners' Net Payments............ 42,084 51,813 5,840 11,096 1,281 2,327
Policy Loans, Surrenders, and Death
Benefits............................ (7,797) (10,909) (1,733) (2,239) (173) (251)
Mortality and Other (net)............. (6,875) (9,537) (1,110) (2,021) (293) (427)
Transfers from Other Divisions........ 17,428 12,075 2,930 1,623 1,792 1,048
Transfers to Other Divisions.......... (17,428) (12,075) (867) (2,683) (174) (186)
-------- -------- ------- ------- ------ ------
Increase in Equity Derived from
Equity Transactions................... 27,412 31,367 5,060 5,776 2,433 2,511
-------- -------- ------- ------- ------ ------
Net Increase in Equity.................. 42,123 66,699 8,772 14,519 3,151 3,591
Equity
Beginning of Period................... 184,889 118,190 36,486 21,967 6,061 2,470
-------- -------- ------- ------- ------ ------
End of Period......................... $227,012 $184,889 $ 45,258 $ 36,486 $9,212 $6,061
======== ======== ======= ======= ====== ======
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
12
<PAGE> 16
NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT
STATEMENT OF OPERATIONS AND CHANGES IN EQUITY
(IN THOUSANDS)
<TABLE>
<CAPTION>
GROWTH & INCOME AGGRESSIVE GROWTH INTERNATIONAL EQUITY
STOCK DIVISION STOCK DIVISION DIVISION SELECT BOND DIVISION
--------------------------- --------------------------- --------------------------- ---------------------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
1996 1995 1996 1995 1996 1995 1996 1995
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 212 $ 496 $ 892 $ 54 $ 924 $ 67 $ 176 $ 110
24 30 56 57 42 52 12 20
10 13 23 24 17 22 5 9
------- ------ ------- ------- ------- ------- ------ ------
178 453 813 (27) 865 (7) 159 81
------- ------ ------- ------- ------- ------- ------ ------
46 25 102 58 17 2 4 13
404 1,057 2,948 3,798 529 1,389 (246) 596
------- ------ ------- ------- ------- ------- ------ ------
450 1,082 3,050 3,856 546 1,391 (242) 609
------- ------ ------- ------- ------- ------- ------ ------
628 1,535 3,863 3,829 1,411 1,384 (83) 690
------- ------ ------- ------- ------- ------- ------ ------
1,908 3,211 4,335 6,744 3,493 6,472 666 1,230
(272) (388) (897) (830) (653) (634) (45) (311)
(385) (611) (823) (1,184) (703) (1,156) (112) (234)
1,782 1,329 5,885 3,476 2,692 2,112 452 335
(311) (312) (481) (368) (366) (750) (269) (513)
------- ------ ------- ------- ------- ------- ------ ------
2,722 3,229 8,019 7,838 4,463 6,044 692 507
------- ------ ------- ------- ------- ------- ------ ------
3,350 4,764 11,882 11,667 5,874 7,428 609 1,197
8,467 3,703 17,885 6,218 14,493 7,065 4,756 3,559
------- ------ ------- ------- ------- ------- ------ ------
$ 11,817 $8,467 $ 29,767 $ 17,885 $ 20,367 $ 14,493 $5,365 $4,756
======= ====== ======= ======= ======= ======= ====== ======
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
13
<PAGE> 17
NORTHWESTERN MUTUAL LIFE VARIABLE LIFE ACCOUNT
STATEMENT OF OPERATIONS AND CHANGES IN EQUITY (CONTINUED)
(IN THOUSANDS)
<TABLE>
<CAPTION>
HIGH YIELD BOND DIVISION MONEY MARKET DIVISION BALANCED DIVISION
------------------------- ------------------------- -------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
---------- ------------ ---------- ------------ ---------- ------------
1996 1995 1996 1995 1996 1995
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend Income............................. $ 14 $ 183 $ 203 $ 252 $ 5,010 $ 2,521
Mortality and Expense Risks................. 6 8 19 22 217 385
Taxes....................................... 2 3 6 9 93 165
------ ------ -------- ------- ------- -------
Net Investment Income....................... 6 172 178 221 4,700 1,971
------ ------ -------- ------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Realized Gain on Investments................ 10 8 -- -- 692 839
Unrealized Appreciation (Depreciation) of
Investments During the Period............. 119 29 -- -- (1,243) 14,831
------ ------ -------- ------- ------- -------
Net Gain (Loss) on Investments.............. 129 37 0 0 (551) 15,670
------ ------ -------- ------- ------- -------
Increase in Equity Derived from
Investment Activity....................... 135 209 178 221 4,149 17,641
------ ------ -------- ------- ------- -------
EQUITY TRANSACTIONS
Policyowners' Net Payments.................. 451 761 16,363 4,335 7,747 15,637
Policy Loans, Surrenders, and Death
Benefits.................................. (133) (113) (240) (285) (3,651) (5,858)
Mortality and Other (net)................... (90) (149) (1,817) (645) (1,542) (3,110)
Transfers from Other Divisions.............. 376 687 631 1,210 888 255
Transfers to Other Divisions................ (330) (181) (12,197) (1,738) (2,433) (5,344)
------ ------ -------- ------- ------- -------
Increase in Equity Derived from
Equity Transactions......................... 274 1,005 2,740 2,877 1,009 1,580
------ ------ -------- ------- ------- -------
Net Increase in Equity........................ 409 1,214 2,918 3,098 5,158 19,221
Equity
Beginning of Period......................... 2,147 933 6,919 3,821 87,675 68,454
------ ------ -------- ------- ------- -------
End of Period............................... $2,556 $2,147 $ 9,837 $ 6,919 $ 92,833 $ 87,675
====== ====== ======== ======= ======= =======
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
14
<PAGE> 18
NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1996
Note 1 -- Northwestern Mutual Variable Life Account (the "Account") is
registered as a unit investment trust under the Investment Company Act of 1940
and is a segregated asset account of The Northwestern Mutual Life Insurance
Company ("Northwestern Mutual Life") used to fund variable life insurance
policies.
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. (the
"Fund"). The shares are valued at the Fund's offering and redemption price per
share. The Northwestern Mutual Series Fund, Inc. is a diversified open-end
investment company registered under the Investment Company Act of 1940.
Note 4 -- Dividend income from the Fund is recorded on the record date of the
dividends. Transactions in Fund 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 Fund shares for the six months ended June 30, 1996 by each Division
are shown below:
<TABLE>
<CAPTION>
PURCHASES SALES
---------- ----------
<S> <C> <C>
Index 500 Stock Division... $6,567,972 $ 495,299
Growth Stock Division...... 2,635,513 181,455
Growth and Income Stock
Division................. 3,115,698 215,618
Aggressive Growth
Division................. 9,096,795 264,736
International Equity
Division................. 5,456,013 128,100
Select Bond Division....... 1,066,719 215,533
High Yield Bond Division... 622,184 342,453
Money Market Division...... 7,473,484 4,554,988
Balanced Division.......... 8,502,762 2,792,488
</TABLE>
Note 5 -- A deduction for mortality and expense risks is determined daily and
paid to Northwestern Mutual Life. Generally, for policies issued before October
11, 1995, and policies issued on or after October 11, 1995 the deduction is at
an annual rate of .50% and .60%, respectively, of the net assets of the Account.
The mortality risk is that insureds may not live as long as estimated. The
expense risk is that expenses of issuing and administering the policies may
exceed the estimated costs.
Certain deductions are also made from the annual or single premiums before
amounts are allocated to the Account. These deductions are for (1) sales load,
(2) administrative expenses, (3) taxes and (4) a risk charge for the guaranteed
minimum death benefit.
Additional mortality costs are deducted from the policy annually and are paid to
Northwestern Mutual Life to cover the cost of providing insurance protection.
This cost is actuarially calculated based upon the insured's age, the 1980
Commissioners Standard Ordinary Mortality Table and the amount of insurance
provided under the policy.
Note 6 -- Northwestern Mutual Life is taxed as a "life insurance company" under
the Internal Revenue Code. The variable life insurance policies which are funded
in the Account are taxed as part of the operations of Northwestern Mutual Life.
Policies provide that a charge for taxes may be made against the assets of the
Account. Generally, for policies issued before October 11, 1995, Northwestern
Mutual Life charges the Account at an annual rate of .20% of the Account's net
assets and reserves the right to increase, decrease or eliminate the charge for
taxes in the future. Generally, for policies issued on or after October 11,
1995, there is no charge being made against the assets of the Account for
federal income taxes, but Northwestern Mutual Life reserves the right to charge
for taxes in the future.
Note 7 -- The Account is credited for the policyowners' net annual premiums at
the respective policy anniversary dates regardless of when policyowners actually
pay their premiums. Northwestern Mutual Life's equity represents any unpaid
portion of net annual premiums.
15
<PAGE> 19
NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1996
(IN THOUSANDS)
Note 8 -- Equity Values by Division are shown below:
<TABLE>
<CAPTION>
POLICIES ISSUED
BEFORE OCTOBER 11, 1995
EQUITY OF:
------------------------- TOTAL
POLICYOWNERS NML EQUITY
------------ ------- --------
<S> <C> <C> <C>
Index 500 Stock Division........................................ $ 37,620 $ 5,127 $ 42,747
Growth Stock Division........................................... 6,793 1,223 8,016
Growth and Income Stock Division................................ 8,820 1,675 10,495
Aggressive Growth Stock Division................................ 21,643 3,635 25,278
International Equity Division................................... 15,501 3,137 18,638
Select Bond Division............................................ 4,554 553 5,107
High Yield Bond Division........................................ 1,904 371 2,275
Money Market Division........................................... 4,094 290 4,384
Balanced Division............................................... 85,670 6,331 92,001
-------- ------- --------
$186,599 $22,342 $208,941
======== ======= ========
</TABLE>
<TABLE>
<CAPTION>
POLICIES ISSUED
ON OR AFTER OCTOBER 11,
1995
EQUITY OF:
------------------------- TOTAL
POLICYOWNERS NML EQUITY
------------ ------- --------
<S> <C> <C> <C>
Index 500 Stock Division........................................ $ 860 $ 1,649 $ 2,509
Growth Stock Division........................................... 407 789 1,196
Growth and Income Stock Division................................ 503 820 1,323
Aggressive Growth Stock Division................................ 1,848 2,642 4,490
International Equity Division................................... 608 1,120 1,728
Select Bond Division............................................ 114 144 258
High Yield Bond Division........................................ 112 169 281
Money Market Division........................................... 893 4,560 5,453
Balanced Division............................................... 375 458 833
-------- ------- --------
$ 5,720 $12,351 $ 18,071
======== ======= ========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
16
<PAGE> 20
FINANCIAL STATEMENTS OF
NORTHWESTERN MUTUAL SERIES FUND, INC.
INDEX 500 STOCK PORTFOLIO
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS
Common Stocks
(cost $403,717).................. $565,267
Money Market Investments
(cost $44,662)................... 44,660
Preferred Stocks
(cost $1)........................ 4
--------
609,931
Cash................................ 627
Dividends and Interest Receivable... 733
Futures Variation Margin............ 228
Due from Sale of Fund Shares........ 143
--------
Total Assets................... 611,662
--------
LIABILITIES
Due on Redemption of Fund Shares.... 518
Due to Investment Advisor........... 93
Accrued Expenses.................... 19
--------
Total Liabilities.............. 630
--------
NET ASSETS............................ $611,032
========
REPRESENTED BY:
Aggregate Paid in Capital
(500,000 shares authorized,
$.01 par value; 331,716
shares outstanding).............. $434,696
Undistributed Net Investment
Income........................... 6,331
Undistributed Accumulated Net
Realized Gain on Investments..... 7,559
Net Unrealized Appreciation of:
Investment Securities............ 161,551
Index Futures Contracts.......... 895
--------
Net Assets for 331,716 Shares
Outstanding...................... $611,032
========
Net Asset Value, Offering and
Redemption Price per Share....... $1.84
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Dividends (less foreign dividend
tax of $42)..................... $ 5,494
Interest.......................... 1,412
--------
Total Income.................... 6,906
--------
Expenses
Management Fees................... 552
Custodian Fees.................... 33
Other Expenses.................... 23
--------
Total Expenses.................. 608
--------
Less Custodian Fees:
Paid by Affiliate.......... (29)
Paid Indirectly............ (4)
--------
Total Net Expenses.............. 575
--------
Net Investment Income................ 6,331
--------
REALIZED AND UNREALIZED
GAIN ON INVESTMENTS
Net Realized Gain on Investments:
Investment Securities............. 4,923
Index Futures Contracts........... 2,998
--------
Net Realized Gain on
Investments for the Period... 7,921
--------
Net Change in Unrealized
Appreciation of:
Investment Securities............. 38,134
Index Futures Contracts........... 147
--------
Net Change in Unrealized
Appreciation of Investments
for
the Period................... 38,281
--------
Net Gain on Investments.............. 46,202
--------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS......... $52,533
========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
17
<PAGE> 21
NORTHWESTERN MUTUAL SERIES FUND, INC.
INDEX 500 STOCK PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
1996 1995
----------- ------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income................................................... $ 6,331 $ 10,021
Net Realized Gain on Investments........................................ 7,921 8,912
Net Change in Unrealized Appreciation of Investments for the Period..... 38,281 105,468
-------- --------
Net Increase in Net Assets Resulting from Operations.................. 52,533 124,401
-------- --------
Dividends to Shareholders from:
Net Investment Income................................................... (6,192) (3,894)
Net Realized Gain on Investments........................................ (9,632) --
-------- --------
Net Decrease in Net Assets Resulting from Dividend to Shareholders.... (15,824) (3,894)
-------- --------
Fund Share Transactions
Proceeds from Sale of 39,509 and 47,195 Shares.......................... 71,202 72,382
Proceeds from Shares Issued on Reinvestment of Dividends Paid
(9,021 and 2,593 shares, respectively)................................ 15,824 3,894
Payments for 4,332 and 11,954 Shares Redeemed........................... (7,836) (17,773)
-------- --------
Net Increase in Net Assets Resulting from Fund Share Transactions
(44,198 and 37,834 shares, respectively)........................... 79,190 58,503
-------- --------
Total Increase in Net Assets............................................... 115,899 179,010
NET ASSETS
Beginning of Period........................................................ 495,133 316,123
-------- --------
End of Period (includes undistributed net investment income of
$6,331 and $6,192 respectively)......................................... $ 611,032 $495,133
======== ========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
18
<PAGE> 22
NORTHWESTERN MUTUAL SERIES FUND, INC.
INDEX 500 STOCK PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE YEARS
ENDED ENDED DECEMBER 31,
JUNE 30, 1996 -------------------------------------------------
(UNAUDITED) 1995 1994 1993 1992 1991
------------- -------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period....... $ 1.72 $ 1.27 $ 1.29 $1.33 $1.31 $1.04
Income from Investment Operations:
Net Investment Income................. 0.02 0.04 0.03 0.04 0.03 0.03
Net Realized and Unrealized Gain
(Loss) on Investments............... 0.15 0.42 (0.01) 0.09 0.03 0.27
--------- ----- --- ----- --- -------
--- --- --- ---
- -
Total from Investment Operations.... 0.17 0.46 0.02 0.13
0.06 0.30
--------- ----- --- ----- --- -------
--- --- --- ---
- -
Less Distributions:
Dividends from Net Investment
Income.............................. (0.02) (0.01) (0.03) (0.03) (0.03) (0.03)
Distributions from Realized Gains on
Investments......................... (0.03) -- (0.01) (0.14) (0.01) --
--------- ----- --- ----- --- -------
--- --- --- ---
- -
Total Distributions................. (0.05) (0.01) (0.04) (0.17)
(0.04) (0.03)
--------- ----- --- ----- --- -------
--- --- --- ---
- -
Net Asset Value, End of Period............. $ 1.84 $ 1.72 $ 1.27 $1.29
$1.33 $1.31
========= ======== ======== =======
======= =======
Total Return+.............................. 10.03++ 37.25% 1.21% 9.90%
4.54% 29.78%
========= ======== ======== =======
======= =======
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands)... $611,032 $495,133 $316,123 $25,479 $17,288 $14,115
========= ======== ======== ======= ======= =======
Ratio of Expenses to Average Net Assets.... 0.21%* 0.21% 0.24% 0.30% 0.30% 0.30%
========= ======== ======== ======= ======= =======
Ratio of Net Investment Income to Average
Net Assets............................... 2.27%* 2.51% 3.10% 2.55% 2.61% 2.88%
========= ======== ======== ======= ======= =======
Portfolio Turnover Rate.................... 1.91% 3.19% 5.59% 62.69% 39.93% 40.16%
========= ======== ======== ======= ======= =======
</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
19
<PAGE> 23
FINANCIAL STATEMENTS OF
NORTHWESTERN MUTUAL SERIES FUND, INC.
GROWTH STOCK PORTFOLIO
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS
Common Stocks
(cost $98,082)................... $117,839
Money Market Investments
(cost $8,180).................... 8,180
--------
126,019
Cash................................ 269
Due from Sale of Securities......... 373
Due from Sale of Fund Shares........ 297
Dividends and Interest Receivable... 120
--------
Total Assets................... 127,078
--------
LIABILITIES
Due on Purchase of Securities....... 705
Due to Investment Advisor........... 49
Due on Redemption of Fund Shares.... 14
Accrued Expenses.................... 13
--------
Total Liabilities.............. 781
--------
NET ASSETS............................ $126,297
========
REPRESENTED BY:
Aggregate Paid in Capital
(400,000 shares authorized,
$.01 par value; 90,897 shares
outstanding)..................... $103,053
Undistributed Net Investment
Income........................... 759
Undistributed Accumulated Net
Realized
Gain on Investments.............. 2,723
Net Unrealized Appreciation of:
Investment Securities............ 19,757
Foreign Currency Transactions.... 5
--------
Net Assets for 90,897 Shares
Outstanding...................... $126,297
========
Net Asset Value, Offering and
Redemption Price per Share....... $1.39
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Dividends (less foreign dividend
tax of $3)...................... $ 855
Interest.......................... 210
-------
Total Income.................... 1,065
-------
Expenses
Management Fees................... 281
Custodian Fees.................... 9
Other Expenses.................... 25
-------
Total Expenses.................. 315
-------
Less Custodian Fees:
Paid by Affiliate............ (7)
Paid Indirectly.............. (2)
-------
Total Net Expenses.............. 306
-------
Net Investment Income................ 759
-------
REALIZED AND UNREALIZED
GAIN ON INVESTMENTS
AND FOREIGN CURRENCIES
Net Realized Gain on Investments..... 2,723
Net Change in Unrealized Appreciation
of:
Investment Securities............. 6,774
Foreign Currency Transactions..... 2
-------
Net Change in Unrealized
Appreciation
of Investments for the Period... 6,776
-------
Net Gain on Investments.............. 9,499
-------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS............ $10,258
=======
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
20
<PAGE> 24
NORTHWESTERN MUTUAL SERIES FUND, INC.
GROWTH STOCK PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
1996 1995
---------- ------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income................................................... $ 759 $ 1,109
Net Realized Gain on Investments........................................ 2,723 2,321
Net Change in Unrealized Appreciation of Investments for the Period..... 6,776 13,078
-------- -------
Net Increase in Net Assets Resulting from Operations.................. 10,258 16,508
-------- -------
Dividends to Shareholders from:
Net Investment Income................................................... (11) (1,105)
Net Realized Gain on Investments........................................ (621) (1,582)
-------- -------
Net Decrease in Net Assets Resulting from Dividends to Shareholders... (632) (2,687)
-------- -------
Fund Share Transactions
Proceeds from Sale of 23,218 and 24,515 Shares.......................... 31,201 28,181
Proceeds from Shares Issued on Reinvestment of Dividends Paid
(476 and 2,177 shares, respectively).................................. 632 2,687
Payments for 531 and 866 Shares Redeemed................................ (719) (1,000)
-------- -------
Net Increase in Net Assets Resulting from Fund Share Transactions
(23,163 and 25,826 shares, respectively)........................... 31,114 29,868
-------- -------
Total Increase in Net Assets............................................... 40,740 43,689
NET ASSETS
Beginning of Period........................................................ 85,557 41,868
-------- -------
End of Period (includes undistributed net investment income of
$759 and $11, respectively)............................................. $126,297 $ 85,557
======== =======
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
21
<PAGE> 25
NORTHWESTERN MUTUAL SERIES FUND, INC.
GROWTH STOCK PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
FOR THE PERIOD
SIX MONTHS MAY 3,
ENDED FOR THE 1994*
JUNE 30, YEAR ENDED THROUGH
1996 DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1995 1994
----------- ------------ ------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period........................... $ 1.26 $ 1.00 $ 1.00
Income from Investment Operations:
Net Investment Income..................................... 0.01 0.02 0.01
Net Realized and Unrealized Gains on Investments.......... 0.13 0.28 --
-------- --- --- -- --- --- --
Total from Investment Operations........................ 0.14 0.30 0.01
-------- --- --- -- --- --- --
Less Distributions:
Dividends from Net Investment Income...................... -- (0.02) (0.01)
Distributions from Realized Gains on Investments.......... (0.01) (0.02) --
-------- --- --- -- --- --- --
Total Distributions..................................... (0.01) (0.04) (0.01)
-------- --- --- -- --- --- --
Net Asset Value, End of Period................................. $ 1.39 $ 1.26 $ 1.00
======== ======== ========
Total Return+.................................................. 10.60%++ 30.82% 1.55%++
======== ======== ========
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands)....................... $126,297 $85,557 $41,868
======== ======== ========
Ratio of Expenses to Average Net Assets........................ 0.55%** 0.61% 0.71%**
======== ======== ========
Ratio of Net Investment Income to Average Net Assets........... 1.43%** 1.77% 2.30%**
======== ======== ========
Portfolio Turnover Rate........................................ 20.14% 46.83% 16.51%
======== ======== ========
</TABLE>
* Commencement of Operations.
** Computed on an annualized basis.
+ Total Return includes deductions for management and other fund expenses;
excludes deductions for sales loads and account fees.
++ Reflects total return for the period; not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements
22
<PAGE> 26
FINANCIAL STATEMENTS OF
NORTHWESTERN MUTUAL SERIES FUND, INC.
GROWTH AND INCOME STOCK PORTFOLIO
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS
Common Stocks
(cost $164,916)................... $177,880
Money Market Investments
(cost $6,785)..................... 6,785
--------
184,665
Cash................................. 389
Due from Sale of Securities.......... 530
Dividends and Interest Receivable.... 262
Due from Sale of Fund Shares......... 91
--------
Total Assets.................... 185,937
--------
LIABILITIES
Due to Investment Advisor............ 86
Accrued Expenses..................... 25
Due on Redemption of Fund Shares..... 19
Due on Purchase of Securities........ 3
--------
Total Liabilities............... 133
--------
NET ASSETS............................. $185,804
========
REPRESENTED BY:
Aggregate Paid in Capital
(400,000 shares authorized,
$.01 par value; 146,104 shares
outstanding)...................... $162,045
Undistributed Net Investment
Income............................ 1,284
Undistributed Accumulated Net
Realized Gain on Investments...... 9,511
Net Unrealized Appreciation of
Investments....................... 12,964
--------
Net Assets for 146,104 Shares
Outstanding....................... $185,804
========
Net Asset Value, Offering and
Redemption Price per Share........ $1.27
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Dividends (less foreign dividend
tax of $15)...................... $ 1,627
Interest........................... 162
-------
Total Income..................... 1,789
-------
Expenses
Management Fees.................... 492
Custodian Fees..................... 14
Other Expenses..................... 13
-------
Total Expenses................... 519
-------
Less Custodian Fees:
Paid by Affiliate........... (11)
Paid Indirectly............. (3)
-------
Total Net Expenses............... 505
-------
Net Investment Income................. 1,284
-------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investments...... 9,511
Net Change in Unrealized Depreciation
of Investments for the Period...... (230)
-------
Net Gain on Investments............... 9,281
-------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS............. $10,565
=======
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
23
<PAGE> 27
NORTHWESTERN MUTUAL SERIES FUND, INC.
GROWTH AND INCOME STOCK PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
1996 1995
---------- ------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income................................................... $ 1,284 $ 1,680
Net Realized Gain on Investments........................................ 9,511 9,722
Net Change in Unrealized Appreciation (Depreciation) of Investments
for the Period........................................................ (230) 14,711
--------- ---------
Net Increase in Net Assets Resulting from Operations.................. 10,565 26,113
--------- ---------
Dividends to Shareholders from:
Net Investment Income................................................... (17) (1,667)
Net Realized Gain on Investments........................................ (3,389) (6,435)
--------- ---------
Net Decrease in Net Assets Resulting from Dividend to Shareholders.... (3,406) (8,102)
--------- ---------
Fund Share Transactions
Proceeds from Sale of 31,096 and 41,708 Shares.......................... 39,349 47,441
Proceeds from Shares Issued on Reinvestment of Dividends Paid
(2,726 and 6,769 shares, respectively)................................ 3,406 8,102
Payments for 808 and 1,144 Shares Redeemed.............................. (1,033) (1,331)
--------- ---------
Net Increase in Net Assets Resulting from Fund Share Transactions
(33,014 and 47,333 shares, respectively)........................... 41,722 54,212
--------- ---------
Total Increase in Net Assets............................................... 48,881 72,223
NET ASSETS
Beginning of Period........................................................ 136,923 64,700
--------- ---------
End of Period (includes undistributed net investment income of
$1,284 and $17, respectively)........................................... $185,804 $136,923
========= =========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
24
<PAGE> 28
NORTHWESTERN MUTUAL SERIES FUND, INC.
GROWTH AND INCOME STOCK PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
FOR THE PERIOD
SIX MONTHS MAY 3,
ENDED FOR THE 1994*
JUNE 30, YEAR ENDED THROUGH
1996 DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1995 1994
----------- ------------ ------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period......................... $ 1.21 $ 0.98 $ 1.00
Income from Investment Operations:
Net Investment Income................................... 0.01 0.02 0.01
Net Realized and Unrealized Gains on Investments........ 0.08 0.29 (0.01)
-------- ----- --- -------
Total from Investment Operations...................... 0.09 0.31 (0.00)
-------- ----- --- -------
Less Distributions:
Dividends from Net Investment Income.................... -- (0.02) (0.01)
Distributions from Realized Gains on Investments........ (0.03) (0.06) (0.01)
-------- ----- --- -------
Total Distributions................................... (0.03) (0.08) (0.02)
-------- ----- --- -------
Net Asset Value, End of Period............................... $ 1.27 $ 1.21 $ 0.98
======== ======== =======
Total Return+................................................ 7.16%++ 31.12% 0.34%++
======== ======== =======
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands)..................... $185,804 $136,923 $64,700
======== ======== =======
Ratio of Expenses to Average Net Assets...................... 0.62%** 0.69% 0.78%**
======== ======== =======
Ratio of Net Investment Income to Average Net Assets......... 1.58%** 1.68% 1.93%**
======== ======== =======
Portfolio Turnover Rate...................................... 43.06% 80.00% 54.18%
======== ======== =======
</TABLE>
* Commencement of Operations.
** Computed on an annualized basis.
+ Total Return includes deductions for management and other fund expenses;
excludes deductions for sales loads and account fees.
++ Reflects total return for the period; not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements
25
<PAGE> 29
FINANCIAL STATEMENTS OF
NORTHWESTERN MUTUAL SERIES FUND, INC.
AGGRESSIVE GROWTH STOCK PORTFOLIO
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS
Common Stocks
(cost $496,806).................. $ 746,093
Money Market Investments
(cost $53,273)................... 53,273
--------
799,366
Cash................................ 1,886
Due from Sale of Securities......... 2,797
Due from Sale of Fund Shares........ 49
Dividends and Interest Receivable... 49
--------
Total Assets................... 804,147
--------
LIABILITIES
Due on Purchase of Securities....... 5,707
Due to Investment Advisor........... 323
Due on Redemption of Fund Shares.... 177
Accrued Expenses.................... 22
--------
Total Liabilities.............. 6,229
--------
NET ASSETS............................ $ 797,918
========
REPRESENTED BY:
Aggregate Paid in Capital
(700,000 shares authorized,
$.01 par value; 251,258 shares
outstanding)..................... $ 500,865
Undistributed Net Investment Loss... (264)
Undistributed Accumulated Net
Realized Gain on Investments..... 48,030
Net Unrealized Appreciation of
Investments...................... 249,287
--------
Net Assets for 251,258 Shares
Outstanding...................... $ 797,918
========
Net Asset Value, Offering and
Redemption Price per Share....... $3.18
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Interest......................... $ 1,178
Dividends (less foreign dividend
tax of $2)..................... 367
--------
Total Income................... 1,545
--------
Expenses
Management Fees.................. 1,796
Custodian Fees................... 20
Other............................ 13
--------
Total Expenses................. 1,829
--------
Less Custodian Fees:
Paid by Affiliate......... (10)
Paid Indirectly........... (10)
--------
Total Net Expenses............. 1,809
--------
Net Investment Loss................. (264)
--------
REALIZED AND UNREALIZED
GAIN ON INVESTMENTS
Net Realized Gain on Investments.... 48,030
Net Change in Unrealized
Appreciation of Investments for
the Period....................... 67,014
--------
Net Gain on Investments............. 115,044
--------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS........... $ 114,780
========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
26
<PAGE> 30
NORTHWESTERN MUTUAL SERIES FUND, INC.
AGGRESSIVE GROWTH STOCK PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
1996 1995
---------- ------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income (Loss)............................................ $ (264) $ 572
Net Realized Gain on Investments........................................ 48,030 24,986
Net Change in Unrealized Appreciation of Investments for the Period..... 67,014 124,412
--------- ---------
Net Increase in Net Assets Resulting from Operations.................. 114,780 149,970
--------- ---------
Dividends to Shareholders from:
Net Investment Income................................................... (572) (503)
Net Realized Gain on Investments........................................ (24,986) (1,836)
--------- ---------
Net Decrease in Net Assets Resulting from Dividend to Shareholders.... (25,558) (2,339)
--------- ---------
Fund Share Transactions
Proceeds from Sale of 35,751 and 50,142 Shares............................. 108,986 115,824
Proceeds from Shares Issued on Reinvestment of Dividends Paid
(8,276 and 1,097 shares, respectively).................................. 25,558 2,339
Payments for 977 and 6,659 Shares Redeemed................................. (2,862) (15,876)
--------- ---------
Net Increase in Net Assets Resulting from Fund Share Transactions
(43,050 and 44,580 shares, respectively).............................. 131,682 102,287
--------- ---------
Total Increase in Net Assets............................................... 220,904 249,918
NET ASSETS
Beginning of Period........................................................ 577,014 327,096
--------- ---------
End of Period (includes undistributed net investment (loss)/income of
($264) and $572, respectively).......................................... $797,918 $577,014
========= =========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
27
<PAGE> 31
NORTHWESTERN MUTUAL SERIES FUND, INC.
AGGRESSIVE GROWTH STOCK PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
FOR THE PERIOD
SIX MONTHS MAY 3,
ENDED FOR THE 1994*
JUNE 30, YEAR ENDED THROUGH
1996 DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1995 1994
----------- ------------ ------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period........................... $ 2.77 $ 2.00 $ 1.91
Income from Investment Operations:
Net Investment Income..................................... -- -- --
Net Realized and Unrealized Gains on Investments.......... 0.52 0.78 0.09
--------- ----- ---- ----- ----
Total from Investment Operations........................ 0.52 0.78 0.09
--------- ----- ---- ----- ----
Less Distributions:
Dividends from Net Investment Income...................... -- -- --
Distributions from Realized Gains on Investments.......... (0.11) (0.01) --
--------- ----- ---- ----- ----
Total Distributions..................................... (0.11) (0.01) --
--------- ----- ---- ----- ----
Net Asset Value, End of Period................................. $ 3.18 $ 2.77 $ 2.00
========= ========= =========
Total Return+.................................................. 18.86%++ 39.29% 4.47%++
========= ========= =========
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands)....................... $797,918 $577,014 $327,096
========= ========= =========
Ratio of Expenses to Average Net Assets........................ 0.53%** 0.56% 0.58%**
========= ========= =========
Ratio of Net Investment Income/(Loss) to Average Net Assets.... (.08%)** 0.13% 0.29%**
========= ========= =========
Portfolio Turnover Rate........................................ 26.74% 37.84% 21.54%
========= ========= =========
</TABLE>
* Commencement of Operations.
** Computed on an annualized basis.
+ Total Return includes deductions for management and other fund expenses;
excludes deductions for sales loads and account fees.
++ Reflects total return for the period; not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements
28
<PAGE> 32
FINANCIAL STATEMENTS OF
NORTHWESTERN MUTUAL SERIES FUND, INC.
INTERNATIONAL EQUITY PORTFOLIO
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS
Common Stocks
(cost $302,135)................... $351,549
Money Market Investments
(cost $51,924).................... 51,924
Bonds
(cost $14,284).................... 14,360
--------
417,833
Cash................................. 1
Due from Sale of Securities.......... 53,934
Dividends and Interest Receivable.... 2,425
Due from Foreign Currency
Contracts......................... 2,095
Due from Purchase of Fund Shares..... 357
--------
Total Assets.................... 476,645
--------
LIABILITIES
Due on Purchase of Securities........ 54,190
Due on Foreign Currency Contracts.... 2,087
Due on Sale of Fund Shares........... 255
Accrued Expenses..................... 235
Due to Investment Advisor............ 229
--------
Total Liabilities............... 56,996
--------
NET ASSETS............................. $419,649
========
REPRESENTED BY:
Aggregate Paid in Capital (700,000
shares authorized, $.01 par value;
298,651 shares outstanding)....... $360,202
Undistributed Net Investment
Income............................ 7,658
Undistributed Accumulated Net
Realized Gain on Investments...... 2,311
Net Unrealized Appreciation
(Depreciation) of:
Investment Securities............. 49,490
Foreign Currency Transactions..... (12)
--------
Net Assets for 298,651 Shares
Outstanding....................... $419,649
========
Net Asset Value, Offering and
Redemption Price per Share........ $1.41
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Dividends (less foreign dividend
tax of $874)..................... $ 7,287
Interest........................... 1,409
Other Income....................... 11
-------
Total Income..................... 8,707
-------
Reimbursement of Foreign Dividend
Tax by Affiliate................. 438
-------
Total Net Income................. 9,145
-------
Expenses
Management Fees.................... 1,291
Custodian Fees..................... 201
Other Expenses..................... 80
-------
Total Expenses................... 1,572
-------
Net Investment Income................. 7,573
-------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND
FOREIGN CURRENCIES
Net Realized Gain (Loss) on:
Investment Securities.............. 3,091
Foreign Currency Transactions...... (328)
-------
Net Realized Gain for the
Period........................ 2,763
Net Change in Unrealized Appreciation
of:
Investment Securities.............. 22,257
Foreign Currency Transactions...... 142
-------
Net Change in Unrealized
Appreciation for the Period... 22,399
-------
Net Gain on Investments............... 25,162
-------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS....................... $32,735
=======
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
29
<PAGE> 33
NORTHWESTERN MUTUAL SERIES FUND, INC.
INTERNATIONAL EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS YEAR ENDED
JUNE 30, DECEMBER 31,
1996 1995
---------- ------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income................................................... $ 7,573 $ 8,437
Net Realized Gain on Investments........................................ 2,763 11,455
Net Change in Unrealized Appreciation of Investments for the Period..... 22,399 22,907
--------- ---------
Net Increase in Net Assets Resulting from Operations.................. 32,735 42,799
--------- ---------
Dividends to Shareholders from:
Net Investment Income................................................... (8,311) --
Net Realized Gain on Investments........................................ (11,653) (2,171)
--------- ---------
Net Decrease in Net Assets Resulting from Dividend to Share........... (19,964) (2,171)
--------- ---------
Fund Share Transactions
Proceeds from Sale of 35,551 and 28,399 Shares.......................... 50,087 35,839
Proceeds from Shares Issued on Reinvestment of Dividends Paid
(14,363 and 1,740 shares, respectively)............................... 19,964 2,171
Payments for 3,759 and 23,252 Shares Redeemed........................... (5,300) (29,044)
--------- ---------
Net Decrease in Net Assets Resulting from Fund Share Transactions
(46,155 and 6,887 shares, respectively)............................ 64,751 8,966
--------- ---------
Total Increase in Net Assets................................................. 77,522 49,594
NET ASSETS
Beginning of Period........................................................ 342,127 292,533
--------- ---------
End of Period (includes undistributed net investment income of
$7,658 and $8,396, respectively)........................................ $419,649 $342,127
========= =========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
30
<PAGE> 34
NORTHWESTERN MUTUAL SERIES FUND, INC.
INTERNATIONAL EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS PERIOD
ENDED FOR THE MAY 3, 1994*
JUNE 30, YEAR ENDED THROUGH
1996 DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1995 1994
----------- ------------ ------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period........................... $ 1.35 $ 1.19 $ 1.22
Income from Investment Operations:
Net Investment Income..................................... 0.03 0.04 0.02
Net Realized and Unrealized Gain (Loss) on Investments.... 0.10 0.13 (0.02)
-------- -------- --------
Total from Investment Operations........................ 0.13 0.17 0.00
-------- -------- --------
Less Distributions:
Dividends from Net Investment Income...................... (0.03) -- (0.02)
Distributions from Realized Gains on Investments.......... (0.04) (0.01) (0.01)
-------- -------- --------
Total Distributions..................................... (0.07) (0.01) (0.03)
-------- -------- --------
Net Asset Value, End of Period................................. $ 1.41 $ 1.35 $ 1.19
======== ======== ========
Total Return+.................................................. 9.13%++ 14.57% 0.11%++
======== ======== ========
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands)....................... $419,649 $342,127 $292,533
======== ======== ========
Ratio of Expenses to Average Net Assets........................ 0.82%** 0.85% 0.87%**
======== ======== ========
Ratio of Net Investment Income to Average Net Assets........... 3.95%** 2.68% 2.28%**
======== ======== ========
Portfolio Turnover Rate........................................ 6.31% 26.71% 10.97%
======== ======== ========
</TABLE>
* Commencement of Operations.
** Computed on an annualized basis.
+ Total Return includes deductions for management and other fund expenses;
excludes deductions for sales loads and account fees.
++ Reflects total return for the period; not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements
31
<PAGE> 35
FINANCIAL STATEMENTS OF
NORTHWESTERN MUTUAL SERIES FUND, INC.
SELECT BOND PORTFOLIO
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS
Bonds
(cost $160,416).................. $160,337
Money Market Investments
(cost $39,602)................... 39,609
--------
199,946
Cash................................ 84
Interest Receivable................. 2,676
--------
Total Assets................... 202,706
--------
LIABILITIES
Due on Redemption of Fund Shares.... 500
Due to Investment Advisor........... 46
--------
Total Liabilities.............. 546
--------
NET ASSETS............................ $202,160
========
REPRESENTED BY:
Aggregate Paid in Capital
(400,000 shares authorized,
$.01 par value; 173,146 shares
outstanding)..................... $197,636
Undistributed Net Investment
Income........................... 6,252
Undistributed Accumulated Net
Realized Loss on Investments..... (1,656)
Net Unrealized Depreciation of
Investments...................... (72)
--------
Net Assets for 173,146 Shares
Outstanding...................... $202,160
========
Net Asset Value, Offering and
Redemption Price per Share....... $1.17
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Interest.......................... $ 6,536
------
Expenses
Management Fees................... 296
------
Net Investment Income................ 6,240
------
REALIZED AND UNREALIZED
LOSS ON INVESTMENTS
Net Realized Loss on Investments..... (318)
Net Unrealized Depreciation of
Investments for the Period........ (8,843)
------
Net Loss on Investments.............. (9,161)
------
NET DECREASE IN NET ASSETS
RESULTING FROM OPERATIONS............ $(2,921)
======
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
32
<PAGE> 36
NORTHWESTERN MUTUAL SERIES FUND, INC.
SELECT BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
1996 1995
---------- ------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income................................................... $ 6,240 $ 11,680
Net Realized Gain (Loss) on Investments................................. (318) 1,666
Net Change in Unrealized Appreciation (Depreciation) of Investments
for the Period........................................................ (8,843) 17,183
-------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations....... (2,921) 30,529
-------- --------
Dividends to Shareholders from:
Net Investment Income................................................... (7,025) (4,709)
Net Realized Gain on Investments........................................ -- --
-------- --------
Net Decrease in Net Assets Resulting from Dividend to Shareholders.... (7,025) (4,709)
-------- --------
Fund Share Transactions
Proceeds from Sale of 13,882 and 20,151 Shares.......................... 16,649 23,377
Proceeds from Shares Issued on Reinvestment of Dividends Paid
(6,130 and 4,071 shares, respectively)................................ 7,025 4,709
Payments for 8,203 and 12,511 Shares Redeemed........................... (9,710) (14,272)
-------- --------
Net Increase in Net Assets Resulting from Fund Share Transactions
(11,809 and 11,711 shares, respectively)........................... 13,964 13,814
-------- --------
Total Increase in Net Assets............................................... 4,018 39,634
NET ASSETS
Beginning of Period........................................................ 198,142 158,508
-------- --------
End of Period (includes undistributed net investment income of
$6,252 and $7,037 respectively)......................................... $202,160 $198,142
======== ========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
33
<PAGE> 37
NORTHWESTERN MUTUAL SERIES FUND, INC.
SELECT BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE YEARS
JUNE 30, ENDED DECEMBER 31,
1996 ----------------------------------------------------
(UNAUDITED) 1995 1994 1993 1992 1991
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period............. $ 1.23 $ 1.06 $ 1.15 $ 1.14 $ 1.18 $ 1.09
Income from Investment Operations:
Net Investment Income....................... 0.04 0.07 0.06 0.08 0.09 0.09
Net Realized and Unrealized Loss on
Investments............................... (0.06) 0.13 (0.08) 0.05 -- 0.09
-------- ----- --- ----- --- ----- --- ----- --- ----- ---
Total from Investment Operations.......... (0.02) 0.20 (0.03) 0.13 0.09 0.18
-------- ----- --- ----- --- ----- --- ----- --- ----- ---
Less Distributions:
Dividends from Net Investment Income........ (0.04) (0.03) (0.06) (0.08) (0.09) (0.09)
Distributions from Realized Gains on
Investments............................... -- -- -- (0.04) (0.04) --
-------- ----- --- ----- --- ----- --- ----- --- ----- ---
Total Distributions....................... (0.04) (0.03) (0.06) (0.12) (0.12) (0.09)
-------- ----- --- ----- --- ----- --- ----- --- ----- ---
Net Asset Value, End of Period................... $ 1.17 $ 1.23 $ 1.06 $ 1.15 $ 1.14 $ 1.18
======== ======== ======== ======== ======== ========
Total Return+.................................... (1.41%)++ 19.10% (2.28%) 10.81% 7.74% 17.32%
======== ======== ======== ======== ======== ========
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands)......... $202,160 $198,142 $158,508 $17,485 $15,851 $14,703
======== ======== ======== ======== ======== ========
Ratio of Expenses to Average Net Assets.......... 0.30% * 0.30% 0.30% 0.30% 0.30% 0.30%
======== ======== ======== ======== ======== ========
Ratio of Net Investment Income to Average Net
Assets......................................... 6.21% * 6.61% 7.02% 6.40% 7.52% 8.11%
======== ======== ======== ======== ======== ========
Portfolio Turnover Rate.......................... 90.44% 69.06% 108.00% 67.69% 63.29% 60.88%
======== ======== ======== ======== ======== ========
</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
34
<PAGE> 38
FINANCIAL STATEMENTS OF
NORTHWESTERN MUTUAL SERIES FUND, INC.
HIGH YIELD BOND PORTFOLIO
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS
Bonds
(cost $62,576).................... $62,458
Preferred Stock
(cost $5,162)..................... 5,308
Money Market Investments
(cost $3,995)..................... 3,995
Common Stock
(cost $88)........................ 62
-------
71,823
Dividends and Interest Receivable.... 908
-------
Total Assets.................... 72,731
-------
LIABILITIES
Due on Purchase of Securities........ 3,255
Due on Redemption of Fund Shares..... 225
Due to Investment Advisor............ 30
Accrued Expenses..................... 15
-------
Total Liabilities............... 3,525
-------
NET ASSETS............................. $69,206
=======
REPRESENTED BY:
Aggregate Paid in Capital
(400,000 shares authorized,
$.01 par value; 63,600 shares
outstanding)...................... $65,077
Undistributed Net Investment
Income............................ 2,761
Undistributed Accumulated Net
Realized Gain on Investments...... 1,366
Net Unrealized Appreciation of
Investments....................... 2
-------
Net Assets for 63,600 Shares
Outstanding....................... $69,206
=======
Net Asset Value, Offering and $1.09
Redemption Price per Share........... =======
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Interest........................... $2,967
Other Income....................... 94
------
Total Income..................... 3,061
------
Expenses
Management Fees....................... 179
Custodian Fees........................ 6
Other Expenses........................ 10
------
Total Expenses................... 195
------
Less Custodian Fees:
Paid by Affiliate........... (2)
Paid Indirectly............. (4)
------
Total Net Expenses............... 189
------
Net Investment Income................. 2,872
------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investments...... 1,366
Net Change in Unrealized Depreciation
of Investments for the Period...... (232)
------
Net Gain on Investments............... 1,134
------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS............. $4,006
======
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
35
<PAGE> 39
NORTHWESTERN MUTUAL SERIES FUND, INC.
HIGH YIELD BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
1996 1995
---------- ------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income........................................................ $ 2,872 $ 4,548
Net Realized Gain on Investments............................................. 1,366 970
Net Change in Unrealized Appreciation (Depreciation) of Investments
for the Period............................................................. (232) 1,206
------- -------
Net Increase in Net Assets Resulting from Operations....................... 4,006 6,724
------- -------
Dividends to Shareholders from:
Net Investment Income........................................................ (73) (4,604)
Net Realized Gain on Investments............................................. (323) (465)
------- -------
Net Decrease in Net Assets Resulting from Dividend to Shareholders......... (396) (5,069)
------- -------
Fund Share Transactions
Proceeds from Sale of 9,902 and 14,751 Shares................................ 10,511 15,535
Proceeds from Shares Issued on Reinvestment of Dividends Paid
(373 and 4,919 shares, respectively)....................................... 396 5,069
Payments for 1,211 and 1,724 Shares Redeemed................................. (1,285) (1,822)
------- -------
Net Increase in Net Assets Resulting from Fund Share Transactions
(9,064 and 17,946 shares, respectively)................................. 9,622 18,782
------- -------
Total Increase in Net Assets.................................................... 13,232 20,437
NET ASSETS
Beginning of Period............................................................. 55,974 35,537
------- -------
End of Period (includes underdistributed and overdistributed net investment
income of
$2,761 and ($38), respectively).............................................. $ 69,206 $ 55,974
======= =======
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
36
<PAGE> 40
NORTHWESTERN MUTUAL SERIES FUND, INC.
HIGH YIELD BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
FOR THE PERIOD
SIX MONTHS MAY 3,
ENDED FOR THE 1994*
JUNE 30, YEAR ENDED THROUGH
1996 DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1995 1994
----------- ------------ ------------
<S> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period........................... $1.03 $ 0.97 $ 1.00
Income from Investment Operations:
Net Investment Income..................................... 0.05 0.10 0.06
Net Realized and Unrealized Gain (Loss) on Investments.... 0.02 0.07 (0.03)
--------- ----- ---- ----- ----
Total from Investment Operations........................ 0.07 0.17 0.03
--------- ----- ---- ----- ----
Less Distributions:
Dividends from Net Investment Income...................... -- (0.10) (0.06)
Distributions from Realized Gains on Investments.......... (0.01) (0.01) --
--------- ----- ---- ----- ----
Total Distributions..................................... (0.01) (0.11) (0.06)
--------- ----- ---- ----- ----
Net Asset Value, End of Period................................. $1.09 $ 1.03 $ 0.97
========= ========= =========
Total Return+.................................................. 6.70%++ 16.78% 3.02%++
========= ========= =========
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands)....................... $69,206 $55,974 $35,537
========= ========= =========
Ratio of Expenses to Average Net Assets........................ 0.60%** 0.65% 0.73%**
========= ========= =========
Ratio of Net Investment Income to Average Net Assets........... 9.16%** 9.90% 9.40%**
========= ========= =========
Portfolio Turnover Rate........................................ 75.74% 116.57% 119.48%
========= ========= =========
</TABLE>
* Commencement of Operations.
** Computed on an annualized basis.
+ Total Return includes deductions for management and other fund expenses;
excludes deductions for sales loads and account fees.
++ Reflects total return for the period; not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements
37
<PAGE> 41
FINANCIAL STATEMENTS OF
NORTHWESTERN MUTUAL SERIES FUND, INC.
MONEY MARKET PORTFOLIO
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS
Money Market Investments
(cost $142,363)................... $142,363
Cash................................. 16
Due from Sale of Fund Shares......... 778
Interest Receivable.................. 292
--------
Total Assets.................... 143,449
--------
LIABILITIES
Due to Investment Advisor............ 33
Due on Redemption of Fund Shares..... 5
--------
Total Liabilities............... 38
--------
NET ASSETS............................. $143,411
========
REPRESENTED BY:
Aggregate Paid in Capital
(300,000 shares authorized,
$.01 par value; 143,427 shares
outstanding)...................... $143,411
--------
Net Assets for 143,427 Shares
Outstanding....................... $143,411
========
Net Asset Value, Offering and
Redemption Price per Share........ $1.00
======
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Interest............................ $3,676
------
Expenses
Management Fees..................... 203
------
Net Investment Income.................. 3,473
------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS.............. $3,473
======
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
38
<PAGE> 42
NORTHWESTERN MUTUAL SERIES FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
1996 1996
---------- ------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income................................................... $ 3,473 $ 6,333
--------- ---------
Net Increase in Net Assets Resulting from Operations.................. 3,473 6,333
--------- ---------
Dividends to Shareholders from:
Net Investment Income................................................... (3,473) (6,333)
--------- ---------
Net Decrease in Net Assets Resulting from Dividend to Shareholders.... (3,473) (6,333)
--------- ---------
Fund Share Transactions
Proceeds from Sale of 47,658 and 74,140 Shares.......................... 47,658 74,140
Proceeds from Shares Issued on Reinvestment of Dividend Paid
(3,473 and 6,333 shares, respectively)................................ 3,473 6,333
Payments for 40,292 and 52,118 Shares Redeemed.......................... (40,292) (52,118)
--------- ---------
Net Increase in Net Assets Resulting from Fund Share Transactions
(10,839 and 28,355 shares, respectively)........................... 10,839 28,355
--------- ---------
Total Increase in Net Assets............................................... 10,839 28,355
NET ASSETS
Beginning of Period........................................................ 132,572 104,217
--------- ---------
End of Period (includes no undistributed net investment income)............ $143,411 $132,572
========= =========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
39
<PAGE> 43
NORTHWESTERN MUTUAL SERIES FUND, INC.
MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE YEARS
JUNE 30, ENDED DECEMBER 31,
1996 --------------------------------------------------------
(UNAUDITED) 1995 1994 1993 1992 1991
----------- -------- -------- -------- -------- --------
<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 0.06 0.05 0.03 0.03 0.06
Less Dividends from Net
Investment Income............. (0.03) (0.06) (0.05) (0.03) (0.03) (0.06)
-------- ----- --- ----- --- ----- --- ----- --- ----- ---
Net Asset Value, End of Period..... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total Return+...................... 2.56% ++ 5.82% 4.03% 2.88% 3.49% 5.85%
======== ======== ======== ======== ======== ========
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(in thousands)................... $143,411 $132,572 $104,217 $12,657 $14,091 $12,787
======== ======== ======== ======== ======== ========
Ratio of Expenses to Average Net
Assets........................... 0.30% * 0.30% 0.30% 0.30% 0.30% 0.30%
======== ======== ======== ======== ======== ========
Ratio of Net Investment Income to
Average Net Assets............... 5.04% * 5.61% 4.64% 2.87% 3.40% 5.71%
======== ======== ======== ======== ======== ========
</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
40
<PAGE> 44
FINANCIAL STATEMENTS OF
NORTHWESTERN MUTUAL SERIES FUND, INC.
BALANCED PORTFOLIO
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
<TABLE>
<S> <C>
ASSETS
Common Stock
(cost $760,960)................ $1,140,314
Bonds
(cost $652,778)................ 653,157
Money Market Investments
(cost $376,118)................ 376,683
Preferred Stock
(cost $3)...................... 10
----------
2,170,164
Cash.............................. 636
Dividends and Interest
Receivable..................... 13,903
Due on Futures Variation Margin... 217
Due from Sale of Fund Shares...... 100
----------
Total Assets................. 2,185,020
----------
LIABILITIES
Due on Redemption of Fund
Shares......................... 1,509
Due to Investment Advisor......... 499
----------
Total Liabilities............ 2,008
----------
NET ASSETS.......................... $2,183,012
==========
REPRESENTED BY:
Aggregate Paid in Capital
(2,000,000 shares authorized,
$.01 par value; 1,372,038
shares
outstanding)................... $1,743,137
Undistributed Net Investment
Income......................... 42,100
Undistributed Accumulated Net
Realized Gain on Investments... 17,037
Net Unrealized Appreciation of:
Investment Securities.......... 380,305
Index Futures Contracts........ 433
----------
Net Assets for 1,372,038 Shares
Outstanding.................... $2,183,012
==========
Net Asset Value, Offering and
Redemption Price per Share..... $1.59
=======
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Dividends (less foreign dividend
tax of $88).................... $ 12,215
Interest......................... 32,996
--------
Total Income................... 45,211
--------
Expenses
Management Fees.................. 3,161
--------
Net Investment Income............... 42,050
--------
REALIZED AND UNREALIZED
GAIN ON INVESTMENTS
Net Realized Gain on Investments:
Investment Securities............ 10,965
Index Futures Contracts.......... 2,606
--------
Net Realized Gain on
Investments
for the Period.............. 13,571
--------
Net Change In Unrealized
Appreciation of:
Investment Securities.......... 48,181
Index Futures Contracts........ 1,691
--------
Net Change in Unrealized
Appreciation of
Investments for
the Period................ 49,872
--------
Net Gain on Investments.......... 63,443
--------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS........... $105,493
========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
41
<PAGE> 45
NORTHWESTERN MUTUAL SERIES FUND, INC.
BALANCED PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
1996 1995
---------- ------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income.................................................. $ 42,050 $ 83,546
Net Realized Gain on Investments....................................... 13,571 41,518
Net Change in Unrealized Appreciation of Investments for the Period.... 49,872 318,046
----------- -----------
Net Increase in Net Assets Resulting from Operations................. 105,493 443,110
----------- -----------
Dividends to Shareholders from:
Net Investment Income.................................................. (83,501) (53,160)
Net Realized Gain on Investments....................................... (35,154) (8,179)
----------- -----------
Net Decrease in Net Assets Resulting from Dividend to Shareholders... (118,655) (61,339)
Fund Share Transactions
Proceeds from Sale of 31,420 and 35,282 Shares......................... 50,821 51,862
Proceeds from Shares Issued on Reinvestment of Dividends Paid
(77,149 and 44,352 shares, respectively)............................. 118,655 61,339
Payments for 35,049 and 96,890 Shares Redeemed......................... (56,591) (138,810)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Fund Share
Transactions (73,520 and (17,256) shares, respectively)............. 112,885 (25,609)
----------- -----------
Total Increase in Net Assets.............................................. 99,723 356,162
NET ASSETS
Beginning of Period....................................................... 2,083,289 1,727,127
----------- -----------
End of Period (includes undistributed net investment income of
$42,100 and $83,551 respectively)...................................... $2,183,012 $2,083,289
=========== ===========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
42
<PAGE> 46
NORTHWESTERN MUTUAL SERIES FUND, INC.
BALANCED PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE YEARS
JUNE 30, ENDED DECEMBER 31,
1996 --------------------------------------------------------
(UNAUDITED) 1995 1994 1993 1992 1991
----------- ---------- ---------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of
Period.............................. $ 1.60 $ 1.31 $ 1.33 $ 1.39 $ 1.40 $ 1.19
Income from Investment Operations:
Net Investment Income............ 0.03 0.07 0.04 0.06 0.06 0.07
Net Realized and Unrealized
Gain on Investments............ 0.05 0.27 (0.05) 0.09 0.01 0.21
--------- -------- -------- ------ ------ ------
Total from Investment
Operations.................. 0.08 0.34 (0.01) 0.15 0.07 0.28
--------- -------- -------- ------ ------ ------
Less Distributions:
Dividends from Net Investment
Income......................... (0.06) (0.04) (0.00) (0.07) (0.06) (0.07)
Distributions from Realized Gains
on Investments................. (0.03) (0.01) (0.01) (0.14) (0.02) --
--------- -------- -------- ------ ------ ------
Total Distributions............ (0.09) (0.05) (0.01) (0.21) (0.08) (0.07)
--------- -------- -------- ------ ------ ------
Net Asset Value, End of Period........ $ 1.59 $ 1.60 $ 1.31 $ 1.33 $ 1.39 $ 1.40
========= ======== ======== ====== ====== ======
Total Return+......................... 5.07%++ 26.39% 0.16% 9.91% 5.61% 23.33%
========= ======== ======== ====== ====== ======
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(in thousands)...................... $2,183,012 $2,083,289 $1,727,127 $68,910 $66,006 $57,269
========== ========== ========== ======= ======= =======
Ratio of Expenses to Average Net
Assets.............................. 0.30% * 0.30% 0.30% 0.30% 0.30% 0.30%
========= ======== ======== ====== ====== ======
Ratio of Net Investment Income to
Average Net Assets.................. 3.93% * 4.40% 4.78% 4.24% 4.45% 5.11%
========= ======== ======== ====== ====== ======
Portfolio Turnover Rate............... 23.38% 37.28% 42.35% 70.91% 43.28% 55.46%
========= ======== ======== ====== ====== ======
</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
43
<PAGE> 47
NORTHWESTERN MUTUAL SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1996
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 Index 500 Stock Portfolio,
Growth Stock Portfolio, Growth and Income Stock Portfolio, Aggressive Growth
Stock Portfolio, International Equity Portfolio, Select Bond Portfolio, High
Yield Bond Portfolio, Money Market Portfolio, and the Balanced Portfolio (the
"Portfolios"). Shares are presently offered only to The Northwestern Mutual Life
Insurance Company ("Northwestern Mutual Life") and its segregated asset
accounts.
On May 3, 1994, five new portfolios commenced operations in the Series Fund:
Growth Stock Portfolio, Growth and Income Stock Portfolio, Aggressive Growth
Stock Portfolio, International Equity Portfolio and High Yield Bond Portfolio.
These five portfolios were organized with 700,000,000 authorized shares of
Common Stock for each of the Aggressive Growth Stock and International Equity
Portfolios and 400,000,000 authorized shares of Common Stock for each of the
Growth Stock, Growth and Income Stock and High Yield Bond Portfolios. Par Value
is $.01 per share. Northwestern Mutual Life purchased 25,000,000 shares each of
the Growth Stock, Growth and Income Stock and High Yield Bond Portfolios at
$1.00 per share.
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 -- 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 at 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 purchases or sells a
foreign security it 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 International Equity Portfolio does not separately report the results of
operations resulting from 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 and unrealized gain or loss from
investments.
Net realized foreign exchange gains or losses arise from sales of foreign
currencies, currency gains or losses realized between the trade date and
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 Index 500 Stock and Balanced Portfolios invest in futures
contracts as an alternative to investing in individual securities. The Index 500
Stock and Balanced Portfolios could be exposed to market risk due to changes in
the value of the underlying securities or due to an illiquid secondary market.
Futures contracts are marked to market daily based upon quoted settlement
prices. The Portfolios receive from or pay to brokers an amount of cash equal to
the daily fluctuation in the value of the contracts. Such receipts or payments
are known as "variation margin" and 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. Securities transactions are
44
<PAGE> 48
NORTHWESTERN MUTUAL SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1996
accounted for on the day following the trade date except for money market
investments which are accounted for on the trade date. The basis for determining
cost on sale of securities is identified cost. For the six months ended June 30,
1996, transactions in securities other than money market investments were:
<TABLE>
<CAPTION>
TOTAL U.S. GOVT TOTAL U.S. GOVT
SECURITY SECURITY SECURITY SECURITY
PORTFOLIOS PURCHASES PURCHASES SALES/MATURITIES SALES/MATURITIES
- ------------------------------------------ ------------ ------------ ---------------- ----------------
<S> <C> <C> <C> <C>
Index 500 Stock........................... $ 67,049,092 $ -- $ 9,705,995 $ --
Growth Stock.............................. 48,015,236 -- 19,830,875 --
Growth and Income Stock................... 105,448,601 -- 67,450,080 --
Aggressive Growth Stock................... 262,628,604 -- 173,178,541 --
International Equity...................... 50,991,321 2,750,538 18,360,516 2,850,000
Select Bond............................... 157,198,467 139,123,709 149,442,682 124,759,393
High Yield Bond........................... 58,204,982 -- 45,397,949 --
Balanced.................................. 439,009,354 349,485,878 416,467,364 272,176,862
</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%, and for the Select Bond, Money Market and Balanced 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>
PORTFOLIO FIRST $50 MILLION NEXT $50 MILLION EXCESS
- ---------------------------------------------------------------- ----------------- ---------------- ------
<S> <C> <C> <C>
Growth Stock.................................................... .60% .50% .40%
Growth and Income Stock......................................... .70% .60% .55%
Aggressive Growth Stock......................................... .80% .65% .50%
International Equity............................................ .85% .65% .65%
High Yield Bond................................................. .60% .50% .40%
</TABLE>
These amounts are paid to Northwestern Mutual Investment Services, Inc. ("NMIS")
a wholly-owned subsidiary of Northwestern Mutual Life, which is the manager and
investment adviser of the Fund. Northwestern Mutual Life is also a party to the
agreement. Other costs for each Portfolio are paid either by the Portfolios,
Northwestern Mutual Life, or NMIS depending upon the applicable agreement in
place.
Certain portfolios pay a portion of their custodian fees indirectly through
expense offset arrangements. Custodian fees are reduced for Portfolios that
maintain compensating balances in non-interest bearing accounts. The portfolios
could have invested the assets used to pay for the custodian fees, had the
assets not been used in the expense offset arrangements. As of June 30, 1996,
the amounts paid through expense offset arrangements are $3,798 in the Index 500
Portfolio, $2,076 in the Growth Stock Portfolio, $2,710 in the Growth and Income
Stock Portfolio, $10,192 in the Aggressive Growth Stock Portfolio and $3,557 in
the High Yield Bond Portfolio.
J.P. Morgan Investment Management, Inc. ("J.P. Morgan") and Templeton Investment
Counsel, Inc. ("Templeton Counsel") have been retained under an investment
sub-advisory agreement to provide investment advice and, in general, to conduct
the management investment program of the Growth and Income Stock Portfolio and
the International Equity Portfolio, respectively. Of the advisory fees received
by NMIS from the Growth and Income Stock Portfolio, .45% on the first $100
million of the Portfolio's net assets, .40% on the next $100 million, .35% on
the next $200 million and .30% on the net assets in excess of $400 million will
be paid by NMIS to J.P. Morgan. Of the advisory fees received by NMIS from the
International Equity Portfolio, .50% on the first $100 million of the
Portfolio's net assets and .40% on net assets in excess of $100 million will be
paid by NMIS to Templeton Counsel.
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. A net realized
capital loss of $1,337,853 in the Select Bond Portfolio carried forward from
1994 and is available to offset future net realized capital gains. The amount
expires in 2002. A capital loss carryforward of $366,657 was utilized in the
Select Bond Portfolio during the year ended December 31, 1995. As of June 30,
1996, the federal income tax basis of investments is the same as the cost basis
in the financial statements except for the International Equity Portfolio. The
federal income tax basis of investments was $369,968,435 for the International
Equity Portfolio. The net unrealized appreciation
45
<PAGE> 49
NORTHWESTERN MUTUAL SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1996
(depreciation) and the gross unrealized appreciation (depreciation) for federal
income tax purposes are shown below:
<TABLE>
<CAPTION>
(IN THOUSANDS)
GROWTH AND
GROWTH INCOME AGGRESSIVE
INDEX 500 STOCK STOCK GROWTH STOCK
STOCK PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------- ---------- ------------
<S> <C> <C> <C> <C>
Gross unrealized appreciation......................... $ 168,345 $ 20,524 $ 17,241 $260,278
Gross unrealized depreciation......................... (6,794) (767) (4,277) (10,991)
--------- -------- -------- --------
Net unrealized appreciation........................... $ 161,551 $ 19,757 $ 12,964 $249,287
========= ======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL HIGH YIELD
EQUITY SELECT BOND BOND BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ----------- ---------- --------
<S> <C> <C> <C> <C>
Gross unrealized appreciation............................ $ 64,077 $ 2,036 $ 2,173 $409,188
Gross unrealized depreciation............................ (16,213) (2,108) (2,171) (28,883)
--------- ------- -------- --------
Net unrealized appreciation (depreciation)............... $ 47,864 $ (72) $ 2 $380,305
========= ======= ======== ========
</TABLE>
Taxable distributions from net investment income and realized capital gains in
the International Equity Portfolio 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.
For Federal income tax purposes, net unrealized appreciation of $895,075 and
$433,250 on open futures contracts for the Index 500 Stock and Balanced
Portfolios, respectively, is required to be treated as realized gains and
losses.
Note 9 -- The costs associated with organizing the five new Portfolios and
certain other initial period costs have been incurred by Northwestern Mutual
Life. The Series Fund is not obligated to repay these costs.
Note 10 -- Dividends from net investment income and net realized capital gains
are declared each year for the Index 500 Stock, Growth Stock, Growth and Income
Stock, Aggressive Growth Stock, International Equity, Select Bond, High Yield
Bond and Balanced Portfolios and each business day for the Money Market
Portfolio. Dividend distributions are described below.
A dividend was declared on May 6, 1996, payable to shareholders of record on May
6, 1996. Dividends paid from 1995 net investment income and 1995 net capital
gains were as follows:
<TABLE>
<CAPTION>
NET
INVESTMENT NET
PORTFOLIOS INCOME CAPITAL GAINS
- -------------------------------------------------------------------------- ----------- -------------
<S> <C> <C>
Index 500 Stock........................................................... $ 6,191,044 $ 9,631,529
Growth Stock.............................................................. 10,843 621,491
Growth and Income Stock................................................... 17,236 3,387,875
Aggressive Growth Stock................................................... 571,524 24,985,733
International Equity...................................................... 8,311,009 11,652,962
Select Bond............................................................... 7,024,686 --
High Yield Bond........................................................... 73,082 322,834
Balanced.................................................................. 83,501,280 35,153,584
</TABLE>
Note 11 -- NML voluntarily reimburses the International Equity Portfolio for the
benefit NML receives from foreign dividend taxes charged against the Portfolio.
The amount reimbursed represents approximately 65% of the foreign dividend tax
withheld from the Portfolio. Reimbursements are recorded when foreign dividend
taxes are accrued. This voluntary reimbursement began April 1, 1996 and totals
$437,790 as of June 30, 1996.
46
<PAGE> 50
NORTHWESTERN MUTUAL SERIES FUND, INC.
INDEX 500 STOCK PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (000'S)
---------- --------
<S> <C> <C>
COMMON STOCK (92.7%)
AEROSPACE (2.0%)
Boeing Company 38,600 $ 3,363
General Dynamics Corporation 7,100 440
Harris Corporation 4,300 262
Lockheed Martin Corporation 22,154 1,861
McDonnell Douglas Corporation 24,800 1,203
Northrop Grumman Corporation 6,300 429
Raytheon Company 26,700 1,378
Rockwell International Corporation 24,300 1,391
United Technologies Corp. 13,600 1,564
--------
Total 11,891
--------
AIRLINES (0.3%)
*AMR Corporation 10,000 910
Delta Air Lines Inc. 6,900 573
Southwest Airlines Co. 16,100 469
*USAir Group, Inc. 7,100 128
--------
Total 2,080
--------
APPAREL TEXTILE (0.5%)
Brown Group, Inc. 1,900 33
*Fruit of the Loom Incorporated 8,500 217
Liz Claiborne, Inc. 8,200 284
Nike, Inc. 16,000 1,644
Reebok International Ltd. 8,200 276
Russell Corp. 4,300 119
Springs Industries, Inc. 2,200 111
Stride Rite Corp. 5,200 43
VF Corporation 7,100 423
--------
Total 3,150
--------
AUTO & TRUCKS (1.9%)
Chrysler Corporation 41,700 2,585
Ford Motor Company 131,200 4,248
General Motors Corporation 84,400 4,420
*Navistar International Corp. 8,400 83
PACCAR Incorporated 4,335 212
--------
Total 11,548
--------
AUTO RELATED (0.6%)
Cooper Tire & Rubber Company 9,300 207
Dana Corporation 11,300 350
Eaton Corporation 8,700 510
Echlin Inc. 6,900 261
Genuine Parts Company 13,600 622
Goodyear Tire & Rubber Company 17,300 835
Snap-On Incorporated 4,500 213
TRW Inc. 7,300 656
--------
Total 3,654
--------
BANKS (6.5%)
Banc One Corporation 50,445 1,715
Bank of Boston Corporation 12,500 619
Bank of New York Company Inc. 21,700 1,112
BankAmerica Corporation 40,800 3,091
Bankers Trust New York Corporation 8,900 657
Barnett Banks Inc. 10,500 640
Boatmans Bancshares, Inc. 17,600 706
Chase Manhattan Corporation 48,656 3,436
Citicorp 54,300 4,486
Comerica, Inc. 13,000 580
Corestates Financial Corp. 24,700 951
<CAPTION>
MARKET
VALUE
SHARES (000'S)
---------- --------
<S> <C> <C>
BANKS (CONTINUED)
Fifth Third Bancorp. 11,400 $ 616
First Bank System Inc. 15,700 911
First Chicago Corporation 35,328 1,382
First Union Corporation 31,835 1,938
Fleet Financial Group Inc. 29,330 1,276
KeyCorp 25,900 1,004
Mellon Bank Corporation 15,350 875
J.P. Morgan & Company, Inc. 21,000 1,777
National City Corp. 24,700 868
NationsBank Corp. 33,400 2,760
Norwest Corporation 40,800 1,423
PNC Financial Corp. 38,000 1,131
Republic New York Corporation 6,200 386
Suntrust Banks Inc. 25,300 936
U.S. Bancorp of Oregon 18,000 650
Wachovia Corporation 18,900 827
Wells Fargo & Company 10,933 2,612
--------
Total 39,365
--------
BEVERAGES (3.9%)
Anheuser-Busch Companies, Inc. 28,300 2,122
Brown-Forman Corp. 7,700 308
The Coca-Cola Company 278,600 13,617
Adolph Coors Co. 4,200 75
Pepsico Inc. 174,900 6,187
Seagram Company Ltd. 41,700 1,402
--------
Total 23,711
--------
BUILDING & CONSTRUCTION (0.2%)
Centex Corporation 3,200 100
Kaufman & Broad Home Corp. 4,300 62
Masco Corporation 17,900 541
Owens-Corning Fiberglas Corp. 5,800 249
Pulte Corporation 3,000 80
Sherwin-Williams Company 9,600 446
--------
Total 1,478
--------
BUILDING-FOREST PRODUCTS (0.4%)
Boise Cascade Corporation 5,400 198
Champion International 10,700 447
Georgia-Pacific Corporation 10,200 724
Louisiana-Pacific Corporation 12,100 268
Potlatch Corporation 3,200 125
Weyerhaeuser Company 22,100 939
--------
Total 2,701
--------
CHEMICALS (2.4%)
Air Products & Chemicals, Inc. 12,500 722
Dow Chemical Company 27,900 2,120
E.I. Du Pont De Nemours & Co. 62,600 4,953
Eastman Chemical Company, Inc. 8,825 537
*FMC Corporation 4,200 274
B.F. Goodrich Company 5,900 221
Hercules Incorporated 12,100 669
Monsanto Company 65,800 2,138
PPG Industries Inc. 21,100 1,029
Praxair, Inc. 17,300 731
Rohm & Haas Company 7,400 464
Union Carbide Corporation 14,900 592
--------
Total 14,450
--------
</TABLE>
47
<PAGE> 51
NORTHWESTERN MUTUAL SERIES FUND, INC.
INDEX 500 STOCK PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (000'S)
---------- --------
<S> <C> <C>
COMMON STOCK (CONTINUED)
CHEMICALS-SPECIALTY (0.5%)
Avery Dennison Corp. 5,900 $ 324
Engelhard Corp. 16,002 368
W.R. Grace & Co. 10,900 773
Great Lakes Chemical 7,200 448
Morton International, Inc. 16,400 611
Nalco Chemical Company 7,500 236
Sigma-Aldrich Corp. 5,600 300
--------
Total 3,060
--------
COAL, GAS AND PIPELINE (0.3%)
Burlington Resource Inc. 14,100 606
Eastern Enterprises 2,300 76
ENSERCH Corp. 7,700 167
NACCO Industries, Inc. 1,000 55
Panenergy Corp. 16,800 552
Sonat Inc. 9,600 432
--------
Total 1,888
--------
COMPUTER RELATED (3.5%)
Alco Standard Corporation 14,300 647
*Amdahl Corporation 13,300 143
*Apple Computer, Inc. 13,800 290
*Ceridian Corp. 7,600 384
*Compaq Computer Corporation 29,900 1,473
*Cray Research, Inc. 2,700 65
*Data General Corporation 4,300 56
*Digital Equipment Corporation 17,100 769
*EMC Corporation 25,800 481
*General Instrument Corp. 14,100 407
Hewlett-Packard Company 56,900 5,669
*Intergraph Corp. 5,200 63
International Business Machines
Corp. 60,700 6,009
Moore Corporation Ltd. 11,100 210
Pitney Bowes Inc. 16,700 797
*Silicon Graphics 18,200 437
*Sun Microsystems Inc. 20,500 1,207
*Tandem Computers Inc. 13,100 162
*Unisys Corporation 19,100 136
Xerox Corporation 36,100 1,931
--------
Total 21,336
--------
CONTAINERS (0.2%)
Ball Corporation 3,400 98
Bemis Company, Inc. 5,900 206
Crown Cork & Seal Company, Inc. 14,300 643
*Tupperware Corporation 6,900 292
--------
Total 1,239
--------
DIVERSIFIED (1.6%)
Allied Signal Inc. 31,600 1,805
Corning Inc. 25,800 990
Dial Corp. 10,500 301
EG & G, Inc. 5,300 113
ITT Industries Inc. 13,100 329
Loews Corp. 13,200 1,041
Minnesota Mining & Manufacturing
Co. 46,700 3,222
Teledyne, Inc. 6,200 224
Tenneco Inc. 19,400 992
Textron Inc. 9,400 751
Whitman Education Group Inc. 11,800 285
--------
Total 10,053
--------
<CAPTION>
MARKET
VALUE
SHARES (000'S)
---------- --------
<S> <C> <C>
DRUGS (5.8%)
American Home Products Corporation 70,600 $ 4,245
*Amgen Inc. 29,700 1,604
Bristol-Myers Squibb Company 56,100 5,049
Eli Lilly & Company 61,500 3,997
Merck & Co., Inc. 137,000 8,854
Pharmacia & Upjohn Inc. 56,905 2,525
Pfizer Inc. 71,100 5,075
Schering-Plough Corporation 41,100 2,579
Warner-Lambert Company 30,300 1,666
--------
Total 35,594
--------
ELECTRICAL EQUIPMENT (3.5%)
Emerson Electric Co. 25,000 2,259
General Electric Company 185,600 16,054
W.W. Grainger, Inc. 5,700 442
Honeywell Inc. 14,200 774
Raychem Corp. 5,000 359
Thomas & Betts Corporation 4,500 169
Westinghouse Electric Corporation 46,600 874
Whirlpool Corporation 8,300 412
--------
Total 21,343
--------
ELECTRONICS (1.9%)
*Advanced Micro Devices, Inc. 15,100 206
AMP Incorporated 24,272 974
*Applied Materials Inc. 20,000 610
Intel Corp. 91,700 6,734
*LSI Logic Corp. 14,300 372
Micron Technology 23,200 600
*National Semiconductor Corporation 15,100 234
Perkin-Elmer Corporation 4,800 232
Tektronix, Inc. 3,600 161
Texas Instruments Incorporated 21,100 1,052
Tyco International Ltd. 17,000 693
--------
Total 11,868
--------
ENVIRONMENTAL CONTROL (0.5%)
Browning-Ferris Industries Inc. 23,700 687
Laidlaw Transportation Limited 32,800 332
WMX Technologies, Inc. 55,200 1,808
--------
Total 2,827
--------
FEDERAL GOVERNMENT AGENCY RELATED (1.0%)
Federal Home Loan Mortgage Corp. 20,000 1,710
Federal National Mortgage Assoc. 121,900 4,084
--------
Total 5,794
--------
FINANCIAL SERVICES (2.2%)
H.F. Ahmanson & Company 12,900 348
Alexander & Alexander Services Inc. 5,000 99
American Express Company 53,900 2,405
Beneficial Corporation 6,000 337
Dean Witter, Discover & Co. 18,600 1,065
Golden West Financial Corporation 6,600 370
Great Western Financial Corporation 15,300 365
Green Tree Financial Corp. 15,300 478
Household International Inc. 10,800 821
</TABLE>
48
<PAGE> 52
NORTHWESTERN MUTUAL SERIES FUND, INC.
INDEX 500 STOCK PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (000'S)
---------- --------
<S> <C> <C>
COMMON STOCK (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
MBNA Corp. 24,900 $ 710
Marsh & Mclennan Companies, Inc. 8,100 782
Merrill Lynch & Co., Inc. 19,100 1,244
Morgan Stanley Group Inc. 17,100 840
Salomon Inc. 11,700 515
Transamerica Corporation 7,600 616
Travelers Group Inc. 52,952 2,416
--------
Total 13,411
--------
FOOD SERVICE/LODGING (1.1%)
Darden Restaurant Inc. 17,800 191
*Harrahs Entertainment 11,500 325
Hilton Hotels Corporation 5,400 607
*ITT Corp. 13,100 868
Luby's Cafeterias, Inc. 2,600 61
Marriott International 14,300 769
Mc Donald's Corporation 78,200 3,656
*Ryan's Family Steak Houses, Inc. 5,600 52
*Shoney's Inc. 4,400 48
Wendy's International, Inc. 14,200 264
--------
Total 6,841
--------
FOODS (2.8%)
Archer Daniels Midland Company 58,077 1,111
CPC International Corp. 16,200 1,166
Campbell Soup Company 27,800 1,960
ConAgra Inc. 27,100 1,230
General Mills, Inc. 17,800 970
H.J. Heinz Company 41,250 1,253
Hershey Foods Corp. 8,600 631
Kellogg Company 23,700 1,736
Pioneer Hi-Bred International 9,300 492
Quaker Oats Company 15,100 515
Ralston Purina Group 11,800 757
Sara Lee Corporation 54,000 1,748
Unilever, N.V. 17,900 2,598
Wm. Wrigley Jr. Company 13,000 657
--------
Total 16,824
--------
HOSPITAL SUPPLIES (2.9%)
Abbott Laboratories Inc. 87,700 3,815
Allergan Incorporated 7,200 283
Allergan Incorporated-Rights 183 0
C.R. Bard, Inc. 6,400 218
Bausch & Lomb Inc. 6,300 268
Baxter International Inc. 30,300 1,432
Becton, Dickinson & Company 7,100 570
*Biomet, Inc. 12,900 185
*Boston Scientific Corp. 19,900 895
Johnson & Johnson 148,700 7,361
<CAPTION>
MARKET
VALUE
SHARES (000'S)
---------- --------
<S> <C> <C>
HOSPITAL SUPPLIES (CONTINUED)
Mallinckrodt Group 8,300 $ 323
Medtronic, Incorporated 26,100 1,462
Millipore Corp. 4,900 205
*St. Jude Medical, Inc. 8,900 298
U.S. Surgical Corporation 6,900 214
--------
Total 17,529
--------
HOUSEHOLD FURNITURE (0.4%)
Armstrong World Industries, Inc. 4,100 236
Black & Decker Corporation 9,800 379
Maytag Corporation 11,700 244
Newell Co. 17,700 542
Rubbermaid, Inc. 16,900 461
The Stanley Works 9,900 295
--------
Total 2,157
--------
INSURANCE (2.9%)
Aetna Life & Casualty Company 12,900 922
Allstate Corporation 49,714 2,268
American General Corporation 23,200 844
American International Group, Inc. 52,850 5,212
Aon Corporation 12,100 614
CIGNA Corporation 8,500 1,002
The Chubb Corporation 19,600 978
General Re Corporation 9,100 1,385
ITT Hartford Group Inc. 13,100 698
Jefferson-Pilot Corp. 7,900 408
Lincoln National Corporation 11,600 536
Providian Corporation 10,500 450
SAFECO Corp. 14,100 499
St. Paul Companies, Inc. 9,400 503
Torchmark Corporation 8,000 350
UNUM Corporation 8,200 510
USF & G Corp. 13,300 218
USLIFE Corporation 3,850 127
--------
Total 17,524
--------
LEISURE RELATED (1.8%)
*Bally Entertainment Corporation 5,600 154
Brunswick Corporation 11,000 220
Comcast Corp. 26,750 495
Walt Disney Company 75,669 4,758
Fleetwood Enterprises, Inc. 5,100 158
Hasbro Inc. 9,700 347
*King World Productions, Inc. 4,200 153
Mattel, Inc. 30,888 884
Outboard Marine Corporation 2,100 38
*Tele Communications, Inc. 72,900 1,321
*U S West Media Group 52,700 962
*Viacom Incorporated 41,256 1,568
--------
Total 11,058
--------
</TABLE>
49
<PAGE> 53
NORTHWESTERN MUTUAL SERIES FUND, INC.
INDEX 500 STOCK PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (000'S)
---------- --------
<S> <C> <C>
COMMON STOCK (CONTINUED)
MACHINERY (1.4%)
Briggs & Stratton Corporation 3,200 $ 132
Case Corporation 8,100 389
Caterpillar Inc. 21,600 1,463
Cincinnati Milacron Inc. 4,400 106
Cooper Industries, Inc. 12,100 502
Crane Co. 3,400 139
Cummins Engine Company, Inc. 4,500 182
Deere & Company 29,300 1,172
Dover Corporation 12,700 586
Fluor Corporation 9,300 608
Foster Wheeler Corporation 4,500 202
General Signal Corporation 5,500 208
Giddings & Lewis Company 3,900 63
Harnischfeger Industries, Inc. 5,200 173
Illinois Tool Works Inc. 13,300 899
Ingersoll-Rand Company 12,200 534
Johnson Controls, Inc. 4,600 320
Pall Corporation 12,800 309
Parker-Hannifin Corporation 8,250 350
Timken Company 3,500 136
TRINOVA Corp. 3,200 107
*Varity Corporation 4,400 212
--------
Total 8,792
--------
MEDICAL SERVICES (1.0%)
*Beverly Enterprises, Inc. 11,200 134
Columbia/HCA Healthcare Corporation 50,000 2,669
*Community Psychiatric Centers 5,000 47
Humana, Inc. 18,100 324
Manor Care, Inc. 7,000 276
*Tenet Healthcare Corp. 24,000 513
United Healthcare Corp. 20,300 1,025
U.S. HealthCare Incorporated 17,200 946
--------
Total 5,934
--------
METALS & MINING (1.2%)
Alcan Aluminum Limited 25,200 769
Aluminum Co. of America 19,600 1,124
ASARCO, Inc. 4,800 133
Barrick Gold Corporation 39,900 1,082
Cyprus Amax Minerals Co. 10,350 234
Echo Bay Mines Limited Co. 14,600 157
Freeport-McMoRan Copper & Gold Inc. 21,800 695
Homestake Mining Company 16,400 281
Inco Limited 13,100 422
Newmont Mining Corporation 11,088 547
Phelps Dodge Corporation 7,400 462
Placer Dome Incorporated 26,700 637
Reynolds Metals Company 7,100 370
Santa Fe Pacific Gold Corp. 14,660 207
--------
Total 7,120
--------
OFFICE EQUIPMENT-SERVICES (2.8%)
Autodesk, Inc. 5,100 152
Automatic Data Processing, Inc. 32,300 1,248
Computer Associates International
Inc. 27,050 1,927
*Computer Sciences Corp. 6,300 471
First Data Corporation 24,900 1,983
<CAPTION>
MARKET
VALUE
SHARES (000'S)
---------- --------
<S> <C> <C>
OFFICE EQUIPMENT-SERVICES (CONTINUED)
*Microsoft Corporation 66,300 $ 7,964
*Novell, Inc. 40,800 566
*Oracle Corporation 73,000 2,879
Shared Medical Systems Corp. 2,600 167
--------
Total 17,357
--------
OIL & GAS-DOMESTIC (1.3%)
Amerada Hess Corporation 10,400 558
Ashland Oil, Inc. 7,100 281
Atlantic Richfield Company 18,000 2,133
Coastal Corp. 11,800 493
Kerr-McGee Corporation 5,600 341
Louisiana Land & Exploration Co. 3,800 219
Occidental Petroleum Corporation 35,600 881
*Oryx Energy Company 11,700 190
Pennzoil Company 5,200 240
Phillips Petroleum Company 29,300 1,227
*Santa Fe Energy Resources, Inc. 10,100 120
Sun Company, Inc. 8,200 249
USX-U S Steel Group Inc. 9,300 264
Unocal Corp. 27,600 932
--------
Total 8,128
--------
OIL & GAS-INTERNATIONAL (6.1%)
Amoco Company 55,400 4,010
Chevron Corp. 72,800 4,295
Exxon Corporation 138,600 12,041
Mobil Corporation 44,000 4,933
Royal Dutch Petroleum Co., ADR 59,800 9,194
Texaco Inc. 29,500 2,474
--------
Total 36,947
--------
OIL FIELD SERVICES (0.8%)
Baker Hughes, Inc. 15,900 523
Dresser Industries, Inc. 20,300 599
Halliburton Company 12,800 710
Helmerich & Payne, Inc. 2,800 103
McDermott International, Inc. 6,100 127
*Rowan Companies, Inc. 9,500 140
Schlumberger Limited 27,100 2,283
*Western Atlas International Inc. 5,900 344
--------
Total 4,829
--------
PAPER (0.9%)
International Paper Company 33,300 1,228
James River Corp. of Virginia 9,500 251
Kimberly-Clark Corporation 31,422 2,427
Mead Corp. 5,900 306
Stone Container Corporation 11,100 153
Temple-Inland Inc. 6,200 290
Union Camp Corporation 7,700 375
Westvaco Corporation 11,350 339
Willamette Industries Inc. 6,200 369
--------
Total 5,738
--------
PHOTO & OPTICAL (0.5%)
Eastman Kodak Company 38,600 3,001
Polaroid Corporation 5,100 233
--------
Total 3,234
--------
</TABLE>
50
<PAGE> 54
NORTHWESTERN MUTUAL SERIES FUND, INC.
INDEX 500 STOCK PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (000'S)
---------- --------
<S> <C> <C>
COMMON STOCK (CONTINUED)
PRINTING & PUBLISHING (1.4%)
American Greetings Corp. 8,300 $ 227
Deluxe Corp. 9,200 327
R.R. Donnelley & Sons Company 17,200 600
Dow Jones & Company, Inc. 10,900 455
Dun & Bradstreet Corporation 19,000 1,187
Gannett Company, Inc. 15,700 1,111
Harcourt General 7,900 395
The John H. Harland Company 3,400 84
Jostens, Inc. 4,300 85
Knight-Ridder Inc. 5,500 399
Mcgraw-Hill Companies, Inc. 11,200 512
Meredith Corporation 3,100 129
New York Times Company 10,900 356
Time Warner Inc. 43,800 1,719
Times Mirror Company 11,700 509
Tribune Company 6,900 501
--------
Total 8,596
--------
PROFESSIONAL SERVICES (0.5%)
*Alza Corp. 9,400 257
H & R Block, Inc. 11,500 375
*CUC International Inc. 21,250 754
Ecolab, Inc. 7,200 238
Interpublic Group of Cos., Inc. 8,800 412
National Service Industries, Inc. 5,400 211
Ogden Corporation 5,500 100
Safety-Kleen Corp. 6,500 114
Service Corporation International 13,100 753
--------
Total 3,214
--------
RAILROADS (1.0%)
Burlington Northern Santa Fe 17,007 1,375
CSX Corporation 23,600 1,139
Conrail Incorporated 8,700 577
Norfolk Southern Corporation 14,200 1,203
Union Pacific Corporation 22,900 1,600
--------
Total 5,894
--------
RETAIL-FOOD (0.7%)
Albertson's, Inc. 28,100 1,163
American Stores Co. 16,700 689
Fleming Companies, Inc. 4,000 58
Giant Food Inc. 6,700 240
Great Atlantic & Pacific Tea Co.,
Inc. 4,300 141
*The Kroger Company 13,900 549
Supervalue Inc. 7,500 236
Sysco Corporation 20,300 695
Winn-Dixie Stores, Inc. 17,000 601
--------
Total 4,372
--------
RETAIL-GENERAL (4.0%)
*Charming Shoppes Incorporated 11,500 81
Circuit City Stores, Inc. 10,900 394
Dayton Hudson Corporation 8,000 825
Dillard Department Stores, Inc. 12,600 460
*Federated Department Stores, Inc. 23,200 792
The Gap, Inc. 32,200 1,034
Home Depot, Inc. 53,299 2,878
K Mart Corporation 53,600 663
The Limited Inc. 30,200 649
Longs Drug Stores Corp. 2,200 $ 98
<CAPTION>
MARKET
VALUE
SHARES (000'S)
---------- --------
<S> <C> <C>
RETAIL-GENERAL (CONTINUED)
Lowe's Companies, Inc. 18,000 650
May Department Stores Company 27,900 1,221
Melville Corporation 11,700 474
Mercantile Stores Company 4,100 240
Nordstrom, Inc. 9,100 405
J.C. Penney Company, Inc. 25,100 1,318
Pep Boys - Manny, Moe & Jack 6,900 235
*Price/Costco Inc. 21,807 472
Rite Aid Corporation 9,300 277
Sears, Roebuck & Company 43,800 2,130
The TJX Companies, Inc. 8,100 273
Tandy Corporation 6,700 317
*Toys "R" Us 30,500 869
Wal-Mart Stores, Inc. 256,000 6,496
Walgreen Company 27,500 921
*Woolworth Corp. 14,900 335
--------
Total 24,507
--------
SOAPS & TOILETRIES (2.2%)
Alberto-Culver Company 3,100 144
Avon Products, Inc. 15,000 677
Clorox Company 5,800 514
Colgate-Palmolive Co. 16,300 1,381
Gillette Company 49,700 3,100
International Flavors & Fragrances,
Inc. 12,400 591
Procter & Gamble Company 76,600 6,942
--------
Total 13,349
--------
STEEL (0.3%)
*Armco Inc. 11,800 59
*Bethlehem Steel Corporation 12,400 147
Inland Steel Industries, Inc. 5,400 106
Nucor Corp. 9,800 496
USX-Marathon Group 32,100 646
Worthington Industries, Inc. 10,150 212
--------
Total 1,666
--------
TELECOMMUNICATIONS (5.0%)
AT&T Corporation 179,400 11,123
*Airtouch Communications 55,700 1,573
*Andrew Corporation 6,727 362
*Bay Networks 21,000 541
*Cabletron Systems Inc. 8,100 556
*Cisco Systems Incorporated 63,500 3,596
*DSC Communications Corp. 12,900 389
MCI Communications Corporation 77,100 1,976
Motorola, Inc. 66,100 4,156
Northern Telecom Limited 28,700 1,561
Scientific-Atlanta, Inc. 8,500 132
Sprint Corporation 48,700 2,045
*Tellabs Inc. 9,900 662
*3COM Corp. 18,600 851
*World Communications Inc. 21,700 1,202
--------
Total 30,725
--------
TOBACCO (1.9%)
American Brands, Inc. 19,800 898
Philip Morris Companies, Inc. 92,600 9,630
UST Incorporated 22,600 774
--------
Total 11,302
--------
</TABLE>
51
<PAGE> 55
NORTHWESTERN MUTUAL SERIES FUND, INC.
INDEX 500 STOCK PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (000'S)
---------- --------
<S> <C> <C>
COMMON STOCK (CONTINUED)
TRUCKING-SHIPPING (0.2%)
Caliber System Inc. 4,400 $ 150
Consolidated Freightways, Inc. 4,900 104
*Federal Express Corp. 6,300 517
Ryder System, Inc. 8,900 250
*Yellow Corp. 2,900 38
--------
Total 1,059
--------
UTILITY-ELECTRIC (3.1%)
American Electric Power Co., Inc. 20,800 887
Baltimore Gas & Electric Company 16,500 468
Carolina Power & Light Company 17,000 646
Central & South West Corporation 23,400 679
Cinergy Corporation 17,617 564
Consolidated Edison Co. of New York 26,200 766
DTE Energy Company 16,200 500
Dominion Resources Inc. 19,800 792
Duke Power Company 22,900 1,174
Edison International 49,700 876
Entergy Corporation 25,400 721
FPL Group, Inc. 20,500 943
General Public Utilities 13,400 472
Houston Industries Incorporated 29,300 722
*Niagara Mohawk Power Corporation 16,100 125
Northern States Power Company 7,600 375
Ohio Edison Company 17,000 372
PECO Energy Company 24,800 645
P P & L Resources Inc. 17,800 421
Pacific Enterprises 9,200 273
Pacific Gas & Electric Company 46,500 1,081
PacifiCorp 32,800 730
Public Service Enterprise Group,
Inc. 27,300 747
Southern Company 74,900 1,844
Texas Utilities Company 25,200 1,077
UNICOM Corp. 24,000 669
Union Electric Company 11,400 459
--------
Total 19,028
--------
UTILITY-GAS (0.5%)
Columbia Gas System Inc. 6,100 318
Consolidated Natural Gas Company 10,400 543
Enron Corp. 28,000 1,144
Nicor Inc. 5,600 159
Noram Energy Corporation 15,000 163
ONEOK, Inc. 3,000 75
Peoples Energy Corporation 3,900 131
<CAPTION>
MARKET
SHARES/ VALUE
PAR (000'S)
---------- --------
<S> <C> <C>
UTILITY-GAS (CONTINUED)
Williams Companies Inc. 11,700 $ 579
--------
Total 3,112
--------
UTILITY-TELEPHONE (4.3%)
ALLTEL Corporation 21,100 649
Ameritech Corporation 62,000 3,681
Bell Atlantic Corporation 48,900 3,117
Bellsouth Corporation 111,000 4,704
GTE Corporation 108,900 4,873
NYNEX Corp. 48,800 2,318
Pacific Telesis Group 47,800 1,613
SBC Communications Incorporate 68,000 3,349
U S West Inc. 52,900 1,686
--------
Total 25,990
--------
Total Common Stock 565,267
--------
PREFERRED STOCK (0.0%)
DIVERSIFIED (0.0%)
Teledyne, Inc. 265 $ 4
--------
Total Preferred Stock 4
--------
MONEY MARKET INVESTMENTS (7.3%)
AUTO (1.7%)
+Ford Motor Credit Company, 5.29%,
7/10/96 $4,000,000 $ 3,994
+Ford Motor Credit Company, 5.45%,
7/3/96 6,200,000 6,196
--------
Total 10,190
--------
DRUGS (1.6%)
+SmithKline Beecham Corp., 5.37%,
7/31/96 10,000,000 9,952
--------
FEDERAL GOVERNMENT & AGENCIES (0.7%)
+U.S. Treasury, 4.99%, 8/22/96 4,500,000 4,464
--------
FINANCIAL SERVICES (0.3%)
+General Electric Capital
Corporation, 5.34%, 7/3/96 2,100,000 2,099
--------
TELECOMMUNICATIONS (3.0%)
+U. S. West Communications Group,
5.35%, 7/16/96 18,000,000 17,955
--------
Total Money Market Investments 44,660
--------
Total Investments $609,931
========
</TABLE>
* Non-Income Producing
+ Partially or fully held by the custodian in a segregated account as collateral
for open financial futures contracts. Information regarding open future
contracts as of June 30, 1996 is summarized below:
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF EXPIRATION APPRECIATION
ISSUER CONTRACTS DATE (000'S)
-------------------- --------- -------------- ------------
<S> <C> <C> <C>
S&P 500 Stock Index 131 September 1996 $895
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
52
<PAGE> 56
NORTHWESTERN MUTUAL SERIES FUND, INC.
GROWTH STOCK PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (000'S)
---------- --------
<S> <C> <C>
COMMON STOCK (93.5%)
AEROSPACE (1.4%)
Boeing Company 20,500 $ 1,786
--------
AIRLINES (1.7%)
*AMR Corporation 11,000 1,001
*Midwest Express Holdings, Inc. 37,000 1,189
--------
Total 2,190
--------
AUTO & TRUCKS (1.5%)
Chrysler Corporation 10,800 670
Harley Davidson Inc. 29,000 1,193
--------
Total 1,863
--------
AUTO RELATED (1.5%)
Echlin Inc. 34,300 1,299
Magna International Inc. 12,200 561
--------
Total 1,860
--------
BANKS (4.3%)
BankAmerica Corporation 17,600 1,333
Chase Manhattan Corporation 23,340 1,648
Citicorp 14,400 1,190
First Union Corporation 19,700 1,199
--------
Total 5,370
--------
BEVERAGES (2.5%)
Coca-Cola Company 17,200 841
Pepsico Inc. 65,000 2,299
--------
Total 3,140
--------
BUILDING & CONSTRUCTION (0.7%)
PPG Industries Inc. 19,000 926
--------
CHEMICALS (2.3%)
E.I. du Pont de Nemours & Co. 10,150 803
Ecolab, Inc. 26,000 858
Union Carbide Corporation 30,000 1,193
--------
Total 2,854
--------
CHEMICALS-SPECIALTY (0.9%)
Avery Dennison Corp. 20,000 1,098
--------
DIVERSIFIED (1.2%)
Allied Signal Inc. 26,100 1,491
--------
DRUGS (3.2%)
Eli Lilly & Company 22,600 1,469
Merck & Co., Inc. 21,900 1,415
Pfizer Inc. 15,400 1,099
--------
Total 3,983
--------
ELECTRICAL EQUIPMENT (4.4%)
Emerson Electric Co. 17,000 1,536
General Electric Company 31,900 2,759
W.W. Grainger, Inc. 16,600 1,287
--------
Total 5,582
--------
ELECTRONICS (3.4%)
EG & G, Inc. 34,700 742
Hewlett-Packard Company 15,000 1,494
Intel Corp. 15,400 1,131
Molex Inc. 29,408 864
--------
Total 4,231
--------
ENVIRONMENTAL CONTROL (0.4%)
Nalco Chemical Company 17,000 536
--------
<CAPTION>
MARKET
VALUE
SHARES (000'S)
---------- --------
<S> <C> <C>
FINANCE COMPANIES (1.3%)
*Associates First Capital
Corporation 45,000 $ 1,693
--------
FINANCIAL SERVICES (5.5%)
AT&T Corporation 27,800 1,724
Dean Witter, Discover & Co. 8,000 458
Donaldson, Lufkin & Jenrette 30,000 930
Electronic Data Systems Corp. 31,800 1,709
Franklin Resources 19,400 1,183
Merrill Lynch & Co. 14,000 912
--------
Total 6,916
--------
FOOD SERVICE/LODGING (2.6%)
*Harrahs Entertainment 9,800 277
McDonald's Corporation 34,400 1,608
*Promus Hotels 45,000 1,333
--------
Total 3,218
--------
FOODS (3.3%)
CPC International Corp. 18,900 1,361
Campbell Soup Company 21,100 1,488
General Mills, Inc. 24,300 1,324
--------
Total 4,173
--------
HEALTH CARE SERVICES (2.1%)
Columbia/HCA Healthcare Corp. 22,400 1,196
United Healthcare Corp. 29,100 1,470
--------
Total 2,666
--------
HOSPITAL SUPPLIES (2.7%)
Guidant Corp. 31,000 1,527
Johnson & Johnson 38,200 1,891
--------
Total 3,418
--------
HOUSEWARES (2.5%)
First Brands Corporation 66,000 1,782
Newell Co. 44,200 1,354
--------
Total 3,136
--------
INSURANCE (3.1%)
CIGNA Corporation 11,300 1,332
Everest Reinsurance Holdings Inc. 57,000 1,475
Progressive Corp. 24,000 1,110
--------
Total 3,917
--------
LEISURE RELATED (2.4%)
Walt Disney Company 22,600 1,421
Mattel, Inc. 55,281 1,582
--------
Total 3,003
--------
MACHINERY (1.1%)
Deere & Company 16,600 664
Ingersoll-Rand Company 15,700 687
--------
Total 1,351
--------
MEDIA (1.8%)
*U S West Media Group 25,500 465
*United States Satellite Broadcast 48,000 1,812
--------
Total 2,277
--------
METALS & MINING (0.9%)
AK Steel Holding Corporation 30,000 1,174
--------
</TABLE>
53
<PAGE> 57
NORTHWESTERN MUTUAL SERIES FUND, INC.
GROWTH STOCK PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (000'S)
---------- --------
<S> <C> <C>
COMMON STOCK (CONTINUED)
NATURAL GAS (1.00%)
Sonat Inc. 28,000 $ 1,260
--------
OFFICE EQUIPMENT (1.3%)
International Business Machines
Corp. 16,200 1,604
--------
OFFICE EQUIPMENT-SERVICES (3.8%)
Alco Standard Corporation 18,800 850
First Data Corporation 21,300 1,696
*Microsoft Corporation 10,000 1,201
*Office Max, Inc. 43,600 1,041
--------
Total 4,788
--------
OIL & GAS-DOMESTIC (1.5%)
Ashland Inc. 9,100 361
Tosco Corporation 5,000 251
Unocal Corp. 37,700 1,272
--------
Total 1,884
--------
OIL & GAS-INTERNATIONAL (4.8%)
Amoco Company 15,600 1,129
British Petroleum Co Ltd 13,600 1,454
Exxon Corporation 13,200 1,147
Mobil Corporation 12,400 1,390
Texaco Inc. 10,800 906
--------
Total 6,026
--------
PAPER (0.4%)
International Paper Company 14,000 515
--------
PRINTING & PUBLISHING (3.2%)
McGraw-Hill Companies Inc. 26,200 1,199
*Scholastic Corp. 30,300 1,879
Tribune Company 13,800 1,002
--------
Total 4,080
--------
RAILROADS (1.8%)
+Canadian National Railway Co. 95,500 2,316
--------
RETAIL-FOOD (0.9%)
Albertson's, Inc. 27,800 1,149
--------
RETAIL-GENERAL (7.0%)
*DST Systems, Inc. 50,000 1,600
Dayton Hudson Corporation 5,600 578
*Federated Department Stores 36,000 1,229
Home Depot, Inc. 27,200 1,469
*Kohls Department Stores 40,000 1,465
J.C. Penney Company, Inc. 13,100 688
Walmart Stores Inc. 15,200 386
<CAPTION>
MARKET
SHARES/ VALUE
PAR (000'S)
---------- --------
<S> <C> <C>
RETAIL-GENERAL (CONTINUED)
Walgreen Company 40,200 $ 1,347
--------
Total 8,762
--------
SOAPS & TOILETRIES (2.1%)
Gillette Company 14,000 873
Procter & Gamble Company 20,200 1,831
--------
Total 2,704
--------
TELECOMMUNICATIONS (2.7%)
Frontier Corp. 48,100 1,473
*WorldCom Inc. 34,400 1,905
--------
Total 3,378
--------
TOBACCO (1.2%)
Philip Morris Companies 14,800 1,538
--------
UTILITY-ELECTRIC (1.7%)
Duke Power Company 22,900 1,174
FPL Group, Inc. 20,500 943
Southern Company 3,500 86
--------
Total 2,203
--------
UTILITY-TELEPHONE (1.4%)
Ameritech Corporation 15,200 903
GTE Corporation 19,600 877
--------
Total 1,780
--------
Total Common Stock 117,839
--------
MONEY MARKET INVESTMENTS (6.5%)
DRUGS (1.7%)
SmithKline Beecham Corp.,
5.37%, 7/31/96 $2,200,000 $ 2,189
--------
FINANCE COMPANIES (1.6%)
++Ford Motor Credit Company,
5.29%, 7/10/96 2,000,000 1,997
--------
FINANCIAL SERVICES (3.2%)
BAT Capital Corporation,
5.35%, 7/15/96 2,000,000 1,995
General Electric Capital
Corporation, 5.34%, 7/3/96 1,200,000 1,199
Philip Morris Capital Corp.,
5.3%, 7/3/96 800,000 800
--------
Total 3,994
--------
Total Money Market Investments 8,180
--------
Total Investments $126,019
========
</TABLE>
* Non-Income Producing
+ Installment payment security initially purchased November 16, 1995, for which
the Portfolio has paid $1,200,000 as of June 30, 1996. The Portfolio will
make the final installment payment of approximately $800,000 on November 29,
1996.
++ $800,000 is segregated as collateral for future payment of the installment
payment security.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
54
<PAGE> 58
NORTHWESTERN MUTUAL SERIES FUND, INC.
GROWTH AND INCOME STOCK PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (000'S)
---------- --------
<S> <C> <C>
COMMON STOCK (96.3%)
AEROSPACE (2.9%)
Boeing Company 51,300 $ 4,469
Sundstrand Corp. 23,900 875
--------
Total 5,344
--------
APPAREL TEXTILE (0.5%)
*Fruit of the Loom Incorporated 32,600 831
--------
AUTO & TRUCKS (1.4%)
General Motors Corporation 47,300 2,477
--------
AUTO RELATED (1.1%)
Cooper Tire & Rubber Company 86,700 1,929
--------
BANKS (6.6%)
BankAmerica Corporation 18,100 1,371
Citicorp 23,300 1,925
First Union Corporation 14,300 871
*First USA Incorporated 15,600 858
Firstar Corporation 25,900 1,195
Fleet Financial Group Inc. 19,900 866
NationsBank Corp. 39,500 3,264
P P & L Logic 35,300 834
Standard Federal Bancorp 24,700 951
--------
Total 12,135
--------
BEVERAGES (2.0%)
Pepsico Inc. 104,400 3,693
--------
BUILDING & CONSTRUCTION (0.6%)
*USG Corporation 39,400 1,098
--------
CHEMICALS (3.8%)
Albemarle Corporation 100,000 1,825
E.I. du Pont de Nemours & Co. 39,500 3,125
Union Carbide Corporation 51,000 2,027
--------
Total 6,977
--------
CHEMICALS-SPECIALITY (1.0%)
Sigma-Aldrich Corp. 16,600 888
Wellman Inc. 37,300 872
--------
Total 1,760
--------
COAL, GAS AND PIPELINE (0.6%)
Anadarko Petroleum Corp. 20,400 1,183
--------
DIVERSIFIED (3.9%)
Allied Signal Inc. 45,800 2,616
*Coltec Industries Inc. 70,500 1,005
ITT Hartford Group 34,500 1,837
Teledyne, Inc. 48,100 1,738
--------
Total 7,196
--------
DRUGS (5.0%)
*Forest Laboratories Inc. 66,100 2,553
Pfizer Inc. 42,200 3,012
Warner-Lambert Company 64,200 3,531
--------
Total 9,096
--------
ELECTRICAL EQUIPMENT (1.8%)
General Electric Company 11,200 969
W.W. Grainger, Inc. 31,700 2,457
--------
Total 3,426
--------
<CAPTION>
MARKET
VALUE
SHARES (000'S)
---------- --------
<S> <C> <C>
ELECTRONICS (5.6%)
Advanced Micro Devices, Inc. 41,800 $ 570
Duracell International Inc. 11,200 483
*EMC Corporation 93,000 1,732
*General Instrument Corp. 79,400 2,293
Hewlett-Packard Company 16,800 1,674
Perkin-Elmer Corporation 16,100 777
*SoftKey International Inc. 38,800 735
Tyco Laboratories, Inc. 47,700 1,944
--------
Total 10,208
--------
ENVIRONMENTAL CONTROL (1.9%)
Johnson Controls Inc. 22,700 1,578
WMX Technologies, Inc. 60,400 1,978
--------
Total 3,556
--------
FEDERAL GOVERNMENT AGENCY RELATED (0.6%)
Federal National Mortgage Assoc. 33,700 1,129
--------
FINANCIAL SERVICES (4.6%)
AT&T Corporation 61,100 3,788
H.F. Ahmanson & Company 62,000 1,674
Dean Witter, Discover & Co. 36,600 2,095
Great Western Financial Corp. 35,900 857
--------
Total 8,414
--------
FOODS (1.9%)
CPC International Corp. 12,900 929
Ralston Purina Group 25,100 1,610
Unilever, N.V. 6,300 914
--------
Total 3,453
--------
HEALTH CARE SERVICES (1.7%)
Columbia/HCA Healthcare Corp. 56,500 3,016
--------
HOSPITAL SUPPLIES (1.9%)
*Healthcare Retirement Corp. 64,350 1,528
*Humana, Inc. 111,500 1,993
--------
Total 3,521
--------
INSURANCE (2.3%)
AMBAC, Inc. 24,400 1,272
MBIA Incorporated 4,500 350
Providian Corporation 59,000 2,530
--------
Total 4,152
--------
LEISURE RELATED (1.4%)
International Game Technology 100,900 1,703
*Viacom Incorporated 20,700 787
--------
Total 2,490
--------
MACHINERY (1.5%)
*Cooper Cameron Corp. 16,760 733
Cooper Industries, Inc. 49,062 2,036
--------
Total 2,769
--------
MEDIA (2.7%)
*Tele-Communications, Inc. 179,200 3,248
Turner Broadcasting System Inc. 64,500 1,774
--------
Total 5,022
--------
METALS & MINING (1.5%)
Aluminum Co. of America 48,600 2,788
--------
</TABLE>
55
<PAGE> 59
NORTHWESTERN MUTUAL SERIES FUND, INC.
GROWTH AND INCOME STOCK PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (000'S)
---------- --------
<S> <C> <C>
COMMON STOCK (CONTINUED)
OFFICE EQUIPMENT (0.7%)
*Quantum Corp. 84,600 $ 1,237
--------
OFFICE EQUIPMENT-SERVICES (1.8%)
Adobe Systems Incorporated 20,600 739
Autodesk, Inc. 23,500 702
*Cisco Systems Incorporated 33,200 1,880
--------
Total 3,321
--------
OIL & GAS-DOMESTIC (2.7%)
Ashland Inc. 51,100 2,025
Sun Company, Inc. 44,400 1,349
Unocal Corp. 45,000 1,519
--------
Total 4,893
--------
OIL & GAS-INTERNATIONAL (5.6%)
Chevron Corp. 38,900 2,295
Exxon Corporation 21,200 1,842
Royal Dutch Petroleum Co., ADR 23,300 3,582
Texaco Inc. 30,300 2,541
--------
Total 10,260
--------
PAPER (0.9%)
Mead Corp. 31,500 1,634
--------
PHOTO & OPTICAL (0.8%)
Bausch & Lomb Inc. 36,400 1,547
--------
PRINTING & PUBLISHING (0.5%)
Time Warner Inc. 24,700 968
--------
PROFESSIONAL SERVICES (2.5%)
*Alza Corp. 47,600 1,303
Service Corporation International 60,100 3,456
--------
Total 4,759
--------
RAILROADS (2.4%)
Union Pacific Corporation 61,800 4,318
--------
RETAIL-GENERAL (5.1%)
Circuit City Stores, Inc. 28,500 1,030
*Federated Department Stores,
Inc. 26,100 891
Melville Corporation 30,100 1,219
*Toys "R" Us 108,100 3,081
Wal-Mart Stores Inc. 124,900 3,169
--------
Total 9,390
--------
SOAPS & TOILETRIES (3.5%)
Colgate-Palmolive Co. 21,300 1,805
Procter & Gamble Company 51,400 4,658
--------
Total 6,463
--------
<CAPTION>
MARKET
SHARES/ VALUE
PAR (000'S)
---------- --------
<S> <C> <C>
TELECOMMUNICATIONS (1.9%)
MCI Communications Corporation 76,400 $ 1,958
Motorola, Inc. 25,000 1,572
--------
Total 3,530
--------
TOBACCO (3.5%)
Philip Morris Companies, Inc. 61,100 6,354
--------
TRUCKING-SHIPPING (0.9%)
Consolidated Freightways, Inc. 79,100 1,671
--------
UTILITY-ELECTRIC (1.9%)
Allegheny Power System Inc. 29,600 914
FPL Group, Inc. 18,600 856
Houston Industries Incorporated 37,800 931
Pacific Gas & Electric Co. 32,000 744
--------
Total 3,445
--------
UTILITY-TELEPHONE (2.8%)
Ameritech Corporation 25,200 1,496
Bellsouth Corporation 31,400 1,331
GTE Corporation 27,700 1,240
SBC Communications Incorporated 23,600 1,162
U S West Inc. 37,600 1,198
--------
Total 6,427
--------
Total Common Stock 177,880
--------
MONEY MARKET INVESTMENTS (3.7%)
DRUGS (0.9%)
SmithKline Beecham Corp.,
5.37%, 7/31/96 $1,700,000 $ 1,692
--------
FINANCE COMPANIES (0.8%)
Ford Motor Credit Company,
5.29%, 7/10/96 1,500,000 1,497
--------
FINANCIAL SERVICES (1.7%)
BAT Capital Corporation,
5.35%, 7/15/96 1,300,000 1,297
General Electric Capital
Corporation,
5.34%, 7/3/96 1,700,000 1,699
--------
Total 2,996
--------
FOODS (0.3%)
Nestle Capital Corp., 5.52%,
7/1/96 600,000 600
--------
Total Money Market
Investments 6,785
--------
Total Investments $184,665
========
</TABLE>
* Non-Income Producing
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
56
<PAGE> 60
NORTHWESTERN MUTUAL SERIES FUND, INC.
AGGRESSIVE GROWTH STOCK PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (000'S)
----------- --------
<S> <C> <C>
COMMON STOCK (93.3%)
AIRLINES (1.1%)
Atlas Air, Inc. 147,500 $ 8,481
--------
AUTO RELATED (1.0%)
*Custom Chrome Inc. 142,300 3,824
*Tower Automotive, Inc. 152,300 3,731
--------
Total 7,555
--------
BANKS (0.2%)
*Texas Regional Bancshares Inc. 75,000 1,875
--------
BEVERAGES (1.0%)
*Robert Mondavi Corporation 261,200 8,228
--------
BUILDING & CONSTRUCTION (1.0%)
*NCI Building Systems 221,800 7,486
--------
CHEMICALS-SPECIALITY (1.7%)
Cambrex Corporation 137,200 7,014
A Schulman Inc. 274,950 6,736
--------
Total 13,750
--------
DRUGS (1.5%)
Cardinal Health Inc. 162,612 11,728
--------
ELECTRICAL EQUIPMENT (1.5%)
*CIDCO Incorporated 154,400 5,443
Methode Electronics Inc. 400,700 6,812
--------
Total 12,255
--------
ELECTRONICS (3.4%)
*ADC Telecommunication 162,400 7,308
AVX Corporation 125,000 2,312
*Computer Products, Inc. 220,000 3,768
*Gemstar International Group 125,000 3,750
*In Focus Systems Inc. 96,300 2,335
Molex Inc. 184,789 5,428
*Xylan Corporation 43,800 2,037
--------
Total 26,938
--------
ENVIRONMENTAL CONTROL (1.1%)
*TETRA Technologies, Inc. 448,941 8,979
--------
FINANCIAL SERVICES (2.1%)
Investors Financial Services 200,000 4,650
Money Store, Inc. 320,150 7,083
*WFS Financial Corporation 242,600 5,457
--------
Total 17,190
--------
FOOD SERVICE/LODGING (2.5%)
*Hospitality Franchise Systems,
Inc. 183,100 12,817
*Studio Plus Hotels Inc. 210,100 6,933
--------
Total 19,750
--------
HOSPITAL SUPPLIES (17.1%)
*Access Health, Inc. 109,500 5,174
*American Medical Response Inc. 223,800 7,889
*Apria Healthcare Group, Inc. 190,500 5,977
Compdent Corporation 127,000 5,905
*Gulf South Medical Supply, Inc. 277,800 10,834
*Inbrand Corporation 353,250 9,891
*Integra Life Sciences Corporation 533,600 5,203
*Medaphis Corporation 125,000 4,969
*Medcath Incorporated 153,800 1,846
*Occusystems, Inc. 205,900 7,696
*Orthodontic Centers of America 236,400 6,265
<CAPTION>
MARKET
VALUE
SHARES (000'S)
---------- --------
<S> <C> <C>
HOSPITAL SUPPLIES (CONTINUED)
*Patterson Dental Company 234,650 $ 8,506
*PhyCor, Inc. 204,300 7,763
*Physician Sales & Service, Inc. 159,100 3,858
*Quorum Health Group, Inc. 225,900 5,958
*Respironics Inc. 319,600 5,913
*Steris Corp. 237,500 7,600
*Sybron, Inc. 273,900 6,848
*United Dental Care, Inc. 210,600 8,898
*Vivra Incorporated 289,900 9,530
--------
Total 136,523
--------
INSURANCE (2.2%)
CMAC Investment Corp. 121,600 6,992
*CRA Managed Care Inc. 125,000 5,594
*Riscorp, Inc. 295,800 5,398
--------
Total 17,984
--------
LEISURE RELATED (3.8%)
*Blythe Industries, Inc. 288,000 13,068
The Marcus Corporation 144,050 3,619
*Regal Cinemas 192,500 8,807
*Scientific Games Holding Corp. 176,800 5,127
--------
Total 30,621
--------
MACHINERY (1.4%)
*ABC Rail Products 193,000 4,174
Kaydon Corporation 166,400 7,155
--------
Total 11,329
--------
MEDIA (0.3%)
*Clear Channel Communications 30,000 2,471
--------
OFFICE EQUIPMENT (9.6%)
*Cambridge Technology Partners 386,100 11,776
*CBT Group 92,000 4,255
*DST Systems, Inc. 201,100 6,435
*Metatools, Inc. 61,600 1,448
*Nu-Kote Holdings Inc. -- "A"
Series 396,400 6,590
Paychex Incorporated 215,450 10,369
*Peak Technologies 219,800 5,138
*Sterling Commerce, Inc. 137,400 5,101
*Sterling Software, Inc. 121,100 9,325
*USCS International, Inc. 36,000 693
*Viking Office Products Inc. 369,000 11,577
*Zebra Technologies 235,400 4,178
--------
Total 76,885
--------
OFFICE EQUIPMENT-SERVICES (9.8%)
American Management System Inc. 412,275 12,059
Danka Business Systems 117,500 3,437
First Data Corporation 157,395 12,533
HBO & Co. 150,000 10,163
*Intuit Inc. 50,000 2,363
*Medic Computer Systems, Inc. 92,300 7,488
National Data Corp. 145,000 4,966
*PMT Services, Inc. 305,400 8,742
*Peoplesoft, Inc. 170,400 12,141
*Trident International, Inc. 195,000 4,241
--------
Total 78,133
--------
</TABLE>
57
<PAGE> 61
NORTHWESTERN MUTUAL SERIES FUND, INC.
AGGRESSIVE GROWTH STOCK PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (000'S)
----------- --------
<S> <C> <C>
COMMON STOCK (CONTINUED)
OIL & GAS PROGRAMS (0.7%)
Parker And Parsley Petroleum Co. 209,500 $ 5,814
--------
OIL FIELD SERVICES (1.5%)
Production Operators Corp. 151,800 5,123
Tosco Corporation 134,800 6,774
--------
Total 11,897
--------
PAPER (0.6%)
Wausau Paper Mills Company 253,418 5,005
--------
PRINTING & PUBLISHING (1.1%)
*Catalina Marketing Corporation 97,600 8,930
--------
PROFESSIONAL SERVICES (4.6%)
*CUC International Inc. 253,450 8,997
Cintas Corporation 165,300 8,844
*Corrections Corporation of America 45,300 3,171
*Interim Services Inc. 118,500 5,095
*Metromail Corporation 30,000 671
*Robert Half International Inc. 343,000 9,561
--------
Total 36,339
--------
RAILROADS (0.8%)
*Wisconsin Central Transportation 188,700 6,133
--------
RETAIL-GENERAL (8.9%)
*Corporate Express, Inc. 196,600 7,864
*Eastbay, Inc. 73,500 1,103
Fastenal Co. 188,900 8,217
*Global Direct Mail Corp. 213,900 8,449
*K & G Men's Center, Inc. 335,000 7,035
*Kohls Department Stores 195,200 7,149
*Micro Warehouse Inc. 80,100 1,602
*Multiple Zones International Inc. 150,000 1,988
*Oakley, Inc. 173,000 7,872
*Office Max, Inc. 336,000 8,022
*O'Reilly Automotive, Inc. 183,800 6,663
*Tractor Supply Company 221,200 5,032
--------
Total 70,996
--------
TELECOMMUNICATIONS (8.1%)
*AirTouch Communications 190,700 5,387
*APAC TeleServices, Inc. 201,000 7,236
<CAPTION>
MARKET
SHARES/ VALUE
PAR (000'S)
----------- --------
<S> <C> <C>
TELECOMMUNICATIONS (CONTINUED)
*LCI International 321,800 $ 10,096
*Mcleod, Inc. 22,500 540
*Midcom Communication 101,000 1,452
*Premiere Technologies, Inc. 151,200 4,763
*Saville Systems 250,100 6,909
*Tellabs Inc. 170,000 11,369
*Tesco Technologies Incorporation 190,700 6,961
*Transaction Systems Architects 153,113 10,259
--------
Total 64,972
--------
TRANSPORTATION (0.6%)
*Coach USA, Inc. 230,000 5,117
--------
TRUCKING-SHIPPING (4.1%)
*Eagle USA Airfreight, Inc. 195,100 7,219
*Fritz Companies, Inc. 305,600 9,856
*Heartland Express Incorporated 282,962 7,569
*Landstar System, Inc. 278,800 8,085
--------
Total 32,729
--------
Total Common Stock 746,093
--------
MONEY MARKET INVESTMENTS (6.7%)
DRUGS (1.8%)
SmithKline Beecham Corp., 5.37%,
7/31/96 $14,000,000 $ 13,933
--------
FINANCE COMPANIES (1.5%)
Ford Motor Credit Company, 5.29%,
7/10/96 12,000,000 11,981
--------
FINANCIAL SERVICES (3.4%)
BAT Capital Corporation, 5.35%,
7/17/96 12,000,000 11,968
General Electric Capital
Corporation, 5.34%, 7/3/96 3,400,000 3,398
General Electric Company, 5.31%,
7/3/96 12,000,000 11,993
--------
Total 27,359
--------
Total Money Market Investments 53,273
--------
Total Investments $799,366
========
</TABLE>
* Non-Income Producing
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared From Unaudited Figures)
58
<PAGE> 62
NORTHWESTERN MUTUAL SERIES FUND, INC.
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
COUNTRY SHARES (000'S)
------- ---------- --------
<S> <C> <C> <C>
COMMON STOCKS (84.2%)
AIRLINES (1.2%)
Quantas Airways (144A) Austrl. 165,000 $ 2,788
Singapore Airlines Ltd. Sing. 205,000 2,165
--------
Total 4,953
--------
APPLIANCES & HOUSEHOLD DURABLES (1.3%)
Sony Corporation Jpn. 83,000 5,468
--------
AUTOMOBILES (2.4%)
Renault SA Fr. 152,000 3,927
Volvo Aktiebogelegt, B Free Swe. 260,000 5,928
--------
Total 9,855
--------
BANKING & CREDIT (14.9%)
Argentina Corp. Bancaris de
Espania, ADR Sp. 195,000 4,290
Australia & New Zealand Bank
Group Austrl. 926,097 4,382
Banco Bilboa Vizcaya Sp. 162,500 6,590
Banco de Andulucia Sp. 30,000 4,184
Banque National de Paris, ADR
(144A) Fr. 146,500 5,146
Barkley's Bank, PLC U.K. 311,016 3,732
BPI Soc de Gestora de Part Sa
ORD Pte. 146,350 1,857
Canadian Imperial Bank of
Commerce Can. 177,000 5,711
Deutsche Bank Ger. 111,500 5,279
HSBC Holdings ORD H.K. 308,237 4,659
Komercni Bank GDR (144A) Czk. 30,000 810
Komercni Bank ORD Czk. 15,000 1,224
Merita Limited Series "A" Fin. 1,000,000 2,115
National Bank of Canada
Montreal Can. 360,000 3,006
Panin Bank Foreign Registered Indo. 1,782,000 1,646
Stadshypotek AB "A" (144A) Swe. 120,000 2,682
Svenska Handelsbanken S A Swe. 230,000 4,810
--------
Total 62,123
--------
BEVERAGES & TOBACCO (0.2%)
Swedish Match AB Feuer Swe. 240,000 747
--------
BUILDING MATERIALS AND COMPONENTS (1.1%)
Pioneer International Ltd. Austrl. 1,600,000 4,653
--------
BUSINESS & PUBLIC SERVICE (3.4%)
Esselte AB, Series "A" Swe. 269,900 5,461
Hyder PLC U.K. 371,666 4,120
Hyder PLC Cum. Red. Pfd. U.K. 401,400 602
Societe Generale de Surv
Holdings Swtz. 885 2,120
*Waste Management PLC, ADR U.K. 168,000 1,869
--------
Total 14,172
--------
CHEMICALS (4.4%)
Bayer AG Ger. 180,000 6,362
European Vinyls Corp. EVC
International Neth. 36,525 1,135
Rhone Poulenc SA, NPV Fr. 6,508 171
Rhone Poulenc SA, Series A Fr. 243,000 6,391
Solvay Et Cie A NPV Bel. 7,300 4,519
--------
Total 18,578
--------
<CAPTION>
MARKET
VALUE
COUNTRY SHARES (000'S)
------- ---------- --------
<S> <C> <C> <C>
CONSTRUCTION AND HOUSING (1.2%)
Daito Trust Construction Co. Jpn. 195,000 $ 2,922
Kyudendo Corp. Jpn. 146,000 1,961
--------
Total 4,883
--------
ELECTRICAL & ELECTRONICS (3.7%)
ABB AG Baden Bearer Swtz. 4,730 5,858
Alcatel Alsthom DG Fr. 57,500 5,019
Hitachi Ltd. Jpn. 505,000 4,707
--------
Total 15,584
--------
ELECTRICAL COMPONENTS, INSTRUMENTS (1.2%)
BICC, ORD U.K. 1,015,000 4,880
--------
ENERGY SOURCES (3.6%)
Hafslund Nycomed "A" Nor. 170,000 1,218
Repsol SA Sp. 122,000 4,247
Saga Petrolium Nor. 260,000 3,825
Societe Nationale Elf
Aquitane Fr. 77,801 5,726
--------
Total 15,016
--------
FINANCIAL SERVICES (4.3%)
AXA SA Fr. 93,928 5,142
AXA Temp. Nontradeable Cert. Fr. 1,785 98
*Capital Portugal Fund Port. 22,000 2,173
Chile Fund U.S. 35,000 858
India Fund, Series "B" U.K. 1,256,515 2,411
*JF Indonesia Fund Inc. H.K. 456,600 575
Korea International Trust Kor. 52 2,626
Thai Fund Inc. Thai. 70,817 1,673
Thailand International Fund Thai. 70 2,327
--------
Total 17,883
--------
FOOD & HOUSEHOLD PRODUCTS (3.2%)
Albert Fisher Group U.K. 6,429,590 4,595
Cafe de Coral Holdings, Ltd. H.K. 7,672,000 2,131
Hillsdown Holdings U.K. 1,800,892 4,840
Vitro SA NPV Mex. 768,400 1,783
--------
Total 13,349
--------
FOREST PRODUCTS & PAPER (2.8%)
Carter Holt Harvey Ltd. N.Z. 1,995,957 4,567
Metsa Serla OY "B" Fin. 277,500 1,977
PT Barito Pacifice Timber Indo. 937,000 614
Stora Kopparberg, Series "B"
Free Swe. 350,000 4,624
--------
Total 11,782
--------
HEALTH & PERSONAL CARE (2.1%)
Astra AB Series "A" Free Swe. 140,000 6,194
Nycomed ASA Series "A" Norw. 170,000 2,449
--------
Total 8,643
--------
INSURANCE (3.9%)
Aegon NV Neth. 120,147 5,537
ING Groep NV Neth. 190,000 5,671
London Insurance Group Can. 162,600 3,406
*Zurich Versicherung Swtz. 5,800 1,582
--------
Total 16,196
--------
</TABLE>
59
<PAGE> 63
NORTHWESTERN MUTUAL SERIES FUND, INC.
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
COUNTRY SHARES (000'S)
------- ---------- --------
<S> <C> <C> <C>
COMMON STOCKS (CONTINUED)
MACHINERY & ENGINEERING (1.3%)
Hitachi Koki Co. Ltd. Jpn. 181,000 $ 1,786
VA Technologies AG Bearer
(144A) Aus. 30,000 3,689
--------
Total 5,475
--------
MERCHANDISING (1.7%)
Koninklijke Bijenkorf Beheer Neth. 44,098 3,729
Kwik Save Group U.K. 457,252 3,197
--------
Total 6,926
--------
METALS & MINING (2.1%)
Elkem A S Oslo ord A Free Nor. 192,000 2,647
*Inmet Mining Ltd. Can. 192,500 1,403
Pechinery Cert. D'Invest Fr. 47,500 986
*Union Minerie, NPV Bel. 50,500 3,921
--------
Total 8,957
--------
MULTI-INDUSTRY (5.1%)
Amer Group "A" Fin. 175,000 2,946
BTR Nylex Ltd. Austrl. 249,000 957
Comp Gen de Industrieset de
Partec Fr. 4,500 1,036
Hutchinson Whampoa H.K. 798,000 5,020
Jardine Matheson Holdings H.K. 550,501 4,046
Jardine Strategic Holdings H.K. 1,019,055 3,261
Marlene Wendel SA Fr. 5,025 416
Swire Pacific Class "A" H.K. 472,500 4,044
--------
Total 21,726
--------
RAILROAD (0.8%)
Brambles Ind. Ltd. Austrl. 240,000 3,335
--------
TELECOMMUNICATIONS (9.2%)
CIA de Inversiones en Tel
Euro Chile 73,150 4,280
CIA De Telefons Chile SA Chile 36,500 3,582
Nacional Fincanciera CNV Mex. 117,802 3,946
Phillipine Long Distance
Telephone Phil 79,000 4,592
*SPT Telecom AS Chez. 36,000 4,397
Stet Di Risp Non-Conv. Italy 2,490,000 6,543
Telebras ADR Braz. 77,500 5,396
Telefonica De Espana Sp. 315,000 5,809
--------
Total 38,545
--------
<CAPTION>
MARKET
SHARES/ VALUE
COUNTRY PAR (000'S)
------- ---------- --------
<S> <C> <C> <C>
UTILITIES-ELECTRIC & GAS (7.8%)
British Gas U.K. 1,358,200 $ 3,777
*CEZ Ceske Energeticke Zavody Chez. 101,990 4,059
Electicidad De Caracas Venz. 3,416,836 2,841
Endesa National De Electric Sp. 63,000 3,933
Evn Energierversorgung Aus. 38,400 5,310
Hong Kong Electric H.K. 990,000 3,018
Iberdrola SA Sp. 587,500 6,036
*Veba AG Warrants, Exp.
4/6/98 Ger. 12,000 3,425
--------
Total 32,399
--------
WHOLESALE & INTERNATIONAL TRADE (1.3%)
Brierley Investments Ltd. TD N.Z. 5,716,091 5,421
--------
Total Common Stock 351,549
--------
BONDS (3.4%)
BANKING AND CREDIT (1.8%)
PIV Financial Inc. Cayman,
4.5%, 12/1/00 H.K. $2,750,000 $ 2,310
CS Holding Finance BV,
4 7/8%, 11/19/02 U.K. 3,715,000 5,387
--------
Total 7,697
--------
FEDERAL GOVERNMENT & AGENCIES (0.7%)
U.S. Treasury Notes, 5 1/8%,
4/30/98 U.S. 2,757,000 2,711
--------
UTILITIES-ELECTRIC & GAS (0.9%)
National Power, Convertible Bond,
6 1/4%, 9/23/08 U.K. 2,138,000 3,952
--------
Total Bonds 14,360
--------
MONEY MARKET INVESTMENTS (12.4%)
FINANCIAL SERVICES (8.1%)
American Express, 5.39%,
7/1/96 U.S. 17,000,000 17,000
West Landesbank TD, 5.5%,
7/1/96 U.S. 17,000,000 17,000
--------
Total 34,000
--------
INSURANCE (4.3%)
Prudential, 5.42%, 7/1/96 U.S. 17,924,000 17,924
--------
Total Money Market
Investments 51,924
--------
Total Investments $417,833
========
</TABLE>
* Non-Income Producing
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
60
<PAGE> 64
NORTHWESTERN MUTUAL SERIES FUND, INC.
SELECT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
PAR (000'S)
---------- --------
<S> <C> <C>
BONDS (80.2%)
AIRLINES (1.2%)
Delta Air Lines, Inc., 9 3/4%,
5/26/03 $ 546,000 $ 604
Delta Air Lines, Inc., 9 3/4%,
6/1/03 1,605,000 1,775
--------
Total 2,379
--------
AUTO RELATED (0.5%)
Hertz Corp., 9.04%, 6/14/00 900,000 965
--------
BANKS (0.9%)
Natwest Capital Corporation,
12 1/8%, 11/15/02 1,700,000 1,815
--------
BEVERAGES (2.6%)
Coca-Cola Enterprises Inc., 8%,
1/4/05 5,000,000 5,310
--------
CHEMICALS (1.0%)
Dow Capital B.V., 8 1/2%, 6/8/10 1,800,000 1,952
--------
CMO & LOAN-BACKED CERTIFICATES (14.4%)
CIT RV Owner Trust, 6 1/4%, 1/15/11 1,757,347 1,746
Eaglemark Trust, 6 3/4%, 11/15/02
(144A) 2,000,000 2,006
Federal Home Loan Mortgage Corp.,
7%, 6/1/25 6,007,242 5,784
Federal Home Loan Mortgage Corp.,
7 1/4%, 4/15/18 2,425,000 2,445
Federal Home Loan Mortgage Corp.,
7%, 3/15/07 1,875,000 1,824
Federal Home Loan Mortgage Corp.,
6%, 7/15/07 3,900,000 3,717
Federal National Mortgage Assoc.,
6 3/4%, 12/25/23 3,500,000 3,129
Ford Motor Credit Grantor Trust,
5.9%, 10/15/00 2,387,105 2,378
Premier Auto Trust, 6.65%, 4/2/98 3,300,000 3,321
Rural Housing Trust, 6.33%, 4/1/26 2,456,020 2,372
--------
Total 28,722
--------
FEDERAL GOVERNMENT AND AGENCIES (30.5%)
Government National Mortgage Assoc.,
8 1/2%, 3/15/23 10,896 11
Government National Mortgage Assoc.,
7%, 5/15/23 488,463 472
Government National Mortgage Assoc.,
7 1/2%, 2/15/24 1,853,867 1,828
Government National Mortgage Assoc.,
7%, 5/15/23 3,075,777 2,969
Government National Mortgage Assoc.,
8 1/2%, 9/15/24 16,828 17
Government National Mortgage Assoc.,
8 1/2%, 6/15/23 19,578 20
Government National Mortgage Assoc.,
8 1/2%, 6/15/24 392,903 405
<CAPTION>
MARKET
VALUE
PAR (000'S)
---------- --------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (CONTINUED)
Government National Mortgage Assoc.,
8 1/2%, 7/15/24 $ 101,109 $ 104
Government National Mortgage Assoc.,
8 1/2%, 2/15/25 115,766 119
Government National Mortgage Assoc.,
7 1/2%, 1/15/24 895,729 883
Government National Mortgage Assoc.,
7 1/2%, 1/15/24 883,135 871
Government National Mortgage Assoc.,
8 1/2%, 2/15/25 17,576 18
Government National Mortgage Assoc.,
8 1/2%, 11/15/24 312,612 322
Government National Mortgage Assoc.,
8 1/2%, 5/15/26 227,390 234
Government National Mortgage Assoc.,
7 1/2%, 6/15/24 1,685,286 1,661
Government National Mortgage Assoc.,
8 1/2%, 11/15/24 314,859 324
Government National Mortgage Assoc.,
8 1/2%, 4/15/26 399,976 412
Government National Mortgage Assoc.,
8 1/2%, 11/15/24 473,409 487
Government National Mortgage Assoc.,
8 1/2%, 4/15/26 379,073 390
Government National Mortgage Assoc.,
8 1/2%, 5/15/26 779,846 803
Government National Mortgage Assoc.,
8 1/2%, 9/15/21 198,322 204
Government National Mortgage Assoc.,
7%, 6/15/23 2,765,711 2,670
U.S. Treasury, 7 1/8%, 2/15/23 8,000,000 8,080
U.S. Treasury, 6 1/4%, 8/15/23 1,500,000 1,359
U.S. Treasury, 7 1/2%, 11/15/24 19,000,000 20,140
U.S. Treasury, 6 3/8%, 8/15/02 1,000,000 991
U.S. Treasury, 6 7/8%, 7/31/99 15,000,000 15,216
--------
Total 61,010
--------
FINANCE COMPANIES (1.9%)
Associates Corp. of North America,
7.95%, 2/15/10 1,500,000 1,594
Avco Financial Services, Inc.,
5 7/8%, 10/15/97 2,200,000 2,191
--------
Total 3,785
--------
FINANCIAL SERVICES (1.8%)
Beneficial Corp., 6.86%, 11/19/97 2,200,000 2,219
Electronic Data Systems Corp.,
8.8%, 3/1/21 1,250,000 1,399
--------
Total 3,618
--------
FOODS (1.8%)
Nabisco Inc., 8%, 1/15/00 1,500,000 1,552
RJR Nabisco Inc., 8 5/8%, 12/01/02 2,000,000 2,029
--------
Total 3,581
--------
FOREIGN GOVERNMENT BONDS (0.7%)
Province of Quebec, 7 1/8%, 2/9/24 1,500,000 1,373
--------
</TABLE>
61
<PAGE> 65
NORTHWESTERN MUTUAL SERIES FUND, INC.
SELECT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
PAR (000'S)
---------- --------
<S> <C> <C>
BONDS (CONTINUED)
LEISURE RELATED (3.8%)
Tele Communications, Inc., 7 3/8%,
2/15/00 $2,000,000 $ 1,975
Tele Communications, Inc., 7 1/4%,
8/1/05 2,750,000 2,545
Time Warner Entertainment Inc.,
8 7/8%, 10/1/12 2,000,000 2,066
Time Warner Entertainment Inc.,
7 1/4%, 9/1/08 1,000,000 937
--------
Total 7,523
--------
OFFICE EQUIPMENT (1.5%)
International Business Machines
Corp., 6 3/8%, 11/1/97 3,000,000 3,008
--------
PRINTING & PUBLISHING (2.3%)
News America Holdings Inc., 7 1/2%,
3/1/00 3,500,000 3,559
News America Holdings Inc., 8 1/4%,
8/10/18 1,000,000 983
--------
Total 4,542
--------
REAL ESTATE INVESTMENT TRUSTS (1.0%)
Security Capital Industrial Trust,
7.3%, 5/15/01 2,000,000 1,981
--------
RETAIL-GENERAL (0.8%)
Dayton Hudson Corporation, 8.6%,
1/15/12 1,500,000 1,620
--------
TOBACCO (1.4%)
Philip Morris Companies, 9%,
5/15/98 1,750,000 1,824
Philip Morris Companies, 9 1/4%,
2/15/00 1,000,000 1,078
--------
Total 2,902
--------
UTILITY-ELECTRIC (11.2%)
Cleveland Electric Illum. Co.,
7 3/8%, 6/1/03 1,000,000 904
Korea Electric Power Corporation,
7 3/4%, 4/1/13 2,000,000 1,974
Long Island Lighting Co., 9 5/8%,
7/1/24 1,500,000 1,499
Pacific Gas & Electric Co., 7 1/4%,
3/1/26 3,500,000 3,189
Pacific Gas & Electric Co., 5 3/8%,
8/1/98 2,600,000 2,543
<CAPTION>
MARKET
VALUE
PAR (000'S)
---------- --------
<S> <C> <C>
UTILITY-ELECTRIC (CONTINUED)
Pennsylvania Power & Light, 5 1/2%,
4/1/98 $3,000,000 $ 2,947
PECO Energy Company, 7 1/2%,
1/15/99 1,500,000 1,528
PECO Energy Company, 7 3/4%, 3/1/23 1,150,000 1,112
Public Service Electric & Gas,
6 7/8%, 1/1/03 2,250,000 2,206
Texas Utilities Electric Co, 7 7/8,
3/1/23 2,250,000 2,180
UNICOM Corp., 6 1/2%, 4/15/00 2,300,000 2,256
--------
Total 22,338
--------
UTILITY-GAS (0.9%)
Columbia Gas System Inc., 7.32%,
11/28/10 2,000,000 1,913
--------
Total Bonds 160,337
--------
MONEY MARKET INVESTMENTS (19.8%)
AUTO (3.4%)
Ford Motor Credit Company, 5.29%,
7/10/96 $6,900,000 $ 6,889
--------
DRUGS (4.0%)
SmithKline Beecham Corp., 5.37%,
7/31/96 8,000,000 7,962
--------
FINANCE COMPANIES (1.1%)
Associates Corp. of North America,
6 7/8%, 1/15/97 2,200,000 2,212
--------
FINANCIAL SERVICES (9.3%)
BAT Capital Corporation, 5.35%,
7/17/96 8,000,000 7,979
General Electric Capital
Corporation, 5.34%, 7/3/96 2,700,000 2,698
Philip Morris Capital Corp., 5.3%,
7/3/96 7,900,000 7,895
--------
Total Bonds 18,572
--------
UTILITY-ELECTRIC (2.0%)
DTE Energy Company, 5.41%, 5/1/97 4,000,000 3,974
--------
Total Money Market Investments 39,609
--------
Total Investments $199,946
========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
62
<PAGE> 66
NORTHWESTERN MUTUAL SERIES FUND, INC.
HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
PAR (000'S)
---------- -------
<S> <C> <C>
BONDS (87.0%)
APPAREL, TEXTILES & FOOTWEAR (1.1%)
+Ithaca Industries, 11 1/8%,
12/15/02 $1,700,000 $ 778
-------
AUTO RELATED (5.4%)
Alamo Rent-A-Car Inc., 11 3/4%,
1/31/06 1,500,000 1,545
Collins & Aikman Products, 11 1/2%,
4/15/06 1,000,000 1,015
Exide Corporation, 10 3/4%,
12/15/02 500,000 507
++Exide Corporation, 12 1/4%,
12/15/04 1,000,000 845
-------
Total 3,912
-------
BANKS (2.9%)
First Nationwide Bank, 12 1/2%,
4/15/03 2,000,000 2,085
-------
BROADCASTING (1.4%)
SFX Broadcasting, 10 3/4%, 5/15/06
(144A) 1,000,000 995
-------
BUILDING & CONSTRUCTION (1.5%)
Primeco Inc., 12 3/4%, 3/1/05 1,000,000 1,070
-------
CABLE (5.5%)
Adelphia Communications, 12 1/2%,
5/15/02 1,000,000 1,015
Lenfest Communications Inc.,
10 1/2%, 6/15/06 (144A) 1,500,000 1,526
++Marcus Cable Operating, 13 1/2%,
8/1/04 2,000,000 1,430
-------
Total 3,971
-------
CHEMICALS (2.8%)
NL Industries, Inc., 11 3/4%,
10/15/03 1,000,000 1,020
Texas Petrochemical Corp., 11 1/8%,
7/1/06 (144A) 1,000,000 1,020
-------
Total 2,040
-------
ELECTRONICS (3.0%)
Exide Electronics Group, 11 1/2%,
3/15/06 (144A) 2,000,000 2,120
-------
FINANCE COMPANIES (8.6%)
Cobb Theatres/Financial Corp.,
10 5/8%, 3/1/03 (144A) 1,500,000 1,534
Homeside Inc., 11 1/8%, 5/15/03
(144A) 2,000,000 2,070
Polysindo International Finance,
11 3/8%, 6/15/06 1,000,000 1,020
Trizec Finance, 10 7/8%, 10/15/05 1,500,000 1,538
-------
Total 6,162
-------
FOOD SERVICE/LODGING (1.9%)
Fleming Companies, Inc., 10 5/8%,
12/15/01 1,500,000 1,361
-------
FOODS (0.7%)
+Beatrice Foods, Inc., 12%, 12/1/01 1,500,000 465
-------
GAMING (13.1%)
Alliance Gaming, 12 7/8%, 6/30/03 750,000 748
Aztar Corporation, 13 3/4%, 10/1/04 1,000,000 1,147
Bally's Grand, 10 3/8%, 12/15/03 1,000,000 1,096
GNF Corp., 10 5/8%, 4/1/03 1,500,000 1,639
Station Casinos, Inc., 10 1/8%,
3/15/06 500,000 489
Trump Atlantic City, 11 1/4%,
5/1/06 2,500,000 2,513
Trump Hotels & Casino Resort,
15 1/2%, 6/15/05 1,500,000 1,774
-------
Total 9,406
-------
LEISURE RELATED (1.5%)
Cobblestone Holdings Inc., 0%,
6/1/04 (144A) 2,875,000 1,064
-------
<CAPTION>
MARKET
VALUE
PAR (000'S)
-------
<S> <C> <C>
MEDICAL SUPPLIES (2.9%)
Dade International Inc.,
11 1/8%, 5/1/06 (144A) $2,000,000 $ 2,070
-------
OFFICE EQUIPMENT (1.5%)
United Stationer Supply Co.,
12 3/4%, 5/1/05 1,000,000 1,073
-------
OIL & GAS-DOMESTIC (0.9%)
++Transamerican Refining Corp.,
18 1/2%, 2/15/02 1,000,000 635
-------
OIL & GAS-INTERNATIONAL (6.3%)
Bridas Corporation,
12 1/2%, 6/10/03 (144A) 1,500,000 1,547
Mesa Operating Co., 10 5/8%, 7/1/06 1,000,000 1,011
Transtexas Gas, 11 1/2%, 6/15/02 2,000,000 1,995
-------
Total 4,553
-------
PAPER (3.5%)
Indah Kiat International Finance,
12 1/2%, 6/15/06 1,000,000 1,065
Repap Wisconsin Incorporated,
9 1/4%, 2/1/02 500,000 471
Repap New Brunswick, 10 5/8%,
4/15/05 1,000,000 943
-------
Total 2,479
-------
RETAIL-FOOD (12.3%)
Grand Union Company, 12%, 9/1/04 1,000,000 934
Jitney-Jungle Stores, 12%, 3/1/06 1,500,000 1,530
P & C Food Markets, Inc., 11 1/2%,
10/15/01 375,000 357
Pathmark Stores, 11 5/8%, 6/15/02 1,500,000 1,492
Penn Traffic Company, 9 5/8%,
4/15/05 1,000,000 717
Penn Traffic Company, 11 1/2%,
4/15/06 1,000,000 927
Ralphs Grocery Co., 11%, 6/15/05 1,500,000 1,380
Smiths Food & Drug, 11 1/8%,
5/15/07 1,500,000 1,519
-------
Total 8,856
-------
TELECOMMUNICATIONS (6.0%)
++Arch Communications, 10 7/8%,
3/15/08 1,750,000 901
Grupo Televisa, 11 3/8%, 5/15/03
(144A) 500,000 507
Grupo Televisa, 11 7/8%, 5/15/06
(144A) 1,000,000 1,020
++Mobilemedia Communications,
10 1/2%, 12/1/03 1,000,000 710
++Teleport Communications, 11 1/8%,
7/1/07 2,000,000 1,165
-------
Total 4,303
-------
TRUCKING-SHIPPING (2.8%)
Gearbulk Holding Ltd., 11 1/4%,
12/1/04 1,000,000 1,050
Stena AB, 10 1/2%, 12/15/05 1,000,000 993
-------
Total 2,043
-------
</TABLE>
63
<PAGE> 67
NORTHWESTERN MUTUAL SERIES FUND, INC.
HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
PAR (000'S)
-------
<S> <C> <C>
BONDS (CONTINUED)
UTILITY-PROJECT (1.4%)
CE Casecan Water & Energy, Inc.,
11.95%, 11/15/10 (144A) $1,000,000 $ 1,017
-------
Total Bonds 62,458
-------
COMMON STOCK WARRANTS (0.1%)
PAPER (0.1%)
*SDW Holdings Corporation 20,000 $ 62
-------
Total Common Stock Warrants 62
-------
PREFERRED STOCK (7.4%)
BROADCASTING (0.7%)
SFX Broadcasting Inc., 6 1/2,
5/31/07 (144A) 10,000 $ 518
-------
GAMING (1.8%)
Alliance Gaming, 15%, 6/30/04 10,000 705
Station Casinos, 7%, 12/31/49 10,000 575
-------
Total 1,280
-------
PAPER (0.9%)
SD Warren Co., 14%, 12/15/06 20,000 620
-------
<CAPTION>
MARKET
VALUE
PAR (000'S)
---------- -------
<S> <C> <C>
PRINTING AND PUBLISHING (4.0%)
K-III Communications,
2.722%, 2/1/08 (144A) $ 10,000 $ 930
Time Warner Inc., 10 1/4%, 7/1/16
(144A) 20,000 1,960
-------
Total 2,890
-------
Total Preferred Stock 5,308
-------
MONEY MARKET INVESTMENTS (5.5%)
FINANCE COMPANIES (3.7%)
Ford Motor Credit Company, 5.45%,
7/3/96 $2,700,000 $ 2,698
-------
FINANCIAL SERVICES (0.8%)
General Electric Capital
Corporation, 5.34%, 7/3/96 600,000 600
-------
TOBACCO (1.0%)
Philip Morris Companies, 5.34%,
7/31/96 700,000 697
-------
Total Money Market Investments 3,995
-------
Total Investments $71,823
=======
</TABLE>
* Non-Income Producing.
+ Defaulted Security.
++ Denotes deferred interest security that receives no coupon payments until a
predetermined date at which time the stated coupon rate becomes effective.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
64
<PAGE> 68
NORTHWESTERN MUTUAL SERIES FUND, INC.
MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
PAR (000'S)
---------- --------
<S> <C> <C>
COMMERCIAL PAPER (96.8%)
AUTO (5.0%)
Ford Motor Credit Company, 5.29%,
7/10/96 $7,200,000 $ 7,188
--------
BEVERAGES (4.2%)
Pepsico Inc., 5.75%, 9/6/96 6,000,000 5,999
--------
BUILDING-FOREST PRODUCTS (4.9%)
Weyerhaeuser Company, 5.4%, 9/6/96 7,000,000 6,927
--------
CHEMICALS (4.9%)
Monsanto Company, 5.27%, 7/15/96 7,000,000 6,984
--------
DRUGS (7.8%)
American Home Products
Corporation, 5.33%, 7/15/96 7,100,000 7,083
American Home Products
Corporation, 5.58%, 7/1/96 4,100,000 4,099
--------
Total 11,182
--------
FINANCIAL SERVICES (19.2%)
American General Finance
Corporation, 5.37%, 8/28/96 7,100,000 7,036
CIT Group Holdings Inc., 5.27%,
7/17/96 7,200,000 7,181
General Electric Capital
Corporation, 5.3%, 8/15/96 6,900,000 6,852
Transamerica Financial Corp.,
5.31%, 8/14/96 6,400,000 6,357
--------
Total 27,426
--------
LEISURE RELATED (4.6%)
Walt Disney Company, 5.2%, 9/16/96 6,600,000 6,525
--------
OFFICE EQUIPMENT (10.0%)
IBM Credit Corporation, 5.32%,
7/31/96 7,050,000 7,017
Xerox Corporation, 5.29%, 7/29/96 7,100,000 7,069
--------
Total 14,086
--------
<CAPTION>
MARKET
VALUE
PAR (000'S)
---------- --------
<S> <C> <C>
PRINTING & PUBLISHING (3.5%)
Dow Jones & Co. Inc., 5.33%,
7/15/96 $5,000,000 $ 4,988
--------
RETAIL-GENERAL (10.0%)
J.C. Penney Funding Corp., 5.36%,
8/23/96 7,100,000 7,042
Sears Roebuck Acceptance Corp.,
5.39%, 8/21/96 7,100,000 7,044
--------
Total 14,086
--------
TOBACCO (8.5%)
Philip Morris Companies, 5.37%,
7/15/96 5,100,000 5,088
Philip Morris Companies, 5.28%,
7/1/96 7,100,000 7,098
--------
Total 12,186
--------
UTILITY-ELECTRIC (4.9%)
National Rural Utility Finance
Corp., 5.37%, 8/29/96 7,000,000 6,936
--------
UTILITY-TELEPHONE (9.3%)
American Telephone & Telegraph
Co., 5.35%, 8/9/96 6,700,000 6,659
Bellsouth Telecommunication,
5.35%, 8/27/96 6,700,000 6,641
--------
Total 13,300
--------
Total Commercial Paper 137,813
--------
ASSET-BACKED SECURITIES (3.2%)
AUTO RELATED (3.2%)
Carco Auto Loan Master Trust,
5.53%, 7/15/96 (Variable rate;
puttable; coupon indexed to one
month Commercial Paper rate plus
7.5 basis points; reset monthly) $4,550,000 $ 4,550
--------
Total Asset-Backed Securities 4,550
--------
Total Investments $142,363
========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
65
<PAGE> 69
NORTHWESTERN MUTUAL SERIES FUND, INC.
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (000'S)
----------- ----------
<S> <C> <C>
COMMON STOCK (52.5%)
AEROSPACE (1.1%)
Boeing Company 77,900 $ 6,787
General Dynamics Corporation 14,200 880
Harris Corporation 8,700 531
Lockheed Martin Corporation 44,761 3,760
McDonnell Douglas Corporation 50,000 2,425
Northrop Grumman Corporation 12,800 872
Raytheon Company 53,900 2,783
Rockwell International
Corporation 48,900 2,800
United Technologies Corp. 27,400 3,151
----------
Total 23,989
----------
AIRLINES (0.2%)
*AMR Corporation 20,200 1,838
Delta Air Lines, Inc. 13,900 1,154
Southwest Airlines Co. 32,500 947
*USAir Group, Inc. 14,300 257
----------
Total 4,196
----------
APPAREL TEXTILE (0.3%)
Brown Group, Inc. 4,000 69
*Fruit of the Loom, Incorporated 17,100 436
Liz Claiborne, Inc. 16,500 571
Nike, Inc. 32,300 3,319
Reebok International, Ltd. 16,500 555
Russell Corp. 8,800 243
Springs Industries, Inc. 4,500 227
Stride Rite Corp. 11,100 92
VF Corporation 14,300 853
----------
Total 6,365
----------
AUTO & TRUCKS (1.1%)
Chrysler Corporation 84,200 5,220
Ford Motor Company 264,700 8,570
General Motors Corporation 170,200 8,914
*Navistar International Corp. 16,970 168
PACCAR Incorporated 8,795 431
----------
Total 23,303
----------
AUTO RELATED (0.3%)
Cooper Tire & Rubber Company 18,800 418
Dana Corporation 22,900 710
Eaton Corporation 17,500 1,026
Echlin Inc. 13,800 523
Genuine Parts Company 27,450 1,256
Goodyear Tire & Rubber Company 34,900 1,684
Snap-On Incorporated 9,200 436
TRW Inc. 14,700 1,321
----------
Total 7,374
----------
BANKS (3.7%)
Banc One Corporation 101,811 3,462
Bank of Boston Corporation 25,200 1,247
Bank of New York Company Inc. 43,900 2,250
Bankamerica Corporation 82,400 6,242
Bankers Trust New York
Corporation 17,900 1,322
Barnett Banks Inc. 21,200 1,293
Boatmans Bancshares, Inc. 35,600 1,428
Chase Manhattan Corporation 98,224 6,937
Citicorp 109,500 9,047
Comerica, Inc. 26,300 1,174
Corestates Financial Corp. 49,900 1,921
<CAPTION>
MARKET
VALUE
SHARES (000'S)
----------- ----------
<S> <C> <C>
BANKS (CONTINUED)
Fifth Third Bancorp 23,000 $ 1,242
First Bank System Inc. 31,800 1,844
First Chicago NBD Corp. 71,305 2,790
First Union Corporation 64,205 3,908
Fleet Financial Group Inc. 59,119 2,572
KeyCorp 52,200 2,023
Mellon Bank Corporation 30,850 1,758
J.P. Morgan & Company, Inc. 42,300 3,580
National City Corp. 49,800 1,749
Nationsbank Corp. 67,400 5,569
Norwest Corporation 82,400 2,874
PNC Bank Corp. 76,700 2,282
Republic New York Corporation 12,500 778
Suntrust Banks Inc. 51,100 1,891
U.S. Bancorp of Oregon 36,300 1,311
Wachovia Corporation 38,000 1,662
Wells Fargo & Company 21,966 5,247
----------
Total 79,403
----------
BEVERAGES (2.2%)
Anheuser-Busch Companies, Inc. 57,000 4,275
Brown-Forman Corp. 15,500 620
The Coca-Cola Company 562,000 27,468
Adolph Coors Co. 8,500 152
Pepsico Inc. 352,900 12,484
Seagram Company Ltd. 84,200 2,831
----------
Total 47,830
----------
BUILDING & CONSTRUCTION (0.1%)
Centex Corporation 6,400 199
Kaufman & Broad Home Corp. 8,700 126
Masco Corporation 36,100 1,092
Owens-Corning Fiberglas Corp. 11,600 499
Pulte Corporation 6,100 163
Sherwin-Williams Company 19,300 897
----------
Total 2,976
----------
BUILDING-FOREST PRODUCTS (0.3%)
Boise Cascade Corporation 10,900 399
Champion International Corp. 21,500 898
Georgia-Pacific Corp. 20,600 1,463
Louisiana-Pacific Corporation 24,400 540
Potlatch Corporation 6,500 254
Weyerhaeuser Company 44,700 1,900
----------
Total 5,454
----------
CHEMICALS (1.3%)
Air Products & Chemicals, Inc. 25,200 1,455
Dow Chemical Company 56,300 4,279
E.I. Du Pont De Nemours & Co. 126,200 9,986
Eastman Chemical Company, Inc. 17,875 1,088
*FMC Corporation 8,400 548
B.F. Goodrich Company 11,900 445
Hercules Incorporated 24,400 1,348
Monsanto Company 132,600 4,309
PPG Industries Inc 42,600 2,077
Praxair, Inc. 34,800 1,470
Rohm & Haas Company 14,900 935
Union Carbide Corporation 30,000 1,192
----------
Total 29,132
----------
</TABLE>
66
<PAGE> 70
NORTHWESTERN MUTUAL SERIES FUND, INC.
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (000'S)
----------- ----------
<S> <C> <C>
COMMON STOCK (CONTINUED)
CHEMICALS-SPECIALTY (0.3%)
Avery Dennison Corp. 11,900 $ 653
Engelhard Corp. 32,400 745
W.R. Grace & Co. 22,100 1,566
Great Lakes Chemical 14,500 903
Morton International, Inc. 33,100 1,233
Nalco Chemical Company 15,100 476
Sigma-Aldrich Corp. 11,200 599
----------
Total 6,175
----------
COAL, GAS & PIPELINE (0.2%)
Burlington Resources, Inc. 28,500 1,225
Eastern Enterprises 4,500 150
ENSERCH Corp. 15,400 335
NACCO Industries, Inc. 2,000 111
Panenergy Corp. 34,000 1,118
Sonat Inc. 19,400 873
----------
Total 3,812
----------
COMPUTER RELATED (2.0%)
Alco Standard Corporation 28,800 1,303
*Amdahl Corporation 26,800 288
*Apple Computer, Inc. 27,800 584
*Ceridian Corp. 15,300 773
*Compaq Computer Corporation 60,400 2,975
*Cray Research, Inc. 5,800 140
*Data General Corporation 8,800 114
*Digital Equipment Corporation 34,500 1,553
*EMC Corporation 52,000 968
*General Instrument Corp. 28,400 820
Hewlett-Packard Company 114,800 11,437
*Intergraph Corp. 10,400 126
International Business Machines Corp. 122,400 12,118
Moore Corporation Ltd. 22,500 425
Pitney Bowes Inc. 33,700 1,609
*Silicon Graphics 36,600 878
*Sun Microsystems Inc. 41,300 2,432
*Tandem Computers Inc. 26,400 327
*Unisys Corporation 38,600 275
Xerox Corporation 72,900 3,900
----------
Total 43,045
----------
CONTAINERS (0.1%)
Ball Corporation 6,800 195
Bemis Company, Inc. 11,800 413
Crown Cork & Seal Company, Inc. 28,800 1,296
*Tupperware Corporation 13,900 587
----------
Total 2,491
----------
DIVERSIFIED (0.9%)
Allied Signal Inc. 63,700 3,639
Corning Inc. 52,000 1,995
Dial Corp. 21,300 610
EG&G, Inc. 10,700 229
ITT Industries Inc. 26,500 666
Loews Corp. 26,500 2,090
Minnesota Mining & Mfg. Company 94,200 6,500
Teledyne, Inc. 12,600 455
Tenneco Inc. 39,100 1,999
Textron Inc. 18,900 1,510
Whitman Education Group Inc. 23,700 572
----------
Total 20,265
----------
<CAPTION>
MARKET
VALUE
SHARES (000'S)
----------- ----------
<S> <C> <C>
DRUGS (3.3%)
American Home Products Corporation 142,500 $ 8,568
*Amgen Inc. 59,900 3,235
Bristol-Myers Squibb Company 113,200 10,188
Eli Lilly & Company 124,000 8,060
Merck & Co., Inc. 276,400 17,862
Pharmacia & Upjohn Inc. 114,730 5,091
Pfizer Inc. 143,500 10,242
Schering-Plough Corporation 83,000 5,208
Warner-Lambert Company 61,100 3,360
----------
Total 71,814
----------
ELECTRICAL EQUIPMENT (2.0%)
Emerson Electric Co. 50,500 4,564
General Electric Company 374,300 32,377
W.W. Grainger, Inc. 11,500 891
Honeywell Inc. 28,600 1,559
Raychem Corp. 10,000 719
Thomas & Betts Corporation 9,000 337
Westinghouse Electric
Corporation 93,900 1,761
Whirlpool Corporation 16,700 829
----------
Total 43,037
----------
ELECTRONICS (1.1%)
*Advanced Micro Devices, Inc. 30,400 414
AMP Incorporated 48,936 1,964
*Applied Materials Inc. 40,400 1,232
Intel Corp. 184,900 13,579
*LSI Logic Corp. 28,900 751
Micron Technology 46,800 1,211
*National Semiconductor Corporation 30,500 473
Perkin-Elmer Corporation 9,700 468
Tektronix, Inc. 7,400 331
Texas Instruments Incorporated 42,700 2,130
Tyco International Ltd. 34,300 1,398
----------
Total 23,951
----------
ENVIRONMENTAL CONTROL (0.3%)
Browning-Ferris Industries Inc. 47,900 1,389
Laidlaw Transportation Limited 66,200 670
WMX Technologies, Inc. 111,300 3,645
----------
Total 5,704
----------
FEDERAL GOVERNMENT AGENCY RELATED (0.5%)
Federal Home Loan Mortgage Corp. 40,300 3,446
Federal National Mortgage Assoc. 245,900 8,238
----------
Total 11,684
----------
FINANCIAL SERVICES (1.2%)
H.F. Ahmanson & Company 26,000 702
Alexander & Alexander Services 10,000 197
American Express Company 108,800 4,855
Beneficial Corporation 12,000 673
Dean Witter, Discover & Co. 37,550 2,150
Golden West Financial
Corporation 13,300 745
Great Western Financial Corporation 30,800 735
Green Tree Financial Corp. 30,800 962
Household International Inc. 21,900 1,664
MBNA Corp. 50,125 1,429
</TABLE>
67
<PAGE> 71
NORTHWESTERN MUTUAL SERIES FUND, INC.
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (000'S)
----------- ----------
<S> <C> <C>
COMMON STOCK (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Marsh & McLennan Companies, Inc. 16,400 $ 1,583
Merrill Lynch & Co. 38,600 2,514
Morgan Stanley Group Inc. 34,400 1,690
Salomon Inc. 23,700 1,043
Transamerica Corporation 15,300 1,239
Travelers Group Inc. 106,770 4,871
----------
Total 27,052
----------
FOOD SERVICE/LODGING (0.6%)
Darden Restaurant Inc. 35,900 386
*Harrahs Entertainment 23,100 653
Hilton Hotels Corporation 11,000 1,237
*ITT Corp. 26,400 1,749
Luby's Cafeterias, Inc. 5,300 125
Marriott International 28,700 1,543
McDonald's Corporation 157,700 7,372
*Ryan's Family Steak Houses,
Inc. 11,800 109
*Shoney's Inc. 9,400 102
Wendy's International, Inc. 28,600 533
----------
Total 13,809
----------
FOODS (1.6%)
Archer Daniels Midland Company 117,084 2,239
CPC International Corp. 32,800 2,362
Campbell Soup Company 56,200 3,962
ConAgra Inc. 54,700 2,482
General Mills, Inc. 35,900 1,957
H.J. Heinz Company 83,250 2,529
Hershey Foods Corp. 17,400 1,277
Kellogg Company 47,900 3,509
Pioneer Hi-Bred International 18,700 989
Quaker Oats Company 30,400 1,037
Ralston Purina Group 23,900 1,533
Sara Lee Corporation 109,000 3,529
Unilever, N.V. 36,000 5,224
Wm. Wrigley Jr. Company 26,200 1,323
----------
Total 33,952
----------
HOSPITAL SUPPLIES (1.6%)
Abbott Laboratories Inc. 177,000 7,699
Allergan Incorporated 14,600 573
Allergan Incorporated-Rights 463 0
C.R. Bard, Inc. 12,800 435
Bausch & Lomb Inc. 12,800 544
Baxter International Inc. 61,200 2,892
Becton, Dickinson & Company 14,400 1,156
*Biomet, Inc. 26,000 374
*Boston Scientific Corp. 40,100 1,804
Johnson & Johnson 300,000 14,850
Mallinckrodt Group 16,700 649
Medtronic, Incorporated 52,700 2,951
Millipore Corp. 10,000 419
*St. Jude Medical, Inc. 18,050 605
U.S. Surgical Corporation 13,900 431
----------
Total 35,382
----------
HOUSEHOLD FURNITURE (0.2%)
Armstrong World Industries,
Inc. 8,300 478
Black & Decker Corporation 19,700 761
Maytag Corporation 23,700 495
Newell Co. 35,700 1,093
<CAPTION>
MARKET
VALUE
SHARES (000'S)
----------- ----------
<S> <C> <C>
HOUSEHOLD FURNITURE (CONTINUED)
Rubbermaid, Inc. 34,100 $ 929
The Stanley Works 19,900 592
----------
Total 4,348
----------
INSURANCE (1.6%)
Aetna Life & Casualty Company 25,900 1,852
Allstate Corporation 100,147 4,569
American General Corporation 46,700 1,699
American International Group,
Inc. 106,550 10,508
Aon Corporation 24,400 1,238
CIGNA Corporation 17,200 2,027
The Chubb Corporation 39,500 1,970
General Re Corporation 18,300 2,786
ITT Hartford Group 26,400 1,406
Jefferson-Pilot Corp. 16,050 829
Lincoln National Corporation 23,500 1,087
Providian Corporation 21,100 905
SAFECO Corp. 28,400 1,005
St. Paul Companies, Inc. 18,900 1,011
Torchmark Corporation 16,200 709
UNUM Corporation 16,500 1,027
USF&G Corp. 26,900 440
USLIFE Corporation 7,750 255
----------
Total 35,323
----------
LEISURE RELATED (1.0%)
*Bally Entertainment Corporation 11,300 311
Brunswick Corporation 22,100 442
Comcast Corp. 53,950 998
Walt Disney Company 152,736 9,603
Fleetwood Enterprises, Inc. 10,300 319
Hasbro Inc. 19,600 701
*King World Productions, Inc. 8,400 306
Mattel, Inc. 62,360 1,785
Outboard Marine Corporation 4,500 82
*Tele Communications, Inc. 147,000 2,664
*U S West Media Group 106,300 1,940
*Viacom Incorporated 83,256 3,164
----------
Total 22,315
----------
MACHINERY (0.8%)
Briggs & Stratton Corporation 6,500 267
Case Corporation 16,300 782
Caterpillar Inc. 43,700 2,961
Cincinnati Milacron Inc. 9,000 216
Cooper Industries, Inc. 24,300 1,008
Crane Co. 6,800 279
Cummins Engine Company, Inc. 9,000 363
Deere & Company 59,100 2,364
Dover Corporation 25,600 1,181
Fluor Corporation 18,800 1,229
Foster Wheeler Corporation 9,100 408
General Signal Corporation 11,200 424
Giddings & Lewis Company 7,800 127
Harnischfeger Industries, Inc. 10,600 352
Illinois Tool Works Inc. 26,800 1,812
Ingersoll-Rand Company 24,600 1,076
Johnson Controls Inc. 9,300 646
Pall Corporation 25,866 624
Parker-Hannifin Corporation 16,700 708
</TABLE>
68
<PAGE> 72
NORTHWESTERN MUTUAL SERIES FUND, INC.
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (000'S)
----------- ----------
<S> <C> <C>
COMMON STOCK (CONTINUED)
MACHINERY (CONTINUED)
Timken Company 7,100 $ 275
TRINOVA Corp. 6,400 214
*Varity Corporation 8,900 428
----------
Total 17,744
----------
MEDICAL SERVICES (0.6%)
*Beverly Enterprises, Inc. 22,500 270
Columbia/HCA Healthcare Corporation 100,800 5,380
*Community Psychiatric Centers 9,800 93
Humana, Inc. 36,500 652
Manor Care, Inc. 14,100 555
*Tenet Healthcare Corp. 48,500 1,037
United Healthcare Corp. 41,000 2,070
U.S. HealthCare Incorporated 34,700 1,908
----------
Total 11,965
----------
METALS & MINING (0.7%)
Alcan Aluminum Limited 50,900 1,552
Aluminum Co. of America 39,600 2,272
ASARCO, Inc. 9,600 265
Barrick Gold Corporation 80,400 2,181
Cyprus Amex Minerals Co. 20,900 473
Echo Bay Mines Limited Co. 29,400 316
Freeport-McMoRan Copper & Gold Inc. 43,900 1,399
Homestake Mining Company 33,000 565
Inco Limited 26,400 851
Newmont Mining Corporation 22,389 1,105
Phelps Dodge Corporation 14,900 929
Placer Dome Incorporated 53,800 1,284
Reynolds Metals Company 14,300 745
Santa Fe Pacific Gold Corp. 29,640 419
----------
Total 14,356
----------
OFFICE EQUIPMENT-SERVICES (1.6%)
Autodesk, Inc. 10,400 311
Automatic Data Processing, Inc. 65,200 2,518
Computer Associates International Inc. 54,450 3,880
*Computer Sciences Corp. 12,600 942
First Data Corporation 50,300 4,005
*Microsoft Corporation 133,700 16,061
*Novell, Inc. 82,300 1,142
*Oracle Corporation 147,300 5,809
Shared Medical Systems Corp. 5,200 334
----------
Total 35,002
----------
OIL & GAS-DOMESTIC (0.8%)
Amerada Hess Corporation 20,900 1,121
Ashland Oil, Inc. 14,400 571
Atlantic Richfield Company 36,200 4,290
Coastal Corp. 23,700 989
Kerr-McGee Corporation 11,300 688
Louisiana Land & Exploration Co. 7,600 438
Occidental Petroleum Corporation 71,900 1,780
*Oryx Energy Company 23,500 382
Pennzoil Company 10,500 486
Phillips Petroleum Company 59,000 2,471
*Santa Fe Energy Resources, Inc. 20,300 241
Sun Company, Inc. 16,600 504
USX-U S Steel Group Inc. 18,800 533
Unocal Corp. 55,700 1,880
----------
<CAPTION>
MARKET
VALUE
SHARES (000'S)
----------- ----------
<S> <C> <C>
OIL & GAS-DOMESTIC (CONTINUED)
Total $ 16,374
----------
OIL & GAS-INTERNATIONAL (3.4%)
Amoco Company 111,800 8,092
Chevron Corp. 147,000 8,673
Exxon Corporation 279,700 24,299
Mobil Corporation 88,800 9,957
Royal Dutch Petroleum Co., ADR 120,700 18,558
Texaco Inc. 59,500 4,991
----------
Total 74,570
----------
OIL FIELD SERVICES (0.4%)
Baker Hughes, Inc. 32,100 1,055
Dresser Industries, Inc. 40,900 1,207
Halliburton Company 25,800 1,432
Helmerich & Payne, Inc. 5,600 205
McDermott International, Inc. 12,300 257
*Rowan Companies, Inc. 19,100 282
Schlumberger Limited 54,700 4,608
*Western Atlas International
Inc. 12,000 699
----------
Total 9,745
----------
PAPER (0.5%)
International Paper Company 67,200 2,478
James River Corp. of Virginia 19,100 504
Kimberly-Clark Corporation 63,266 4,887
Mead Corp. 11,900 617
Stone Container Corporation 22,300 307
Temple-Inland Inc. 12,500 584
Union Camp Corporation 15,600 761
Westvaco Corporation 22,850 683
Willamette Industries Inc. 12,400 738
----------
Total 11,559
----------
PHOTO & OPTICAL (0.3%)
Eastman Kodak Company 77,900 6,057
Polaroid Corporation 10,300 470
----------
Total 6,527
----------
PRINTING & PUBLISHING (0.8%)
American Greetings Corp. 16,800 460
Deluxe Corp. 18,600 660
R.R. Donnelley & Sons Company 34,700 1,210
Dow Jones & Company, Inc. 21,900 914
Dun & Bradstreet Corporation 38,300 2,394
Gannett Company Inc. 31,700 2,243
Harcourt General 16,000 800
The John H. Harland Company 6,900 170
Jostens, Inc. 8,700 172
Knight-Ridder Inc. 11,000 797
Mcgraw-Hill Companies Inc. 22,600 1,034
Meredith Corporation 6,200 259
New York Times Company 22,000 718
Time Warner Inc. 88,400 3,470
Times Mirror Company 23,600 1,027
Tribune Company 13,900 1,009
----------
Total 17,337
----------
PROFESSIONAL SERVICES (0.3%)
*Alza Corp. 19,000 520
H & R Block, Inc. 23,300 760
*CUC International Inc. 42,850 1,521
</TABLE>
69
<PAGE> 73
NORTHWESTERN MUTUAL SERIES FUND, INC.
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (000'S)
----------- ----------
<S> <C> <C>
COMMON STOCK (CONTINUED)
PROFESSIONAL SERVICES (CONTINUED)
Ecolab, Inc. 14,500 $ 478
Interpublic Group of Cos. Inc. 17,800 834
National Service Industries,
Inc. 10,800 423
Ogden Corporation 11,200 203
Safety-Kleen Corp. 13,000 228
Service Corporation
International 26,400 1,518
----------
Total 6,485
----------
RAILROADS (0.5%)
Burlington Northern Santa Fe 34,233 2,769
CSX Corporation 47,600 2,297
Conrail Incorporated 17,600 1,168
Norfolk Southern Corporation 28,700 2,432
Union Pacific Corporation 46,300 3,235
----------
Total 11,901
----------
RETAIL-FOOD (0.4%)
Albertson's, Inc. 56,700 2,346
American Stores Co. 33,700 1,390
Fleming Companies, Inc. 8,500 122
Giant Food Inc. 13,400 481
Great Atlantic & Pacific Tea
Co., Inc. 8,600 283
*The Kroger Company 28,000 1,106
Supervalue Inc. 15,200 479
Sysco Corporation 40,900 1,401
Winn-Dixie Stores, Inc. 34,200 1,210
----------
Total 8,818
----------
RETAIL-GENERAL (2.3%)
*Charming Shoppes Incorporated 23,200 164
Circuit City Stores, Inc. 22,000 795
Dayton Hudson Corporation 16,200 1,671
Dillard Department Stores, Inc. 25,500 931
*Federated Department Stores,
Inc. 46,700 1,594
The Gap, Inc. 64,900 2,085
Home Depot, Inc. 107,666 5,814
K Mart Corporation 108,200 1,339
The Limited Inc. 61,000 1,311
Longs Drug Stores Corp. 4,500 201
Lowe's Companies, Inc. 36,300 1,311
May Department Stores Company 56,300 2,463
Melville Corporation 23,700 960
Mercantile Stores Company 8,300 487
Nordstrom, Inc. 18,300 814
J.C. Penney Company, Inc. 50,600 2,656
Pep Boys - Manny, Moe & Jack 14,000 476
*Price/Costco, Inc. 44,051 953
Rite Aid Corporation 18,900 562
Sears, Roebuck & Company 88,300 4,294
TJX Companies, Inc. 16,300 550
Tandy Corporation 13,600 644
*Toys "R" Us 61,600 1,756
Wal-Mart Stores Inc. 516,400 13,104
Walgreen Company 55,400 1,856
*Woolworth Corp. 30,000 675
----------
Total 49,466
----------
SOAPS & TOILETRIES (1.2%)
Alberto-Culver Company 6,300 292
Avon Products, Inc. 30,200 1,363
<CAPTION>
MARKET
VALUE
SHARES (000'S)
----------- ----------
<S> <C> <C>
SOAPS & TOILETRIES (CONTINUED)
Clorox Company 11,700 $ 1,037
Colgate-Palmolive Co. 33,000 2,797
Gillette Company 100,200 6,250
International Flavors &
Fragrances, Inc. 25,000 1,191
Procter & Gamble Company 154,400 13,992
----------
Total 26,922
----------
STEEL (0.2%)
*Armco Inc. 23,900 119
*Bethlehem Steel Corporation 25,000 297
Inland Steel Industries, Inc. 11,000 216
Nucor Corp. 19,700 997
USX-Marathon Group 64,700 1,302
Worthington Industries, Inc. 20,400 426
----------
Total 3,357
----------
TELECOMMUNICATIONS (2.9%)
AT&T Corporation 361,800 22,432
*Airtouch Communications 112,300 3,172
*Andrew Corporation 13,575 730
*Bay Networks 42,300 1,089
*Cabletron Systems Inc. 16,200 1,112
*Cisco Systems Incorporated 128,000 7,248
*DSC Communications Corp. 26,100 786
MCI Communications Corporation 155,600 3,987
Motorola, Inc. 133,300 8,381
Northern Telecom Limited 57,900 3,148
Scientific-Atlanta, Inc. 17,200 267
Sprint Corporation 98,300 4,129
*Tellabs Inc. 20,000 1,338
*3COM Corp. 37,600 1,720
*World Communications 43,700 2,420
----------
Total 61,959
----------
TOBACCO (1.1%)
American Brands Inc. 39,900 1,810
Philip Morris Companies, Inc. 186,800 19,427
UST Incorporated 45,500 1,558
----------
Total 22,795
----------
TRUCKING-SHIPPING (0.1%)
Caliber System Inc. 8,800 299
Consolidated Freightways, Inc. 9,800 207
*Federal Express Corp. 12,800 1,050
Ryder System, Inc. 17,800 501
*Yellow Corp. 6,300 83
----------
Total 2,140
----------
UTILITY-ELECTRIC (1.8%)
American Electric Power Co. Inc. 42,000 1,790
Baltimore Gas & Electric Co. 33,200 942
Carolina Power & Light Company 34,200 1,300
Central & South West Corporation 47,100 1,366
Cinergy Corporation 35,505 1,136
Consolidated Edison Co. of New
York 52,900 1,547
DTE Energy Company 32,700 1,010
Dominion Resources Inc. 39,900 1,596
Duke Power Company 46,100 2,363
Edison International 100,300 1,768
Entergy Corporation 51,300 1,456
FPL Group, Inc. 41,400 1,904
</TABLE>
70
<PAGE> 74
NORTHWESTERN MUTUAL SERIES FUND, INC.
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
SHARES/ VALUE
PAR (000'S)
----------- ----------
<S> <C> <C>
COMMON STOCK (CONTINUED)
UTILITY-ELECTRIC (CONTINUED)
General Public Utilities 27,100 $ 955
Houston Industries Incorporated 59,200 1,458
*Niagara Mohawk Power
Corporation 32,500 252
Northern States Power Company 15,400 760
Ohio Edison Company 34,400 752
PECO Energy Company 50,000 1,300
P P & L Resources Inc. 35,900 848
Pacific Enterprises 18,600 551
Pacific Gas & Electric Company 93,800 2,181
PacifiCorp 66,100 1,471
Public Service Enterprise Group,
Inc. 55,100 1,508
Southern Company 151,000 3,718
Texas Utilities Company 50,900 2,176
UNICOM Corp. 48,400 1,349
Union Electric Company 23,000 926
----------
Total 38,383
----------
UTILITY-GAS (0.3%)
Columbia Gas System Inc. 12,400 646
Consolidated Natural Gas Company 21,100 1,102
Enron Corp. 56,600 2,314
Nicor Inc. 11,300 321
Noram Energy Corporation 30,400 331
ONEOK, Inc. 6,100 152
Peoples Energy Corporation 7,900 265
Williams Companies Inc. 23,600 1,168
----------
Total 6,299
----------
UTILITY-TELEPHONE (2.4%)
ALLTEL Corporation 42,700 1,313
Ameritech Corporation 125,100 7,428
Bell Atlantic Corporation 98,600 6,286
Bellsouth Corporation 223,900 9,488
GTE Corporation 219,600 9,827
NYNEX Corp. 98,300 4,669
Pacific Telesis Group 96,500 3,257
SBC Communications Incorporated 137,200 6,757
U S West Inc. 106,800 3,404
----------
Total 52,429
----------
Total Common Stock 1,140,314
----------
PREFERRED STOCK (0.0%)
DIVERSIFIED (0.0%)
Teledyne, Inc. 641 $ 10
----------
Total Preferred Stock 10
----------
BONDS (30.1%)
AIRLINES (0.3%)
Delta Air Lines Inc, 9 3/4%,
5/19/03 $ 532,000 $ 588
Delta Air Lines Inc, 9 3/4%,
6/1/03 3,513,000 3,885
Delta Air Lines Inc, 9 3/4,
6/1/03 870,000 962
Delta Air Lines Inc, 9 3/4,
6/1/03 870,000 962
----------
Total 6,397
----------
AUTO RELATED (0.2%)
Hertz Corp., 9.04%, 6/14/00 4,100,000 4,398
----------
BANKS (0.5%)
Natwest Capital Corporation,
12 1/8%, 11/15/02 10,450,000 11,159
----------
<CAPTION>
MARKET
VALUE
PAR (000'S)
----------- ----------
<S> <C> <C>
BEVERAGES (0.6%)
Coca-Cola Enterprises Inc., 8%,
1/4/05 10,000,000 10,620
----------
CHEMICALS (0.4%)
Dow Capital B.V., 8 1/2%, 6/8/10 8,200,000 $ 8,893
----------
CMO & LOAN-BACKED CERTIFICATES
(5.3%)
CIT RV Owner Trust, 6 1/4%,
1/15/11 5,272,042 5,237
Eaglemark Trust, 6 3/4%,
11/15/02 (144A) 10,000,000 10,030
Federal Home Loan Mortgage
Corp.,
7%, 7/1/25 4,859,473 4,679
Federal Home Loan Mortgage
Corp.,
7%, 7/1/25 4,056,957 3,906
Federal Home Loan Mortgage
Corp.,
7%, 7/1/25 4,778,921 4,601
Federal Home Loan Mortgage
Corp.,
7 1/4%, 4/15/18 10,325,000 10,409
Federal Home Loan Mortgage
Corp.,
7%, 3/15/07 7,250,000 7,054
Federal Home Loan Mortgage
Corp.,
6%, 7/15/07 19,250,000 18,348
Federal Home Loan Mortgage
Corp.,
7%, 7/1/25 14,500,651 13,962
Federal National Mortgage
Assoc.,
6 3/4%, 12/25/23 6,500,000 5,811
Ford Motor Credit Grantor Trust,
5.9%, 10/15/00 5,569,911 5,549
Hanson Overseas B.V., 6 3/4%,
9/15/05 10,000,000 9,590
Premier Auto Trust, 6.65%,
4/2/98 6,930,000 6,973
Rural Housing Trust, 6.33%,
4/1/26 9,101,722 8,791
----------
Total 114,940
----------
FEDERAL GOVERNMENT AND AGENCIES
(12.8%)
Government National Mortgage
Assoc., 7%, 9/15/23 109,224 105
Government National Mortgage
Assoc., 7%, 10/15/23 203,644 197
Government National Mortgage
Assoc., 7 1/2%, 8/15/24 935,507 922
Government National Mortgage
Assoc., 7%, 9/15/23 24,591 24
Government National Mortgage
Assoc., 7%, 7/15/23 784,937 758
Government National Mortgage
Assoc., 7%, 5/15/23 8,984,533 8,673
Government National Mortgage
Assoc., 7%, 5/15/23 6,369,117 6,148
Government National Mortgage
Assoc., 7%, 6/15/23 326,857 316
Government National Mortgage
Assoc., 7%, 10/15/23 28,702 28
Government National Mortgage
Assoc., 7%, 5/15/23 205,436 198
Government National Mortgage
Assoc., 7 1/2%, 1/15/24 210,213 207
Government National Mortgage
Assoc., 7%, 7/15/23 750,877 725
</TABLE>
71
<PAGE> 75
NORTHWESTERN MUTUAL SERIES FUND, INC.
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
PAR (000'S)
----------- ----------
<S> <C> <C>
BONDS (CONTINUED)
FEDERAL GOVERNMENT AND AGENCIES (CONTINUED)
Government National Mortgage Assoc., 8 1/2%,
2/15/25 123,619 $ 127
Government National Mortgage Assoc., 7%,
8/15/23 29,173 28
Government National Mortgage Assoc., 8 1/2%,
7/15/24 201,861 208
Government National Mortgage Assoc., 7%,
6/15/23 705,882 681
Government National Mortgage Assoc., 7%,
7/15/23 64,437 62
Government National Mortgage Assoc., 7%,
10/15/23 148,127 143
Government National Mortgage Assoc., 7%,
9/15/23 666,332 643
Government National Mortgage Assoc., 7 1/2%,
5/15/24 986,587 973
Government National Mortgage Assoc., 7%,
10/15/23 121,324 117
Government National Mortgage Assoc., 7 1/2%,
1/15/24 1,073,950 1,059
Government National Mortgage Assoc., 7%,
11/15/23 796,791 769
Government National Mortgage Assoc., 7%,
11/15/23 799,538 772
Government National Mortgage Assoc., 8 1/2%,
2/15/25 16,397 17
Government National Mortgage Assoc., 7%,
11/15/23 582,010 562
Government National Mortgage Assoc., 7%,
9/15/23 35,076 34
Government National Mortgage Assoc., 8 1/2%,
7/15/24 218,919 225
Government National Mortgage Assoc., 8 1/2%,
4/15/26 945,447 973
Government National Mortgage Assoc., 7%,
10/15/23 106,303 103
Government National Mortgage Assoc., 8 1/2%,
11/15/24 184,399 190
Government National Mortgage Assoc., 8 1/2%,
1/15/25 18,727 19
Government National Mortgage Assoc., 7 1/2%,
11/15/24 996,381 982
Government National Mortgage Assoc., 7 1/2%,
2/15/24 1,614,812 1,592
Government National Mortgage Assoc., 7 1/2%,
3/15/24 1,464,393 1,444
Government National Mortgage Assoc., 7 1/2%,
8/15/24 977,376 964
Government National Mortgage Assoc., 8 1/2%,
3/15/26 25,483 26
Government National Mortgage Assoc., 8 1/2%,
1/15/26 848,578 874
Government National Mortgage Assoc., 7 1/2%,
5/15/24 1,357,032 1,338
Government National Mortgage Assoc., 7 1/2%,
4/15/24 920,363 907
Government National Mortgage Assoc., 7 1/2%,
5/15/24 1,391,376 1,372
Government National Mortgage Assoc., 8 1/2%,
6/15/24 23,924 25
<CAPTION>
MARKET
VALUE
PAR (000'S)
----------- ----------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (CONTINUED)
Government National Mortgage Assoc., 8 1/2%,
1/15/25 53,685 $ 55
Government National Mortgage Assoc., 7 1/2%,
6/15/24 1,422,921 1,403
Government National Mortgage Assoc., 7 1/2%,
8/15/24 984,683 971
Government National Mortgage Assoc., 8 1/2%,
1/15/25 119,134 123
Government National Mortgage Assoc., 7 1/2%,
8/15/24 1,235,062 1,218
Government National Mortgage Assoc., 8 1/2%,
8/15/24 191,563 197
Government National Mortgage Assoc., 7 1/2%,
6/15/24 36,926 36
Government National Mortgage Assoc., 8 1/2%,
5/15/26 926,653 954
Government National Mortgage Assoc., 8 1/2%,
5/15/26 915,374 943
Government National Mortgage Assoc., 8 1/2%,
5/15/26 803,344 822
Government National Mortgage Assoc., 8 1/2%,
9/15/24 321,778 331
Government National Mortgage Assoc., 8 1/2%,
4/15/26 151,451 156
Government National Mortgage Assoc., 8 1/2%,
2/15/25 42,980 44
Government National Mortgage Assoc., 8 1/2%,
12/15/24 26,005 27
Government National Mortgage Assoc., 8 1/2%,
2/15/25 44,263 46
Government National Mortgage Assoc., 8 1/2%,
1/15/26 27,123 28
Government National Mortgage Assoc., 7%,
1/15/26 7,250,158 6,999
Government National Mortgage Assoc., 8 1/2%,
3/15/26 25,398 26
Government National Mortgage Assoc., 8 1/2%,
1/15/26 62,806 65
Government National Mortgage Assoc., 8 1/2%,
2/15/26 45,829 47
Government National Mortgage Assoc., 8 1/2%,
5/15/26 463,983 478
Government National Mortgage Assoc., 8 1/2%,
4/15/26 1,008,267 1,038
Government National Mortgage Assoc., 8 1/2%,
4/15/26 100,328 103
Government National Mortgage Assoc., 8 1/2%,
4/15/26 1,005,900 1,036
Government National Mortgage Assoc., 8 1/2%,
4/15/26 92,015 95
Government National Mortgage Assoc., 8 1/2,
5/15/26 39,479 41
Government National Mortgage Assoc., 8 1/2%,
5/15/26 906,063 933
Government National Mortgage Assoc., 8 1/2,
9/15/22 16,474 17
Government National Mortgage Assoc., 8 1/2%,
10/15/22 244,486 252
Government National Mortgage Assoc., 7%,
5/15/23 458,621 443
</TABLE>
72
<PAGE> 76
NORTHWESTERN MUTUAL SERIES FUND, INC.
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
PAR (000'S)
----------- ----------
<S> <C> <C>
BONDS (CONTINUED)
FEDERAL GOVERNMENT AND
AGENCIES (CONTINUED)
Government National Mortgage
Assoc., 8 1/2%, 9/15/21 185,298 $ 191
Government National Mortgage
Assoc., 8 1/2%, 7/15/21 176,618 182
Government National Mortgage
Assoc., 8 1/2%, 5/15/22 9,509 10
Government National Mortgage
Assoc., 8 1/2%, 10/15/22 12,019 12
Government National Mortgage
Assoc., 8 1/2%, 9/15/22 198,398 204
Government National Mortgage
Assoc., 8 1/2%, 10/15/22 51,732 53
Government National Mortgage
Assoc., 8 1/2%, 12/15/22 54,472 56
Government National Mortgage
Assoc., 8 1/2%, 11/15/25 25,804 27
U.S. Treasury, 7 1/8%, 2/15/23 27,500,000 27,775
U.S. Treasury, 7 5/8%, 2/15/25 22,500,000 24,258
U.S. Treasury, 7 1/4%, 8/15/04 16,000,000 16,565
U.S. Treasury, 6 3/4%, 4/30/00 18,000,000 18,191
U.S. Treasury, 5 3/4%, 10/31/00 21,150,000 20,595
U.S. Treasury, 5%, 2/15/99 100,000,000 97,032
U.S. Treasury, 6 7/8%, 5/15/06 9,000,000 9,098
U.S. Treasury Strips, 0%,
5/15/09 22,000,000 9,074
----------
Total 277,780
----------
FINANCE COMPANIES (0.6%)
Associates Corp. of North
America,
7.95%, 2/15/10 5,550,000 5,897
Avco Financial Services Inc.,
5 7/8%, 10/15/97 6,800,000 6,773
----------
Total 12,670
----------
FINANCIAL SERVICES (1.5%)
Beneficial Corp., 6.86%,
11/19/97 7,800,000 7,867
Beneficial Corp., 9 3/8%,
7/28/97 5,000,000 5,168
Electronic Data Systems Corp.,
8.8%, 03/01/21 6,500,000 7,276
General Motors Acceptance Corp.,
6 5/8%, 10/1/02 12,200,000 11,897
----------
Total 32,208
----------
FOODS (0.5%)
Nabisco Inc., 8%, 1/15/00 3,500,000 3,621
RJR Nabisco Inc., 8 5/8%,
12/1/02 8,000,000 8,117
----------
Total 11,738
----------
FOREIGN GOVERNMENT BONDS (0.2%)
Province of Quebec, 7 1/8%,
2/9/24 5,000,000 4,577
----------
LEISURE RELATED (0.9%)
Tele Communications, Inc.,
7 3/8%, 2/15/00 8,000,000 7,899
Tele Communications, Inc.,
7 1/8%, 8/1/05 4,250,000 3,933
Time Warner Entertainment Inc.,
8 7/8%, 10/1/12 1,500,000 1,549
Time Warner Entertainment Inc.,
7 1/4%, 9/1/08 6,500,000 6,090
----------
Total 19,471
----------
<CAPTION>
MARKET
VALUE
PAR (000'S)
----------- ----------
<S> <C> <C>
MUNICIPAL BONDS (0.1%)
Government Trust Certificates,
8%, 5/15/98 2,083,649 $ 2,125
----------
OFFICE EQUIPMENT (0.3%)
International Business Machines
Corp., 6 3/8%, 11/1/97 7,000,000 7,018
----------
PRINTING & PUBLISHING (0.8%)
News America Holdings Inc.,
7 1/2%, 3/1/00 6,500,000 6,609
News America Holdings Inc.,
8.45%, 8/1/34 10,000,000 10,576
----------
Total 17,185
----------
REAL ESTATE INVESTMENT TRUSTS (0.4%)
Security Capital Industrial
Trust, 7.3%, 5/15/01 8,000,000 7,922
----------
RETAIL-GENERAL (0.3%)
Dayton Hudson Corporation, 8.6%,
1/15/12 6,000,000 6,481
----------
TOBACCO (0.2%)
Philip Morris Companies, 9 1/4%,
2/15/00 2,100,000 2,263
Philip Morris Companies, 7 1/4%,
1/15/03 3,000,000 2,999
----------
Total 5,262
----------
UTILITY-ELECTRIC (3.9%)
Atlantic City Electric Company,
6 5/8%, 8/1/13 4,000,000 3,572
Cleveland Electric Illuminating
Co., 7 3/8%, 6/1/03 4,000,000 3,617
Dayton Power & Light Company,
8.15%, 1/15/26 5,750,000 5,868
Korea Electric Power
Corporation, 7 3/4%, 4/1/13 3,000,000 2,961
Long Island Lighting Co.,
9 5/8%, 7/1/24 1,500,000 1,499
Pacific Gas & Electric Co.,
7 1/4%, 3/1/26 9,050,000 8,247
Pacific Gas & Electric Co.,
5 3/8%, 8/1/98 5,000,000 4,891
Pacific Gas & Electric Co.,
7 1/4%, 8/1/26 6,400,000 5,856
PECO Energy Company, 7 1/2%,
1/15/99 4,250,000 4,329
PECO Energy Company, 7 3/4%,
3/1/23 8,850,000 8,559
Public Service Electric & Gas
Co., 6 1/8%, 8/1/02 9,000,000 8,538
Southern California Edison Co.,
7 1/4%, 3/1/26 10,000,000 9,225
Texas Utilities Electric Co.,
7 7/8%, 3/1/23 7,750,000 7,510
UNICOM Corp., 6 1/2%, 4/15/00 10,600,000 10,398
----------
Total 85,070
----------
</TABLE>
73
<PAGE> 77
NORTHWESTERN MUTUAL SERIES FUND, INC.
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996
<TABLE>
<CAPTION>
MARKET
VALUE
PAR (000'S)
----------- ----------
<S> <C> <C>
BONDS (CONTINUED)
UTILITY-GAS (0.3%)
Columbia Gas System Inc., 7.32%,
11/28/10 7,571,000 $ 7,243
----------
Total Bonds 653,157
----------
MONEY MARKET INVESTMENTS (17.4%)
AUTO (0.4%)
Ford Motor Credit Company,
5 5/8%, 3/3/97 $ 9,000,000 $ 8,980
----------
DRUGS (2.1%)
American Home Products Corporation,
5.31%, 7/10/96 21,000,000 20,966
American Home Products Corporation,
5.33%, 7/15/96 25,000,000 24,941
----------
Total 45,907
----------
FEDERAL GOVERNMENT AND AGENCIES (2.7%)
+U.S. Treasury, 4.99%, 8/22/96 4,000,000 3,968
U.S. Treasury, 6 7/8%, 10/31/96 25,000,000 25,125
U.S. Treasury, 7 1/2%, 1/31/97 30,000,000 30,328
----------
Total 59,421
----------
FINANCE COMPANIES (1.7%)
Associates Corp. of North
America, 6 7/8%, 1/15/97 7,800,000 7,844
Commercial Credit Group Inc.,
5.29%, 7/3/96 29,000,000 28,983
----------
Total 36,827
----------
FINANCIAL SERVICES (4.1%)
American General Finance Corporation,
5.27%, 8/15/96 25,000,000 24,819
CIT Group, 5.39%, 8/30/96 21,000,000 20,802
General Electric Capital
Corporation,
5.39%, 9/11/96 22,400,000 22,149
<CAPTION>
MARKET
VALUE
PAR (000'S)
----------- ----------
<S> <C> <C>
FINANCIAL SERVICES (CONTINUED)
General Motors Acceptance Corp.,
8 3/8%, 5/1/97 3,000,000 $ 3,053
Transamerica Financial Corp.,
5.31%, 8/14/96 18,381,000 18,253
----------
Total 89,076
----------
LEISURE RELATED (0.9%)
+Walt Disney Company, 5.2%,
9/16/96 20,000,000 19,761
----------
OFFICE EQUIPMENT (2.2%)
IBM Credit Corporation, 5.35%,
7/15/96 21,600,000 21,549
+Xerox Corporation, 5.29%,
7/29/96 25,400,000 25,287
----------
Total 46,836
----------
RETAIL-GENERAL (1.2%)
Sears Roebuck Acceptance Corp.,
5.28%, 8/15/96 25,000,000 24,819
----------
TOBACCO (0.9%)
Philip Morris Companies, 5.36%,
7/22/96 20,100,000 20,031
----------
UTILITY-ELECTRIC (0.1%)
Texas Utilities Electric Co.,
9.39%, 11/21/96 250,000 253
----------
UTILITY-TELEPHONE (1.1%)
Ameritech Corporation, 5.36%,
8/28/96 25,000,000 24,772
----------
Total Money Market Investments 376,683
----------
Total Investments $2,170,164
==========
</TABLE>
* Non-Income Producing
+ Partially or fully held by the custodian in a segregated account as collateral
for open financial futures contracts. Information regarding open futures
contracts as of June 30, 1996 is summarized below:
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF EXPIRATION APPRECIATION
ISSUER CONTRACTS DATE (000'S)
- -------------------- --------- -------------- --------------
<S> <C> <C> <C>
S&P 500 Stock Index 116 September 1996 $433
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
74
<PAGE> 78
<TABLE>
VARIABLE LIFE TRANSFER / ALLOCATION / DOLLAR COST AVERAGING POLICYOWNER SERVICES
Insured Policy Number Date
- ------------------------ ---------------------------------- ----------------------
GA# SA# Business Number:
Home Number:
- ------------------------ ---------------------------------- ----------------------
<S><C>
A TOTAL OF SIX DIVISIONS MAY BE ELECTED WITH A MINIMUM OF 10% IN EACH DIVISION. THIS APPLIES TO EXISTING
ASSETS, FUTURE ALLOCATIONS AND DOLLAR COST AVERAGING.
1. REDISTRIBUTION OF EXISTING ASSETS:
Complete this section if you want to redistribute the money already invested. Future investments will
continue to be allocated as they were prior to the transfer, unless section 2 is completed.
INVESTMENT DIVISIONS CHANGE TO
Select Bond ________%
International Equity ________%
Money Market ________% 3. DOLLAR COST AVERAGING (DCA): For VCL only
Balanced ________% Effective date for the first DCA transfer
Index 500 Stock ________% -----------------------------------
Aggressive Growth Stock ________% ____ The month following the date this form is signed.
High Yield Bond ________% Must have assets in Money Market on that date.
Growth Stock ________% Choose Money Market in section 1 and Money Market
Growth and Income Stock ________% in section 2.
Total __100___% ____ With the next Premium/Dividend deposit, choose
Money Market in section 2.
2. ALLOCATION OF FUTURE PREMIUM/DIVIDENDS:
How would you like the funds transferred? Choose one:
Complete this section to change where your
future Premium/Dividends are invested.
Allocations of future investments will be ____ Option One: Transfer in monthly installments so at
effective with the next Premium/Dividend year end, Money Market balance will be zero.
deposit
____ Option Two: Specified amount to be
ALLOCATION OF FUTURE transferred monthly of $_______________.
INVESTMENT DIVISIONS PREMIUMS/DIVIDENDS
Select Bond ________% Select Bond ________%
International Equity ________% International Equity ________%
Money Market ________% Balanced ________%
Balanced ________% Index 500 Stock ________%
Index 500 Stock ________% Aggressive Growth Stock ________%
Aggressive Growth Stock ________% High Yield Bond ________%
High Yield Bond ________% Growth Stock ________%
Growth Stock ________% Growth and Income Stock ________%
Growth and Income Stock ________% __100___%
__100___%
4. TERMINATION OF DOLLAR COST AVERAGING:
/ / IMMEDIATELY / / NEXT POLICY ANNIVERSARY
5. SPECIAL INSTRUCTIONS:___________________________________________________________________________________________
___________________________________________________________________________________________________________________
6. EFFECTIVE DATE:
This asset transfer and/or allocation of future investments shall be effective on _________________ (insert specific
future date if desired). If no date is specified, or if this form is not received at NML's Home Office (see address
on reverse side) on or prior to 3:00 p.m. Central time on that date, this transfer shall be effective on the date
this form is received (complete and signed) at NML's Home Office.
7. SIGNATURE OF OWNER(S)/TRUSTEE REQUIRED (TITLE MUST BE INCLUDED):
_________________________________________________________________________ Date signed ____________________
_________________________________________________________________________ Date signed ____________________
</TABLE>
<PAGE> 79
ADDITIONAL INFORMATION
1. REDISTRIBUTION OF EXISTING ASSETS: The Owner may transfer the assets
invested for this policy to any of the Divisions, as long as these assets,
following the transfer, are allocated among not more than six Divisions.
Transfers may be made as often as twelve times in a policy year.
2. ALLOCATION OF FUTURE PREMIUM/DIVIDENDS: Allocation of the first net annual
premium will be allocated to the Money Market Division until the Initial
Allocation Date. On the Initial Allocation Date, amounts in the Money Market
Division will be allocated in accordance with the application.
3. DOLLAR COST AVERAGING (DCA): If DCA is chosen, Money Market must be one of
the Divisions elected for future premium/dividend allocation. A total of six
Divisions may be elected between current and future assets and DCA.
4. TERMINATION OF DOLLAR COST AVERAGING (DCA): Any assets still in the Money
Market Division will remain, unless you elect to transfer them.
HOW TO SUBMIT THIS FORM
FIRST CLASS MAIL
Please mail form to Northwestern Mutual Life, 720 E. Wisconsin, WI 53202,
Attention POS
FAX
The properly completed and signed form may be FAXed to the Home Office at the
numbers provided. Fax telephone numbers listed by POS Regions are:
East 414-299-4268 Central 414-299-4982
West 414-299-4268 South 414-299-3382
EPS 414-299-5123
The original form is NOT needed. Please keep for your records.
LINK
NML Agents only: If timing is critical and FAX equipment is unavailable, this
request may be LINKed to the Home Office. You must have a properly completed
and signed form in your possession. The original signed form MUST be received
in the Home Office within five (5) working days from the date of the LINK. The
transaction will take effect based on the time that the LINK is received in the
Home Office.
SIGNATURE INSTRUCTIONS
SIGNATURE BY OWNER
All Owners must sign their name as it appears in the policy contract. If the
Owner's name has changed since the policy was issued, he/she should add his/her
present surname to his/her name as it appears in the policy contract.
SIGNATURE BY ASSIGNEE
If the policy is assigned, the assignee must sign the form. See rules below if
the assignee is a corporation, partnership, or trust.
SIGNATURE ON BEHALF OF CORPORATION
If the policyowner is a corporation, an officer of the corporation must sign on
behalf of the corporation with his/her title. The name of the corporation must
appear above the signature.
SIGNATURE ON BEHALF OF PARTNERSHIP
If the policyowner is a partnership, the name of the partnership must appear
above the signature. A partner other than the Insured must sign.
SIGNATURE ON BEHALF OF TRUST
If the partnership is a trust, the authorized Trustee must sign his/her name,
followed by the word "Trustee." The name of the trust must appear above the
signature.
