<PAGE>
June 30, 1997
NORTHWESTERN
MUTUAL LIFE -Registered Trade Mark-
The Quiet Company -Registered Trade Mark-
Northwestern Mutual Variable Life Account
[PHOTO]
NORTHWESTERN MUTUAL
SERIES FUND, INC.
The Northwestern Mutual
Life Insurance Company
720 East Wisconsin Avenue
Milwaukee, WI 53202
SEMI - ANNUAL REPORT
<PAGE>
CONTENTS
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 phone using NML
Express (see box upper right) or by FAX 414-299-4268. The appropriate form (form
number 18-1425) is included at the end of this report. Additional forms are
available from your Northwestern Mutual Life Agent. Mailed forms are processed
when received.
POLICYOWNER COMMUNICATIONS
You receive confirmation statements with transactions that affect your
portfolio(s).
NORTHWESTERN MUTUAL LIFE'S VARIABLE POLICIES ARE PARTICIPATING
Policies are expected to pay dividends, based on the company's recent mortality
and expense experience. Dividends are based on actual experience and are not
guaranteed.
ADDITIONAL BENEFITS
Some of the popular optional additional benefits which may be available to
policyowners include the following (subject to underwriting and payment of
appropriate premium).
WAIVER OF PREMIUM
The Waiver of Premium Benefit waives the premiums during total disability.
Available at ages 0-59.
ACCIDENTAL DEATH BENEFIT
The Accidental Death Benefit provides an additional death benefit when death
results from accidental bodily injury. Available at ages 0-65.
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 your
policy or any of the policyowner privileges described above.
<TABLE>
<S> <C>
HOW TO GET MORE INFORMATION
NML Express provides 24 hour telephone access to
your account information by dialing
1-800-519-4NML (1-800-519-4665)
Policyowners must provide a policy number plus a
Personal Identification Number (PIN) to utilize
this service. Call toll free to review policy
values and portfolio performance. If a signed
authorization has been returned to the Home
Office, policyowners may also transfer among
portfolios by phone.
For more information about Northwestern Mutual
Life, visit us on our Website at
WWW.NORTHWESTERNMUTUAL.COM
</TABLE>
CONTENTS
Letter to Policyowners 1
Performance Summary for Separate Accounts 2
Economic Overview and Outlook 3
Money Market Portfolio 4
Select Bond Portfolio 6
High Yield Bond Portfolio 10
Balanced Portfolio 13
Index 500 Stock Portfolio 25
Growth and Income Stock Portfolio 32
Growth Stock Portfolio 35
International Equity Portfolio 38
Aggressive Growth Stock Portfolio 42
Variable Life Financial Statements 45
Notes to Financial Statements 49
Series Fund Financial Statements 51
Money Market Portfolio 51
Select Bond Portfolio 54
High Yield Bond Portfolio 57
Balanced Portfolio 60
Index 500 Stock Portfolio 63
Growth and Income Stock Portfolio 66
Growth Stock Portfolio 69
International Equity Portfolio 72
Aggressive Growth Stock Portfolio 75
Notes to Series Fund Financial Statements 78
Directors and Officers 85
<PAGE>
LETTER TO POLICYOWNERS
LETTER TO POLICYOWNERS
July 31, 1997
<TABLE>
<S> <C>
We are pleased to report excellent In short, circumstances could hardly
investment performance for the be better, and that is our main
portfolios underlying Northwestern message to you at this time. While
Mutual's variable life insurance there are more reasons for optimism
policies for the first half of 1997. than for pessimism for the near term,
The stock market continued to climb in we must all remind ourselves that the
recent months, setting record highs excellent conditions we are now
time after time, and the previously experiencing simply cannot continue
sluggish bond market has also shown forever. In the securities markets, as
improvement. in any other market, when prices get
too high, demand drops, and then
There are good reasons for the prices begin to fall. Even though the
strength in the markets: some strength in the worldwide economy may
exceptionally good times have resulted be sustainable for a time, stock
from a convergence of several prices have been rising at a much
important positive trends and events. faster pace than economic growth, and
First, the period preceding this this cannot continue forever.
lengthy expansion, from 1969 through Eventually, it is only
1982, was dismal. High inflation logical that equilibrium
levels stifled growth, and all efforts between economic growth and
to control inflation seemed to fail. stock prices will be
The term "stagflation" was coined to restored; we just cannot
describe the economy's nasty predict when this will
condition. Returns from the S&P 500 happen. Bearing in mind that
Index averaged just over 8 percent, some surprises are
and returns were negative in five of inevitable, we continue to
those 14 years. So the recovery in the invest for the long term, and
economy and the stock market that we urge you to maintain a
began in 1983 started from a very low long-term view as well.
base, and raced quickly right through
what we might call normal conditions [PHOTO]
to a period that is extraordinarily
good. The variable life
insurance policies on
Meantime, politics around the world which we are reporting
were changing dramatically. Communism have an important place in
has been virtually eliminated, and the financial portfolios
capitalism is increasingly embraced of many people.
throughout the world. Former communist Northwestern Mutual also
countries have adopted much wiser offers a variety of other
labor and tax policies that provide insurance and investment
incentives for people to work, spend products that may be
and save. Countries that formerly had appropriate for you,
controlled socialist economies are including the new Mason
manufacturing goods that people in Street family of mutual
other countries want, and freer trade funds introduced this spring. As you
policies facilitate movement of consider your financial goals and
products between countries. Economic requirements, we hope that you will
growth in developing countries is consider these funds and other
stimulating demand for consumer and Northwestern Mutual products that may
industrial products, generating be appropriate for you. Your
further rounds of growth. Northwestern Mutual agent stands ready
to provide help as you plan for a
In the United States, companies have secure financial future.
realized that they must be lean and
aggressive to compete in this global We thank you for selecting
economy. So they have cut costs and Northwestern Mutual Life to help you
improved productivity, driving accomplish your financial goals, and
earnings higher. Even as some we look forward to working with you
companies are downsizing, economic for many years.
growth is generating new job
opportunities, reducing unemployment The Northwestern Mutual Life Insurance
and increasing consumer confidence. Company
New technology is driving productivity
and enabling strong growth and low [SIGNATURE]
unemployment without triggering
inflation. Cautious Federal Reserve James D. Ericson, President and
policies are contributing to stable Chief Executive Officer
growth and low inflation, and similar
economic policies are being pursued by
governments and central banks around
the world.
</TABLE>
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1
<PAGE>
PERFORMANCE SUMMARY
PERFORMANCE SUMMARY as of June 30, 1997
VARIABLE LIFE--POLICIES ISSUED BEFORE OCTOBER 11, 1995
<TABLE>
<CAPTION>
Growth & Aggressive
Net Investment Money Select High Yield Index 500 Income Growth International Growth
Rates of Return Market Bond Bond Balanced Stock Stock Stock Equity Stock
(as of 6/30/97) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 year........... 4.62% 7.84% 21.33% 20.48% 33.49% 31.29% 26.41% 25.97% 3.67%
5 years.......... 20.09% 39.71% - 81.70% 133.57% - - - -
Annualized..... 3.73% 6.92% - 12.69% 18.49% - - - -
10 years......... 64.51% 119.83% - 155.64% 206.87% - - - -
Annualized..... 5.10% 8.20% - 9.84% 11.87% - - - -
Since
inception........ - - 53.41%* - - 82.33%* 82.97%* 55.32%* 76.62%*
Annualized..... - - 14.51% - - 20.94% 21.08% 14.96% 19.73%
</TABLE>
VARIABLE COMPLIFE--POLICIES ISSUED ON OR AFTER OCTOBER 11, 1995**
<TABLE>
<CAPTION>
Growth & Aggressive
Net Investment Money Select High Yield Index 500 Income Growth International Growth
Rates of Return Market Bond Bond Balanced Stock Stock Stock Equity Stock
(as of 6/30/97) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 year........... 4.73% 7.95% 21.46% 20.60% 33.63% 31.43% 26.54% 26.10% 3.78%
5 years.......... 20.71% 40.43% - 82.63% 134.77% - - - -
Annualized..... 3.84% 7.03% - 12.80% 18.61% - - - -
10 years......... 66.20% 122.10% - 158.28% 210.04% - - - -
Annualized..... 5.21% 8.31% - 9.95% 11.98% - - - -
Since
inception........ - - 53.90%* - - 82.92%* 83.56%* 55.82%* 77.19%*
Annualized..... - - 14.62% - - 21.07% 21.20% 15.07% 19.85%
</TABLE>
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, capital gains and all
common fees of the divisions of the Variable Life Account, but not the
additional charges that are unique to your policy. 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 your policy.
* Inception date of 5/3/94.
** Product inception date of 10/11/95. Returns prior to 10/11/95 were reflected
using the actual investment experience of each division, adjusted for the
expenses of the product. These returns are not a guarantee of future
performance.
Note: "Standard and Poor's 500" and "S&P 500" are trademarks of The McGraw-Hill
Companies, Inc. and have been licensed for use by The Northwestern Mutual
Life Insurance Company. The Series Fund and its Portfolios are not
sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard
& Poor's makes no representation regarding the advisability of investing
in them.
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 above 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.
--
2
<PAGE>
ECONOMIC OVERVIEW AND OUTLOOK
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THE ECONOMY
During the first half of 1997, the domestic economy continued its seven-year
trend of moderate growth with minimal inflation. Concerns early in the year that
the economy was overheating were allayed by recently released statistics,
particularly a six-month downward trend in producer prices. With new jobs
created by the expanding economy, unemployment is at the lowest level in 24
years, and confident consumers continue to spend and invest. Most economies
throughout the world are exhibiting similar strength, and inflation, even in the
formerly hyperinflationary economies of Latin America, has abated. A vibrant
global economy creates worldwide demand for U.S. goods and also provides
competition that helps keep price increases moderate.
The WALL STREET JOURNAL'S semiannual survey of 55 economists indicated a
consensus that the economy still has the strength to post at least one more year
of healthy growth with little inflation. This is a significantly more optimistic
view than the group had at the beginning of the year, when concerns about a
slowdown in 1997 were widespread. In sum, a more favorable economic environment
could hardly be imagined.
Economic Growth
and Inflation
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CALENDAR YEARS
<S> <C> <C>
Real Economic Growth Inflation
1988 3.8% 4.4%
1989 3.4% 4.6%
1990 1.3% 6.1%
1991 -1.0% 3.1%
1992 2.7% 2.9%
1993 2.3% 2.7%
1994 3.5% 2.7%
1995 2.0% 2.5%
1996 2.2% 3.3%
1997 2.4% 2.4%
</TABLE>
Source: U.S. Department of Commerce for years 1988 through 1996.
Year-to-year percentage change in Real Gross Domestic Product is used for
real economic growth. December-to-December percentage change in the
Consumer Price Index -- Urban is used for the inflation rate. 1997 is the
consensus forecast of a group of 55 economists surveyed by the WALL
STREET JOURNAL.
- --------------------------------------------------------------------------------
THE EQUITY MARKET
The equity market's unprecedented strength persisted during the first half of
1997. After a moderate drop in April, stock prices have risen more than 20% to a
series of new highs. The S&P 500 Index has more than doubled since the end of
1994, a mere 30 months ago.
The powerful combination of solid economic growth, low inflation and rising
corporate profits continues to drive stock prices. In recent months, the market
strength has broadened to include small and mid-sized companies. Market sectors
that have exhibited particular strength include health care, capital goods,
technology and financial services.
While continued economic growth seems likely to fuel further gains in stock
prices, there are signs that some caution is warranted. The market's volatility
has increased: in the first half of 1997, the S&P 500 Index has moved 1% or more
on almost twice as many trading days as the average since 1945. Net inflows of
cash into mutual funds, though still positive, are at lower levels than in 1996.
While there is little reason to anticipate dramatically changing trends,
investors should not necessarily expect the exceptionally high returns of the
last three years to continue.
Annual Total Returns
from S&P 500 Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
12 Months Ending June
6/30/88 -7.1%
6/30/89 20.2%
6/30/90 16.2%
6/30/91 7.3%
6/30/92 13.4%
6/30/93 13.6%
6/30/94 1.3%
6/30/95 25.9%
6/30/96 25.9%
6/30/97 34.6%
</TABLE>
Source: Standard & Poor's
- --------------------------------------------------------------------------------
THE BOND MARKET
Moderating economic growth and consistent indications that inflation was
unlikely to increase led to strong bond market performance in the second
quarter. With these positive factors in place, interest rates declined, giving
fixed-income investors solid gains after a disappointing year in 1996, which
extended into the first quarter.
At the end of June, yields remained above year-end levels, reflecting concern
among some investors that the economy's continued strength will lead to rising
inflation. However, the Federal Reserve Bank's action in early July to leave
interest rates unchanged indicates that the months ahead are likely to be a
period of stability in interest rates and bond prices.
Annual Total Returns from
Merrill Lynch Domestic Master Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
12 Months Ending June
6/30/88 7.8%
6/30/89 12.4%
6/30/90 7.3%
6/30/91 10.9%
6/30/92 14.1%
6/30/93 12.0%
6/30/94 -1.0%
6/30/95 12.6%
6/30/96 5.0%
6/30/97 8.2%
</TABLE>
Source: Merrill Lynch. The Merrill Lynch Domestic Master Index is an
unmanaged market value weighted index comprised of U.S. Government,
mortgage and investment-grade corporate bonds.
--
3
<PAGE>
MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
Maximum current income Achieve stability of capital by investing in $186,695,365
consistent with liquidity and short- term debt securities.
stability of capital
</TABLE>
MONEY MARKET PORTFOLIO
The Money Market Portfolio, which invests only in high quality commercial paper
and other short-term debt securities with maturities generally not exceeding one
year, is the least risky of the Portfolios.
In the first half of 1997, money market rates increased modestly, particularly
in response to the Federal Reserve's action in March to increase the Federal
funds rate from 5.25 percent to 5.5 percent. Following the rate increase, the
Money Market Portfolio's maturities, which had previously been kept relatively
short, were lengthened to as much as 60 days in April, in order to lock in the
higher rates. By the end of June, the Portfolio's average maturity was shorter
than the broad universe of money market funds, as rates remained stable with
minimal premiums available for securities with longer maturities.
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. The net investment
rates of return shown on page 2 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.
--
4
<PAGE>
MONEY MARKET PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
MONEY MARKET INVESTMENTS (86.07%) PAR (000'S)
<S> <C> <C>
- --------------------------------------------------------------
AUTOMOBILE REPAIR, SERVICES & PARKING (5.00%)
PHH Corporation, 5.60%, 07/07/1997 9,300,000 $ 9,291
-----------
TOTAL 9,291
-----------
CHEMICALS & ALLIED PRODUCTS (4.55%)
American Home Product Co, 5.549%,
07/29/1997 3,470,000 3,455
American Home Product Co, 5.55%,
07/16/1997 5,000,000 4,988
-----------
TOTAL 8,443
-----------
COMMUNICATIONS (4.85%)
Bellsouth Telecommunications, 5.52%,
07/03/1997 9,000,000 8,997
-----------
TOTAL 8,997
-----------
FINANCE LESSORS (4.99%)
BAT Capital Corporation, 5.58%,
07/23/1997 9,300,000 9,268
-----------
TOTAL 9,268
-----------
FOOD AND KINDRED PRODUCTS (6.00%)
Anheuser Busch Companies, 6.10%,
07/01/1997 2,172,000 2,172
Heinz, H.j. Company, 5.53%,
07/25/1997 9,000,000 8,967
-----------
TOTAL 11,139
-----------
GENERAL MERCHANDISE STORES (4.83%)
J.C. Penney Funding Corporation,
5.54%, 07/30/1997 9,000,000 8,960
-----------
TOTAL 8,960
-----------
HOLDING AND OTHER INVESTMENT OFFICES (4.84%)
Cargill Incorporated, 5.50%,
07/10/1997 9,000,000 8,988
-----------
TOTAL 8,988
-----------
INDUSTRIAL MACHINERY AND EQUIPMENT (5.00%)
Xerox Corporation, 5.52%, 07/15/1997 9,300,000 9,280
-----------
TOTAL 9,280
-----------
PERSONAL CREDIT INSTITUTIONS (21.33%)
Beneficial Corp, 5.50%, 07/25/1997 9,000,000 8,967
Ford Motor Credit Company, 5.35%,
07/07/1997 8,792,000 8,784
General Electric Capital Corp.,
5.38%, 07/09/1997 8,210,000 8,200
GMAC, 7.125%, 05/11/1998 4,600,000 4,627
Household Finance Corporation, 6.20%,
07/01/1997 9,000,000 9,000
-----------
TOTAL 39,578
-----------
<CAPTION>
MARKET
VALUE
MONEY MARKET INVESTMENTS (86.07%) PAR (000'S)
<S> <C> <C>
- --------------------------------------------------------------
PETROLEUM AND COAL PRODUCTS (4.85%)
E. I. Dupont De Nemours, 6.125%,
07/01/1997 9,000,000 $ 9,000
-----------
TOTAL 9,000
-----------
PRINTING AND PUBLISHING (2.02%)
Dow Jones & Co. Inc., 5.54%,
07/18/1997 3,750,000 3,740
-----------
TOTAL 3,740
-----------
SHORT TERM BUSINESS CREDIT (14.12%)
IBM Credit Corporation, 5.52%,
07/23/1997 8,000,000 7,973
Motorola Credit Corp, 5.5%,
08/06/1997 9,000,000 8,951
Sears Roebuck Acceptance Corp.,
5.61%, 07/18/1997 9,300,000 9,275
-----------
TOTAL 26,199
-----------
TOBACCO PRODUCTS (3.69%)
Phillip Morris Companies Inc, 6.375%,
01/15/1998 6,850,000 6,853
-----------
TOTAL 6,853
-----------
TOTAL MONEY MARKET
INVESTMENTS $ 159,736
-----------
<CAPTION>
MARKET
VALUE
ASSET-BACKED SECURITIES (13.93%) PAR (000'S)
<S> <C> <C>
- --------------------------------------------------------------
AUTO RELATED (2.45%)
Carco Auto Loan Master Trust, 5.705%,
11/15/1998 (Variable rate; putable;
coupon indexed to one month
Commercial Paper rate plus 7.5 basis
points; reset monthly) 4,550,000 $ 4,550
-----------
TOTAL 4,550
-----------
FINANCE LESSORS (11.48%)
Asset Securitization, 5.53%,
07/18/1997 8,100,000 8,079
Receivable Capital Trust, 5.55%,
07/15/1997 2,500,000 2,495
Receivable Capital Trust, 5.55%,
07/10/1997 1,000,000 999
Receivable Capital Trust, 5.559%,
07/14/1997 5,740,000 5,729
REIG Commercial Mortgage Funding,
5.737%, 12/25/1997 4,000,000 4,000
-----------
TOTAL $ 21,302
-----------
TOTAL ASSET-BACKED SECURITIES 25,852
-----------
TOTAL MONEY MARKET PORTFOLIO $ 185,588
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
5
<PAGE>
SELECT BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
A stable and relatively high Invest in high grade corporate bonds, U.S. $219,802,350
level of long-term total government bonds and bonds of government
return and preservation of agencies.
capital
</TABLE>
SELECT BOND PORTFOLIO
The Select Bond Portfolio invests in high quality debt securities, primarily
government bonds, corporate bonds and mortgage-backed securities. Exposure to
market sectors is adjusted as yield spreads change among the various classes of
securities. Duration and maturities are altered with moderate adjustments in
recognition or anticipation of interest rate changes.
During the first quarter of 1997, rising interest rates resulted in lackluster
performance for bond investors. An overweighted position in mortgage-backed
securities and a defensive posture with respect to interest rates enabled the
Portfolio to perform slightly better than the Merrill Lynch Domestic Master
Index. During the second quarter, interest rate risk exposure was increased
slightly to take advantage of declining interest rates. The portfolio benefited
from the strong performance of corporate and mortgage bonds.
Corporate bonds should continue to perform well as the economy returns to a
sustainable long-term growth rate; however, mortgage bonds could be vulnerable
to any increase in interest rates.
Percentage Holdings
6/30/97
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Corporate Bonds 32%
Mortgage-Backed and Asset-Backed Securities 32%
Government and Government Agencies 34%
Money Market Investments 2%
</TABLE>
The Corporate Bonds sector includes bonds of companies headquartered outside the
United States. The Government and Government Agencies category includes taxable
bonds of domestic and foreign governments and a small position in municipal
bonds. Consistent with the Portfolio's stated parameters, no more than 10% of
the portfolio is invested in foreign securities, and no more than 10% is
invested in high-yield securities.
Performance Relative
to Merrill Lynch Domestic Master Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SELECT BOND PORTFOLIO MLDM INDEX
<S> <C> <C> <C> <C>
6/30/87 10,000 10,000
6/30/88 10,683 10,784
6/30/89 12,020 12,124
6/30/90 12,787 13,012
6/30/91 14,171 14,429
6/30/92 16,309 16,470
6/30/93 18,394 18,435
6/30/94 18,351 18,244
6/30/95 20,696 20,540
6/30/96 21,731 21,558
6/30/97 23,599 23,321
Average Annual Total Return
For Periods Ended June 30,
1997
One Year Five Years Ten Years
Select Bond Portfolio 8.60% 7.67% 8.97%
MLDM Index 8.18% 7.20% 8.84%
</TABLE>
Since the Portfolio invests broadly in U.S. Government, mortgage and corporate
bonds, a useful basis for comparing returns is the Merrill Lynch Domestic Master
Index. The index is an unmanaged market value weighted index comprised of U.S.
Government, mortgage and investment-grade corporate bonds. The index measures
the income provided by, and the price changes of, the underlying securities.
This chart assumes an initial investment of $10,000 made on 6/30/87. 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 2 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.
--
6
<PAGE>
SELECT BOND PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
BONDS (97.74%) PAR (000'S)
<S> <C> <C>
- --------------------------------------------------------------
CORPORATE BONDS (31.75%)
AUTO-RELATED (0.44%)
Hertz Corp., 9.04%, 6/14/00 900,000 $ 957
-----------
BANKS (1.36%)
NationsCredit Grantor Trust, 6.75%,
8/15/13 2,917,161 2,929
-----------
BANK HOLDING COMPANIES (5.78%)
BT Preferred Capital Trust II,
7.875%, 2/25/27 6,000,000 5,796
First Union Institutional Capital II,
7.85%, 1/1/27 4,750,000 4,649
Security Capital Industrial Trust,
7.3%, 5/15/01 2,000,000 1,998
-----------
TOTAL 12,443
-----------
CHEMICALS AND ALLIED PRODUCTS (0.92%)
Dow Capital B.V., 8.5%, 6/8/10 1,800,000 1,987
-----------
COMMUNICATIONS (2.66%)
Grupo Televisa SA DE CV, 10%, 11/9/97 1,172,000 1,185
++ Tele Communications, Inc., 7.375%,
2/15/00 2,000,000 2,017
U.S. West Capital Funding Inc., 7.9%,
2/1/27 1,000,000 1,003
WorldCom, Inc., 7.75%, 4/1/07 1,500,000 1,525
-----------
TOTAL 5,730
-----------
CONSTRUCTION MACHINERY (0.48%)
Bufete Industrial SA ADS, 11.375%,
7/15/99 (144a) 1,000,000 1,043
-----------
DEPOSITORY INSTITUTIONS (0.80%)
Natwest Capital Funding, 12.125%,
11/15/02 1,700,000 1,733
-----------
ELECTRIC SERVICES (8.43%)
Beaver Valley Funding Corp., 8.25%,
6/1/03 1,401,000 1,429
Cleveland Electric Illum Co., 7.375%,
6/1/03 500,000 499
Commonwealth Edison Co., 6.5%,
4/15/00 1,000,000 994
++ Korea Electric Power Corporation,
7%, 2/1/27 4,000,000 3,907
Long Island Lighting Co., 8.625%,
4/15/04 1,000,000 1,026
Long Island Lighting Co., 9.625%,
7/1/24 1,500,000 1,542
Ohio Edison Company, 7.375%, 9/15/02 1,000,000 1,010
++ Pacific Gas & Electric Co., 7.25%,
3/1/26 3,500,000 3,339
Peco Energy Company, 7.75%, 3/1/23 1,150,000 1,158
<CAPTION>
MARKET
VALUE
BONDS (97.74%) PAR (000'S)
<S> <C> <C>
- --------------------------------------------------------------
ELECTRIC SERVICES (CONTINUED)
++ Public Service Electric And Gas
Co., 6.875%, 1/1/03 2,250,000 $ 2,252
Texas Utilities Electric Co., 7.875%,
3/1/23 1,000,000 996
-----------
TOTAL 18,152
-----------
FINANCE (0.75%)
Associates Corp. of North America,
7.95%, 2/15/10 1,500,000 1,621
-----------
FOOD AND KINDRED PRODUCTS (0.72%)
Nabisco Inc., 8%, 1/15/00 1,500,000 1,548
-----------
GENERAL MERCHANDISE STORES (0.46%)
May Dept Stores Company, 7.45%,
10/15/16 1,000,000 993
-----------
INSURANCE SERVICES (1.92%)
Zurich Capital Trust I, 8.376%,
6/1/37 (144a) 4,000,000 4,130
-----------
MOTION PICTURE (4.13%)
News America Holdings Inc., 8.25%,
8/10/18 1,000,000 1,007
Time Warner Entertainment Inc.,
8.375%, 3/15/23 1,000,000 1,025
Time Warner Entertainment Inc.,
8.375%, 7/15/33 2,000,000 2,033
Time Warner Pass-Through Asset Trust,
6.10%, 12/30/01 (144a) 5,000,000 4,789
-----------
TOTAL 8,854
-----------
MOTOR VEHICLES (0.66%)
General Motors Corporation, 8.8%,
3/1/21 1,250,000 1,425
-----------
PAPER AND ALLIED PRODUCTS (1.05%)
Grupo Industrial Durango, 12.625%,
8/1/03 2,000,000 2,253
-----------
TOBACCO (1.19%)
Philip Morris Companies, 7.25%,
1/15/03 1,000,000 1,008
Philip Morris Companies, 9.25%,
2/15/00 500,000 531
++ RJR Nabisco Inc., 8.625%, 12/1/02 1,000,000 1,023
-----------
TOTAL 2,562
-----------
TOTAL CORPORATE BONDS 68,360
-----------
GOVERNMENT AND AGENCY RELATED BONDS (31.33%)
FOREIGN GOVERNMENT BONDS (7.28%)
Argentina, Republic of, 8%, 12/13/98 2,500,000 $ 2,518
Argentina, Republic of, 8.75%, 5/9/02 8,250,000 8,254
+ Argentina, Republic of, 5.695%,
4/1/01 1,423,853 1,383
</TABLE>
--
7
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
BONDS (97.74%) PAR (000'S)
- --------------------------------------------------------------
<S> <C> <C>
FOREIGN GOVERNMENT BONDS (CONTINUED)
+ Brazil, Republic of, 6.937%,
4/15/12 4,250,000 $ 3,512
-----------
TOTAL 15,667
-----------
FEDERAL GOVERNMENT AND AGENCIES (24.05%)
Federal Home Loan Mortgage Corp.,
6.5%, 1/1/2012 6,118,452 6,013
Federal Home Loan Mortgage Corp.,
6.75%, 12/25/23 5,710,018 5,617
Federal Home Loan Mortgage Corp., 7%,
3/15/07 1,875,000 1,876
Federal Home Loan Mortgage Corp.,
7.25%, 4/15/18 1,599,758 1,610
Federal Home Loan Mortgage Corp.,
7.5%, 1/1/27 2,901,378 2,915
Federal National Mortgage Assoc.,
6.5%, 9/25/05 2,852,454 2,819
Federal National Mortgage Assoc.,
6.75%, 12/25/23 3,500,000 3,281
Federal National Mortgage Assoc., 7%,
6/1/03 825,987 831
Federal National Mortgage Assoc.,
8.4%, 2/25/09 2,500,000 2,630
Government National Mortgage Assoc.,
7%, 5/15/23 438,705 433
Government National Mortgage Assoc.,
7%, 5/15/23 2,876,575 2,842
Government National Mortgage Assoc.,
7%, 6/15/23 2,596,104 2,565
Government National Mortgage Assoc.,
7.5%, 1/15/24 826,305 832
Government National Mortgage Assoc.,
7.5%, 1/15/24 799,749 805
Government National Mortgage Assoc.,
7.5%, 2/15/24 1,685,227 1,697
Government National Mortgage Assoc.,
7.5%, 6/15/24 1,554,281 1,565
Government National Mortgage Assoc.,
8%, 8/15/26 9,739,031 9,971
Government National Mortgage Assoc.,
8.5%, 11/15/24 309,263 323
Government National Mortgage Assoc.,
8.5%, 11/15/24 435,240 454
Government National Mortgage Assoc.,
8.5%, 11/15/24 288,357 301
Government National Mortgage Assoc.,
8.5%, 2/15/25 14,138 15
Government National Mortgage Assoc.,
8.5%, 2/15/25 114,852 120
Government National Mortgage Assoc.,
8.5%, 3/15/23 10,445 11
Government National Mortgage Assoc.,
8.5%, 4/15/26 356,804 371
<CAPTION>
MARKET
VALUE
BONDS (97.74%) PAR (000'S)
<S> <C> <C>
- --------------------------------------------------------------
FEDERAL GOVERNMENT AND AGENCIES (CONTINUED)
Government National Mortgage Assoc.,
8.5%, 4/15/26 308,536 $ 321
Government National Mortgage Assoc.,
8.5%, 5/15/26 225,173 234
Government National Mortgage Assoc.,
8.5%, 5/15/26 697,957 727
Government National Mortgage Assoc.,
8.5%, 6/15/23 17,940 19
Government National Mortgage Assoc.,
8.5%, 6/15/24 298,572 311
Government National Mortgage Assoc.,
8.5%, 7/15/24 72,776 76
Government National Mortgage Assoc.,
8.5%, 9/15/21 168,749 177
Government National Mortgage Assoc.,
8.5%, 9/15/24 14,378 15
-----------
TOTAL 51,777
-----------
TOTAL GOVERNMENT BONDS 67,444
-----------
MORTGAGE/ASSET BACKED SECURITIES (32.39%)
AUTO-RELATED (3.87%)
Daimler-Benz Vehicle Trust, 5.85%,
7/20/03 1,497,442 1,497
CIT RV Owner Trust, 6.25%, 1/15/11 1,210,522 1,212
Eaglemark Trust, 6.75%, 11/15/02
(144a) 1,302,601 1,315
Team Fleet Financing Corporation,
6.65%, 12/15/02 (144a) 3,200,000 3,169
Team Fleet Financing Corporation,
7.35%, 5/15/03 (144a) 1,125,000 1,141
-----------
TOTAL 8,334
-----------
COMMERCIAL MORTGAGES (24.00%)
+ Kmart CMBS Financing, Inc., 6.391%,
03/01/07 (144a) 1,500,000 1,504
+ Kmart CMBS Financing, Inc., 6.791%,
03/01/07 (144a) 2,000,000 2,006
Asset Securitization Corporation,
1.097%, 11/13/26 IO 52,000,000 3,567
Asset Securitization Corporation,
1.257%, 11/13/26 IO 23,208,090 1,037
Chase Commercial Mortgage Securities
Corp., 7.37%, 6/19/29 1,000,000 1,017
Chase Commercial Mortgage Securities
Corp., 7.37%, 6/19/29 1,750,000 1,756
Credit Suisee First Boston Mortgage
Securities Corp., 9.5914%, 4/25/25
(144a) 682,000 757
Credit Suisse First Boston Mortgage
Securities Corp., 7.26%, 6/20/29
(144a) 1,500,000 1,517
</TABLE>
--
8
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
BONDS (97.74%) PAR (000'S)
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL MORTGAGES (CONTINUED)
Credit Suisse First Boston Mortgage
Securities Corp., 7.28%, 6/20/29
(144a) 1,500,000 $ 1,513
Credit Suisse First Boston Mortgage
Securities Corp., 7.46%, 6/20/29
(144a) 3,500,000 3,531
First Union-Lehman Brothers
Commercial Mortgage Trust, 7.44%,
4/18/07 2,500,000 2,541
First Union-Lehman Brothers
Commercial Mortgage Trust, 1.307%,
4/18/27 IO 39,000,000 3,090
GMAC Commercial Mortgage Securities,
Inc., 7.81%, 5/1/06 (144a) 5,000,000 5,150
LB Commercial Conduit Mortgage Trust,
1.248%, 10/25/26 IO 69,574,883 4,592
Malan Mortgage Securities Trust,
7.8%, 8/15/05 (144a) 3,000,000 3,039
Merrill Lynch Mortgage Investors,
Inc., 7.12%, 6/18/29 2,500,000 2,489
Merrill Lynch Mortgage Investors,
Inc., 7.12%, 6/18/29 4,500,000 4,341
Merrill Lynch Mortgage Investors,
Inc., 8.154%, 6/18/29 1,950,000 2,022
Merrill Lynch Mortgage Investors,
Inc., 8.858%, 6/18/29 2,000,000 2,016
Midland Realty Acceptance Corp.,
1.389%, 1/25/29 (144a) IO 14,766,622 1,166
NationsBank Lease Pass Thru Trust,
7.442%, 1/10/11 (144a) 3,000,000 3,021
-----------
TOTAL 51,672
-----------
MANUFACTURED HOUSING (1.78%)
Mid-State Trust VI, 7.54%, 7/1/35 1,300,000 1,308
Vanderbilt Mortgage and Finance,
Inc., 7.19%, 5/7/2005 2,500,000 2,517
-----------
TOTAL 3,825
-----------
RESIDENTIAL MORTGAGES (2.74%)
BCF L L C Mortgage Pass Thru
Certificate, 7.75%, 3/25/37 (144a) 3,984,975 3,890
<CAPTION>
MARKET
VALUE
BONDS (97.74%) PAR (000'S)
<S> <C> <C>
- --------------------------------------------------------------
RESIDENTIAL MORTGAGES (CONTINUED)
Rural Housing Trust, 6.33%, 4/1/26 2,076,953 $ 2,017
-----------
TOTAL 5,907
-----------
TOTAL MORTGAGE/ASSET BACKED
SECURITIES 69,738
-----------
MUNICIPAL BONDS (2.27%)
New Jersey Economic Development
Authority, 0.00%, 2/15/25 18,000,000 2,347
New Jersey Economic Development
Authority, 7.425%, 2/15/29 2,500,000 2,520
-----------
TOTAL MUNICIPAL BONDS 4,867
-----------
TOTAL BONDS $ 210,409
-----------
<CAPTION>
MARKET
VALUE
MONEY MARKET INVESTMENTS (2.26%) PAR (000'S)
<S> <C> <C>
- --------------------------------------------------------------
GOVERNMENT (0.23%)
++ U.S. Treasury, 5.08%, 9/4/97 500,000 $ 495
-----------
NONDEPOSITORY INSTITUTIONS (1.20%)
Sears Roebuck Acceptance Corp.,
5.57%, 8/6/97 2,600,000 2,586
-----------
TOBACCO PRODUCTS (0.83%)
Philip Morris Companies, 9%, 5/15/98 1,750,000 1,790
-----------
TOTAL MONEY MARKET INSTRUMENTS 4,871
-----------
TOTAL SELECT BOND PORTFOLIO $ 215,280
-----------
</TABLE>
+ Floating rate security.
++ Partially held by the custodian in segregated account as collateral for open
futures postions. Information regarding open futures contracts as of June 30,
1997 is summarized below:
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF EXPIRATION APPRECIATION
ISSUERS CONTRACTS DATE (000'S)
- --------------- ---------- ---------------- -------------
<S> <C> <C> <C>
U.S. Treasury
Bond Future 45 September 1997 19
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
9
<PAGE>
HIGH YIELD BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
High current income and capital Generate superior performance by investing in a $131,411,445
appreciation with moderate risk diversified mix of fixed income securities
rated below investment grade.
</TABLE>
HIGH YIELD BOND PORTFOLIO
Investing in a portfolio of high yield bonds provides investors who can accept a
moderate level of risk with a high level of current income, coupled with the
opportunity for capital gains. The investment approach is credit-driven, with
rigorous industry and credit analysis utilized to identify investment
opportunities in issuers with stable or improving credit fundamentals whose
bonds are rated below investment grade. Securities are actively traded in order
to maximize returns within appropriate parameters of risk, quality, seniority
and duration. In many ways, investing in high yield bonds is akin to equity
investing, since an issuer's financial situation and operational performance are
the key determinants of continued ability to meet obligations to pay interest
and principal. Of particular interest are solid investments in entities that
have the possibility of a positive event, such as a significant improvement in
credit rating or earnings or a change in ownership. When financial performance
falls short of expectations, exposure is normally reduced. In a high-yield
portfolio, some defaults over time are inevitable; diversification across many
holdings mitigates the impact of defaults on the total portfolio.
The high yield market continued to perform substantially better than the
investment grade market during the first half of 1997. Favorable economic
conditions, reasonably good corporate earnings and low default rates were major
factors that contributed to strong demand for high yield bonds. Increasingly
broad demand for high yield bonds from mutual funds, insurance companies,
pension funds, foreign investors and issuers of Collateralized Bond Obligations
caused risk premiums to decline.
The Portfolio significantly outperfomed both the Lehman Brothers High Yield
Intermediate Market Index and the Portfolio's high yield fund peer group. This
strong performance can be attributed to insightful selection of market sectors
and individual securities, participation in international markets, the inclusion
of preferred stocks, and the absence of any major negative credit developments
in the Portfolio.
Percentage Holdings
by Industry Sector
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Technology 34%
Consumer Staples 20%
Consumer Cyclicals 11%
Transportation 9%
Basic Materials 8%
Financial 6%
Energy/Utilities 5%
Cash Equivalents 7%
</TABLE>
Performance Relative
to Lehman Brothers High Yield Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LEHMAN BROTHERS HIGH YIELD
<S> <C> <C> <C>
High Yield Bond Portfolio Intermediate Market Index
5/3/94 10,000 10,000
6/30/94 10,110 10,061
6/30/95 11,490 11,330
6/30/96 12,836 12,465
6/30/97 15,684 14,158
Average Annual Total Return
For Periods Ended June 30,
1997
One Year Since Inception
High Yield Bond Portfolio 22.19% 15.31%
Lehman Brothers Index 13.58% 11.63%
</TABLE>
The total return performance for the High Yield Bond Portfolio is shown in
comparison with the Lehman Brothers High Yield Intermediate Market Index. The
Lehman Brothers index is an appropriate measure of portfolio performance since
it has a quality and maturity profile that resembles the High Yield Bond
Portfolio.
The Lehman Brothers High Yield Intermediate Market Index is made up of
dollar-denominated, nonconvertible, SEC publicly registered fixed rate
noninvestment grade issues. The bonds will have remaining maturities of between
one and ten years and have an outstanding par value of at least $100 million.
Yankee and global bonds (SEC registered) of issuers in G-7 countries are
included. Original issue zero coupon bonds and step-up coupon structures are
also included; however, the index excludes pay-in-kind (PIK) bonds. Each bond
must be rated Ba1 or lower by Moody's Investor Service. If a Moody's rating is
unavailable, the bonds must be rated BB+ or lower by Standard & Poor's, or by
Fitch if an S&P rating is unavailable. A few unrated bonds are included in the
index; to be eligible they must have previously held a high yield rating or have
been associated with a high yield issuer. The index is an unmanaged market value
weighted index and measures the income provided by, and the price changes of,
the underlying securities.
This chart assumes an initial investment of $10,000 made on 5/3/94
(commencement of operations). Returns shown include deductions for management
and other fund expenses, and reinvestment of all dividends. Returns exclude
deductions for separate account sales loads and account fees. Past performance
is not predictive of future performance. Investment return and principal value
will fluctuate, so that your shares, when redeemed, may be worth more or less
than their original cost. The net investment rates of return shown on page 2
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.
--
10
<PAGE>
HIGH YIELD BOND PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
BONDS (73.10%) PAR (000'S)
<S> <C> <C>
- --------------------------------------------------------------
APPAREL AND TEXTILE (1.73%)
Polysindo International Finance Co.,
11.375%, 6/15/06 $2,000,000 $ 2,200
-----------
AUTO RELATED (1.59%)
Speedy Muffler King Inc., 10.875%,
10/01/06 2,000,000 2,020
-----------
BANKS (2.42%)
First Nationwide Holdings Inc.,
10.625%, 10/01/03 750,000 829
First Nationwide Parent Holdings,
12.50%, 4/15/03(144a) 2,000,000 2,245
-----------
TOTAL 3,074
-----------
BROADCASTING (4.55%)
Azteca Hldgs S.A. De C.V., 11.00%,
6/15/02(144a) 2,250,000 2,273
Katz Media Corp., 10.50%, 1/15/07 2,000,000 1,960
TV Azteca S.A. De C.V., 10.50%,
2/15/07(144a) 1,500,000 1,538
-----------
TOTAL 5,771
-----------
CABLE TELEVISION (6.51%)
Adelphia Communications Corp., 9.50%,
2/15/04 (PIK) 2,547,500 2,458
Adelphia Communications Corp.,
9.875%, 3/01/07(144a) 1,000,000 966
+International Cabletel Inc., 11.50%,
2/01/06 2,000,000 1,385
International Cabletel Inc., 10.00%,
2/15/07 500,000 509
+Marcus Cable, 14.25%, 12/15/05 3,750,000 2,944
-----------
TOTAL 8,262
-----------
CHEMICALS (1.98%)
Tri Polyta Finance B V, 11.375%,
12/01/03 2,500,000 2,506
-----------
CONSUMER PRODUCTS (2.83%)
+Hedstrom Holdings Inc., 12.00%,
6/01/09(144a) 2,175,000 1,294
Riddell Sports Inc., 10.50%,
7/15/07(144a) 2,250,000 2,301
-----------
TOTAL 3,595
-----------
CONSUMER STAPLES (0.64%)
North Atlantic Trading Inc., 11.00%,
6/15/04(144a) 800,000 810
-----------
CONTAINERS (1.65%)
VICAP, S.A. De C.V., 11.375%,
5/15/07(144a) 2,000,000 2,095
-----------
FINANCE COMPANIES (2.02%)
Olympic Financial Ltd., 11.50%,
3/15/07 2,500,000 2,569
-----------
<CAPTION>
MARKET
VALUE
BONDS (73.10%) PAR (000'S)
<S> <C> <C>
- --------------------------------------------------------------
HEALTHCARE (1.69%)
Quest Diagnostics Inc., 10.75%,
12/15/06 $2,000,000 $ 2,145
-----------
LEISURE RELATED (12.16%)
Alliance Gaming Corp., 12.875%,
6/30/03 1,500,000 1,695
Casino America Inc., 12.50%, 8/01/03 2,000,000 2,080
Cobb Theatres LLC., 10.625%, 3/01/03 1,000,000 1,110
Cobblestone Holdings, Inc., 0.00%,
6/01/04 2,875,000 1,308
Horseshoe Gaming LLC., 9.375%,
6/15/07(144a) 1,000,000 1,008
Station Casinos Inc., 10.125%,
3/15/06 500,000 505
Station Casinos Inc., 9.75%,
4/15/07(144a) 2,500,000 2,478
Trump Atlantic, 11.25%, 5/01/06 3,000,000 2,925
Trump Hotels & Casino Resorts,
15.50%, 6/15/05 2,000,000 2,320
-----------
TOTAL 15,429
-----------
MISCELLANEOUS-BASIC MATERIALS (1.83%)
Cemex S. A., 12.75%, 7/15/06 2,000,000 2,320
-----------
OFFICE EQUIPMENT (2.42%)
United Stationers Supply Co., 12.75%,
5/01/05 2,750,000 3,064
-----------
OIL-GAS PRODUCERS (3.10%)
Belden & Blake Corp., 9.875%, 6/15/07
(144a) 2,250,000 2,222
Bridas Corp., 12.50%, 6/10/03(144a) 1,500,000 1,710
-----------
TOTAL 3,932
-----------
PAPER (4.36%)
Grupo Indl Durango S.A. De C.V.,
12.625%, 8/01/03 2,000,000 2,253
Indah Kiat Finance International,
10.00%, 7/01/07(144a) 2,250,000 2,244
Stone Container Corp., 12.25%,
4/01/02(144a) 1,000,000 1,030
-----------
TOTAL 5,527
-----------
PROFESSIONAL SERVICES (1.54%)
Kinder-care Learning Center, 9.50%,
2/15/09 2,000,000 1,950
-----------
RAILROAD (2.51%)
+TFM S.A. De C. V., 11.75%,
6/15/09(144a) 5,500,000 3,190
-----------
RETAIL-FOOD (0.80%)
Pathmark Stores Inc., 11.625%,
6/15/02 1,000,000 1,010
-----------
</TABLE>
--
11
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
BONDS (73.10%) PAR (000'S)
- --------------------------------------------------------------
<S> <C> <C>
SOAPS AND TOILETRIES (2.14%)
Revlon Worldwide Corp., 0.00%,
3/15/01(144a) $4,000,000 $ 2,710
-----------
TELECOMMUNICATIONS (9.21%)
Comtel Brasileira Ltda., 10.75%,
9/26/04(144a) 2,000,000 2,140
ITC Deltacom Inc., 11.00%,
6/01/07(144a) 2,875,000 2,922
++Mobilemedia Communications Inc.,
10.50%, 12/01/03 2,000,000 240
Paging Network Inc., 10.00%, 10/15/08 2,000,000 1,920
+Telewest PLC, 11.00%, 10/01/07 3,000,000 2,160
Wavetek Corp., 10.125%, 6/15/07(144a) 2,250,000 2,309
-----------
TOTAL 11,691
-----------
TRUCKING AND SHIPPING (5.41%)
Greyhound Lines Inc., 11.50%,
4/15/07(144a) 3,375,000 3,611
Coach USA Inc., 9.375%, 7/01/07(144a) 2,250,000 2,228
Ryder Trucks, Inc., 10.00%, 12/01/06 1,000,000 1,030
-----------
TOTAL 6,869
-----------
TOTAL BONDS $ 92,739
-----------
<CAPTION>
MARKET
VALUE
PREFERRED STOCK (19.03%) SHARES (000'S)
<S> <C> <C>
- --------------------------------------------------------------
BANKS (1.02%)
California Federated Capital Corp. 50,000 $ 1,291
-----------
BROADCASTING (7.00%)
American Radio Systems Corp. (144a) 21,055 2,232
Chancellor Radio(144a) 21,200 2,417
Sinclair Capital(144a) 40,000 4,230
-----------
TOTAL 8,879
-----------
CABLE TELEVISION (4.06%)
Cablevision Systems Corp. (PIK) 49,828 5,156
-----------
LEISURE RELATED (1.72%)
Alliance Gaming Corp. PIK 17,461 1,737
Station Casinos Inc. 10,000 448
-----------
TOTAL 2,185
-----------
<CAPTION>
MARKET
VALUE
PREFERRED STOCK (19.03%) SHARES (000'S)
<S> <C> <C>
- --------------------------------------------------------------
PRINTING AND PUBLISHING (2.81%)
K-III Communications Corp.(144a) 35,000 $ 3,561
Time Warner Inc. 7 1
-----------
TOTAL 3,562
-----------
TELECOMMUNICATIONS (0.42%)
NTL Inc.(144a) (PIK) 5,160 539
-----------
UTILITY-GAS (2.00%)
Petroleum Heat & Power Inc.(144a) 103,750 2,542
-----------
TOTAL PREFERRED STOCK $ 24,154
-----------
<CAPTION>
MARKET
VALUE
MONEY MARKET INVESTMENTS (6.85%) PAR (000'S)
<S> <C> <C>
- --------------------------------------------------------------
CHEMICALS AND ALLIED PRODUCTS (5.28%)
American Home Products Co., 6.149%,
7/01/97 $6,700,000 $ 6,700
-----------
NONDEPOSITORY INSTITUTIONS (1.57%)
Sears Roebuck Acceptance Corp.,
5.57%, 8/06/97 2,000,000 1,989
-----------
TOTAL MONEY MARKET
INVESTMENTS $ 8,689
-----------
<CAPTION>
MARKET
VALUE
COMMON STOCK (1.02%) SHARES (000'S)
<S> <C> <C>
- --------------------------------------------------------------
APPAREL AND TEXTILE (0.86%)
*Ithaca Industries Inc. 136,000 $ 1,088
-----------
ELECTRONICS (0.04%)
*Exide Electronics-Warrants 2,000 50
-----------
LEISURE RELATED (0.04%)
*Cobblestone Holdings Inc. 2,875 52
-----------
PAPER (0.08%)
*SDW Holdings Corp.(144a) 20,000 100
-----------
TOTAL COMMON STOCK 1,290
-----------
TOTAL HIGH YIELD BOND PORTFOLIO $ 126,872
-----------
</TABLE>
*Non-Income Producing.
+Deferred interest security that receives no coupon payments until a
predetermined date at which the stated coupon rate becomes effective.
++Defaulted Security.
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
12
<PAGE>
BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
A high level of current income Achieve consistent returns and low volatility $2,593,714,448
and capital growth with a low by diversifying among assets
risk profile
</TABLE>
BALANCED PORTFOLIO
In order to capitalize on changing financial market and economic conditions, the
Balanced Portfolio's asset allocation is adjusted as appropriate among three
investment classes: stocks, bonds and money market instruments. The equity
portion of the Portfolio is indexed, meaning that the portfolio is designed to
achieve results that approximate the performance of the Standard & Poor's 500
Composite Stock Price Index, which is generally regarded as a good proxy for the
overall U.S. equity market. The bond portion of the Portfolio is actively
managed, with investments in high quality bonds adjusted frequently as to
maturity, market sectors and duration. Liquidity is maintained by holding a
portion of the Portfolio in money market investments, which are high quality
short-term debt securities.
The Portfolio benefited from continued emphasis on equities during the first six
months of 1997. Although the stock position was reduced modestly during periods
of particular strength, continued strong prices have increased the percentage
holdings of stock; at the end of the period 57% of the total was invested in
stocks, up from 55% at the end of 1996. A moderate cash position will make it
possible to increase investments in equities or bonds, as market conditions
indicate.
A reduction in the percentage held in bonds resulted from the increased value of
stock holdings, rather than from a decision to scale back bond holdings. In
order to take advantage of declining interest rates, durations of the securities
in the portfolio have been adjusted to overweight short-term and long-term
securities and underweight intermediate term bonds.
Percentage Holdings
6/30/97
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Equities 57%
Bonds 29%
Money Market Investments 14%
</TABLE>
Performance Relative
to Relevant Indices
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
BALANCED PORTFOLIO MERRILL LYNCH DOMESTIC MASTER INDEX S&P 500 INDEX ML 91-DAY T-BILL
<S> <C> <C> <C> <C>
6/30/87 10,000 10,000 10,000 10,000
6/30/88 10,173 10,784 9,290 10,633
6/30/89 11,119 12,124 11,167 11,533
6/30/90 11,898 13,012 12,976 12,512
6/30/91 13,102 14,429 13,923 13,458
6/30/92 14,584 16,470 15,788 14,156
6/30/93 16,375 18,435 17,936 14,634
6/30/94 16,514 18,244 18,169 15,126
6/30/95 19,515 20,540 22,875 15,960
6/30/96 22,619 21,558 28,799 16,843
6/30/97 27,444 23,321 38,755 17,758
Average Annual Total Return
For Periods Ended June 30, 1997
One Year Five Years Ten Years
Balanced Portfolio 21.33% 13.48% 10.62%
S&P 500 Index 34.57% 19.67% 14.51%
MLDM Index 8.18% 7.20% 8.84%
ML 91-Day T-Bill 5.43% 4.64% 5.91%
</TABLE>
In the graph, the Portfolio is compared against three indices representing the
three major components of the Portfolio: equities, fixed income, and cash
equivalent investments.
The Merrill Lynch Domestic Master Index is an unmanaged market value
weighted index comprised of U.S. Government, mortgage and investment-grade
corporate bonds. The index measures the income provided by, and the price
changes of, the underlying securities.
The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index
of 500 selected common stocks, most of which are listed on the New York Stock
Exchange. The index is heavily weighted toward stocks with large market
capitalizations and represents approximately two-thirds of the total market
value of all domestic common stocks.
This chart assumes an initial investment of $10,000 made on 6/30/87. 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 2 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.
--
13
<PAGE>
BALANCED PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET VALUE
BONDS (28.50%) PAR (000'S)
<S> <C> <C>
- -------------------------------------------------------------
CORPORATE BONDS (10.10%)
- ----------------------------------
AEROSPACE AND DEFENSE (0.28%)
Lockheed Corporation, 6.75%,
3/15/03 $ 3,000,000 $ 2,985
Northrop Grumman Corporation,
7.75%, 3/1/16 4,000,000 4,034
------------
TOTAL 7,019
------------
AUTO-RELATED (0.27%)
Hertz Corp., 9.04%, 6/14/00 4,100,000 4,360
------------
BANKS (0.12%)
Nations Credit, 6.75%, 8/15/03 2,917,161 2,929
------------
BANK HOLDING COMPANIES (0.74%)
BT Preferred Capital Trust II,
7.875%, 2/25/27 6,000,000 5,796
First Union Institutional Captial
II, 7.85%, 1/1/27 5,000,000 4,893
Security Capital Industrial Trust,
7.3%, 5/15/01 8,000,000 7,993
------------
TOTAL 18,682
------------
CHEMICALS AND ALLIED PRODUCTS (0.48%)
Dow Cap B.V., 8.5%, 6/8/10 8,200,000 9,054
Nova Chemicals Ltd., 7.25%,
8/15/28 3,000,000 2,963
------------
TOTAL 12,017
------------
COMMUNICATIONS (0.62%)
Tele Communications, Inc., 7.375%,
2/15/00 8,000,000 8,069
U.S. West Capital Funding Inc.,
7.9%, 2/1/27 4,000,000 4,013
WorldCom, Inc., 7.75%, 4/1/07 3,500,000 3,559
------------
TOTAL 15,641
------------
CONSTRUCTION MACHINERY (0.10%)
Bufete Industrial SA ADS, 11.375%,
7/15/99 (144a) 2,500,000 2,606
------------
DEPOSITORY INSTITUTIONS (0.42%)
Natwest Capital Funding, 12.125%,
11/15/02 10,450,000 10,653
------------
ELECTRIC SERVICES (3.24%)
Beaver Valley Funding Corp.,
8.25%, 6/1/03 5,141,000 5,244
Cleveland Electric Illum Co.,
7.375%, 6/1/03 2,000,000 1,996
Columbia Gas System Inc., 7.32%,
11/28/10 7,571,000 7,529
Commonwealth Edison Co., 6.5%,
4/15/00 4,000,000 3,974
Dayton Power & Light Company,
8.15%, 1/15/26 5,750,000 5,946
<CAPTION>
MARKET VALUE
BONDS (28.50%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
ELECTRIC SERVICES (CONTINUED)
Korea Electric Power Corporation,
7%, 2/1/27 $ 4,000,000 $ 3,907
Long Island Lighting Co., 8.625%,
4/15/04 2,700,000 2,769
Long Island Lighting Co., 9.625%,
7/1/24 1,500,000 1,542
Ohio Edison Company, 7.375%,
9/15/02 3,665,000 3,700
Pacific Gas & Electric Co.,
5.375%, 8/1/98 5,000,000 4,962
Pacific Gas & Electric Co., 7.25%,
3/1/26 9,050,000 8,634
PECO Energy Company, 7.75%, 3/1/23 8,850,000 8,911
Public Service Electric And Gas
Co., 6.875%, 1/1/03 9,000,000 9,008
Texas Utilities Electric Co.,
7.875%, 3/1/23 4,000,000 3,984
Southern California Edison Co.,
7.25%, 3/1/26 10,000,000 9,530
------------
TOTAL 81,636
------------
ENERGY (0.24%)
Barrett Resources Corporation,
7.55%, 2/01/07 5,000,000 4,974
Petroleos Mexicanos, 8%, 7/1/98
(144a) 1,000,000 1,010
------------
TOTAL 5,984
------------
FINANCE (0.55%)
Associates Corp. of North America,
7.95%, 2/15/10 5,550,000 5,996
Crown Cork & Seal Finance Plc,
6.75%, 12/15/03 8,000,000 7,877
------------
TOTAL 13,873
------------
FOOD AND KINDRED PRODUCTS (0.14%)
Nabisco Inc., 8%, 1/15/00 3,500,000 3,611
------------
FOOD AND BEVERAGE (0.43%)
Coca Cola Enterprises, Inc., 8%,
1/4/05 10,000,000 10,720
------------
GENERAL MERCHANDISE STORES (0.16%)
May Department Stores Company,
7.45%, 10/15/16 4,000,000 3,971
------------
MOTION PICTURE (1.02%)
News America Holdings Inc., 7.5%,
3/1/00 6,500,000 6,626
News America Holdings Inc., 8.45%,
8/1/34 10,000,000 11,034
Time Warner Entertainment Inc.,
7.25%, 9/1/08 1,500,000 1,477
</TABLE>
--
14
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET VALUE
BONDS (28.50%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
MOTION PICTURE (CONTINUED)
Time Warner Entertainment Inc.,
8.375%, 3/15/23 $ 5,000,000 $ 5,125
Time Warner Entertainment Inc.,
8.375%, 7/15/33 1,500,000 1,524
------------
TOTAL 25,786
------------
MOTOR VEHICLES (0.49%)
General Motors Acceptance Corp.,
6.625%, 10/1/02 5,000,000 4,951
General Motors Corporation, 8.8%,
3/1/21 6,500,000 7,412
------------
TOTAL 12,363
------------
PAPER AND ALLIED PRODUCTS (0.13%)
Grupo Industrial Durango, 12.625%,
8/1/03 3,000,000 3,379
------------
TOBACCO (0.40%)
Philip Morris Companies, 9.25%,
2/15/00 1,000,000 1,061
Philip Morris Companyes, 7.25%,
1/15/03 5,000,000 5,038
RJR Nabisco Inc., 8.625%, 12/1/02 4,000,000 4,093
------------
TOTAL 10,192
------------
UTILITY (0.35%)
Atlantic City Electric Company,
6.625%, 8/1/13 4,000,000 3,683
Petacalco Trust, 10.16%, 12/23/09 5,000,000 5,050
------------
TOTAL 8,733
------------
TOTAL CORPORATE BONDS 254,155
------------
GOVERNMENT AND AGENCY RELATED BONDS (13.66%)
FOREIGN GOVERNMENT BONDS (0.64%)
Argentina, Republic of, 8%,
12/13/98 $ 3,500,000 $ 3,525
Argentina, Republic of, 8.75%,
5/9/02 1,000,000 1,001
+Argentina, Republic of, 5.695%,
4/1/01 3,984,594 3,871
City Of Moscow, 9.5%, 5/31/00
(144a) 7,500,000 7,605
Province of Quebec, 6.5%, 1/17/06 7,500,000 7,212
------------
TOTAL 23,214
------------
FEDERAL GOVERNMENT AND AGENCIES (13.12%)
Federal Home Loan Mortgage Corp.,
6%, 7/15/07 19,250,000 18,711
Federal Home Loan Mortgage Corp.,
6.5%, 1/1/12 22,302,657 21,918
Federal Home Loan Mortgage Corp.,
7%, 3/15/07 7,250,000 7,252
Federal Home Loan Mortgage Corp.,
7.25%, 4/15/18 6,811,342 6,854
Federal Home Loan Mortgage Corp.,
7.5%, 1/1/27 34,040,754 34,195
<CAPTION>
MARKET VALUE
BONDS (28.50%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (CONTINUED)
Federal National Mortgage Assoc.,
6.5%, 9/25/05 $ 6,654,413 $ 6,577
Federal National Mortgage Assoc.,
6.75%, 12/25/23 6,500,000 6,093
Federal National Mortgage Assoc.,
7%, 4/1/26 26,831,394 26,353
Federal National Mortgage Assoc.,
7%, 6/1/03 6,476,388 6,516
Federal National Mortgage Assoc.,
7%, 6/25/10 8,070,000 7,990
Federal National Mortgage Assoc.,
8.4%, 2/25/09 10,910,000 11,477
Government National Mortgage
Assoc., 7%, 10/15/23 26,934 27
Government National Mortgage
Assoc., 7%, 10/15/23 95,587 94
Government National Mortgage
Assoc., 7%, 10/15/23 183,056 181
Government National Mortgage
Assoc., 7%, 10/15/23 103,545 102
Government National Mortgage
Assoc., 7%, 10/15/23 134,277 133
Government National Mortgage
Assoc., 7%, 11/15/23 516,737 511
Government National Mortgage
Assoc., 7%, 11/15/23 661,905 654
Government National Mortgage
Assoc., 7%, 11/15/23 689,066 681
Government National Mortgage
Assoc., 7%, 5/15/23 202,547 200
Government National Mortgage
Assoc., 7%, 5/15/23 5,841,596 5,771
Government National Mortgage
Assoc., 7%, 5/15/23 8,136,634 8,039
Government National Mortgage
Assoc., 7%, 5/15/23 426,184 421
Government National Mortgage
Assoc., 7%, 6/15/23 285,635 282
Government National Mortgage
Assoc., 7%, 6/15/23 666,401 658
Government National Mortgage
Assoc., 7%, 7/15/23 703,364 695
Government National Mortgage
Assoc., 7%, 7/15/23 710,060 702
Government National Mortgage
Assoc., 7%, 7/15/23 52,478 52
Government National Mortgage
Assoc., 7%, 8/15/23 27,732 27
Government National Mortgage
Assoc., 7%, 9/15/23 20,831 21
Government National Mortgage
Assoc., 7%, 9/15/23 34,256 34
</TABLE>
--
15
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET VALUE
BONDS (28.50%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (CONTINUED)
Government National Mortgage
Assoc., 7%, 9/15/23 $ 100,663 $ 99
Government National Mortgage
Assoc., 7%, 9/15/23 560,301 554
Government National Mortgage
Assoc., 7.5%, 1/15/24 976,424 983
Government National Mortgage
Assoc., 7.5%, 1/15/24 188,328 190
Government National Mortgage
Assoc., 7.5%, 11/15/24 896,363 903
Government National Mortgage
Assoc., 7.5%, 2/15/24 1,426,594 1,436
Government National Mortgage
Assoc., 7.5%, 3/15/24 1,356,811 1,366
Government National Mortgage
Assoc., 7.5%, 4/15/24 862,489 868
Government National Mortgage
Assoc., 7.5%, 5/15/24 873,899 880
Government National Mortgage
Assoc., 7.5%, 5/15/24 1,236,153 1,245
Government National Mortgage
Assoc., 7.5%, 5/15/24 1,229,011 1,238
Government National Mortgage
Assoc., 7.5%, 6/15/24 1,318,202 1,327
Government National Mortgage
Assoc., 7.5%, 8/15/24 844,844 851
Government National Mortgage
Assoc., 7.5%, 8/15/24 964,250 971
Government National Mortgage
Assoc., 7.5%, 8/15/24 1,000,475 1,007
Government National Mortgage
Assoc., 7.5%, 8/15/24 909,059 915
Government National Mortgage
Assoc., 7.5, 6/15/24 34,055 34
Government National Mortgage
Assoc., 8%, 4/15/26 24,183,313 24,759
Government National Mortgage
Assoc., 8.5%, 1/15/25 18,561 19
Government National Mortgage
Assoc., 8.5%, 1/15/25 48,856 51
Government National Mortgage
Assoc., 8.5%, 1/15/25 118,153 123
Government National Mortgage
Assoc., 8.5%, 1/15/26 24,961 26
Government National Mortgage
Assoc., 8.5%, 1/15/26 778,638 810
Government National Mortgage
Assoc., 8.5%, 1/15/26 59,410 62
Government National Mortgage
Assoc., 8.5%, 10/15/21 144,946 152
Government National Mortgage
Assoc., 8.5%, 10/15/22 10,987 12
<CAPTION>
MARKET VALUE
BONDS (28.50%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (CONTINUED)
Government National Mortgage
Assoc., 8.5%, 10/15/22 $ 45,574 $ 48
Government National Mortgage
Assoc., 8.5%, 10/15/22 199,332 209
Government National Mortgage
Assoc., 8.5%, 11/15/24 182,679 191
Government National Mortgage
Assoc., 8.5%, 11/15/25 22,783 24
Government National Mortgage
Assoc., 8.5%, 12/15/22 48,609 51
Government National Mortgage
Assoc., 8.5%, 12/15/24 24,056 25
Government National Mortgage
Assoc., 8.5%, 2/15/25 98,154 102
Government National Mortgage
Assoc., 8.5%, 2/15/25 16,268 17
Government National Mortgage
Assoc., 8.5%, 2/15/25 39,997 42
Government National Mortgage
Assoc., 8.5%, 2/15/25 38,531 40
Government National Mortgage
Assoc., 8.5%, 2/15/26 45,335 47
Government National Mortgage
Assoc., 8.5%, 3/15/26 23,240 24
Government National Mortgage
Assoc., 8.5%, 3/15/26 14,976 16
Government National Mortgage
Assoc., 8.5%, 4/15/26 777,737 810
Government National Mortgage
Assoc., 8.5%, 4/15/26 86,941 90
Government National Mortgage
Assoc., 8.5%, 4/15/26 71,017 74
Government National Mortgage
Assoc., 8.5%, 4/15/26 135,104 141
Government National Mortgage
Assoc., 8.5%, 4/15/26 767,238 799
Government National Mortgage
Assoc., 8.5%, 4/15/26 775,488 807
Government National Mortgage
Assoc., 8.5%, 5/15/22 7,991 8
Government National Mortgage
Assoc., 8.5%, 5/15/26 803,737 837
Government National Mortgage
Assoc., 8.5%, 5/15/26 35,334 37
Government National Mortgage
Assoc., 8.5%, 5/15/26 654,142 681
Government National Mortgage
Assoc., 8.5%, 5/15/26 920,114 958
Government National Mortgage
Assoc., 8.5%, 5/15/26 731,404 761
Government National Mortgage
Assoc., 8.5%, 5/15/26 460,743 480
</TABLE>
--
16
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET VALUE
BONDS (28.50%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
FEDERAL GOVERNMENT AND AGENCIES (CONTINUED)
Government National Mortgage
Assoc., 8.5%, 6/15/24 $ 19,950 $ 21
Government National Mortgage
Assoc., 8.5%, 7/15/21 143,905 151
Government National Mortgage
Assoc., 8.5%, 7/15/24 183,152 191
Government National Mortgage
Assoc., 8.5%, 7/15/24 183,547 191
Government National Mortgage
Assoc., 8.5%, 8/15/24 155,827 163
Government National Mortgage
Assoc., 8.5%, 9/15/22 14,240 15
Government National Mortgage
Assoc., 8.5%, 9/15/22 182,563 191
Government National Mortgage
Assoc., 8.5%, 9/15/24 268,049 280
U.S. Teasury, 6.375%, 5/15/99 53,100,000 53,366
U.S. Teasury, 6.625%, 2/15/27 18,500,000 18,095
U.S. Teasury, 6.75%, 8/15/26 24,850,000 24,586
U.S. Teasury, 7%, 7/15/06 1,950,000 2,006
------------
TOTAL 320,677
------------
TOTAL GOVERNMENT BONDS 343,891
------------
MORTGAGE/ASSET BACKED SECURITIES (4.55%)
AUTO-RELATED (1.13%)
Eaglemark Trust, 6.75%, 11/15/02
(144a) $ 6,513,006 $ 6,576
Team Fleet Financing Corporation,
6.65%, 12/15/02 (144a) 11,800,000 11,686
Team Fleet Financing Corporation,
7.35%, 5/15/03 (144a) 3,000,000 3,043
CIT RV Owner Trust, 6.25%, 1/15/11 3,631,565 3,636
Daimler-Benz Vehicle Trust, 5.85%,
7/20/03 3,593,862 3,594
------------
28,535
------------
CREDIT CARD (0.20%)
Charming Shoppes Master Trust, 7%,
4/15/03 5,000,000 5,064
------------
MANUFACTURED HOUSING (0.10%)
Vanderbilt Mortgage and Finance,
Inc., 7.19%, 5/7/2005 2,500,000 2,517
------------
COMMERCIAL MORTGAGES (2.62%)
Asset Securitization Corporation,
1.257%, 11/13/26 IO 29,311,815 1,310
Chase Commerical Mortgage
Securities Corp., 7.37%, 6/19/29 2,000,000 2,007
Credit Suisee First Boston
Mortgage Securities Corp.,
9.5914%, 4/25/25 (144a) 2,047,000 2,257
<CAPTION>
MARKET VALUE
BONDS (28.50%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
COMMERCIAL MORTGAGES (CONTINUED)
Credit Suisse First Boston
Mortgage Securities Corp., 7.26%,
6/20/29 (144a) $ 3,250,000 $ 3,287
Credit Suisse First Boston
Mortgage Securities Corp., 7.28%,
6/20/29 (144a) 3,250,000 3,278
Credit Suisse First Boston
Mortgage Securities Corp., 7.46%,
6/20/29 (144a) 6,000,000 6,053
First Union-Lehman Brothers
Commerical Mortgage Trust, 7.44%,
4/18/07 2,500,000 2,541
First Union-Lehman Brothers
Commerical Mortgage Trust,
1.307%, 4/18/27 IO 40,000,000 3,169
GMAC Commerical Mortgage
Securities, Inc., 7.81%, 5/1/06
(144a) 7,000,000 7,210
+Kmart CMBS Financing, Inc.,
6.391%, 03/01/07 (144a) 3,500,000 3,510
+Kmart CMBS Financing, Inc.,
6.791%, 03/01/07 (144a) 4,500,000 4,513
LB Commercial Conduit Mortgage
Trust, 1.248%, 10/25/26 IO 129,210,496 8,528
Merrill Lynch Mortgage Investors,
Inc., 7.12%, 6/18/29 6,000,000 5,974
Merrill Lynch Mortgage Investors,
Inc., 8.858%, 6/18/29 5,845,000 6,061
Merrill Lynch Mortgage Investors,
Inc., 8.154%, 6/18/29 (144a) 2,000,000 2,016
Midland Realty Acceptance Corp.,
1.389%, 1/25/29 (144a) IO 29,533,244 2,333
NationsBank Lease Pass Thru Trust,
7.442%, 1/10/11 (144a) 2,000,000 2,014
------------
66,061
------------
RESIDENTIAL MORTGAGES (0.49%)
BCF L L C Mortgage Pass Thru
Certificate, 7.75%, 3/25/37
(144a) 4,981,218 4,863
Rural Housing Trust, 6.33%, 4/1/26 7,696,945 7,474
------------
12,337
------------
TOTAL MORTGAGE/ASSET BACKED
SECURITIES 114,514
------------
MUNICIPAL BONDS (0.19%)
New Jersey Economic Development
Authority, 0.00%, 2/15/25 20,000,000 2,607
</TABLE>
--
17
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET VALUE
BONDS (28.50%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
MUNICIPAL BONDS (CONTINUED)
New Jersey Economic Development
Authority, 7.425%, 2/15/29 $ 2,250,000 $ 2,268
------------
TOTAL MUNICIPAL BONDS 4,875
------------
TOTAL BONDS $ 717,435
------------
<CAPTION>
MARKET VALUE
COMMON STOCK (55.36%) SHARES (000'S)
- -------------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS (2.87%)
Air Products & Chemicals, Inc. 22,900 1,861
Alcan Aluminium Limited 46,300 1,606
Allegheny Teledyne Inc. 35,662 963
Aluminum Co. of America 35,500 2,676
*Armco Inc. 21,800 84
ASARCO, Inc. 8,800 270
Avery Dennison Corp. 21,300 855
B.F. Goodrich Company 11,000 476
Barrick Gold Corporation 73,100 1,608
Battle Mountain Gold Company 45,900 261
*Bethlehem Steel Corporation 22,800 238
Boise Cascade Corporation 9,900 350
Champion International 19,500 1,077
Cyprus Minerals Co. 19,100 468
Dow Chemical Company 49,700 4,330
E.I. du Pont de Nemours & Co. 230,400 14,486
Eastman Chemical Company 15,875 1,008
Echo Bay Mines Limited Co. 28,500 164
Ecolab, Inc. 13,200 630
Engelhard Corp. 29,400 616
*FMC Corporation 7,600 604
Freeport-McMoRan Copper & Gold
Inc. 39,500 1,229
Georgia Pacific Corp. 18,700 1,597
Great Lakes Chemical 12,300 644
Hercules Incorporated 20,900 1,001
Homestake Mining Company 30,000 392
Inco Limited 34,400 1,034
Inland Steel Industries, Inc. 10,000 261
International Flavors &
Fragrances, Inc. 22,600 1,141
International Paper Company 61,400 2,982
James River Corp. of Virginia 17,600 651
Louisiana-Pacific Corporation 22,200 469
Mead Corp. 10,700 666
Monsanto Company 120,300 5,180
Morton International, Inc. 29,100 878
Nalco Chemical Company 13,800 533
Newmont Mining Corporation 31,930 1,245
Nucor Corp. 17,900 1,011
Phelps Dodge Corporation 13,300 1,133
<CAPTION>
MARKET VALUE
COMMON STOCK (55.36%) SHARES (000'S)
- -------------------------------------------------------------
<S> <C> <C>
BASIC MATERIALS (CONTINUED)
Placer Dome Incorporated 49,000 $ 802
Potlatch Corporation 5,900 267
PPG Industries Inc. 37,500 2,180
Praxair 32,000 1,792
Reynolds Metals Company 14,900 1,062
Rohm & Haas Company 13,100 1,180
Sigma-Aldrich Corp. 20,500 719
Stone Container Corporation 20,300 291
Union Camp Corporation 14,200 710
Union Carbide Corporation 26,100 1,228
USX-Marathon Group 17,300 607
W.R. Grace & Co. 14,900 821
Westvaco Corporation 20,850 655
Weyerhaeuser Company 40,600 2,111
Willamette Industries Inc. 11,300 791
Worthington Industries 19,700 361
------------
TOTAL 72,255
------------
CAPITAL GOODS (4.72%)
Aeroquip-Vickers Inc. 5,700 269
AMP Incorporated 44,936 1,876
*AutoZone, Inc. 30,800 726
Boeing Company 146,598 7,779
Briggs & Stratton Corporation 5,200 260
Browning-Ferris Industries Inc. 43,600 1,450
Case Corporation 15,000 1,033
Caterpillar Inc. 39,200 4,209
Centex Corporation 5,900 240
Cincinnati Milacron Inc. 8,100 210
Cooper Industries, Inc. 24,200 1,204
Crane Co. 9,450 395
Cummins Engine Company, Inc. 8,100 572
Deere & Company 52,400 2,875
Dover Corporation 23,000 1,415
Emerson Electric Co. 91,500 5,038
Fluor Corporation 17,200 949
Foster Wheeler Corporation 8,300 336
General Dynamics Corporation 12,900 968
General Electric Company 673,700 44,043
General Signal Corporation 10,200 445
Giddings & Lewis Company 6,800 142
Harnischfeger Industries, Inc. 10,100 419
Honeywell Inc. 25,900 1,965
Illinois Tool Works Inc. 50,700 2,532
Ingersoll-Rand Company 22,400 1,383
Johnson Controls Inc. 17,000 698
Kaufman & Broad Home Corp. 7,900 139
Laidlaw Transportation Limited 64,200 887
Lockheed Martin Corporation 39,461 4,087
Masco Corporation 32,800 1,369
McDermott International, Inc. 11,200 $ 327
McDonnell Douglas Corporation 43,400 2,973
</TABLE>
--
18
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET VALUE
COMMON STOCK (55.36%) SHARES (000'S)
- -------------------------------------------------------------
<S> <C> <C>
CAPITAL GOODS (CONTINUED)
Millipore Corp. 8,900 $ 392
Moore Corporation Ltd. 20,400 402
NACCO Industries, Inc. 1,700 96
Northrop Grumman Corporation 11,800 1,036
Owens-Corning Fiberglas Corp. 10,600 457
Pall Corporation 25,766 599
Parker-Hannifin Corporation 15,200 922
Pitney Bowes Inc. 30,400 2,113
Pulte Corporation 4,300 149
Raychem Corp. 9,100 677
Rockwell International Corporation 44,800 2,643
Safety-Kleen Corp. 11,900 201
*Thermo Electron Corporation 30,500 1,037
Thomas & Betts Corporation 10,900 573
Timken Company 12,800 455
TRW, Inc. 26,000 1,477
Tyco International Ltd. 34,100 2,372
United Technologies Corp. 48,600 4,034
Waste Management Inc. 92,700 2,978
Westinghouse Electric Corp. 130,000 3,006
------------
TOTAL 118,832
------------
COMMUNICATION SERVICES (3.38%)
*Airtouch Communications Inc. 102,600 2,809
ALLTEL Corporation 38,300 1,281
Ameritech Corporation 112,400 7,636
AT&T Corporation 331,500 11,623
Bell Atlantic Corporation 89,600 6,798
Bellsouth Corporation 202,800 9,405
Frontier Corporation 33,500 668
GTE Corporation 196,800 8,635
MCI Communications Corporation 140,100 5,363
NYNEX Corp. 90,000 5,186
SBC Communications Incorporated 187,587 11,607
Sprint Corporation 88,100 4,636
U S WEST Communications Group 98,100 3,697
*WorldCom Inc. 177,100 5,667
------------
TOTAL 85,011
------------
CONSUMER CYCLICAL (5.91%)
American Greetings Corp. 15,300 568
Armstrong World Industries Inc. 8,400 616
Black & Decker Corporation 19,300 718
Brunswick Corporation 20,100 628
*Charming Shoppes Incorporated 21,600 113
Chrysler Corporation 143,700 4,715
Circuit City Stores, Inc. 20,100 715
Cooper Tire & Rubber Company 16,200 356
*Costco Companies, Inc. 42,951 1,412
<CAPTION>
MARKET VALUE
COMMON STOCK (55.36%) SHARES (000'S)
- -------------------------------------------------------------
<S> <C> <C>
CONSUMER CYCLICAL (CONTINUED)
*CUC International Inc. 81,175 $ 2,095
CVS Corporation 34,100 1,748
Dana Corporation 20,800 790
Darden Restaurants Inc. 32,700 296
Dayton Hudson Corporation 44,400 2,362
Deluxe Corp. 16,900 577
Dillards Inc Cl A 23,200 803
Dow Jones & Company, Inc. 19,800 796
Dun & Bradstreet Corporation 34,800 914
Eaton Corporation 15,800 1,380
Echlin Inc. 12,800 461
*Federated Department Stores, Inc. 42,500 1,477
Fleetwood Enterprises, Inc. 7,300 218
Ford Motor Company 242,500 9,154
*Fruit Of The Loom, Incorporated 15,700 487
Gannett Company Inc. 28,800 2,844
General Motors Corp. 154,700 8,615
Genuine Parts Company 36,975 1,253
Goodyear Tire & Rubber Company 31,800 2,013
Harcourt General 14,600 695
*Harrahs Entertainment 21,000 383
Hasbro Inc. 26,450 751
*HFS Incorporated 32,200 1,868
Hilton Hotels Corporation 50,600 1,344
Home Depot, Inc. 98,266 6,774
*ITT Corp. 23,800 1,453
ITT Industries Inc. 24,200 623
J.C. Penney Company Inc. 50,500 2,635
John H. Harland Company 6,300 144
Jostens, Inc. 7,900 211
*K Mart Corporation 99,100 1,214
*King World Productions, Inc. 7,600 266
Knight-Ridder Inc. 19,200 942
Liz Claiborne, Inc. 14,600 681
Longs Drug Stores Corp. 8,000 210
Lowe's Companies, Inc. 35,400 1,314
Marriott International 26,200 1,608
Mattel, Inc. 59,060 2,001
May Department Stores Company 50,100 2,367
Maytag Corporation 20,500 536
McDonald's Corporation 142,700 6,894
McGraw-Hill Companies Inc. 20,400 1,200
Mercantile Stores Company 7,500 472
Meredith Corporation 11,000 319
National Service Industries, Inc. 9,300 453
*Navistar International Corp. 14,970 258
New York Times Company 19,800 980
Newell Co. 32,500 1,288
Nike, Inc. 59,000 3,444
Nordstrom, Inc. 16,400 805
</TABLE>
--
19
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET VALUE
COMMON STOCK (55.36%) SHARES (000'S)
- -------------------------------------------------------------
<S> <C> <C>
CONSUMER CYCLICAL (CONTINUED)
PACCAR Incorporated 15,890 $ 738
Pep Boys - Manny, Moe & Jack 12,400 422
R.R. Donnelley & Sons Company 30,900 1,132
Reebok International Ltd. 11,400 533
Rite Aid Corporation 25,100 1,252
Rubbermaid, Inc. 30,600 910
Russell Corp. 7,800 231
Sears Roebuck & Co. 80,100 4,305
Sherwin-Williams Company 35,100 1,084
Snap-On Incorporated 12,450 490
Springs Industries, Inc. 4,100 216
Stride Rite Corp. 10,100 130
Tandy Corporation 11,100 622
The Gap, Inc. 57,100 2,220
The Limited, Inc. 55,400 1,122
The Stanley Works 18,200 728
Times Mirror Company 19,100 1,055
TJX Companies, Inc. 31,800 839
*Toys "R" Us 59,400 2,079
Tribune Company 25,200 1,211
VF Corporation 13,000 1,107
*Viacom Incorporated 72,356 2,171
Wal-Mart Stores, Inc. 469,300 15,868
Walgreen Company 50,400 2,703
Walt Disney Company 138,136 11,085
Wendys International, Inc. 26,500 687
Whirlpool Corporation 15,200 829
*Woolworth Corp. 27,400 658
------------
TOTAL 148,684
------------
CONSUMER STAPLES (7.48%)
Adolph Coors Co. 7,800 208
Alberto-Culver Company 11,400 319
Albertson's, Inc. 51,400 1,876
American Stores Co. 29,800 1,471
Anheuser Busch Companies, Inc. 102,200 4,286
Archer Daniels Midland Company 111,118 2,611
Avon Products, Inc. 27,200 1,919
Ball Corporation 6,200 186
Bemis Company, Inc. 10,700 463
Brown-Forman Corp. 14,100 688
Campbell Soup Company 95,600 4,780
Cardinal Health Inc. 22,300 1,277
Clorox Company 10,600 1,399
Colgate-Palmolive Co. 60,100 3,922
Comcast Corp. 66,750 1,427
Conagra Inc. 49,100 3,149
CPC International Corp. 29,400 2,714
Crown Cork & Seal Company, Inc. 26,200 1,400
Fleming Companies, Inc. 7,700 139
Fortune Brands, Inc. 34,800 1,298
General Mills, Inc. 33,000 2,149
<CAPTION>
MARKET VALUE
COMMON STOCK (55.36%) SHARES (000'S)
- -------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (CONTINUED)
Giant Food Inc. 12,200 $ 398
Gillette Company 113,500 10,754
Great Atlantic & Pacific Tea Co.,
Inc. 7,800 212
H.J.Heinz Company 75,350 3,476
Hershey Foods Corp. 31,400 1,737
Kellogg Company 43,100 3,690
Kimberly-Clark Corporation 115,632 5,753
Pepsico Inc. 317,800 11,937
Philip Morris Companies, Inc. 499,900 22,183
Pioneer Hi-Bred International 16,900 1,352
Procter & Gamble Company 139,000 19,634
Quaker Oats Company 27,800 1,248
Ralston Purina Group 21,800 1,792
Sara Lee Corporation 98,400 4,096
Seagram Company Ltd. 75,900 3,055
Supervalu Inc. 13,700 473
Sysco Corporation 36,100 1,318
*Tele Communications, Inc. 135,800 2,020
The Coca-Cola Company 509,100 34,364
*The Kroger Company 51,600 1,496
Time Warner Inc. 116,300 5,611
Tupperware Corporation 12,700 464
*U S West Media Group 127,800 2,588
Unilever, N.V. 32,700 7,118
UST Incorporated 38,100 1,057
Winn-Dixie Stores, Inc. 30,700 1,144
Wm. Wrigley Jr. Company 23,800 1,595
------------
TOTAL 188,246
------------
ENERGY (4.88%)
Amerada Hess Corporation 19,100 1,061
Amoco Company 101,700 8,842
Ashland, Inc. 15,200 705
Atlantic Richfield Company 65,900 4,646
Baker Hughes Inc. 29,800 1,153
Burlington Resource Inc. 25,600 1,130
Chevron Corp. 133,500 9,871
Dresser Industries, Inc. 36,000 1,341
Exxon Corporation 508,100 31,248
Halliburton Company 25,600 2,029
Helmerich & Payne, Inc. 5,100 294
Kerr-McGee Corporation 9,900 627
Louisiana Land & Exploration Co. 7,000 400
Mobil Corporation 161,200 11,264
Occidental Petroleum Corporation 67,300 1,687
*ORYX Energy Company 21,400 452
Pennzoil Company 9,500 729
Phillips Petroleum Company 53,800 2,354
*Rowan Companies, Inc. 17,500 493
Royal Dutch Petroleum Co., ADR 438,800 23,860
*Santa Fe Energy Resources, Inc. 20,400 300
</TABLE>
--
20
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET VALUE
COMMON STOCK (55.36%) SHARES (000'S)
- -------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
Schlumberger Limited 50,400 $ 6,300
Sun Company, Inc. 14,900 462
Texaco Inc. 54,100 5,883
Union Pacific Resource Group 51,058 1,270
Unocal Corp. 51,200 1,987
USX-Marathon Group 58,800 1,698
*Western Atlas International, Inc. 11,000 806
------------
TOTAL 122,892
------------
FINANCE (8.44%)
Allstate Corporation 90,947 6,639
American Express Company 97,000 7,227
American General Corporation 49,403 2,359
American International Group, Inc. 96,050 14,347
Aon Corporation 33,250 1,721
Banc One Corporation 87,410 4,234
Bank of New York Company Inc. 80,200 3,489
BankAmerica Corporation 146,800 9,478
BankBoston Corporation 31,300 2,256
Bankers Trust New York Corporation 16,700 1,453
Barnett Banks Inc. 42,700 2,242
Beneficial Corporation 11,100 789
Charles Schwab Corporation 35,800 1,457
Chase Manhattan Corporation 89,824 8,719
CIGNA Corporation 15,400 2,734
Citicorp 94,800 11,429
Comerica, Inc. 22,000 1,496
Conseco Inc. 39,000 1,443
Corestates Financial Corp. 45,700 2,456
Countrywide Credit Industries,
Inc. 21,400 667
Equifax, Inc. 30,900 1,149
Fannie Mae 223,400 9,746
Federal Home Loan Mortgage Corp. 146,300 5,029
Fifth Third Bancorp 21,700 1,781
First Bank System Inc. 27,500 2,348
First Chicago NBD Corporation 65,205 3,945
First Union Corporation 58,005 5,365
Fleet Financial Group Inc. 53,719 3,398
General Re Corporation 16,800 3,058
Golden West Financial Corporation 11,700 819
Great Western Financial
Corporation 28,200 1,516
Green Tree Financial Corporation 28,100 1,001
H.F. Ahmanson & Company 21,600 929
Hartford Financial Services Group
Inc. 24,000 1,986
Household International, Inc. 19,800 2,325
<CAPTION>
MARKET VALUE
COMMON STOCK (55.36%) SHARES (000'S)
- -------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
J.P. Morgan & Company, Inc. 37,900 $ 3,956
Jefferson-Pilot Corp. 14,450 1,010
KeyCorp 46,100 2,576
Lincoln National Corporation 21,300 1,371
Loews Corp. 23,500 2,353
Marsh & McLennan Companies Inc. 33,400 2,384
MBIA Incorporated 8,800 993
MBNA Corp. 68,337 2,503
Mellon Bank Corporation 53,000 2,392
Merrill Lynch & Co. 67,400 4,019
MGIC Investment Corp. 24,100 1,155
Morgan Stanley, Dean Witter,
Discover & Co. 117,280 5,050
National City Corp. 45,700 2,399
NationsBank Corp. 149,422 9,638
Norwest Corporation 75,800 4,264
PNC Bank Corp. 68,600 2,855
*Providian Financial Corporation 38,400 1,234
Republic New York Corporation 11,300 1,215
SAFECO Inc. 25,800 1,205
Salomon Inc. 22,300 1,240
St. Paul Companies, Inc. 17,000 1,296
Suntrust Banks Inc. 45,600 2,511
The Chubb Corporation 35,600 2,381
Torchmark Corporation 14,400 1,026
Transamerica Corporation 13,600 1,272
Travelers Group Inc. 130,725 8,244
UNUM Corporation 29,900 1,256
US Bancorp of Oregon 30,900 1,981
USF&G Corp. 23,700 569
Wachovia Corporation 33,800 1,971
Wells Fargo & Company 18,966 5,111
------------
TOTAL 212,460
------------
HEALTHCARE (6.39%)
Abbott Laboratories Inc. 158,900 10,607
Aetna Inc. 30,893 3,163
Allergan Incorporated 13,400 426
*Alza Corp. 17,300 502
American Home Products 130,700 9,999
*Amgen Inc. 54,100 3,145
Bausch & Lomb Inc. 11,400 537
Baxter International Inc. 55,800 2,916
Becton, Dickinson & Company 25,200 1,276
*Beverly Enterprises, Inc. 20,300 330
Biomet, Inc. 23,400 436
*Boston Scientific Corp. 39,700 2,439
Bristol-Myers Squibb Company 204,900 16,597
C.R. Bard, Inc. 11,700 425
Columbia/HCA Healthcare
Corporation 137,350 5,400
</TABLE>
--
21
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET VALUE
COMMON STOCK (55.36%) SHARES (000'S)
- -------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
Eli Lilly & Company 112,900 $ 12,341
Guidant Corp. 15,200 1,292
*HEALTHSOUTH Corporation 70,200 1,751
*Humana, Inc. 33,300 770
Johnson & Johnson 272,500 17,542
Mallinckrodt Group 15,100 574
Manor Care, Inc. 12,900 421
Medtronic, Incorporated 49,100 3,977
Merck & Co., Inc. 246,600 25,523
Pfizer Inc. 131,900 15,762
Pharmacia & Upjohn Inc. 103,930 3,612
Schering-Plough Corporation 151,100 7,234
*St. Jude Medical, Inc. 18,650 727
*Tenet Healthcare Corp. 61,600 1,821
U.S. Surgical Corporation 14,300 533
United Healthcare Corp. 37,700 1,960
Warner-Lambert Company 55,500 6,896
------------
TOTAL 160,934
------------
MISCELLANEOUS (1.00%)
Allied Signal Inc. 57,900 4,864
Cognizant Corp. 34,800 1,409
Corning Inc. 46,800 2,603
H & R Block, Inc. 21,300 687
Interpublic Group Cos. Inc. 16,600 1,018
Minnesota Mining & Manufacturing
Co. 85,500 8,721
Service Corporation International 48,200 1,585
Tenneco Inc. 34,900 1,577
Textron Inc. 33,800 2,243
Whitman Education Group Inc. 21,200 537
------------
TOTAL 25,244
------------
TECHNOLOGY (7.84%)
*3COM Corporation 67,900 3,056
Adobe Systems, Inc. 14,700 515
*Advanced Micro Devices, Inc. 27,900 1,004
*Amdahl Corporation 24,800 217
*Andrew Corporation 18,562 522
*Apple Computer, Inc. 25,500 363
*Applied Materials Inc. 37,000 2,620
Autodesk, Inc. 9,800 375
Automatic Data Processing, Inc. 59,800 2,811
*Bay Networks 40,400 1,073
*Cabletron Systems Inc. 31,900 903
*Ceridian Corp. 16,400 693
*Cisco Systems Incorporated 134,500 9,028
*Compaq Computer Corporation 55,400 5,498
Computer Associates International
Inc. 74,275 4,136
*Computer Sciences Corp. 15,600 1,125
*Data General Corporation 8,200 213
*Dell Computer Corp. 35,800 4,204
<CAPTION>
MARKET VALUE
COMMON STOCK (55.36%) SHARES (000'S)
- -------------------------------------------------------------
<S> <C> <C>
TECHNOLOGY (CONTINUED)
*Digital Equipment Corporation 32,200 $ 1,141
*DSC Communications Corp. 24,000 534
Eastman Kodak Company 68,200 5,234
EG&G, Inc. 9,700 218
*EMC Corporation 50,300 1,962
First Data Corporation 91,600 4,025
*General Instrument Corp. 28,000 700
Harris Corporation 8,000 672
Hewlett-Packard Company 207,500 11,620
Ikon Office Solutions, Inc. 27,600 688
Intel Corp. 167,900 23,810
*Intergraph Corp. 9,700 82
International Business Machines
Corp. 211,800 19,102
*LSI Logic Corp. 28,700 918
Lucent Technologies Inc. 130,543 9,407
*Micron Technology 42,900 1,713
*Microsoft Corporation 246,200 31,114
Motorola, Inc. 121,300 9,219
*National Semiconductor
Corporation 28,500 873
Northern Telecom Limited 52,900 4,814
*Novell, Inc. 70,700 490
*Oracle Corporation 138,300 6,967
*Parametric Technology Company 26,100 1,111
Perkin-Elmer Corporation 8,900 708
Polaroid Corporation 9,300 516
Raytheon Company 48,300 2,463
Scientific-Atlanta, Inc. 15,800 346
*Seagate Technology Inc. 50,600 1,780
Shared Medical Systems Corp. 5,100 275
*Silicon Graphics 36,000 540
*Sun Microsystems Inc. 75,300 2,803
*Tandem Computers Inc. 24,300 492
Tektronix, Inc. 6,800 408
*Tellabs Inc. 36,700 2,051
Temple-Inland Inc. 11,300 610
Texas Instruments Incorporated 39,000 3,278
*Unisys Corporation 35,800 273
W.W. Grainger, Inc. 10,900 852
Xerox Corporation 66,400 5,237
------------
TOTAL 197,402
------------
TRANSPORTATION (0.71%)
*AMR Corporation 18,600 1,721
Burlington Northern Santa Fe Co. 31,333 2,816
Caliber System, Inc. 8,000 298
CSX Corporation 44,400 2,464
Delta Air Lines Inc. 15,000 1,230
*Federal Express Corp. 23,300 1,346
Norfolk Southern Corporation 25,600 2,579
Ryder System, Inc. 15,500 512
</TABLE>
--
22
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET VALUE
COMMON STOCK (55.36%) SHARES (000'S)
- -------------------------------------------------------------
<S> <C> <C>
TRANSPORTATION (CONTINUED)
Southwest Airlines Co. 29,700 $ 768
Union Pacific Corporation 50,100 3,532
*USAir Group, Inc, 16,100 564
------------
TOTAL 17,830
------------
UTILITIES (1.73%)
American Electric Power Co. Inc. 38,300 1,609
Baltimore Gas & Electric Co. 30,200 806
Carolina Power & Light Company 31,000 1,112
Central & South West Corporation 43,100 916
Cinergy Corporation 32,305 1,125
Coastal Corp. 21,500 1,144
Columbia Gas Systems Inc. 11,300 737
Consolidated Edison Co. of New
York 48,100 1,416
Consolidated Natural Gas Company 19,400 1,044
Dominion Resources Inc. 36,900 1,351
DTE Energy Company 29,700 820
Duke Energy Corp. 73,571 3,527
Eastern Enterprises 4,200 146
Edison International 83,900 2,087
Enron Corp. 52,100 2,126
ENSERCH Corporation 14,200 316
Entergy Corporation 47,200 1,292
FPL Group, Inc. 37,400 1,723
GPU, Inc. 24,700 886
Houston Industries Incorporated 47,900 1,027
*Niagara Mohawk Power Corporation 29,500 253
Nicor Inc. 10,200 366
Noram Energy Corporation 30,500 465
Northern States Power Company 14,100 730
Ohio Edison Company 31,200 681
ONEOK, Inc. 5,600 180
P P & L Resources, Inc. 33,200 662
Pacific Enterprises 17,400 585
PacifiCorp 60,300 1,327
PECO Energy Company 45,500 956
Peoples Energy Corporation 7,200 270
PG&E Corp. 84,300 2,044
Public Service Enterprise Group,
Inc. 48,800 1,220
Sonat Inc. 17,600 902
Southern Company 137,800 3,014
Texas Utilities Company 46,000 1,584
UNICOM Corp. 44,100 981
Union Electric Company 20,900 788
Williams Companies Inc. 32,150 1,407
------------
TOTAL 43,625
------------
TOTAL COMMON STOCK $ 1,393,415
------------
<CAPTION>
MARKET VALUE
MONEY MARKET INVESTMENTS (15.86%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
CHEMICALS & ALLIED PRODUCTS (0.99%)
American Home Products
Corporation, 5.63%, 7/22/97 25,000,000 $ 24,918
------------
TOTAL 24,918
------------
FOOD AND KINDRED PRODUCTS (0.87%)
H.J.Heinz Company, 5.53%, 7/24/97 22,000,000 21,922
------------
TOTAL 21,922
------------
GENERAL MERCHANDISE STORES (1.03%)
+ J.C. Penney Funding Corporation,
5.51%, 7/7/97 26,000,000 25,976
------------
TOTAL 25,976
------------
GOVERNMENT (0.23%)
Government Trust Certificates -
Greece, 8%, 5/15/98 857,147 860
+U.S. Teasury, 5.08%, 9/4/97 5,000,000 4,954
------------
TOTAL 5,814
------------
HOLDING AND OTHER INVESTMENT OFFICES (0.99%)
Cargill Incorporated, 5.52%,
7/10/97 25,000,000 24,966
------------
TOTAL 24,966
------------
INDUSTRIAL MACHINERY AND EQUIPMENT (0.38%)
International Business Machines,
5.3%, 1/13/97 7,000,000 7,010
------------
TOTAL 7,010
------------
NONDEPOSITORY INSTITUTIONS (11.74%)
American Express Credit Corp.,
5.52%, 7/10/97 25,000,000 24,966
+Asset Securitization Corporation,
5.53%, 7/18/97 26,900,000 26,830
Avco Financial Services Inc.,
5.875%, 10/15/97 6,800,000 6,800
+BAT Capital Corporation, 5.61%,
7/17/97 25,000,000 24,938
Beneficial Corporation, 6.86%,
11/19/97 7,800,000 7,832
Beneficial Corporation, 9.375%,
7/28/97 5,000,000 5,013
+Ford Motor Credit Company, 5.52%,
7/23/97 25,000,000 24,916
General Electric Capital Corp.,
5.55%, 7/22/97 25,000,000 24,919
General Motors Acceptance Corp.,
5.57%, 8/6/97 25,000,000 24,861
Household Finance Corporation,
6.2%, 7/1/97 3,100,000 3,100
IBM Credit Corporation, 5.56%,
7/30/97 21,700,000 21,603
International Securitization,
5.6%, 7/21/97 25,000,000 24,922
</TABLE>
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23
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET VALUE
MONEY MARKET INVESTMENTS (15.86%) PAR (000'S)
- -------------------------------------------------------------
<S> <C> <C>
NONDEPOSITORY INSTITUTIONS (CONTINUED)
Philip Morris Capital Co. 5.54%,
7/15/97 $25,000,000 $ 24,946
+Receivable Capital Trust, 5.56%,
7/2/97 25,000,000 24,996
Sears Roebuck Acceptance Corp.,
5.55%, 7/16/97 25,000,000 24,941
------------
TOTAL 295,583
------------
TOTAL MONEY MARKET INVESTMENTS $ 406,189
------------
TOTAL BALANCED PORTFOLIO $ 2,517,039
------------
*Non-Income Producing.
+Partially held by the custodian in segregated account as
collateral for open futures postions. Information regarding
open futures contracts as of June 30, 1997 is summarized
below:
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF DEPRECIATION
ISSUERS CONTRACTS EXPIRATION DATE (000'S)
- -------------------- ---------- ---------------- -------------
<S> <C> <C> <C>
U.S. Treasury Bond 90 September 1997 $ (38)
S&P 500 Stock Index 100 September 1997 $ (1,023)
-------------
Total $ (1,061)
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
24
<PAGE>
INDEX 500 STOCK PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
Long-term capital appreciation Invest in a portfolio designed to approximate $979,419,459
through cost-effective the composition and returns of the S&P 500
participation in broad market Index.
performance
</TABLE>
INDEX 500 STOCK PORTFOLIO
The Index 500 Stock Portfolio is designed to achieve results that approximate
the performance of the Standard & Poor's 500 Composite Stock Price Index. This
composite of 500 stocks of large U.S.-based companies, compiled by Standard &
Poor's Corporation, is generally regarded as a good proxy for the overall U.S.
equity market; the Portfolio therefore enables contract owners to participate in
overall performance of the U.S. equity market. The portfolio continues to
achieve the objective of matching the results of the S&P 500 before expenses.
Performance Relative
to S&P 500 Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
INDEX 500 PORTFOLIO S&P 500 INDEX
<S> <C> <C> <C>
6/30/87 10,000 10,000
6/30/88 9,655 9,290
6/30/89 10,575 11,167
6/30/90 11,348 12,976
6/30/91 12,425 13,923
6/30/92 13,618 15,788
6/30/93 15,309 17,936
6/30/94 15,459 18,169
6/30/95 19,464 22,875
6/30/96 24,504 28,799
6/30/97 32,942 38,755
Actively managed prior to
4/30/93
Indexed on 4/30/93
Average Annual Total Return
For Periods Ended June 30,
1997
One Year Five Years Ten Years
Index 500 Stock Portfolio 34.44% 19.32% 12.66%
S&P 500 Index 34.57% 19.67% 14.51%
</TABLE>
On April 30, 1993, the portfolio was indexed to approximate the performance of
the Standard & Poor's 500 Composite Stock Price Index. Before that date, the
portfolio was actively managed.
The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index
of 500 selected common stocks, most of which are listed on the New York Stock
Exchange. The index is heavily weighted toward stocks with large market
capitalizations and represents approximately two-thirds of the total market
value of all domestic common stocks.
This chart assumes an initial investment of $10,000 made on 6/30/87. 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 2 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.
--
25
<PAGE>
INDEX 500 STOCK PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (94.15%) SHARES (000'S)
<S> <C> <C>
- --------------------------------------------------------------
BASIC MATERIALS (4.96%)
Air Products & Chemicals, Inc. 15,100.00 $ 1,227
Alcan Aluminum Limited 30,600.00 1,061
Allegheny Teledyne Inc. 23,635.00 638
Aluminum Co. of America 23,500.00 1,771
*Armco Inc. 13,800.00 53
ASARCO, Inc. 5,800.00 178
Avery Dennison Corp. 14,100.00 566
B.F. Goodrich Company 7,300.00 316
Barrick Gold Corporation 48,400.00 1,065
Battle Mountain Gold Company 30,400.00 173
*Bethlehem Steel Corporation 15,100.00 158
Boise Cascade Corporation 6,600.00 233
Champion International 12,900.00 713
Cyprus Minerals Co. 12,650.00 310
Dow Chemical Company 32,900.00 2,866
E.I. du Pont de Nemours & Co. 152,400.00 9,582
Eastman Chemical Company 10,525.00 668
Echo Bay Mines Limited Co. 18,900.00 109
Ecolab, Inc. 8,700.00 415
Engelhard Corp. 19,500.00 408
*FMC Corporation 5,000.00 397
Freeport-McMoRan Copper & Gold,
Inc. 26,200.00 815
Georgia Pacific Corp. 12,400.00 1,059
Great Lakes Chemical 8,100.00 424
Hercules Incorporated 13,900.00 665
Homestake Mining Company 19,900.00 260
Inco Limited 22,800.00 685
Inland Steel Industries, Inc. 6,600.00 172
International Flavors &
Fragrances, Inc. 14,900.00 752
International Paper Company 40,600.00 1,972
James River Corp. of Virginia 11,700.00 433
Louisiana Pacific Corporation 14,700.00 311
Mead Corp. 7,100.00 442
Monsanto Company 79,600.00 3,428
Morton International, Inc. 19,300.00 583
Nalco Chemical Company 9,100.00 351
Newmont Mining Corporation 21,080.00 822
Nucor Corp. 11,900.00 672
Phelps Dodge Corporation 8,800.00 750
Placer Dome Incorporated 32,400.00 531
Potlatch Corporation 3,900.00 176
PPG Industries Inc. 24,800.00 1,442
Praxair 21,200.00 1,187
Reynolds Metals Company 9,800.00 698
Rohm & Haas Company 8,700.00 784
Sigma-Aldrich Corp. 13,500.00 473
Stone Container Corporation 13,400.00 192
Union Camp Corporation 9,400.00 470
Union Carbide Corporation 17,200.00 809
<CAPTION>
MARKET
VALUE
COMMON STOCK (94.15%) SHARES (000'S)
<S> <C> <C>
- --------------------------------------------------------------
BASIC MATERIALS (CONTINUED)
USX-Marathon Group 38,900.00 $ 1,123
W.R. Grace & Co. 9,800.00 540
Westvaco Corporation 13,750.00 432
Weyerhaeuser Company 26,800.00 1,394
Willamette Industries Inc. 7,500.00 525
Worthington Industries 13,050.00 239
-----------
TOTAL 48,518
-----------
CAPITAL GOODS (8.03%)
Aeroquip-Vickers Inc. 3,800.00 180
AMP Incorporated 29,772.00 1,243
*AutoZone, Inc. 20,400.00 481
Boeing Company 97,066.00 5,151
Briggs & Stratton Corporation 3,400.00 170
Browning-Ferris Industries Inc. 28,800.00 958
Case Corporation 9,900.00 682
Caterpillar Inc. 25,900.00 2,781
Centex Corporation 3,900.00 158
Cincinnati Milacron Inc. 5,400.00 140
Cooper Industries, Inc. 16,000.00 796
Crane Co. 6,250.00 261
Cummins Engine Company, Inc. 5,300.00 374
Deere & Company 34,600.00 1,899
Dover Corporation 15,200.00 935
Emerson Electric Co. 60,500.00 3,331
Fluor Corporation 11,400.00 629
Foster Wheeler Corporation 5,500.00 223
General Dynamics Corporation 8,500.00 638
General Electric Company 445,800.00 29,144
General Signal Corporation 6,800.00 297
Giddings & Lewis Company 4,300.00 90
Harnischfeger Industries, Inc. 6,700.00 278
Honeywell Inc. 17,200.00 1,305
Illinois Tool Works Inc. 33,500.00 1,673
Ingersoll-Rand Company 14,800.00 914
Johnson Controls Inc. 11,300.00 464
Kaufman & Broad Home Corp. 5,300.00 93
Laidlaw Transportation Limited 42,500.00 587
Lockheed Martin Corporation 26,054.00 2,698
Masco Corporation 21,700.00 906
McDermott International, Inc. 7,400.00 216
McDonnell Douglas Corporation 28,700.00 1,966
Millipore Corp. 5,900.00 260
Moore Corporation Ltd. 12,900.00 254
NACCO Inddustries, Inc. 1,100.00 62
Northrop Grumman Corporation 7,800.00 685
Owens Corning Fiberglas Corp. 7,000.00 302
Pall Corporation 17,000.00 395
Parker-Hannifin Corporation 10,050.00 610
Pitney Bowes Inc. 20,100.00 1,397
Pulte Corporation 2,800.00 97
Raychem Corp. 6,000.00 446
</TABLE>
--
26
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (94.15%) SHARES (000'S)
- --------------------------------------------------------------
<S> <C> <C>
CAPITAL GOODS (CONTINUED)
Rockwell International
Corporation 29,600.00 $ 1,746
Safety-Kleen Corp. 7,900.00 133
*Thermo Electron Corporation 20,200.00 687
Thomas & Betts Corporation 7,200.00 378
Timken Company 8,500.00 302
TRW, Inc. 17,200.00 977
Tyco International Ltd. 22,600.00 1,572
United Technologies Corp. 32,100.00 2,664
Waste Management Inc. 61,300.00 1,969
Westinghouse Electric Corp. 86,000.00 1,989
-----------
TOTAL 78,586
-----------
COMMUNICATION SERVICES (5.75%)
*Airtouch Communications Inc. 67,900.00 1,859
ALLTEL Corporation 25,300.00 846
Ameritech Corporation 74,400.00 5,055
AT&T Corporation 219,400.00 7,693
Bell Atlantic Corporation 59,300.00 4,499
Bellsouth Corporation 134,200.00 6,224
Frontier Corporation 22,200.00 443
GTE Corporation 130,200.00 5,713
MCI Communications Corporation 92,700.00 3,549
NYNEX Corp. 59,600.00 3,434
SBC Communications Incorporated 124,149.00 7,682
Sprint Corporation 58,300.00 3,068
U S WEST Communications Group 64,900.00 2,446
*WorldCom Inc. 117,200.00 3,750
-----------
TOTAL 56,261
-----------
CONSUMER CYCLICAL (10.04%)
American Greetings Corp. 10,100.00 375
Armstrong World Industries Inc. 5,600.00 411
Black & Decker Corporation 12,800.00 476
Brunswick Corporation 13,300.00 416
*Charming Shoppes Incorporated 13,900.00 73
Chrysler Corporation 95,100.00 3,120
Circuit City Stores, Inc. 13,300.00 473
Cooper Tire & Rubber Company 10,600.00 233
*Costco Companies, Inc. 28,407.00 934
*CUC International Inc. 53,725.00 1,387
CVS Corporation 22,500.00 1,153
Dana Corporation 13,800.00 524
Darden Restaurant Inc. 21,600.00 196
Dayton Hudson Corporation 29,400.00 1,564
Deluxe Corp. 11,200.00 382
Dillard Department Stores, Inc. 15,400.00 533
Dow Jones & Company, Inc. 13,100.00 526
Dun & Bradstreet Corporation 23,100.00 606
<CAPTION>
MARKET
VALUE
COMMON STOCK (94.15%) SHARES (000'S)
<S> <C> <C>
- --------------------------------------------------------------
CONSUMER CYCLICAL (CONTINUED)
Eaton Corporation 10,400.00 $ 908
Echlin Inc. 8,400.00 302
*Federated Department Stores,
Inc. 28,200.00 980
Fleetwood Enterprises, Inc. 4,800.00 143
Ford Motor Company 160,500.00 6,059
*Fruit of the Loom, Incorporated 10,400.00 322
Gannet Company Inc. 19,100.00 1,886
General Motors Corp. 102,300.00 5,697
Genuine Parts Company 24,500.00 830
Goodyear Tire & Rubber Company 21,000.00 1,330
Harcourt General 9,600.00 457
*Harrahs Entertainment 13,900.00 254
Hasbro Inc. 17,550.00 498
*HFS Incorporated 21,300.00 1,235
Hilton Hotels Corporation 33,500.00 890
Home Depot, Inc. 64,999.00 4,481
*ITT Corp. 15,800.00 965
ITT Industries Inc. 16,000.00 412
J.C. Penney Company, Inc. 33,400.00 1,743
John H. Harland Company 4,200.00 96
Jostens, Inc. 5,200.00 139
*K Mart Corporation 65,600.00 804
*King World Productions, Inc. 5,100.00 179
Knight-Ridder Inc. 12,700.00 623
Liz Claiborne, Inc. 9,700.00 452
Longs Drug Stores Corp. 5,300.00 139
Lowe's Companies, Inc. 23,400.00 869
Marriott International 17,300.00 1,062
Mattel, Inc. 39,088.00 1,324
May Department Stores Company 33,200.00 1,569
Maytag Corporation 13,600.00 355
McDonald's Corporation 94,500.00 4,566
McGraw-Hill Companies Inc. 13,500.00 794
Mercantile Stores Company 5,000.00 315
Meredith Corporation 7,200.00 209
National Service Industries, Inc. 6,100.00 297
*Navistar International Corp. 9,900.00 171
New York Times Company 13,100.00 648
Newell Co. 21,500.00 852
Nike, Inc. 39,000.00 2,277
Nordstrom, Inc. 10,900.00 535
Paccar Incorporated 10,570.00 491
Pep Boys - Manny, Moe & Jack 8,200.00 279
R.R. Donnelley & Sons Company 20,400.00 747
Reebok International Ltd. 7,500.00 351
Rite Aid Corporation 16,600.00 828
Rubbermaid, Inc. 20,300.00 604
Russell Corp. 5,200.00 154
Sears, Roebuck & Co. 53,000.00 2,849
</TABLE>
--
27
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (94.15%) SHARES (000'S)
- --------------------------------------------------------------
<S> <C> <C>
CONSUMER CYCLICAL (CONTINUED)
Sherwin-Williams Company 23,200.00 $ 716
Snap-On Incorporated 8,250.00 325
Springs Industries, Inc. 2,700.00 142
Stride Rite Corp. 6,700.00 86
Tandy Corporation 7,400.00 414
The Gap, Inc. 37,800.00 1,469
The Limited Inc. 36,700.00 743
The Stanley Works 12,000.00 480
Times Mirror Company 12,700.00 702
TJX Companies, Inc. 21,000.00 554
*Toys "R" Us 39,300.00 1,376
Tribune Company 16,700.00 803
VF Corporation 8,600.00 732
*Viacom Incorporated 47,856.00 1,436
Wal-Mart Stores Inc. 310,600.00 10,502
Walgreen Company 33,300.00 1,786
Walt Disney Company 91,369.00 7,332
Wendy's International, Inc. 17,500.00 454
Whirlpool Corporation 10,100.00 551
*Woolworth Corp. 18,100.00 434
-----------
TOTAL 98,389
-----------
CONSUMER STAPLES (12.72%)
Adolph Coors Co. 5,100.00 136
Alberto-Culver Company 7,600.00 213
Albertson's, Inc. 34,000.00 1,241
American Stores Co. 19,700.00 973
Anheuser-Busch Companies, Inc. 67,600.00 2,835
Archer Daniels Midland Company 73,570.00 1,729
Avon Products, Inc. 18,000.00 1,270
Ball Corporation 4,100.00 123
Bemis Company, Inc. 7,100.00 307
Brown-Forman Corp. 9,300.00 454
Campbell Soup Company 63,300.00 3,165
Cardinal Health Inc. 14,700.00 842
Clorox Company 7,000.00 924
Colgate-Palmolive Co. 39,800.00 2,597
Comcast Corp. 44,150.00 944
Conagra Inc. 32,500.00 2,084
CPC International Corp. 19,500.00 1,800
Crown Cork & Seal Company, Inc. 17,400.00 930
Fleming Companies, Inc. 5,100.00 92
Fortune Brands, Inc. 23,000.00 858
General Mills, Inc. 21,900.00 1,426
Giant Food Inc. 8,100.00 264
Gillette Company 75,100.00 7,116
Great Atlantic & Pacific Tea Co.,
Inc. 5,200.00 141
H.J. Heinz Company 49,850.00 2,299
Hershey Foods Corp. 20,800.00 1,151
<CAPTION>
MARKET
VALUE
COMMON STOCK (94.15%) SHARES (000'S)
<S> <C> <C>
- --------------------------------------------------------------
CONSUMER STAPLES (CONTINUED)
Kellogg Company 28,500.00 $ 2,440
Kimberly-Clark Corporation 76,544.00 3,808
Pepsico Inc. 210,300.00 7,899
Philip Morris Companies, Inc. 330,800.00 14,679
Pioneer Hi-Bred International 11,200.00 896
Procter & Gamble Company 92,000.00 12,995
Quaker Oats Company 18,400.00 826
Ralston Purina Group 14,400.00 1,184
Sara Lee Corporation 65,100.00 2,710
Seagram Company Ltd. 50,200.00 2,021
Supervalue Inc. 9,100.00 314
Sysco Corporation 23,900.00 872
*Tele Communications, Inc. 89,900.00 1,337
The Coca-Cola Company 336,900.00 22,741
*The Kroger Company 34,200.00 992
Time Warner Inc. 77,000.00 3,715
Tupperware 8,400.00 307
*U S West Media Group 84,600.00 1,713
Unilever, N.V. 21,700.00 4,715
UST Incorporated 25,200.00 699
Winn-Dixie Stores, Inc. 20,300.00 756
Wm. Wrigley Jr. Company 15,700.00 1,052
-----------
TOTAL 124,585
-----------
ENERGY (8.23%)
Amerada Hess Corporation 12,600.00 700
Amoco Company 67,300.00 5,851
Ashland, Inc. 10,100.00 468
Atlantic Richfield Company 43,600.00 3,074
Baker Hughes Inc. 19,700.00 762
Burlington Resource Inc. 16,900.00 746
Chevron Corp. 88,300.00 6,529
Dresser Industries, Inc. 23,800.00 887
Exxon Corporation 336,200.00 20,676
Halliburton Company 17,000.00 1,347
Helmerich & Payne, Inc. 3,400.00 196
Kerr-McGee Corporation 6,600.00 418
Louisiana Land & Exploration Co. 4,600.00 263
Mobil Corporation 106,600.00 7,449
Occidental Petroleum Corporation 44,500.00 1,115
*ORYX Energy Company 14,200.00 300
Pennzoil Company 6,300.00 484
Phillips Petroleum Company 35,600.00 1,558
*Rowan Companies, Inc. 11,600.00 327
Royal Dutch Petroleum Co., ADR 290,400.00 15,791
*Santa Fe Energy Resources, Inc. 13,500.00 198
Schlumberger Limited 33,300.00 4,163
Sun Company, Inc. 9,900.00 307
Texaco Inc. 35,800.00 3,893
Union Pacific Resource Group 33,792.00 841
</TABLE>
--
28
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (94.15%) SHARES (000'S)
- --------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
Unocal Corp. 33,900.00 $ 1,316
USX - U S Steel Group Inc. 11,500.00 403
*Western Atlas International Inc. 7,300.00 535
-----------
TOTAL 80,597
-----------
FINANCE (14.35%)
Allstate Corporation 60,214.00 4,396
American Express Company 64,200.00 4,783
American General Corporation 32,725.00 1,563
American International Group,
Inc. 63,550.00 9,493
Aon Corporation 22,000.00 1,139
Banc One Corporation 57,845.00 2,802
Bank of New York Company, Inc. 53,100.00 2,310
BankAmerica Corporation 95,000.00 6,133
BankBoston Corporation 20,700.00 1,492
Bankers Trust New York
Corporation 11,100.00 966
Barnett Banks Inc. 28,300.00 1,486
Beneficial Corporation 7,300.00 519
Charles Schwab Corporation 23,700.00 964
Chase Manhattan Corporation 59,456.00 5,771
CIGNA Corporation 10,200.00 1,811
Citicorp 62,700.00 7,559
Comerica, Inc. 14,500.00 986
Conseco Inc. 25,800.00 955
Corestates Financial Corp. 30,300.00 1,629
Countrywide Credit Industries,
Inc. 14,100.00 440
Equifax, Inc. 20,500.00 762
Fannie Mae 147,800.00 6,448
Federal Home Loan Mortgage Corp. 96,800.00 3,328
Fifth Third Bancorp 14,300.00 1,173
First Bank System Inc. 18,200.00 1,554
First Chicago NBD Corporation 43,128.00 2,609
First Union Corporation 38,435.00 3,555
Fleet Financial Group Inc. 35,530.00 2,247
General Re Corporation 11,100.00 2,020
Golden West Financial Corporation 7,800.00 546
Great Western Financial
Corporation 18,600.00 1,000
Green Tree Financial Corporation 18,600.00 663
H.F. Ahmanson & Company 14,300.00 615
Hartford Financial Services Group
Inc. 15,900.00 1,316
Household International Inc. 13,100.00 1,538
J.P. Morgan & Company, Inc. 25,100.00 2,620
Jefferson-Pilot Corp. 9,600.00 671
KeyCorp 30,500.00 1,704
Lincoln National Corporation 14,100.00 908
<CAPTION>
MARKET
VALUE
COMMON STOCK (94.15%) SHARES (000'S)
<S> <C> <C>
- --------------------------------------------------------------
FINANCE (CONTINUED)
Loews Corp. 15,600.00 $ 1,562
Marsh & McLennan Companies Inc. 22,200.00 1,585
MBIA Incorporated 5,900.00 666
MBNA Corp. 45,200.00 1,655
Mellon Bank Corporation 35,000.00 1,579
Merrill Lynch & Co. 44,600.00 2,659
MGIC Investment Corp. 16,000.00 767
Morgan Stanley, Dean Witter,
Discover & Co. 77,605.00 3,342
National City Corp. 30,200.00 1,586
NationsBank Corp. 98,856.00 6,376
Norwest Corporation 50,100.00 2,818
PNC Bank Corp. 45,400.00 1,890
*Providian Financial Corporation 24,800.00 797
Republic New York Corporation 7,500.00 806
SAFECO Inc. 17,100.00 798
Salomon Inc. 14,800.00 823
St. Paul Companies, Inc. 11,200.00 854
Suntrust Banks Inc. 30,200.00 1,663
The Chubb Corporation 23,600.00 1,578
Torchmark Corporation 9,500.00 677
Transamerica Corporation 9,000.00 842
Travelers Group Inc. 86,465.00 5,453
UNUM Corporation 19,800.00 832
US Bancorp of Oregon 20,500.00 1,315
USF&G Corp. 15,700.00 377
Wachovia Corporation 22,400.00 1,306
Wells Fargo & Company 12,533.00 3,378
-----------
TOTAL 140,458
-----------
HEALTHCARE (10.88%)
Abbott Laboratories Inc. 105,200.00 7,022
Aetna Inc. 20,463.00 2,095
Allergan Incorporated 8,900.00 283
*Alza Corp. 11,400.00 331
American Home Products
Corporation 86,500.00 6,617
*Amgen Inc. 35,800.00 2,081
Bausch & Lomb Inc. 7,500.00 353
Baxter International Inc. 37,000.00 1,933
Becton, Dickinson & Company 16,600.00 840
*Beverly Enterprises, Inc. 13,400.00 218
Biomet, Inc. 15,500.00 289
*Boston Scientific Corp. 26,300.00 1,616
Bristol-Myers Squibb Company 135,600.00 10,984
C.R. Bard, Inc. 7,700.00 280
Columbia/HCA Healthcare
Corporation 90,900.00 3,574
Eli Lilly & Company 74,700.00 8,166
Guidant Corp. 10,000.00 850
*Healthsouth Corporation 46,400.00 1,157
</TABLE>
--
29
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (94.15%) SHARES (000'S)
- --------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
*Humana, Inc. 22,000.00 $ 509
Johnson & Johnson 180,300.00 11,607
Mallinckrodt, Inc. 10,000.00 380
Manor Care, Inc. 8,500.00 277
Medtronic, Incorporated 32,500.00 2,633
Merck & Co., Inc. 163,200.00 16,891
Pfizer Inc. 87,300.00 10,432
Pharmacia & Upjohn Inc. 68,805.00 2,391
Schering-Plough Corporation 100,000.00 4,788
*St. Jude Medical, Inc. 12,400.00 484
*Tenet Healthcare Corp. 40,800.00 1,206
U.S. Surgical Corporation 9,500.00 354
United Healthcare Corp. 24,900.00 1,295
Warner-Lambert Company 36,700.00 4,560
-----------
TOTAL 106,496
-----------
MISCELLANEOUS (1.71%)
Allied Signal Inc. 38,300.00 3,217
Cognizant Corp. 23,100.00 936
Corning Inc. 31,000.00 1,724
H & R Block, Inc. 14,100.00 455
Interpublic Group of Cos. Inc. 11,000.00 674
Minnesota Mining & Manufacturing
Co. 56,600.00 5,773
Service Corporation International 31,900.00 1,049
Tenneco Inc. 23,100.00 1,044
Textron Inc. 22,400.00 1,487
Whitman Corp. 14,000.00 354
-----------
TOTAL 16,713
-----------
TECHNOLOGY (13.34%)
*3COM Corporation 44,900.00 2,021
Adobe Systems, Inc. 9,700.00 340
*Advanced Micro Devices, Inc. 18,500.00 666
*Amdahl Corporation 16,400.00 144
*Andrew Corporation 12,337.00 347
*Apple Computer, Inc. 16,900.00 241
*Applied Materials Inc. 24,500.00 1,735
Autodesk, Inc. 6,500.00 249
Automatic Data Processing, Inc. 39,500.00 1,857
*Bay Networks 26,700.00 709
*Cabletron Systems Inc. 21,100.00 597
*Ceridian Corp. 10,900.00 461
*Cisco Systems Incorporated 89,000.00 5,974
*Compaq Computer Corporation 36,700.00 3,642
Computer Associates International
Inc. 49,175.00 2,738
*Computer Sciences Corp. 10,400.00 750
*Data General Corporation 5,400.00 140
*Dell Computer Corp. 23,700.00 2,783
*Digital Equiipment Corporation 21,300.00 755
*DSC Communications Corp. 15,900.00 354
Eastman Kodak Company 45,100.00 3,461
<CAPTION>
MARKET
VALUE
COMMON STOCK (94.15%) SHARES (000'S)
<S> <C> <C>
- --------------------------------------------------------------
TECHNOLOGY (CONTINUED)
EG&G, Inc. 6,400.00 $ 144
*EMC Corporation 33,300.00 1,299
First Data Corporation 60,600.00 2,663
*General Instrument Corp. 18,500.00 463
Harris Corporation 5,300.00 445
Hewlett-Packard Company 137,300.00 7,689
Ikon Office Solutions 18,200.00 454
Intel Corp. 111,100.00 15,755
*Intergraph Corp. 6,100.00 52
International Business Machines
Corp. 140,100.00 12,635
*LSI Logic Corp. 19,000.00 608
Lucent Technologies Inc. 86,440.00 6,229
*Micron Technology 28,400.00 1,134
*Microsoft Corporation 162,900.00 20,586
Motorola, Inc. 80,300.00 6,103
*National Semiconductor
Corporation 18,900.00 579
Northern Telecom Limited 35,000.00 3,185
*Novell, Inc. 46,900.00 325
*Oracle Corporation 91,500.00 4,609
*Parametric Technology Company 17,300.00 736
Perkin-Elmer Corporation 5,900.00 469
Polaroid Corporation 6,200.00 344
Raytheon Company 32,000.00 1,632
Scientific-Atlanta, Inc. 10,500.00 230
*Seagate Technology Inc. 33,500.00 1,179
Shared Medical Systems Corp. 3,400.00 184
*Silicon Graphics 23,900.00 359
*Sun Microsystems Inc. 49,800.00 1,853
*Tandem Computers Inc. 16,100.00 326
Tektronix, Inc. 4,500.00 270
*Tellabs Inc. 24,300.00 1,358
Temple-Inland Inc. 7,500.00 405
Texas Instruments Incorporated 25,800.00 2,169
*Unisys Corporation 23,700.00 181
W.W. Grainger, Inc. 7,200.00 563
Xerox Corporation 43,900.00 3,463
-----------
TOTAL 130,642
-----------
TRANSPORTATION (1.20%)
*AMR Corporation 12,300.00 1,138
Burlington Northern Santa Fe 20,707.00 1,861
Caliber System, Inc. 5,300.00 197
CSX Corporation 29,400.00 1,632
Delta Air Lines Inc. 9,900.00 812
*Federal Express Corp. 15,400.00 889
Norfolk Southern Corporation 16,900.00 1,703
Ryder System, Inc. 10,300.00 340
Southwest Airlines Co. 19,600.00 507
Union Pacific Corporation 33,100.00 2,334
</TABLE>
--
30
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (94.15%) SHARES (000'S)
- --------------------------------------------------------------
<S> <C> <C>
TRANSPORTATION (CONTINUED)
*USAir Group, Inc. 10,600.00 $ 371
-----------
TOTAL 11,784
-----------
UTILITIES (2.94%)
American Electric Power Co. Inc. 25,400.00 1,067
Baltimore Gas & Electric Co. 20,000.00 534
Carolina Power & Light Company 20,500.00 735
Central & South West Corporation 28,600.00 608
Cinergy Corporation 21,317.00 742
Coastal Corp. 14,200.00 755
Columbia Gas System Inc. 7,500.00 489
Consolidated Edison Co. of New
York 31,800.00 936
Consolidated Natural Gas Company 12,800.00 689
Dominion Resources Inc. 24,400.00 894
DTE Energy Company 19,600.00 541
Duke Energy Corp. 48,665.00 2,333
Eastern Enterprises 2,700.00 94
Edison International 55,500.00 1,381
Enron Corp 34,400.00 1,404
ENSERCH Corporation 9,400.00 209
Entergy Corporation 31,300.00 857
FPL Group, Inc. 24,800.00 1,142
GPU, Inc. 16,300.00 585
Houston Industries Incorporated 31,700.00 680
*Niagara Mohawk Power Corporation 19,500.00 167
Nicor Inc. 6,700.00 240
Noram Energy Corporation 17,700.00 270
Northern States Power Company 9,400.00 486
Ohio Edison Company 20,700.00 452
ONEOK, Inc. 3,700.00 119
P P & L Resources, Inc. 22,000.00 439
Pacific Enterprises 11,500.00 387
PacifiCorp 39,900.00 878
PECO Energy Company 30,100.00 632
Peoples Energy Corporation 4,700.00 176
PG&E Corp. 55,800.00 1,353
Public Service Enterprise Group,
Inc. 32,300.00 808
Sonat Inc. 11,700.00 600
<CAPTION>
MARKET
VALUE
COMMON STOCK (94.15%) SHARES (000'S)
<S> <C> <C>
- --------------------------------------------------------------
UTILITIES (CONTINUED)
Southern Company 91,200.00 $ 1,995
Texas Utilities Company 30,400.00 1,047
UNICOM Corp. 29,200.00 650
Union Electric Company 13,800.00 520
Williams Coompanies Inc. 21,300.00 932
-----------
TOTAL 28,826
-----------
TOTAL COMMON STOCK $ 921,855
-----------
<CAPTION>
MARKET
VALUE
MONEY MARKET INSTRUMENT (5.85%) PAR (000'S)
<S> <C> <C>
- --------------------------------------------------------------
CHEMICALS & ALLIED PRODUCTS (0.48%)
+American Home Products
Corporation, 6.15%, 7/1/97 $ 4,700,000.00 $ 4,700
-----------
GOVERNMENT (0.51%)
+U.S. Treasury, 5.08%9/4/97 5,000,000.00 4,954
-----------
NONDEPOSITORY INSTITUTIONS (4.86%)
+Ford Motor Credit Corp., 5.52%,
7/23/97 20,000,000.00 19,933
+Household Finance Corp., 5.53%,
7/10/97 16,000,000.00 15,978
+Receivable Capital Trust, 5.56%,
7/16/97 11,700,000.00 11,672
-----------
TOTAL 47,583
-----------
TOTAL MONEY MARKET
INVESTMENTS 57,237
-----------
TOTAL INDEX 500 STOCK
PORTFOLIO $ 979,092
-----------
</TABLE>
* Non-Income Producing.
+Partially held by the custodian in a segregated account as collateral for open
futures positions. Information regarding open futures contracts as of June 30,
1997 is summarized below:
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
NUMBER OF (DEPRECIATION)
ISSUER CONTRACTS EXPIRATION DATE (000'S)
- -------------------- ---------- ---------------- --------------
<S> <C> <C> <C>
S&P 500 Stock Index 111 September 1997 $3,899
S&P 500 Stock Index 14 December 1997 $ (84)
--------------
Total $3,815
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
31
<PAGE>
GROWTH AND INCOME STOCK PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
Long-term growth of capital and Actively manage a portfolio of equity $325,880,102
income, consistent with securities with a goal of exceeding the total
moderate investment risk return of the S&P 500 Index.
</TABLE>
GROWTH AND INCOME STOCK PORTFOLIO
The Growth and Income Portfolio invests mainly in large-capitalization stocks,
with a focus on seeking the best values in the market based on long-term
earnings forecasts. A sector balance very close to that of the S&P 500 Index is
normally maintained, with the emphasis on undervalued stocks within each sector;
a valuation discipline mandates the sale of stocks regarded as overvalued. More
focus is placed on capital appreciation and dividend growth than on current
dividends. The portfolio is normally fully invested in equity securities.
The Portfolio recorded excellent performance during the first six months of
1997, as the market continued to soar, with particular strength in the large
capitalization stocks that are the Portfolio's core holdings. Stock selection in
the telephone and services sectors contributed importantly to performance, with
a particularly large increase in Worldcom, a rapidly growing telecommunications
company. Holdings in the drug industry benefited from FDA approvals of new
drugs; Warner-Lambert, which successfully launched two major new drugs,
performed especially well. Within the technology sector, which is weighted
approximately equal to the S&P 500 Index, the emphasis is on companies involved
in data networking area, which are releasing new products that will assist
companies in building intranet capabilities and upgrading communications
equipment.
The Growth and Income Stock Portfolio is managed for Northwestern Mutual by J.
P. Morgan Investment Management, Inc.
Sector Allocation
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Consumer 36%
Interest-Sensitive 21%
Industry 23%
Technology 11%
Energy 9%
</TABLE>
Top 10 Holdings
6/30/97
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
COMPANY % OF NET ASSETS
<S> <C>
Procter & Gamble Co. 3.5%
Warner-Lambert Company 3.1%
Toys R Us 2.8%
Cooper Industries 2.4%
Exxon Corp. 2.4%
PepsiCo, Inc. 2.3%
Boeing Company 2.3%
Worldcom Inc. 2.3%
Tosco Corp. 2.2%
AlliedSignal Inc. 2.2%
</TABLE>
Performance Relative
to S&P 500 Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH & INCOME STOCK PORTFOLIO S&P 500 INDEX
<S> <C> <C> <C>
5/3/94 10,000 10,000
6/30/94 9,784 9,845
6/30/95 11,754 12,394
6/30/96 14,099 15,604
6/30/97 18,641 21,000
Average Annual Total Return
For Periods Ended June 30,
1997
One Year Since Inception
Growth & Income Stock Portfolio 32.22% 21.79%
S&P 500 Index 34.57% 26.47%
</TABLE>
The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of
500 selected common stocks, most of which are listed on the New York Stock
Exchange. The index is heavily weighted toward stocks with large market
capitalizations and represents approximately two-thirds of the total market
value of all domestic common stocks.
This chart assumes an initial investment of $10,000 made on 5/3/94
(commencement of operations). Returns shown include deductions for management
and other fund expenses, and reinvestment of all dividends. Returns exclude
deductions for separate account sales loads and account fees. Past performance
is not predictive of future performance. Investment return and principal value
will fluctuate, so that your shares, when redeemed, may be worth more or less
than their original cost. The net investment rates of return shown on page 2
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.
--
32
<PAGE>
GROWTH AND INCOME STOCK PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (98.96%) SHARES (000'S)
<S> <C> <C>
- ---------------------------------------------------------------
BASIC MATERIALS (7.08%)
Albemarle Corporation 141,300 $ 2,976
Allegheny Teledyne Inc. 189,100 5,106
Aluminum Company of America 36,900 2,781
E.I. Du Pont De Nemours & Co 100,000 6,288
Union Carbide Corporation 93,700 4,410
*USG Corporation 41,500 1,515
-----------
TOTAL 23,076
-----------
CAPITAL GOODS (6.68%)
Boeing Company 135,900 7,211
Cooper Industries Inc. 156,400 7,781
Johnson Controls Inc. 70,900 2,911
Waste Management Inc. 119,600 3,842
-----------
TOTAL 21,745
-----------
COMMUNICATION SERVICES (5.99%)
Bell Atlantic Corporation 35,100 2,663
GTE Corporation 69,200 3,036
MCI Communications Corporation 78,900 3,020
Sprint Corp. 64,900 3,415
*Worldcom Inc. 230,300 7,370
-----------
TOTAL 19,504
-----------
CONSUMER CYCLICAL (7.16%)
*Circuit City Stores, Inc. - CarMax
Group 75,800 1,085
Circuit City Stores - Circuit City
Group 91,200 3,243
*Federated Department Stores, Inc. 81,900 2,846
*Fruit Of The Loom, Incorporated 47,600 1,476
General Motors Corporation 37,500 2,166
General Motors Corporation 48,200 2,684
*Lear Corp 13,500 599
*Toys R Us 263,200 9,212
-----------
TOTAL 23,311
-----------
CONSUMER STAPLES (13.78%)
General Mills, Inc. 87,600 5,705
Pepsico Inc. 204,300 7,674
Philip Morris Companies, Inc 48,800 2,166
Procter & Gamble Company 66,300 9,365
Ralston Purina Group 57,400 4,718
*Tele Communications, Inc. 448,800 6,676
Time Warner Inc. 95,200 4,593
Unilever, N V 18,300 3,989
-----------
TOTAL 44,886
-----------
ENERGY (8.39%)
Anadarko Petroleum Corporation 44,900 2,694
British Petroleum Co. Ltd 56,780 4,251
Exxon Corporation 140,200 8,622
*Input/Output, Inc. 67,100 1,216
Tosco Corporation 239,500 7,170
<CAPTION>
MARKET
VALUE
COMMON STOCK (98.96%) SHARES (000'S)
<S> <C> <C>
- ---------------------------------------------------------------
ENERGY (CONTINUED)
Valero Energy Corp. 93,000 $ 3,371
-----------
TOTAL 27,324
-----------
FINANCE (12.98%)
Advanta Corporation - Class B 700 25
Banc One Corporation 95,603 4,631
Citicorp 22,500 2,713
Crestar Financial Corp. 74,600 2,900
Dime Bancorp, Inc. 114,000 1,995
Fannie Mae 54,000 2,356
First Chicago NBD Corporation 83,700 5,064
First Hawaiian, Inc. 83,800 2,860
Fleet Financial Group Inc. 23,100 1,461
Marsh & Mclennan Companies, Inc. 82,000 5,853
MBIA Incorporated 6,800 767
Morgan S D Witter Discover&co Com 69,900 3,010
Nationsbank Corp. 34,800 2,245
*Providian Financial Corp. 16,600 533
Salomon Inc 44,200 2,459
Washington Mutual, Inc. 56,900 3,400
-----------
TOTAL 42,272
-----------
HEALTHCARE (9.83%)
*Alza Corporation 99,100 2,874
American Home Products Corporation 86,700 6,633
Columbia/HCA Healthcare Corp. 16,000 629
*Humana, Inc. 129,600 2,997
Schering-Plough Corporation 54,000 2,585
United Healthcare Corp. 122,900 6,391
Warner-Lambert Company 79,800 9,915
-----------
TOTAL 32,024
-----------
INSURANCE (0.73%)
Aegon N.V. 7,167 502
Ambac, Inc. 24,400 1,864
-----------
TOTAL 2,366
-----------
MISCELLANEOUS (2.85%)
*ADT Ltd. 73,700 2,432
AlliedSignal Inc. 81,500 6,846
-----------
TOTAL 9,278
-----------
SERVICES (2.43%)
*Circus Circus Enterprises 156,200 3,846
*First USA Paymentech, Inc. 2,600 75
International Game Technology 171,200 3,039
*TCI Satellite Entertainment Inc. 123,100 969
-----------
TOTAL 7,929
-----------
TECHNOLOGY (13.84%)
Autodesk, Inc. 89,200 3,417
*Bay Networks, Inc. 176,100 4,678
*Cabletron Systems, Inc. 93,400 2,644
*Cisco Systems Incorporated 31,100 2,088
*Cypress Semiconductor Corporation 154,400 2,239
</TABLE>
--
33
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (98.96%) SHARES (000'S)
- ---------------------------------------------------------------
<S> <C> <C>
TECHNOLOGY (CONTINUED)
*EMC Corporation 92,600 $ 3,611
First Data Corporation 34,400 1,511
*General Instrument Corp. 228,500 5,713
Intel Corp. 19,900 2,822
International Business Machines 51,600 4,654
*Learning Inc. 1,900 18
Perkin Elmer Corporation 24,600 1,957
Sensormatic Electronics Corp. 193,400 2,490
*Sun Microsystems Inc. 67,700 2,520
Symbol Technologies Inc. 58,900 1,981
Temple-Inland Inc 50,900 2,749
-----------
TOTAL 45,092
-----------
TRANSPORTATION (3.02%)
CNF Transportation Inc. 27,900 900
*Coltec Industries Inc. 187,500 3,656
*Consolidated Freightways Corp. 1,000 16
CSX Corporation 94,000 5,217
Union Pacific Corporation 900 63
-----------
TOTAL 9,852
-----------
UTILITIES (4.20%)
Allegheny Power System, Inc. 54,900 1,465
Dominion Resources Inc. 42,200 1,546
Duke Energy Corp. 29,300 1,405
Enron Corp 63,300 2,583
New England Electric Systems 92,000 3,404
Northern States Power Company 63,400 3,280
-----------
TOTAL 13,683
-----------
TOTAL COMMON STOCK $ 322,342
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
VALUE
MONEY MARKET INSTRUMENT (1.04%) SHARES (000'S)
<S> <C> <C>
- --------------------------------------------------------------
NONDEPOSITORY INSTITUTIONS (0.98%)
Ford Motor Credit Corp, 5.52%,
07/23/97 500,000 $ 498
Household Finance Corp, 5.53%,
07/10/97 1,000,000 999
Receivable Capital Trust, 5.559%,
7/16/97 1,000,000 998
Sears Roebuck Acceptance, 5.569%,
8/06/97 700,000 696
-----------
TOTAL 3,191
-----------
TOBACCO PRODUCTS (0.06%)
Philip Morris Corporation, 6.15%,
7/1/97 200,000 200
-----------
TOTAL 200
-----------
TOTAL MONEY MARKET INSTRUMENTS $ 3,391
-----------
TOTAL GROWTH & INCOME PORTFOLIO $ 325,733
-----------
*Non-Income Producing.
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
34
<PAGE>
GROWTH STOCK PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
Long-term appreciation of Hold a diversified mix of high quality growth $217,026,430
capital with moderate risk stocks of medium and large companies with
above-average potential for earnings growth.
</TABLE>
GROWTH STOCK PORTFOLIO
The Growth Stock Portfolio is invested in high quality companies of large to
medium capitalization with strong financial characteristics and the ability to
generate internal growth. A key factor in stock selection is the choice of
industries with good earnings potential, based on analysis of economic trends to
determine their impact on various sectors of the economy. Stock selection is
made through "top down" analysis: first industry and market sector choices are
made based on the economic environment, and then the most promising companies
within each sector are selected as holdings. Diversification across 70 to 90
stocks in a wide range of industry groups reduces the portfolio's risk profile.
The Growth Stock Portfolio continued to provide strong returns during the first
half of 1997, reflecting strength in the overall market, particularly in large
capitalization stocks. A strategy of this portfolio is to go beyond the most
familiar "blue chip" names to seek out medium-sized companies with stock prices
that do not yet reflect their potential for growth. In line with this strategy,
changes in focus were made within certain market sectors to increase exposure to
companies that are well positioned for current trends. For example, in the
energy area, performance benefited from a move from multinational oil companies
to oil field service providers; in the automotive group, an increased position
in Borg Warner Automotive provided participation in the increasing popularity of
sport utility vehicles. Specialty retailers such as Kohls Department Stores
benefit from continued strong consumer spending. Fiserv, a provider of
technology services to financial institutions, addresses two important themes:
the increasing importance of technology to businesses and strategic outsourcing.
Sector Allocation
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Consumer Cyclicals 19%
Consumer Staples/Health Care 18%
Basic Materials/Capital Goods 13%
Energy 10%
Technology 11%
Finance 13%
Other 16%
</TABLE>
Top 10 Holdings
6/30/97
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
COMPANY % OF NET ASSETS
<S> <C>
General Electric Company 2.4%
Kohls Department Stores 1.8%
Philip Morris Companies, Inc. 1.8%
Merck & Co., Inc. 1.8%
AlliedSignal 1.8%
Microsoft Corporation 1.8%
Borg Warner Automotive 1.7%
Procter & Gamble Company 1.6%
BankAmerica Corporation 1.6%
Fiserv, Inc. 1.6%
</TABLE>
Performance Relative to S&P 500 Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH STOCK PORTFOLIO S&P 500 INDEX
<S> <C> <C> <C>
5/3/94 10,000 10,000
6/30/94 9,884 9,845
6/30/95 11,626 12,394
6/30/96 14,694 15,604
6/30/97 18,707 21,000
Average Annual Total Return
For Periods Ended June 30,
1997
One Year Since Inception
Growth Stock Portfolio 27.31% 21.93%
S&P 500 Index 34.57% 26.47%
</TABLE>
The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of
500 selected common stocks, most of which are listed on the New York Stock
Exchange. The index is heavily weighted toward stocks with large market
capitalizations and represents approximately two-thirds of the total market
value of all domestic common stocks.
This chart assumes an initial investment of $10,000 made on 5/3/94
(commencement of operations). Returns shown include deductions for management
and other fund expenses, and reinvestment of all dividends. Returns exclude
deductions for separate account sales loads and account fees. Past performance
is not predictive of future performance. Investment return and principal value
will fluctuate, so that your shares, when redeemed, may be worth more or less
than their original cost. The net investment rates of return shown on page 2
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.
--
35
<PAGE>
GROWTH STOCK PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (91.82%) SHARES (000'S)
<S> <C> <C>
- --------------------------------------------------------------
BASIC MATERIALS (3.82%)
Avery Dennison Corporation 56,200 $ 2,255
E.I. du Pont de Nemours & Co. 26,100 1,641
Ecolab, Inc. 62,700 2,994
PPG Industries Inc. 23,900 1,389
-----------
TOTAL 8,279
-----------
CAPITAL GOODS (8.67%)
*American Standard Companies, Inc. 40,600 1,817
Boeing Company 48,400 2,568
Deere & Company 47,000 2,579
Emerson Electric Co. 57,800 3,183
General Electric Company 77,400 5,060
General Motors Class H 27,100 1,565
*Gulfstream Aerospace 68,800 2,030
-----------
TOTAL 18,802
-----------
COMMUNICATION SERVICES (1.68%)
MCI Communications Corporation 34,200 1,309
*WorldCom Inc. 73,200 2,342
-----------
TOTAL 3,651
-----------
CONSUMER CYCLICAL (18.94%)
*Barnes & Noble Inc. 59,000 2,537
*Borg Warner Automotive 68,200 3,687
*Federated Department Stores, Inc. 39,500 1,373
Ford Motor Company 41,100 1,552
Harley Davidson, Inc. 48,200 2,311
Home Depot, Inc. 31,700 2,185
*Kohls Department Stores 72,800 3,854
Mattel, Inc. 63,281 2,144
McDonald's Corporation 44,400 2,145
McGraw-Hill Companies Inc. 26,200 1,541
New York Times Company 51,100 2,529
Newell Co. 81,600 3,233
*OfficeMax, Inc. 17,800 257
*Promus Hotels 45,000 1,744
*Scholastic Corp. 30,300 1,061
Tribune Company 27,600 1,327
Wal-Mart Stores, Inc. 59,400 2,008
Walgreen Company 61,100 3,276
Walt Disney Company 28,900 2,319
-----------
TOTAL 41,083
-----------
CONSUMER STAPLES (10.06%)
Campbell Soup Company 52,000 2,600
CPC International Corp. 19,400 1,791
General Mills, Inc. 14,600 951
Gillette Company 19,500 1,848
Hershey Foods Corp. 35,000 1,936
Pepsico Inc. 73,000 2,742
Philip Morris Companies 85,500 3,794
Procter & Gamble Company 24,200 3,418
<CAPTION>
MARKET
VALUE
COMMON STOCK (91.82%) SHARES (000'S)
<S> <C> <C>
- --------------------------------------------------------------
CONSUMER STAPLES (CONTINUED)
Unilever N.V. 12,600 $ 2,747
-----------
TOTAL 21,827
-----------
ENERGY (10.30%)
Amoco Company 30,200 2,626
British Petroleum Co. Ltd. 33,200 2,486
Diamond Offshore Drilling Inc. 25,000 1,953
Exxon Corporation 26,400 1,624
Mobil Corporation 30,000 2,096
Schlumberger Limited 20,000 2,500
Texaco Inc. 20,200 2,197
Tosco Corporation 79,200 2,371
Transocean Offshore Inc. 20,400 1,482
Unocal Corp. 48,600 1,886
*Western Atlas International Inc. 15,300 1,121
-----------
TOTAL 22,342
-----------
FINANCE (13.45%)
Associates First Capital Corporation 55,000 3,053
Banc One Corporation 36,000 1,744
BankAmerica Corporation 52,800 3,409
Chase Manhattan Corporation 33,040 3,207
CIGNA Corporation 11,300 2,006
Citicorp 18,600 2,242
First Union Corporation 27,500 2,544
Franklin Resources 43,800 3,178
Merrill Lynch & Co. 28,000 1,670
Morgan Stanley, Dean Witter, Discover
& Co. 64,900 2,795
Travelers Group Inc. 38,000 2,396
USF&G Corp. 38,800 931
-----------
TOTAL 29,175
-----------
HEALTHCARE (7.69%)
Eli Lilly & Company 28,700 3,137
*Healthsouth Corp. 21,900 546
*Horizon/CMS Healthcare Corp. 31,700 636
Johnson & Johnson 43,500 2,800
Merck & Co., Inc. 36,800 3,809
Pfizer Inc. 25,100 2,999
United Healthcare Corp. 53,000 2,756
-----------
TOTAL 16,683
-----------
MISCELLANEOUS (2.67%)
Allied Signal Inc. 44,600 3,746
Dial Corp. 131,000 2,047
-----------
TOTAL 5,793
-----------
TECHNOLOGY (10.62%)
*Cisco Systems Incorporated 15,000 1,007
*DST Systems, Inc. 54,400 1,812
First Data Corporation 61,100 2,685
*Fiserv 75,100 3,351
Hewlett-Packard Company 36,800 2,061
</TABLE>
--
36
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (91.82%) SHARES (000'S)
- --------------------------------------------------------------
<S> <C> <C>
TECHNOLOGY (CONTINUED)
Intel Corp. 16,800 $ 2,382
International Business Machines 35,200 3,175
Lucent Technologies, Inc. 15,171 1,093
*Microsoft Corporation 29,400 3,715
W.W. Grainger, Inc. 22,400 1,751
-----------
TOTAL 23,032
-----------
TRANSPORTATION (3.14%)
*AMR Corporation 19,400 1,795
Canadian National Railway Co. 70,500 3,084
*Midwest Express Holdings, Inc. 70,500 1,930
-----------
TOTAL 6,809
-----------
UTILITIES (0.78%)
Sonat Inc. 33,000 1,690
-----------
TOTAL COMMON STOCK $ 199,166
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
VALUE
MONEY MARKET INVESTMENTS (8.18%) PAR (000'S)
<S> <C> <C>
- --------------------------------------------------------------
HEALTHCARE (0.37%)
American Home Product Corporation,
6.150%, 07/01/1997 $ 800,000 $ 800
-----------
<CAPTION>
MARKET
VALUE
MONEY MARKET INVESTMENTS (8.18%) PAR (000'S)
<S> <C> <C>
- --------------------------------------------------------------
GOVERNMENT (0.32%)
+U.S. Treasury, 5.079%, 09/04/1997 $ 700,000 $ 694
-----------
NONDEPOSITORY INSTITUTIONS (7.49%)
+Asset Securitization, 5.52%,
07/17/1997 6,700,000 6,684
+Ford Motor Credit Corp., 5.52%,
07/23/1997 6,100,000 6,079
Sears Roebuck Acceptance Corp.,
5.57%, 08/06/1997 3,500,000 3,480
-----------
TOTAL 16,243
-----------
TOTAL MONEY MARKET INVESTMENTS $ 17,737
-----------
TOTAL GROWTH STOCK PORTFOLIO $ 216,903
-----------
*Non-Income Producing.
+Partially held by the custodian in a segregated account as
collateral for open futures positions. Information regarding
open futures contracts as of June 30, 1997 is summarized
below:
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF EXPIRATION DEPRECIATION
ISSUER CONTRACTS DATE (000'S)
- -------------------- ---------- ---------------- -------------
<S> <C> <C> <C>
S&P 500 Stock Index 19 September 1997 $(16)
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
37
<PAGE>
INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
Long-term appreciation of Participate in the growth of foreign $643,465,873
capital through economies by investing in securities with
diversification into markets high long-term earnings potential relative
outside the United States to current market values.
</TABLE>
INTERNATIONAL EQUITY PORTFOLIO
The International Equity Portfolio offers contract owners the opportunity to
participate in the growth of companies in countries throughout the world,
particularly those with expanding economies. The Portfolio continues to buy the
shares of undervalued companies internationally, using a disciplined focus on
long-term value.
International investors benefited from continued growth in economies and markets
around the world. European markets were quite strong, driven in part by the
rising dollar and by excellent earnings reports, particularly among
pharmaceutical firms, financial service providers and exporters. Markets in
Switzerland, the Netherlands and Germany were the top performers in Europe.
In the Pacific region, the Portfolio is concentrated in Hong Kong, where a
market surge in the second quarter can be considered a vote of confidence among
investors that the return of control to China will not erode this vibrant
economy's prospects for growth. The Portfolio benefited from an underweighting
of poorly performing markets in Thailand and the Philippines.
The International Equity Portfolio is managed for Northwestern Mutual by
Templeton Investment Counsel, Inc.
Asset Allocation
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Europe 60%
Asia 11%
Australia/New Zealand 7%
Latin America 8%
Canada 3%
Non-equity holdings 11%
</TABLE>
Performance Relative
to the EAFE Index
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
PORTFOLIO EAFE INDEX
<S> <C> <C> <C>
4/30/93 10,000 10,000
6/30/93 10,118 10,202
6/30/94 12,155 11,936
6/30/95 13,487 12,175
6/30/96 15,569 13,831
6/30/97 19,751 15,650
Average Annual Total Return
For Periods Ended June 30,
1997
One Year Since Inception
International Equity
Portfolio 26.86% 17.74%
EAFE Index 13.15% 11.35%
</TABLE>
As depicted in the graph, the International Equity Portfolio is compared against
the Morgan Stanley Capital International EAFE ("Europe-Australia-Far East")
Index. The index is composed of approximately 1100 companies in 20 countries in
Europe and the Pacific Basin. The objective of the index is to reflect the
movements of stock markets in these countries by representing an unmanaged
(indexed) portfolio within each country. The indices are constructed so that
companies chosen represent about 60% of market capitalization in each market;
industry composition of the market is reflected; and a cross section of large,
medium, and small capitalization stocks is included, taking into account
liquidity concerns. The index is calculated in U. S. dollars.
On May 3, 1994, the Northwestern Mutual International Equity Fund, Inc. (the
"Fund") merged into the Northwestern Mutual Series Fund, Inc., International
Equity Portfolio (the "Portfolio"). The Portfolio had no assets prior to the
merger. After the merger, the assets of the Portfolio were those of the Fund.
The investment objectives, policies, management and expenses of the Portfolio
are identical to those of the Fund. Accordingly, the performance of the Fund
prior to the merger is included with the performance of the Portfolio in the
graph and total return figures above.
This chart assumes an initial investment of $10,000 made on 4/30/93
(commencement of the Fund's operations). Returns shown include deductions for
management and other fund expenses, and reinvestment of all dividends. Returns
exclude deductions for separate account sales loads and account fees. Past
performance is not predictive of future performance. Investment return and
principal value will fluctuate, so that your shares, when redeemed, may be worth
more or less than their original cost. The net investment rates of return shown
on page 2 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.
--
38
<PAGE>
INTERNATIONAL EQUITY PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (88.24%) COUNTRY SHARES (000'S)
<S> <C> <C> <C>
- -----------------------------------------------------------------
AEROSPACE & MILITARY TECHNOLOGY (0.13%)
Hong Kong Aircraft &
Engineering H.K. 232,700 $ 847
-----------
AIRLINES (1.29%)
Air New Zealand Ltd. "B" N.Z. 1,150,000 3,507
+Quantas Airways (144A)
ADR Austrl. 165,000 3,832
Singapore Airlines Ltd. Sing. 105,000 940
-----------
TOTAL 8,279
-----------
APPLIANCES & HOUSEHOLD DURABLES (1.35%)
Electrolux AB "B" Free Swe. 48,200 3,478
Thorn PLC U.K. 1,816,600 5,140
-----------
TOTAL 8,618
-----------
AUTOMOBILES (4.24%)
Bertrand Faure SA Fr. 5,642 297
Fiat SPA Ord. Italy 1,389,000 4,996
Renault SA Fr. 405,775 10,278
Volvo Aktiebogelegt, "B"
Free Swe. 433,000 11,592
-----------
TOTAL 27,163
-----------
BANKING & CREDIT (16.47%)
Australia & New Zealand
Bank Group Austrl. 926,097 6,868
+Bancaria de Espania
Corp., ADR Sp. 195,000 5,533
Banco Bradesco SA Braz. 262,600,000 2,647
Banco de Andulucia Sp. 30,000 5,100
Banco Itau SA Braz. 503,000 282
+Banque National de Paris,
ADR (144A) Fr. 146,500 6,044
Barclay's Bank, PLC U.K. 245,016 4,861
BCO BilboaVizcaya Sp. 125,200 10,190
BPI SGPS SA Port. 201,963 3,935
Canadian Imperial Bank of
Commerce Can. 309,200 7,800
Credit Commercial de
France Fr. 25,500 1,082
Deutsche Bank AG Ger. 193,600 11,321
HSBC Holdings U.K. 260,737 7,842
Komercni Bank "A" Chez. 15,000 778
**Komercni Bank (144A) GDR Chez. 30,000 623
Korea Long Term Credit
Bank Kor. 74,930 1,156
Merita Limited "A" Fin. 1,800,000 5,891
National Bank of Canada
Montreal Can. 360,000 4,515
*Panin Bank Indo. 5,346,000 3,518
Suisse Group Credit Swtz. 55,725 7,167
Svenska Hanelsbanken S.A. Swe. 230,000 7,317
<CAPTION>
MARKET
VALUE
COMMON STOCK (88.24%) COUNTRY SHARES (000'S)
<S> <C> <C> <C>
- -----------------------------------------------------------------
BANKING & CREDIT (CONTINUED)
Unibanco Uniao de Bancos Braz. 28,067,000 $ 1,030
-----------
TOTAL 105,500
-----------
BROADCAST ADVERTISING PUBLISHING (0.14%)
Marieberg Tidings "A" Free Swe. 35,000 869
-----------
BUILDING MATERIALS AND COMPONENTS (2.15%)
Hepworth PLC U.K. 225,278 885
Pioneer International Ltd. Austrl. 3,197,946 12,266
Siam City Cement Public
Co, Ltd. Thai. 161,000 653
-----------
TOTAL 13,804
-----------
BUSINESS & PUBLIC SERVICE (2.61%)
Esselte AB, Series "A"
Free Swe. 269,900 6,178
Hyder PLC U.K. 371,666 5,010
Hyder PLC Cum. Red. Pfd. U.K. 401,400 706
Societe Generale de Surv
Holdings Swtz. 885 1,894
Waste Management
International, PLC U.K. 310,700 1,422
*+Waste Management PLC,
ADR U.K. 168,000 1,533
-----------
TOTAL 16,743
-----------
CHEMICALS (5.37%)
Bayer AG Ger. 157,000 6,038
Courtaulds PLC U.K. 1,851,700 10,447
European Vinyls Corp. EVC
International Neth. 68,985 1,750
Imperial Chemical
Industries, PLC U.K. 19,000 264
Rhone Poulenc SA, Series A Fr. 283,108 11,573
Solvay Et Cie A NPV Bel. 7,300 4,305
-----------
TOTAL 34,377
-----------
CONSTRUCTION & HOUSING (0.62%)
Kyudendo Corp. Jpn. 33,000 279
Sirti SPA Italy 643,000 3,705
-----------
TOTAL 3,984
-----------
ELECTRICAL & ELECTRONICS (3.70%)
ABB AG Baden Bearer Swtz. 4,730 7,170
Alcatel Alsthom DG Fr. 58,519 7,336
Philips Electronic Neth. 128,400 9,214
-----------
TOTAL 23,720
-----------
ELECTRICAL COMPONENTS, INSTRUMENTS (0.67%)
BICC PLC U.K. 1,450,345 4,272
-----------
ENERGY SOURCES (2.86%)
Hafslund Nycomed "A" Norw. 170,000 1,022
Repsol SA Sp. 122,000 5,168
</TABLE>
--
39
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (88.24%) COUNTRY SHARES (000'S)
- -----------------------------------------------------------------
<S> <C> <C> <C>
ENERGY SOURCES (CONTINUED)
Saga Petrolium Norw. 260,000 $ 4,937
Societe Nationale Elf
Aquitane Fr. 66,801 7,214
-----------
TOTAL 18,341
-----------
FINANCIAL SERVICES (1.63%)
AXA-UAP SA Fr. 47,813 2,977
India Fund, Series "B" U.K. 1,256,515 2,332
*JF Indonesia Fund, Inc. H.K. 456,600 589
#Korea International Trust
IDRU Kor. 52 1,768
Peregrine Investments
Holdings, Ltd. H.K. 262,000 539
Thai Fund Inc. Thai. 71,516 1,100
Thailand International
Fund Thai. 70 1,164
-----------
TOTAL 10,469
-----------
FOOD & HOUSEHOLD PRODUCTS (2.89%)
Albert Fisher Group PLC U.K. 6,734,996 4,848
Cafe de Coral Holdings,
Ltd. H.K. 7,672,000 1,971
CP Pokphand Co. H.K. 2,609,900 817
Hillsdown Holdings U.K. 1,800,892 5,065
Tate & Lyle, PLC U.K. 26,000 193
The Oshawa Group Ltd. Can. 187,300 2,804
Vitro SA NPV Mex. 768,400 2,850
-----------
TOTAL 18,548
-----------
FOREST PRODUCTS & PAPER (2.95%)
Carter Holt Harvey Ltd. N.Z. 3,929,357 10,146
Metsa Serla OY "B" Fin. 277,500 2,260
P.T. Barito Pacific Timber Indo. 937,000 800
Stora Kapparbergs, Series
"B" Swe. 350,000 5,703
-----------
TOTAL 18,909
-----------
HEALTH & PERSONAL CARE (2.05%)
Astra AB Series "A" Free Swe. 373,333 6,953
Nycomed ASA Series "A" Norw. 294,000 4,337
Nycomed ASA Series "B" Norw. 128,200 1,830
-----------
TOTAL 13,120
-----------
INDUSTRIAL COMPONENTS (1.19%)
BTR PLC U.K. 1,899,400 6,496
BTR, PLC "A" Austrl. 249,000 821
*Granges AB Swe. 24,100 319
-----------
TOTAL 7,636
-----------
INSURANCE (3.51%)
Aegon NV Neth. 106,192 7,425
ING Groep NV Neth. 190,000 8,776
London Insurance Group Can. 325,200 6,270
-----------
TOTAL 22,471
-----------
<CAPTION>
MARKET
VALUE
COMMON STOCK (88.24%) COUNTRY SHARES (000'S)
<S> <C> <C> <C>
- -----------------------------------------------------------------
MACHINERY & ENGINEERING (0.86%)
VA Technologies AG Bearer Aus. 30,000 $ 5,491
-----------
MERCHANDISING (1.16%)
David Jones Ltd. Austrl. 742,100 1,028
Koninklijke Bijenkorf
Beheer Neth. 44,098 3,090
Kwik Save Group U.K. 465,057 2,357
Somerfield PLC U.K. 318,200 959
-----------
TOTAL 7,434
-----------
METALS & MINING (2.88%)
British Steel PLC U.K. 1,013,400 2,513
Elkem A S Oslo ord "A" Norw. 192,000 3,764
Grupo Mexico "B" Mex. 861,800 3,250
*Inmet Mining Ltd. Can. 192,500 1,060
+Pechiney ADR "A" Fr. 48,183 976
Pechiney SA "A" Fr. 19,000 749
*Union Minerie, NPV Bel. 65,171 6,109
-----------
TOTAL 18,421
-----------
MISCELLANEOUS MATERIAL/COMMODITIES (0.21%)
Korea Chemical Company,
Ltd. Kor. 16,700 1,371
-----------
MULTI-INDUSTRY (6.95%)
Amer Group "A" Fin. 175,000 3,201
Comp Gen de Industrieset
de Partec Fr. 4,500 1,280
Harrisons & Crossfield U.K. 2,490,000 4,559
Hutchinson Whampoa H.K. 798,000 6,927
Jardine Matheson Holdings Sing. 1,212,301 8,607
Jardine Strategic Holdings Sing. 1,019,055 3,852
Marine Wendel SA Fr. 11,490 1,174
Nokia Corp., "A" Fin. 71,000 5,358
Swire Pacific Class "A" H.K. 472,500 4,269
Swire Pacific Limited "B" H.K. 3,534,200 5,315
-----------
TOTAL 44,542
-----------
RAILROAD (0.56%)
Brambles Ind. Ltd. Austrl. 183,500 3,600
-----------
TELECOMMUNICATIONS (9.26%)
British Telecom U.K. 608,000 4,513
Cointel CONV Pfd. Arg. 73,150 4,828
+Compania de
Telecomunicaciones, ADR Chile 155,125 5,119
+Phillipine Long Distance
Telephone, ADR Phil. 63,500 4,080
*Seat SPA Di Risp Italy 2,490,000 520
SPT Telecom AS Chez. 36,000 3,778
Stet Di Risp Non-Conv. Italy 2,490,000 8,634
+Telebras ADR Braz. 103,500 15,706
Telefonica de Espania Sp. 315,000 9,124
</TABLE>
--
40
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (88.24%) COUNTRY SHARES (000'S)
- -----------------------------------------------------------------
<S> <C> <C> <C>
TELECOMMUNICATIONS (CONTINUED)
+Telefonica del Peru SA
"B", ADR Peru 115,300 $ 3,019
-----------
TOTAL 59,321
-----------
TEXTILES-APPAREL (0.35%)
Yizheng Chemical Fibre
Company China 12,469,200 2,221
-----------
UTILITIES-ELECTRIC & GAS (9.32%)
BG PLC U.K. 3,774,400 13,820
*Centrica PLC U.K. 1,913,200 2,324
*CEZ Ceske Energeticke
Zavody Chez. 101,990 2,817
Electricidad de Caracas Venz. 4,145,760 6,641
Endesa National de
Elactric Sp. 63,000 5,299
EVN Energie Versorgung Aus. 38,400 4,948
Hong Kong Electric H.K. 1,790,000 7,209
Iberdrola SA Sp. 587,500 7,430
Korea Electric Power Corp. Kor. 33,000 985
National Power U.K. 493,764 4,290
Thames Water U.K. 251,023 2,883
*Veba-Warrants Ger. 3,000 1,052
-----------
TOTAL 59,698
-----------
WHOLESALE & INTERNATIONAL TRADE (0.87%)
Brierley Investments Ltd. N.Z. 5,716,091 5,577
-----------
TOTAL COMMON STOCK 565,346
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
VALUE
BONDS (1.69%) COUNTRY PAR (000'S)
<S> <C> <C> <C>
- ----------------------------------------------------------------
FEDERAL GOVERNMENT & AGENCIES (0.43%)
U.S. Treasury, 5.125,
4/30/98 U.S. $ 2,757,000 $ 2,743
-----------
<CAPTION>
MARKET
VALUE
BONDS (1.69%) COUNTRY PAR (000'S)
<S> <C> <C> <C>
- ----------------------------------------------------------------
FINANCIAL SERVICES (0.39%)
PIV Financial Investments,
Ltd. H.K $ 2,750,000 $ 2,503
-----------
TELECOMMUNICATIONS (0.87%)
Nacional Financiera CNV Mex. 117,802 5,610
-----------
TOTAL BONDS 10,856
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
MONEY MARKET VALUE
INVESTMENTS (10.07%) COUNTRY PAR (000'S)
<S> <C> <C> <C>
- ----------------------------------------------------------------
CHEMICALS & ALLIED PRODUCTS (0.25%)
American Home Products
Corporation, 7/1/97 U.S. $ 1,600,000 $ 1,600
-----------
NONDEPOSITORY INSTITUTIONS (9.82%)
Ford Motor Credit Company,
7/23/97 U.S. 12,000,000 11,959
Household Finance
Corporation, 7/10/97 U.S. 12,000,000 11,983
Receivable Capital Trust,
7/16/97 U.S. 10,200,000 10,176
Sears Roebuck Acceptance
Corp, 8/13/97 U.S. 29,000,000 28,808
-----------
TOTAL 62,926
-----------
TOTAL MONEY MARKET
INVESTMENTS 64,526
-----------
TOTAL INTERNATIONAL
EQUITY PORTFOLIO $ 640,728
-----------
</TABLE>
* Non-Income Producing
** GDR-Global Depository Receipt
+ ADR-American Depository Receipt
# IDR-International Depository Receipt
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
41
<PAGE>
AGGRESSIVE GROWTH STOCK PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Objective: Portfolio Strategy: Net Assets:
Maximum long-term appreciation Strive for the highest possible rate of capital $961,113,543
of capital appreciation by investing in companies with
potential for rapid growth.
</TABLE>
AGGRESSIVE GROWTH STOCK PORTFOLIO
The Aggressive Growth Stock Portfolio owns the stocks of emerging growth
companies, generally with market capitalizations of less than $3 billion. Since
growth stock portfolios tend to react strongly to changes in financial and
economic markets, as well as to changes in the prospects for individual
companies, returns of this Portfolio can vary considerably from time to time. A
higher level of risk (with risk defined as variability of returns over time) is
accepted for the potential of greater long-term returns. The focus in stock
selection is on the individual companies' ability to generate revenue, expanding
profit margins and solid balance sheets; industry sector selection is of
secondary importance.
Consistent with the universe of small company stocks, the Portfolio's
performance lagged the broad market averages in the first quarter and benefited
from improved performance of small company stocks in the second quarter. The
Portfolio is concentrated in four sectors in which there are numerous companies
with particularly promising prospects for growth: technology; business services,
consumer cyclicals and health care. In the technology sector, investments in
software, computer services, telecommunication equipment and semiconductors
contributed to solid overall performance. Holdings in the business services area
were increased, as service providers take advantage of the trend to strategic
outsourcing and as new technology in areas such as telecommunications creates
opportunity for increasingly sophisticated services. Among consumer companies,
specialty retailers continue to perform well, reflecting a high level of
consumer confidence. The position in health care issues has been reduced
somewhat in the last six months, in part because of a favorable buyout of a
major holding. Additionally, the Portfolio was restructured to eliminate some
underperforming issues.
The outlook for the emerging growth companies that are the focus of this
Portfolio appears favorable, as valuations remain at reasonable levels compared
with larger companies.
Sector Allocation
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Consumer 20%
Technology 30%
Business Services 11%
Health Care 8%
Energy 7%
Industrial 6%
Transportation 5%
Finance 4%
Cash Equivalents 9%
</TABLE>
Performance Relative to Relevant Indices
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AGGRESSIVE GROWTH WILSHIRE SMALL WILSHIRE NEXT
<S> <C> <C> <C>
Stock Portfolio Cap Index 1750 Index
11/30/90 10,000 10,000 10,000
6/30/91 12,593 13,189 13,186
6/30/92 13,994 15,522 15,086
6/30/93 17,133 19,336 19,108
6/30/94 19,354 20,012 19,670
6/30/95 24,448 23,034 23,986
6/30/96 35,003 28,918 30,256
6/30/97 36,545 36,061 35,344
Average Annual Total Return
For Periods Ended June 30, 1997
One Year Five Years Since Inception
Aggressive Growth Stock Portfolio 4.41% 21.17% 21.77%
Wilshire Small Cap Index 24.70% 18.36% 21.52%
Wilshire Next 1750 Index 16.82% 18.56% 21.15%
</TABLE>
Since the portfolio invests primarily in small capitalization issues, the
indices that best reflect the portfolio's performance are the Wilshire Next 1750
Index and Wilshire Small Cap Index.
The Wilshire Next 1750 is an unmanaged, equally weighted index. Included in
this index are those stocks which are ranked 750 to 2500 by market
capitalization in the Wilshire 5000. The largest sectors represented in this
index are financial services, consumer services and basic industry. Its average
market capitalization is approximately $689.9 million as of June 30, 1997.
The Wilshire Small Cap Index is a subset of the Wilshire Next 1750 and
includes 250 stocks chosen based upon their size, sector and liquidity
characteristics. Each stock is equally weighted in this unmanaged index. The
average market capitalization is approximately $767.0 million as of June
30,1997. The largest sector weightings include financial services, consumer
services and technology.
On May 3, 1994, the Northwestern Mutual Aggressive Growth Stock Fund, Inc.
(the "Fund") merged into the Northwestern Mutual Series Fund, Inc. Aggressive
Growth Stock Portfolio (the "Portfolio"). The Portfolio had no assets prior to
the merger. After the merger, the assets of the Portfolio were those of the
Fund. The investment objectives, policies, management and expenses of the
Portfolio are identical to those of the Fund. Accordingly, the performance of
the Fund prior to the merge is included with the performance of the Portfolio in
the graph and total return figures above.
This chart assumes an initial investment of $10,000 made on 11/30/90
(commencement of the Fund's operations). Returns shown include deductions for
management and other fund expenses, and reinvestment of all dividends. Returns
exclude deductions for separate account sales loads and account fees. Past
performance is not predictive of future performance. Investment return and
principal value will fluctuate, so that your shares, when redeemed, may be worth
more or less than their original cost. The net investment rates of return shown
on page 2 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.
--
42
<PAGE>
AGGRESSIVE GROWTH STOCK PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (91.03%) SHARES (000'S)
<S> <C> <C>
- --------------------------------------------------------------
BASIC MATERIALS (1.04%)
Cambrex Corporation 253,000 $ 10,057
-----------
CAPITAL GOODS (4.80%)
*Cuno, Inc. 94,100 1,576
*Jabil Circuit Inc. 200,000 16,775
Kaydon Corporation 180,000 8,933
*Kaynar Technologies, Inc. 194,500 3,525
*Microchip Technology Inc. 228,100 6,786
*Tetra Tech Inc. 364,200 8,786
-----------
TOTAL 46,381
-----------
COMMUNICATION SERVICES (1.63%)
*LCI International 302,500 6,617
*Premiere Technologies, Inc. 117,500 3,055
*Tessco Technologies, Inc. 152,600 3,300
*West Teleservices Corporation 185,300 2,733
-----------
TOTAL 15,705
-----------
CONSUMER CYCLICAL (15.16%)
*Blyth Industries, Inc. 437,100 14,752
*Catalina Marketing Corporation 238,600 11,483
*CUC International, Inc. 437,775 11,300
*Dollar Tree Stores Inc. 103,200 5,199
*Dura Automotive Systems, Inc. 225,400 6,311
*Electronic Arts Inc. 249,200 8,379
Fastenal Co. 214,100 10,491
*Getty Communications PLC-ADR 322,000 4,750
*HFS Incorporated 142,900 8,288
*JLK Direct Distribution Inc.-Cl A 14,900 382
*Jones Apparel Group Inc. 202,800 9,684
*K & G Mens' Center, Inc. 518,150 11,270
*Kohls Department Stores 239,500 12,679
*O'Reilly Automotive, Inc. 258,700 9,960
*Pameco Corp. 27,500 488
*Regal Cinemas Inc. 322,750 10,651
*Tower Automotive, Inc. 239,800 10,311
-----------
TOTAL 146,378
-----------
CONSUMER STAPLES (4.04%)
Cardinal Health, Inc. 198,418 11,359
Clear Channel Communications 150,000 9,225
*Inbrand Corporation 259,100 7,773
*Robert Mondavi Corporation 224,500 10,608
-----------
TOTAL 38,965
-----------
ENERGY (6.91%)
*BJ Services Company 165,800 8,891
*EVI Inc. 234,000 9,828
*Global Industries Ltd 442,000 10,325
*Nabors Industries Inc. 306,000 7,650
*Pride Petroleum Services 411,800 9,883
Tosco Corporation 340,600 10,197
Transocean Offshore, Inc. 136,500 9,913
-----------
TOTAL 66,687
-----------
<CAPTION>
MARKET
VALUE
COMMON STOCK (91.03%) SHARES (000'S)
<S> <C> <C>
- --------------------------------------------------------------
FINANCE (4.00%)
*BA Merchant Services Inc.-Cl A 176,000 $ 3,355
Capmac Holdings Inc. 259,100 8,712
CMAC Investment Corp. 152,800 7,296
Investors Financial Services 200,000 9,500
Money Store, Inc. 340,750 9,775
-----------
TOTAL 38,638
-----------
MISCELLANEOUS (9.69%)
*ABR Information Services Inc. 205,300 5,954
*Administaff Inc. 374,600 9,061
*Billing Information Concepts 247,300 8,625
Cintas Corp. 177,600 12,210
*Corrections Corp of America 271,900 10,808
*Interim Services Inc. 231,600 10,306
*Intl Network Services 111,300 2,894
*Learning Tree International Inc. 238,950 10,603
*Robert Half International, Inc. 384,300 18,086
*Nu Skin Asia Pacific, Inc.-Cl A 190,200 5,040
-----------
TOTAL 93,587
-----------
HEALTHCARE (8.82%)
*Capstone Pharmacy Services, Inc. 626,300 6,811
*CRA Managed Care Inc. 189,900 9,910
*Lincare Holdings Inc. 93,400 4,016
*Medcath Inc. 235,800 3,508
*NCS Healthcare Inc.-Cl A 66,700 2,026
*Occusystems Inc. 205,900 5,971
*Patterson Dental Co. 243,350 8,350
*Pediatrix Med Group, Inc. 173,900 7,967
*PhyCor, Inc. 289,000 9,952
*Quorum Health Group, Inc. 301,800 10,789
*Spine-Tech Inc. 104,000 3,861
*Sybron Intl Corp.-Wisconsin 300,200 11,970
-----------
TOTAL 85,131
-----------
TECHNOLOGY (30.21%)
*ADC Telecommunications 329,900 11,010
*Altera Corporation 189,000 9,545
*American Management Systems, Inc. 319,875 8,557
*Applied Materials, Inc. 77,000 5,453
AVX Corp. 326,200 8,807
Cambridge Technology Partners 422,100 13,507
*CBT Group PLC-ADR 223,400 14,102
*Ciena Corp. 63,000 2,969
*Computer Horizons Corp. 299,350 10,253
Danka Business Systems Plc 269,200 11,004
*DST Systems 248,300 8,271
*Dupont Photomasks Inc. 73,300 3,958
First Data Corporation 248,690 10,927
*Gasonics Intl Corp. 486,800 6,633
HBO & Co. 165,800 11,419
*Hyperion Software 309,400 6,923
</TABLE>
--
43
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Schedule of Investments
JUNE 30, 1997
<TABLE>
<CAPTION>
MARKET
VALUE
COMMON STOCK (91.03%) SHARES (000'S)
- --------------------------------------------------------------
<S> <C> <C>
TECHNOLOGY (CONTINUED)
*Integrated Process Equipment Corp. 303,200 $ 7,675
*Kent Electronics Corp. 54,500 1,999
Methode Electronics Inc. 469,500 9,331
Molex Inc. 274,277 9,565
National Data Corporation 217,900 9,438
*Network General Corp. 150,000 2,231
Paychex, Inc. 346,555 13,169
*Peoplesoft, Inc. 299,900 15,820
*PMC-Sierra Inc. 348,700 9,153
*RWD Technologies Inc. 12,900 223
*Saville Systems PLC-ADR 231,700 12,048
*Sterling Commerce, Inc. 396,263 13,027
*Sterling Software, Inc. 259,500 8,109
*Tellabs Inc. 266,400 14,885
*Transaction Systems Architects 363,200 12,530
*Trident International, Inc. 335,000 6,030
*Vantive Corp. 111,000 3,136
-----------
TOTAL 291,707
-----------
TRANSPORTATION (4.74%)
*Coach USA, Inc. 398,300 10,580
*Heartland Express Incorporated 389,500 9,153
*Knight Transportation, Inc. 291,600 7,399
*Swift Transportation Co., Inc. 320,800 9,464
*Wisconsin Central Transportation 245,900 9,162
-----------
TOTAL 45,758
-----------
TOTAL COMMON STOCK $ 878,994
-----------
<CAPTION>
MARKET
VALUE
MONEY MARKET INVESTMENTS (8.97%) PAR (000'S)
<S> <C> <C>
- --------------------------------------------------------------
CHEMICALS & ALLIED PRODUCTS (0.59%)
American Home Products Co., 6.15%,
07/01/97 5,700,000 $ 5,700
-----------
GOVERNMENT (0.12%)
+US Treasury, 5.09%, 09/04/97 1,200,000 1,189
-----------
NONDEPOSITORY INSTITUTIONS (8.26%)
Asset Securitization, 5.52%,
07/17/97 20,000,000 19,951
+Ford Motor Credit Corp., 5.52%,
07/23/97 20,000,000 19,933
Household Finance Corp., 5.53%,
07/10/97 20,000,000 19,972
Sears Roebuck Acceptance, 5.57%,
08/06/97 20,000,000 19,888
-----------
TOTAL 79,744
-----------
TOTAL MONEY MARKET
INVESTMENTS $ 86,633
-----------
TOTAL AGGRESSIVE GROWTH
PORTFOLIO $ 965,627
-----------
</TABLE>
*Non-Income Producing
+Partially held by the custodian in a segregated account as collateral for open
futures positions. Information regarding open futures contracts as of June 30,
1997 is summarized below:
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF EXPIRATION DEPRECIATION
ISSUER CONTRACTS DATE (000'S)
<S> <C> <C> <C>
- ----------------------------------------------------------------------------
S&P 500 Stock Index 45 September 1997 (243)
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
44
<PAGE>
VARIABLE LIFE FINANCIAL STATEMENTS
NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT
Financial Statements
JUNE 30, 1997
STATEMENT OF ASSETS AND LIABILITIES
(IN THOUSANDS)
<TABLE>
<S> <C> <C>
ASSETS
Investments at Market Value:
Northwestern Mutual Series Fund, Inc.
Money Market
17,505 shares (cost $17,505)............... $ 17,505
Select Bond
6,323 shares (cost $7,413)................. 7,524
High Yield Bond
5,323 shares (cost $5,852)................. 6,116
Balanced
62,651 shares (cost $88,207)............... 115,340
Index 500 Stock
35,521 shares (cost $58,809)............... 84,965
Growth and Income Stock
16,673 shares (cost $20,847)............... 25,326
Growth Stock
13,354 shares (cost $17,886)............... 22,555
International Equity
25,285 shares (cost $35,597)............... 43,516
Aggressive Growth Stock
19,363 shares (cost $52,560)............... 59,832 $ 382,679
---------
Due from Sale of Fund Shares.................................. 357
Due from Northwestern Mutual Life Insurance Company........... 892
---------
Total Assets............................................ $ 383,928
---------
---------
LIABILITIES
Due to Northwestern Mutual Life Insurance Company........... $ 357
Due on Purchase of Fund Shares.............................. 892
---------
Total Liabilities....................................... 1,249
---------
EQUITY (NOTE 8)
Policies Issued Before October 11, 1995..................... 284,245
Policies Issued On or After October 11, 1995................ 98,434
---------
Total Equity............................................ 382,679
---------
Total Liabilities and Equity............................ $ 383,928
---------
---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
45
<PAGE>
VARIABLE LIFE FINANCIAL STATEMENTS
NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT
Statement of Operations and Changes in Equity
(IN THOUSANDS)
<TABLE>
<CAPTION>
COMBINED MONEY MARKET DIVISION SELECT BOND 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,
1997 1996 1997 1996 1997 1996
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend Income............. $ 14,168 $ 11,085 $ 436 $ 508 $ 436 $ 176
Mortality and Expense
Risks..................... 768 1,102 37 47 16 26
Taxes....................... 329 461 16 17 7 11
------------- ------------- ------------- ------------- ------------- -------------
Net Investment Income....... 13,071 9,522 383 444 413 139
------------- ------------- ------------- ------------- ------------- -------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Realized Gain on
Investments............... 1,137 2,405 -- -- 20 8
Unrealized Appreciation
(Depreciation) of
Investments
During the Period......... 26,824 21,398 -- -- (201) 22
------------- ------------- ------------- ------------- ------------- -------------
Net Gain (Loss) on
Investments............... 27,961 23,803 0 0 (181) 30
------------- ------------- ------------- ------------- ------------- -------------
Increase in Equity Derived
from
Investment Activity....... 41,032 33,325 383 444 232 169
------------- ------------- ------------- ------------- ------------- -------------
EQUITY TRANSACTIONS
Policyowners' Net
Payments.................. 77,639 101,055 39,029 43,564 802 1,356
Policy Loans, Surrenders,
and Death
Benefits.................. (10,281) (16,316) (191) (576) (161) (191)
Mortality and Other (net)... (12,282) (16,382) (5,034) (5,552) (148) (248)
Transfers from Other
Divisions................. 40,475 45,652 1,108 2,573 1,069 954
Transfers to Other
Divisions................. (40,475) (45,652) (32,544) (32,622) (513) (553)
------------- ------------- ------------- ------------- ------------- -------------
Increase in Equity Derived
from Equity
Transactions................ 55,076 68,357 2,368 7,387 1,049 1,318
------------- ------------- ------------- ------------- ------------- -------------
Net Increase in Equity........ 96,108 101,682 2,751 7,831 1,281 1,487
EQUITY
Beginning of Period......... 286,571 184,889 14,750 6,919 6,243 4,756
------------- ------------- ------------- ------------- ------------- -------------
End of Period............... $382,679 $286,571 $17,501 $14,750 $ 7,524 $ 6,243
------------- ------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- ------------- -------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
46
<PAGE>
NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT
Statement of Operations and Changes in Equity
(IN THOUSANDS)
<TABLE>
<CAPTION>
HIGH YIELD BOND DIVISION BALANCED DIVISION
------------------------------ ----------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1997 1996 1997 1996
------------- ------------- --------------- ---------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend Income............. $ 233 $ 400 $ 5,105 $ 5,010
Mortality and Expense
Risks..................... 11 13 260 452
Taxes....................... 5 5 111 193
------------- ------------- --------------- ---------------
Net Investment Income....... 217 382 4,734 4,365
------------- ------------- --------------- ---------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Realized Gain on
Investments............... 6 21 663 1,462
Unrealized Appreciation
(Depreciation) of
Investments
During the Period......... 193 83 6,820 5,413
------------- ------------- --------------- ---------------
Net Gain (Loss) on
Investments............... 199 104 7,483 6,875
------------- ------------- --------------- ---------------
Increase in Equity Derived
from
Investment Activity....... 416 486 12,217 11,240
------------- ------------- --------------- ---------------
EQUITY TRANSACTIONS
Policyowners' Net
Payments.................. 745 1,101 7,439 15,417
Policy Loans, Surrenders,
and Death
Benefits.................. (166) (243) (3,481) (7,030)
Mortality and Other (net)... (145) (193) (1,504) (3,034)
Transfers from Other
Divisions................. 1,561 1,043 2,131 2,467
Transfers to Other
Divisions................. (187) (449) (2,287) (5,909)
------------- ------------- --------------- ---------------
Increase in Equity Derived
from Equity
Transactions................ 1,808 1,259 2,298 1,911
------------- ------------- --------------- ---------------
Net Increase in Equity........ 2,224 1,745 14,515 13,151
EQUITY
Beginning of Period......... 3,892 2,147 100,826 87,675
------------- ------------- --------------- ---------------
End of Period............... $ 6,116 $ 3,892 $ 115,341 $ 100,826
------------- ------------- --------------- ---------------
------------- ------------- --------------- ---------------
<CAPTION>
GROWTH & INCOME STOCK
INDEX 500 STOCK DIVISION DIVISION
----------------------------- -----------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1997 1996 1997 1996
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend Income............. $ 2,579 $ 1,153 $ 548 $ 1,458
Mortality and Expense
Risks..................... 165 221 48 58
Taxes....................... 71 93 20 24
------------- ------------- ------------- -------------
Net Investment Income....... 2,343 839 480 1,376
------------- ------------- ------------- -------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Realized Gain on
Investments............... 116 359 76 117
Unrealized Appreciation
(Depreciation) of
Investments
During the Period......... 10,587 8,074 2,785 728
------------- ------------- ------------- -------------
Net Gain (Loss) on
Investments............... 10,703 8,433 2,861 845
------------- ------------- ------------- -------------
Increase in Equity Derived
from
Investment Activity....... 13,046 9,272 3,341 2,221
------------- ------------- ------------- -------------
EQUITY TRANSACTIONS
Policyowners' Net
Payments.................. 8,793 12,626 3,349 4,523
Policy Loans, Surrenders,
and Death
Benefits.................. (2,220) (3,465) (775) (692)
Mortality and Other (net)... (1,599) (2,351) (649) (867)
Transfers from Other
Divisions................. 9,428 8,372 3,935 3,950
Transfers to Other
Divisions................. (1,210) (2,211) (503) (974)
------------- ------------- ------------- -------------
Increase in Equity Derived
from Equity
Transactions................ 13,192 12,971 5,357 5,940
------------- ------------- ------------- -------------
Net Increase in Equity........ 26,238 22,243 8,698 8,161
EQUITY
Beginning of Period......... 58,729 36,486 16,628 8,467
------------- ------------- ------------- -------------
End of Period............... $ 84,967 $ 58,729 $ 25,326 $ 16,628
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
47
<PAGE>
VARIABLE LIFE FINANCIAL STATEMENTS
NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT
Statement of Operations and Changes in Equity
(IN THOUSANDS)
<TABLE>
<CAPTION>
AGGRESSIVE GROWTH
GROWTH STOCK DIVISION INTERNATIONAL EQUITY DIVISION 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,
1997 1996 1997 1996 1997 1996
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend Income............. $ 200 $ 564 $ 1,286 $ 924 $ 3,345 $ 892
Mortality and Expense
Risks..................... 42 46 81 100 108 139
Taxes....................... 18 19 35 42 46 57
------------- ------------- ------------- ------------- ------------- -------------
Net Investment Income....... 140 499 1,170 782 3,191 696
------------- ------------- ------------- ------------- ------------- -------------
REALIZED AND UNREALIZED GAIN
ON INVESTMENTS
Realized Gain on
Investments............... 90 88 128 49 38 301
Unrealized Appreciation of
Investments During the
Period.................... 2,596 1,191 3,599 3,197 445 2,690
------------- ------------- ------------- ------------- ------------- -------------
Net Gain on Investments..... 2,686 1,279 3,727 3,246 483 2,991
------------- ------------- ------------- ------------- ------------- -------------
Increase in Equity Derived
from Investment
Activity.................. 2,826 1,778 4,897 4,028 3,674 3,687
------------- ------------- ------------- ------------- ------------- -------------
Policyowners' Net
Payments.................. 3,049 3,397 5,406 8,006 9,027 11,065
Policy Loans, Surrenders,
and Death Benefits........ (581) (436) (1,287) (1,566) (1,419) (2,117)
Mortality and Other (net)... (560) (665) (1,066) (1,529) (1,577) (1,943)
Transfers from Other
Divisions................. 3,978 4,758 7,077 6,728 10,188 14,807
Transfers to Other
Divisions................. (604) (447) (846) (827) (1,781) (1,660)
------------- ------------- ------------- ------------- ------------- -------------
Increase in Equity Derived
from Equity Transactions.... $ 5,282 $ 6,607 $ 9,284 $ 10,812 $ 14,438 $ 20,152
------------- ------------- ------------- ------------- ------------- -------------
Net Increase in Equity........ 8,108 8,385 14,181 14,840 18,112 23,839
EQUITY
Beginning of Period......... 14,446 6,061 29,333 14,493 41,724 17,885
------------- ------------- ------------- ------------- ------------- -------------
End of Period............... $ 22,554 $ 14,446 $ 43,514 $ 29,333 $ 59,836 $ 41,724
------------- ------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- ------------- -------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
48
<PAGE>
NOTES TO FINANCIAL STATEMENTS
NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT
Notes to Financial Statements
JUNE 30, 1997
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 Fund 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 period ended June 30, 1997 by each Division are
shown below:
<TABLE>
<CAPTION>
PURCHASES SALES
--------------- ---------------
<S> <C> <C>
Money Market Division........... $ 15,819,473 $ 13,065,781
Select Bond Division............ 1,789,898 328,545
High Yield Bond Division........ 2,084,682 59,590
Balanced Division............... 8,979,909 1,947,512
Index 500 Stock Division........ 15,821,017 286,814
Growth & Income Stock
Division........................ 6,112,111 275,180
Growth Stock Division........... 5,672,275 249,340
International Equity Division... 11,000,508 547,081
Aggressive Growth Division...... 17,740,864 111,742
</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
accounts 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
paid their premiums. Northwestern Mutual Life's equity represents any unpaid
portion of net annual premiums.
--
49
<PAGE>
NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT
Notes to Financial Statements
JUNE 30, 1997
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>
Money Market Division.................................................................. $ 4,888 $ 235 $ 5,123
Select Bond Division................................................................... 5,365 487 5,852
High Yield Bond Division............................................................... 3,453 381 3,834
Balanced Division...................................................................... 105,031 5,607 110,638
Index 500 Stock Division............................................................... 59,501 5,098 64,599
Growth and Income Stock Division....................................................... 15,243 1,698 16,941
Growth Stock Division.................................................................. 12,134 1,346 13,480
International Equity Division.......................................................... 26,398 3,189 29,587
Aggressive Growth Stock Division....................................................... 30,307 3,884 34,191
------------- --------- ----------
$ 262,320 $ 21,925 $ 284,245
------------- --------- ----------
------------- --------- ----------
</TABLE>
<TABLE>
<CAPTION>
POLICIES ISSUED ON OR
AFTER OCTOBER 11, 1995
EQUITY OF:
------------------------ TOTAL
POLICYOWNERS NML EQUITY
------------- --------- ---------
<S> <C> <C> <C>
Money Market Division................................................................... $ 4,061 $ 8,321 $ 12,382
Select Bond Division.................................................................... 1,194 479 1,673
High Yield Bond Division................................................................ 1,398 884 2,282
Balanced Division....................................................................... 2,890 1,812 4,702
Index 500 Stock Division................................................................ 12,687 7,679 20,366
Growth and Income Stock Division........................................................ 5,115 3,270 8,385
Growth Stock Division................................................................... 5,490 3,585 9,075
International Equity Division........................................................... 8,519 5,409 13,928
Aggressive Growth Stock Division........................................................ 15,787 9,854 25,641
------------- --------- ---------
$ 57,141 $ 41,293 $ 98,434
------------- --------- ---------
------------- --------- ---------
</TABLE>
--
50
<PAGE>
MONEY MARKET PORTFOLIO
MONEY MARKET PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Money Market Portfolio
Financial Statements
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997
<TABLE>
<S> <C>
ASSETS
Money Market Investments (cost
$185,588)............................ $185,588
Cash.................................. 3
Due from Sale of Fund Shares.......... 1,086
Interest Receivable................... 299
---------
Total Assets........................ 186,976
---------
LIABILITIES
Due on Purchase of Fund Shares........ 233
Due to Investment Advisor............. 47
---------
Total Liabilities................... 280
---------
NET ASSETS.............................. $186,696
---------
---------
REPRESENTED BY:
Aggregate Paid in Capital (400,000
shares authorized, $.01 par value;
186,712 shares outstanding).......... $186,696
---------
Net Assets for 186,712 Shares
Outstanding.......................... $186,696
---------
---------
Net Asset Value, Offering and
Redemption Price per Share........... $ 1.00
---------
---------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Interest............................ $ 4,998
---------
Expenses
Management Fees..................... 270
---------
Net Investment Income................. 4,728
---------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS........................ $ 4,728
---------
---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
51
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Money Market Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX FOR THE
MONTHS YEAR
ENDED ENDED
JUNE 30, DECEMBER
1997 31, 1996
--------- ---------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income............... $ 4,728 $ 7,576
--------- ---------
Net Increase in Net Assets
Resulting from Operations......... 4,728 7,576
--------- ---------
Distributions to Shareholders from:
Net Investment Income............... (4,728) (7,576)
--------- ---------
Net Decrease in Net Assets
Resulting from Distributions to
Shareholders...................... (4,728) (7,576)
--------- ---------
Fund Share Transactions
Proceeds from Sale of 69,479 and
122,068 Shares..................... 69,479 122,068
Proceeds from Shares Issued on
Reinvestment of Distributions Paid
(4,728 and 7,576 shares,
respectively)...................... 4,728 7,576
Payments for 63,809 and 85,918
Shares Redeemed.................... (63,809) (85,918)
--------- ---------
Net Increase in Net Assets
Resulting from Fund Share
Transactions (10,398 and 43,726
shares, respectively)............. 10,398 43,726
--------- ---------
Total Increase in Net Assets.......... 10,398 43,726
NET ASSETS
Beginning of Period................... 176,298 132,572
--------- ---------
End of Period (includes no
undistributed net investment
income).............................. $186,696 $176,298
--------- ---------
--------- ---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
52
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Money Market Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
SIX
MONTHS
ENDED FOR THE YEARS
JUNE 30, ENDED DECEMBER 31,
1997 ---------------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993 1992
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value,
Beginning of Period... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Net Investment
Income.............. 0.03 0.05 0.06 0.05 0.03 0.03
Less Distributions
from Net Investment
Income.............. (0.03) (0.05) (0.06) (0.05) (0.03) (0.03)
--------- --------- --------- --------- --------- ---------
Net Asset Value, End of
Period................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- ---------
Total Return+.......... 2.64%++ 5.29% 5.82% 4.03% 2.88% 3.49%
--------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- ---------
RATIOS AND SUPPLEMENTAL
DATA
Net Assets, End of Period
(in thousands).......... $186,696 $176,298 $132,572 $104,217 $ 12,657 $ 14,091
--------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- ---------
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.................. 5.20%* 5.13% 5.61% 4.64% 2.87% 3.40%
--------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- ---------
</TABLE>
*Computed on an annualized basis.
+Total Return includes deductions for management 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
---
53
<PAGE>
SELECT BOND PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Select Bond Portfolio
Financial Statements
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997
<TABLE>
<S> <C>
ASSETS
Bonds (cost $207,885)................. $210,409
Money Market Investments (cost
$4,861).............................. 4,871
---------
215,280
Cash.................................. 12,095
Due from Sale of Securities........... 3,823
Interest Receivable................... 2,797
Due from Sale of Fund Shares.......... 34
Due on Futures Variation Margin....... 25
---------
Total Assets........................ 234,054
---------
LIABILITIES
Due on Purchase of Securities......... 14,112
Due on Purchase of Fund Shares........ 84
Due to Investment Advisor............. 56
---------
Total Liabilities................... 14,252
---------
NET ASSETS.............................. $219,802
---------
---------
REPRESENTED BY:
Aggregate Paid in Capital
(400,000 shares authorized, $.01 par
value; 184,710 shares outstanding)... $211,006
Undistributed Net Investment Income... 7,394
Undistributed Accumulated Net Realized
Loss on Investments.................. (1,151)
Net Unrealized Appreciation of:
Investments Securities.............. 2,534
Futures Contracts................... 19
---------
Net Assets for 184,710 Shares
Outstanding.......................... $219,802
---------
---------
Net Asset Value, Offering and
Redemption Price per Share........... $ 1.19
---------
---------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Interest............................ $ 7,713
--------
Expenses
Management Fees..................... 319
--------
Net Investment Income................. 7,394
--------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) on
Investments:
Investment Securities............... (651)
Futures Contracts................... 269
--------
Net Realized Loss on Investments
for the Period................... (382)
Net Change in Unrealized Appreciation
of:
Investment Securities............... 750
Futures Contracts................... 19
--------
Net Change in Unrealized
Appreciation for the Period...... 769
--------
Net Gain on Investments............... 387
--------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS........................ $ 7,781
--------
--------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
54
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Select Bond Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX YEAR
MONTHS ENDED
ENDED DECEMBER
JUNE 30, 31,
1997 1996
--------- ---------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income............... $ 7,394 $ 13,288
Net Realized Gain (Loss) on
Investments........................ (382) 569
Net Change in Unrealized
Appreciation (Depreciation) of
Investments for the Period......... 769 (6,987)
--------- ---------
Net Increase in Net Assets
Resulting from Operations......... 7,781 6,870
--------- ---------
Distributions to Shareholders from:
Net Investment Income............... (13,300) (7,025)
--------- ---------
Net Decrease in Net Assets
Resulting from Distributions to
Shareholders...................... (13,300) (7,025)
--------- ---------
Fund Share Transactions
Proceeds from Sale of 8,571 and
23,808 Shares...................... 10,380 28,507
Proceeds from Shares Issued on
Reinvestment of Distributions Paid
(11,393 and 6,130 shares,
respectively)...................... 13,300 7,025
Payments for 10,420 and 16,109
Shares Redeemed.................... (12,692) (19,186)
--------- ---------
Net Increase in Net Assets Resulting
from Fund Share Transactions (9,544
and 13,829 shares, respectively)...
. 10,988 16,346
--------- ---------
Total Increase in Net Assets.......... 5,469 16,191
NET ASSETS
Beginning of Period................... 214,333 198,142
--------- ---------
End of Period (includes undistributed
net investment income of $7,394 and
$13,300 respectively)................ $219,802 $214,333
--------- ---------
--------- ---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
--
55
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Select Bond Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
SIX
MONTHS
ENDED
JUNE 30, FOR THE YEARS ENDED DECEMBER 31,
1997 -------------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993 1992
--------- --------- --------- --------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of
Period............................... $ 1.22 $ 1.23 $ 1.06 $ 1.15 $ 1.14 $ 1.18
Income from Investment Operations:
Net Investment Income............. 0.04 0.07 0.07 0.06 0.08 0.09
Net Realized and Unrealized Gain
(Loss) on Investments............ 0.01 (0.04) 0.13 (0.08) 0.05 --
--------- --------- --------- --------- -------- --------
Total from Investment
Operations..................... 0.05 0.03 0.20 (0.03) 0.13 0.09
--------- --------- --------- --------- -------- --------
Less Distributions:
Dividends from Net Investment
Income........................... (0.08) (0.04) (0.03) (0.06) (0.08) (0.09)
Distributions from Realized Gains
on Investments................... -- -- -- -- (0.04) (0.04)
--------- --------- --------- --------- -------- --------
Total Distributions............. (0.08) (0.04) (0.03) (0.06) (0.12) (0.12)
--------- --------- --------- --------- -------- --------
Net Asset Value, End of Period........ $ 1.19 $ 1.22 $ 1.23 $ 1.06 $ 1.15 $ 1.14
--------- --------- --------- --------- -------- --------
--------- --------- --------- --------- -------- --------
Total Return+......................... 3.63%++ 3.31% 19.10% (2.28%) 10.81% 7.74%
--------- --------- --------- --------- -------- --------
--------- --------- --------- --------- -------- --------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in
thousands)............................. $219,802 $214,333 $198,142 $158,508 $17,485 $15,851
--------- --------- --------- --------- -------- --------
--------- --------- --------- --------- -------- --------
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..................... 6.91%* 6.48% 6.61% 7.02% 6.40% 7.52%
--------- --------- --------- --------- -------- --------
--------- --------- --------- --------- -------- --------
Portfolio Turnover Rate................. 95.61% 195.98% 69.06% 108.00% 67.69% 63.29%
--------- --------- --------- --------- -------- --------
--------- --------- --------- --------- -------- --------
</TABLE>
*Computed on an annualized basis.
+Total Return includes deductions for management 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
--
56
<PAGE>
HIGH YIELD BOND PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
High Yield Bond Portfolio
Financial Statements
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997
<TABLE>
<S> <C>
ASSETS
Bonds (cost $90,952).................. $ 92,739
Preferred Stock (cost $22,149)........ 24,154
Money Market Investments (cost
$8,689).............................. 8,689
Common Stock (cost $1,139)............ 1,290
---------
126,872
Due from Sale of Securities........... 5,283
Dividends and Interest Receivable..... 1,610
Due from Sale of Fund Shares.......... 221
---------
Total Assets........................ 133,986
---------
LIABILITIES
Due on Purchase of Securities......... 2,491
Due to Investment Advisor............. 56
Accrued Expenses...................... 28
---------
Total Liabilities................... 2,575
---------
NET ASSETS.............................. $131,411
---------
---------
REPRESENTED BY:
Aggregate Paid in Capital (400,000
shares authorized, $.01 par value;
114,379 shares outstanding).......... $122,468
Undistributed Net Investment Income... 435
Undistributed Accumulated Net Realized
Gain on Investments.................. 4,565
Net Unrealized Appreciation of
Investments.......................... 3,943
---------
Net Assets for 114,379 Shares
Outstanding.......................... $131,411
---------
---------
Net Asset Value, Offering and
Redemption Price per Share........... $ 1.15
---------
---------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Interest............................ $ 4,828
Dividends........................... 323
---------
Total Income...................... 5,151
---------
Expenses
Management Fees..................... 296
Custodian Expenses.................. 32
Other Expenses...................... 20
---------
Total Expenses.................... 348
---------
Less Custodian Fees:
Paid Indirectly................. (32)
---------
Total Net Expenses................ 316
---------
Net Investment Income................. 4,835
---------
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net Realized Gain on Investments...... 4,137
Net Change in Unrealized Appreciation
of Investments for the Period........ 914
---------
Net Gain on Investments............... 5,051
---------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS........................ $ 9,886
---------
---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Stataments
(Prepared from Unaudited Figures)
---
57
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
High Yield Bond Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX YEAR
MONTHS ENDED
ENDED DECEMBER
JUNE 30, 31,
1997 1996
--------- ---------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income............... $ 4,835 $ 6,867
Net Realized Gain on Investments.... 4,137 3,638
Net Change in Unrealized
Appreciation of Investments for the
Period............................. 914 2,795
--------- ---------
Net Increase in Net Assets
Resulting from Operations......... 9,886 13,300
--------- ---------
Distributions to Shareholders from:
Net Investment Income............... (4,103) (7,126)
Net Realized Gain on Investments.... (992) (2,541)
--------- ---------
Net Decrease in Net Assets
Resulting from Distributions to
Shareholders...................... (5,095) (9,667)
--------- ---------
Fund Share Transactions
Proceeds from Sale of 25,335 and
23,742 Shares...................... 28,598 26,454
Proceeds from Shares Issued on
Reinvestment of Distributions Paid
(4,456 and 8,840 shares,
respectively)...................... 5,095 9,667
Payments for 833 and1,697 Shares
Redeemed........................... (951) (1,850)
--------- ---------
Net Increase in Net Assets
Resulting from Fund Share
Transactions (28,958 and 30,885
shares, respectively)............. 32,742 34,271
--------- ---------
Total Increase in Net Assets.......... 37,533 37,904
NET ASSETS
Beginning of Period................... 93,878 55,974
--------- ---------
End of Period (includes
un/(over)distributed net investment
income of $435 and ($297),
respectively)........................ $131,411 $ 93,878
--------- ---------
--------- ---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
58
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
High Yield Bond Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX PERIOD
MONTHS MAY 3,
ENDED FOR THE YEAR 1994*
JUNE 30, ENDED DECEMBER 31, THROUGH
1997 --------------------- DECEMBER 31,
(UNAUDITED) 1996 1995 1994
--------- --------- --------- ---------------
<S> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of
Period............................... $ 1.10 $ 1.03 $ 0.97 $ 1.00
Income from Investment Operations:
Net Investment Income............. 0.04 0.09 0.10 0.06
Net Realized and Unrealized Gains
(Loss) on Investments............ 0.06 0.10 0.07 (0.03)
--------- --------- --------- ---------------
Total from Investment
Operations..................... 0.10 0.19 0.17 0.03
--------- --------- --------- ---------------
Less Distributions:
Distributions from Net Investment
Income........................... (0.04) (0.09) (0.10) (0.06)
Distributions from Realized Gains
on Investments................... (0.01) (0.03) (0.01) --
--------- --------- --------- ---------------
Total Distributions............. (0.05) (0.12) (0.11) (0.06)
--------- --------- --------- ---------------
Net Asset Value, End of Period.......... $ 1.15 $ 1.10 $ 1.03 $ 0.97
--------- --------- --------- ---------------
--------- --------- --------- ---------------
Total Return+........................... 8.85%++ 19.77% 16.78% 3.02%++
--------- --------- --------- ---------------
--------- --------- --------- ---------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in
thousands)............................. $131,411 $ 93,878 $ 55,974 $ 35,537
--------- --------- --------- ---------------
--------- --------- --------- ---------------
Ratio of Expenses to Average Net
Assets................................. 0.62%** 0.60% 0.65% 0.73%**
--------- --------- --------- ---------------
--------- --------- --------- ---------------
Ratio of Net Investment Income to
Average Net Assets..................... 9.41%** 9.54% 9.90% 9.40%**
--------- --------- --------- ---------------
--------- --------- --------- ---------------
Portfolio Turnover Rate................. 89.07% 143.91% 116.57% 119.48%
--------- --------- --------- ---------------
--------- --------- --------- ---------------
</TABLE>
*Commencement of Operations.
**Computed on an annualized basis.
+Total Return includes deductions for management and other fund expenses;
excludes deductions for sales loads and account fees.
++Reflects total return for the period; not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements
---
59
<PAGE>
BALANCED PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Balanced Portfolio
Financial Statements
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997
<TABLE>
<S> <C>
ASSETS
Common Stock (cost $724,418).......... $1,393,415
Bonds (cost $708,682)................. 717,435
Money Market Investments (cost
$406,119)............................ 406,189
-----------
2,517,039
Cash.................................. 88,731
Dividends and Interest Receivable..... 12,470
Due from Sale of Fund Shares.......... 166
-----------
Total Assets........................ 2,618,406
-----------
LIABILITIES
Due on Purchase of Securities......... 19,545
Due on Redemption of Fund Shares...... 3,909
Due to Investment Advisor............. 657
Due on Futures Variation Margin....... 581
-----------
Total Liabilities................... 24,692
-----------
NET ASSETS.............................. $2,593,714
-----------
-----------
REPRESENTED BY:
Aggregate Paid in Capital (2,000,000
shares authorized, $.01 par value;
1,408,618 shares outstanding)........ $1,809,226
Undistributed Net Investment Income... 45,054
Undistributed Accumulated Net Realized
Gain on Investments.................. 62,675
Net Unrealized Appreciation
(Depreciation) of:
Investment Securities............... 677,820
Index Futures Contracts............. (1,061)
-----------
Net Assets for 1,408,618 Shares
Outstanding.......................... $2,593,714
-----------
-----------
Net Asset Value, Offering and
Redemption Price per Share........... $ 1.84
-----------
-----------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Interest............................ $36,444
Dividends (less foreign dividend tax
of $80)............................ 12,238
--------
Total Income...................... 48,682
--------
Expenses
Management Fees..................... 3,629
--------
Net Investment Income................. 45,053
--------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain on Investments:
Investment Securities............... 45,829
Index Futures Contracts............. 14,639
--------
Net Realized Gain on Investments
for the Period................... 60,468
--------
Net Change In Unrealized Appreciation
(Depreciation) of:
Investment Securities............... 182,460
Index Futures Contracts............. (1,062)
--------
Net Change in Unrealized
Appreciation of Investments for
the Period....................... 181,398
--------
Net Gain on Investments............... 241,866
--------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS........................ $286,919
--------
--------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
60
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Balanced Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX FOR THE
MONTHS YEAR
ENDED ENDED
JUNE 30, DECEMBER
1997 31, 1996
--------- --------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income............... $ 45,053 $86,649
Net Realized Gain on Investments.... 60,468 27,969
Net Change in Unrealized
Appreciation of Investments for the
Period............................. 181,398 164,495
--------- --------
Net Increase in Net Assets
Resulting from Operations......... 286,919 279,113
--------- --------
Distributions to Shareholders from:
Net Investment Income............... (86,698) (83,501)
Net Realized Gain on Investments.... (29,228) (35,154)
--------- --------
Net Decrease in Net Assets
Resulting from Distributions to
Shareholders...................... (115,926) (118,655)
--------- --------
Fund Share Transactions
Proceeds from Sale of 20,320 and
51,923 Shares...................... 36,197 84,008
Proceeds from Shares Issued on
Reinvestment of Distributions Paid
(65,383 and 77,149 shares,
respectively)...................... 115,926 118,655
Payments for 31,037 and 73,638
Shares Redeemed.................... (55,636) (120,176)
--------- --------
Net Increase in Net Assets
Resulting from Fund Share
Transactions (54,666 and 55,434
shares, respectively)............. 96,487 82,487
--------- --------
Total Increase in Net Assets.......... 267,480 242,945
NET ASSETS
Beginning of Period................... 2,326,234 2,083,289
--------- --------
End of Period (includes undistributed
net investment income of $45,054 and
$86,699 respectively)................ $2,593,714 $2,326,234
--------- --------
--------- --------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
61
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Balanced Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE YEARS ENDED
ENDED JUNE DECEMBER 31,
30, 1997 -------------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993 1992
------------ --------- --------- --------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of
Period............................... $ 1.72 $ 1.60 $ 1.31 $ 1.33 $ 1.39 $ 1.40
Income from Investment Operations:
Net Investment Income............. 0.03 0.06 0.07 0.04 0.06 0.06
Net Realized and Unrealized Gain
(Loss) on Investments............ 0.17 0.15 0.27 (0.05) 0.09 0.01
------------ --------- --------- --------- -------- --------
Total from Investment
Operations..................... 0.20 0.21 0.34 (0.01) 0.15 0.07
------------ --------- --------- --------- -------- --------
Less Distributions:
Distributions from Net Investment
Income........................... (0.06) (0.06) (0.04) (0.00) (0.07) (0.06)
Distributions from Realized Gains
on Investments................... (0.02) (0.03) (0.01) (0.01) (0.14) (0.02)
------------ --------- --------- --------- -------- --------
Total Distributions............. (0.08) (0.09) (0.05) (0.01) (0.21) (0.08)
------------ --------- --------- --------- -------- --------
Net Asset Value, End of Period........ $ 1.84 $ 1.72 $ 1.60 $ 1.31 $ 1.33 $ 1.39
------------ --------- --------- --------- -------- --------
------------ --------- --------- --------- -------- --------
Total Return+......................... 12.36%++ 13.45% 26.39% 0.16% 9.91% 5.61%
------------ --------- --------- --------- -------- --------
------------ --------- --------- --------- -------- --------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in
thousands)............................. $2,593,714 $2,326,234 $2,083,289 $1,727,127 $68,910 $66,006
------------ --------- --------- --------- -------- --------
------------ --------- --------- --------- -------- --------
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..................... 3.52%* 3.95% 4.40% 4.78% 4.24% 4.45%
------------ --------- --------- --------- -------- --------
------------ --------- --------- --------- -------- --------
Portfolio Turnover Rate................. 18.84% 67.66% 37.28% 42.35% 70.91% 43.28%
------------ --------- --------- --------- -------- --------
------------ --------- --------- --------- -------- --------
Average Commission Rate #............... $ 0.0532 $ 0.0320
------------ ---------
------------ ---------
</TABLE>
* Computed on an annualized basis.
+ Total Return includes deductions for management expenses; excludes deductions
for sales loads and account fees.
++ Reflects total return for the period; not annualized.
# Disclosure required for fiscal years beginning after September 1, 1995.
The Accompanying Notes are an Integral Part of the Financial Statements
---
62
<PAGE>
INDEX 500 STOCK PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Index 500 Stock Portfolio
Financial Statements
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997
<TABLE>
<S> <C>
ASSETS
Common Stocks (cost $565,215)......... $921,855
Money Market Investments (cost
$57,237)............................. 57,237
---------
979,092
Dividends and Interest Receivable..... 924
Due from Sale of Fund Shares.......... 281
---------
Total Assets........................ 980,297
---------
LIABILITIES
Futures Variation Margin.............. 416
Due to Sale of Fund Shares............ 242
Due to Investment Advisor............. 163
Accrued Expenses...................... 57
---------
Total Liabilities................... 878
---------
NET ASSETS.............................. $979,419
---------
---------
REPRESENTED BY:
Aggregate Paid in Capital (600,000
shares authorized, $.01 par value;
409,395 shares outstanding).......... $599,021
Undistributed Net Investment Income... 8,186
Undistributed Accumulated Net Realized
Gain on Investments.................. 11,757
Net Unrealized Appreciation of:
Investment Securities............... 356,640
Index Futures Contracts............. 3,815
---------
Net Assets for 409,395 Shares
Outstanding.......................... $979,419
---------
---------
Net Asset Value, Offering and
Redemption Price per Share........... $ 2.39
---------
---------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Dividends (less foreign dividend tax
of $50)............................ $ 7,252
Interest............................ 1,820
---------
Total Income...................... 9,072
---------
Expenses
Management Fees..................... 842
Custodian Fees...................... 21
Other Expenses...................... 44
---------
Total Expenses.................... 907
---------
Less Custodian Fees:
Paid by Affiliate............ (20)
Paid Indirectly.............. (1)
---------
Total Net Expenses................ 886
---------
Net Investment Income................. 8,186
---------
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net Realized Gain on Investments:
Investment Securities............... 3,717
Index Futures Contracts............. 8,382
---------
Net Realized Gain on Investments
for the Period................... 12,099
---------
Net Change in Unrealized Appreciation
of:
Investment Securities............... 136,930
Index Futures Contracts............. 3,086
---------
Net Change in Unrealized
Appreciation of Investments for
the Period....................... 140,016
---------
Net Gain on Investments............... 152,115
---------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS........................ $160,301
---------
---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
63
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Index 500 Stock Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX YEAR
MONTHS ENDED
ENDED DECEMBER
JUNE 30, 31,
1997 1996
--------- ---------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income............... $ 8,186 $ 13,866
Net Realized Gain on Investments.... 12,099 17,014
Net Change in Unrealized
Appreciation of Investments for the
Period............................. 140,016 96,274
--------- ---------
Net Increase in Net Assets
Resulting from Operations......... 160,301 127,154
--------- ---------
Disributions to Shareholders from:
Net Investment Income............... (13,866) (6,192)
Net Realized Gain on Investments.... (16,994) (9,632)
--------- ---------
Net Decrease in Net Assets
Resulting from Distributions to
Shareholders...................... (30,860) (15,824)
--------- ---------
Fund Share Transactions
Proceeds from Sale of 41,216 and
72,277 Shares...................... 91,384 134,034
Proceeds from Shares Issued on
Reinvestment of Distributions Paid
(13,658 and 9,021 shares,
respectively)...................... 30,860 15,824
Payments for 5,538 and 8,757 Shares
Redeemed........................... (12,332) (16,255)
--------- ---------
Net Increase in Net Assets
Resulting from Fund Share
Transactions (49,336 and 72,541
shares, respectively)............. 109,912 133,603
--------- ---------
Total Increase in Net Assets.......... 239,353 244,933
NET ASSETS
Beginning of Period................... 740,066 495,133
--------- ---------
End of Period (includes undistributed
net investment income of $8,186 and
$13,866 respectively)................ $979,419 $740,066
--------- ---------
--------- ---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
64
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Index 500 Stock Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
SIX
MONTHS
ENDED FOR THE YEARS
JUNE 30, ENDED DECEMBER 31,
1997 ---------------------------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993 1992
--------- --------- --------------- --------- --------- ---------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of
Period............................... $ 2.06 $ 1.72 $ 1.27 $ 1.29 $ 1.33 $ 1.31
Income from Investment Operations:
Net Investment Income............. 0.02 0.04 0.04 0.03 0.04 0.03
Net Realized and Unrealized Gain
(Loss) on Investments............ 0.39 0.35 0.42 (0.01) 0.09 0.03
--------- --------- --------------- --------- --------- ---------------
Total from Investment
Operations..................... 0.41 0.39 0.46 0.02 0.13 0.06
--------- --------- --------------- --------- --------- ---------------
Less Distributions:
Distributions from Net Investment
Income........................... (0.04) (0.02) (0.01) (0.03) (0.03) (0.03)
Distributions from Realized Gains
on Investments................... (0.04) (0.03) -- (0.01) (0.14) (0.01)
--------- --------- --------------- --------- --------- ---------------
Total Distributions............. (0.08) (0.05) (0.01) (0.04) (0.17) (0.04)
--------- --------- --------------- --------- --------- ---------------
Net Asset Value, End of Period........ $ 2.39 $ 2.06 $ 1.72 $ 1.27 $ 1.29 $ 1.33
--------- --------- --------------- --------- --------- ---------------
--------- --------- --------------- --------- --------- ---------------
Total Return+......................... 20.50%++ 22.75% 37.25% 1.21% 9.90% 4.54%
--------- --------- --------------- --------- --------- ---------------
--------- --------- --------------- --------- --------- ---------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in
thousands)............................. $979,419 $740,066 $495,133 $316,123 $ 25,479 $ 17,288
--------- --------- --------------- --------- --------- ---------------
--------- --------- --------------- --------- --------- ---------------
Ratio of Expenses to Average Net
Assets................................. 0.22%* 0.21% 0.21% 0.24% 0.30% 0.30%
--------- --------- --------------- --------- --------- ---------------
--------- --------- --------------- --------- --------- ---------------
Ratio of Net Investment Income to
Average Net Assets..................... 2.05%* 2.27% 2.51% 3.10% 2.55% 2.61%
--------- --------- --------------- --------- --------- ---------------
--------- --------- --------------- --------- --------- ---------------
Portfolio Turnover Rate................. 0.90% 3.45% 3.19% 5.59% 62.69% 39.93%
--------- --------- --------------- --------- --------- ---------------
--------- --------- --------------- --------- --------- ---------------
Average Commission Rate #............... $ 0.0286 $ 0.0306
--------- ---------
--------- ---------
</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.
# Disclosure required for fiscal years beginning after September 1, 1995.
The Accompanying Notes are an Integral Part of the Financial Statements
---
65
<PAGE>
GROWTH AND INCOME STOCK PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Growth and Income Stock Portfolio
Financial Statements
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997
<TABLE>
<S> <C>
ASSETS
Common Stocks (cost $280,494)......... $322,342
Money Market Investments (cost
$3,391).............................. 3,391
---------
325,733
Cash.................................. 256
Due from Sale of Securities........... 4,979
Due from Sale of Fund Shares.......... 643
Dividends and Interest Receivable..... 327
---------
Total Assets........................ 331,938
---------
LIABILITIES
Due on Purchase of Securities......... 5,875
Due to Investment Advisor............. 158
Accrued Expenses...................... 25
---------
Total Liabilities................... 6,058
---------
NET ASSETS.............................. $325,880
---------
---------
REPRESENTED BY:
Aggregate Paid in Capital (400,000
shares authorized, $.01 par value;
214,512 shares outstanding).......... $256,391
Undistributed Net Investment Income... 169
Undistributed Accumulated Net Realized
Gain on Investments.................. 27,472
Net Unrealized Appreciation of
Investments.......................... 41,848
---------
Net Assets for 214,512 Shares
Outstanding.......................... $325,880
---------
---------
Net Asset Value, Offering and
Redemption Price per Share........... $ 1.52
---------
---------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Dividends (less foreign dividend tax
of $24)............................ $ 2,078
Interest............................ 167
--------
Total Income...................... 2,245
--------
Expenses
Management Fees..................... 803
Custodian Fees...................... 14
Other Expenses...................... 9
--------
Total Expenses.................... 826
--------
Less Custodian Fees:
Paid by Affiliate............... (11)
Paid Indirectly................. (3)
--------
Total Net Expenses................ 812
--------
Net Investment Income................. 1,433
--------
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net Realized Gain on Investments...... 27,472
Net Change in Unrealized Appreciation
of Investments for the Period........ 17,523
--------
Net Gain on Investments............... 44,995
--------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS........................ $46,428
--------
--------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
66
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Growth and Income Stock Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX FOR THE
MONTHS YEAR
ENDED ENDED
JUNE 30, DECEMBER
1997 31, 1996
--------- --------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income............... $ 1,433 $ 2,654
Net Realized Gain on Investments.... 27,472 21,066
Net Change in Unrealized
Appreciation of Investments for the
Period............................. 17,523 11,131
--------- --------
Net Increase in Net Assets
Resulting from Operations......... 46,428 34,851
--------- --------
Distributions to Shareholders from:
Net Investment Income............... (1,289) (2,646)
Net Realized Gain on Investments.... (6,063) (18,392)
--------- --------
Net Decrease in Net Assets
Resulting from Distributions to
Shareholders...................... (7,352) (21,038)
--------- --------
Fund Share Transactions
Proceeds from Sale of 34,160 and
51,364 Shares...................... 48,611 65,912
Proceeds from Shares Issued on
Reinvestment of Distributions Paid
(5,016 and 15,944 shares,
respectively)...................... 7,352 21,038
Payments for 2,392 and 2,670 Shares
Redeemed........................... (3,343) (3,502)
--------- --------
Net Increase in Net Assets Resulting
from Fund Share Transactions
(36,784 and 64,638 shares,
respectively)...................... 52,620 83,448
--------- --------
Total Increase in Net Assets.......... 91,696 97,261
NET ASSETS
Beginning of Period................... 234,184 136,923
--------- --------
End of Period (includes undistributed
net investment income of $169 and
$25, respectively)................... $325,880 $234,184
--------- --------
--------- --------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
67
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Growth and Income Stock Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
SIX
MONTHS FOR THE PERIOD
ENDED FOR THE YEAR ENDED MAY 3, 1994*
JUNE 30, DECEMBER 31, THROUGH
1997 ------------------------- DECEMBER 31,
(UNAUDITED) 1996 1995 1994
--------- -------- -------------- --------------
<S> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of
Period............................... $ 1.32 $ 1.21 $ 0.98 $ 1.00
Income from Investment Operations:
Net Investment Income............. 0.01 0.02 0.02 0.01
Net Realized and Unrealized Gains
on Investments................... 0.23 0.23 0.29 (0.01)
--------- -------- -------------- --------------
Total from Investment
Operations..................... 0.24 0.25 0.31 (0.00)
--------- -------- -------------- --------------
Less Distributions:
Distributions from Net Investment
Income........................... (0.01) (0.02) (0.02) (0.01)
Distributions from Realized Gains
on Investments................... (0.03) (0.12) (0.06) (0.01)
--------- -------- -------------- --------------
Total Distributions............. (0.04) (0.14) (0.08) (0.02)
--------- -------- -------------- --------------
Net Asset Value, End of Period........ $ 1.52 $ 1.32 $ 1.21 $ 0.98
--------- -------- -------------- --------------
--------- -------- -------------- --------------
Total Return+......................... 18.11%++ 19.97% 31.12% 0.34%++
--------- -------- -------------- --------------
--------- -------- -------------- --------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in
thousands)............................. $325,880 $234,184 $136,923 $64,700
--------- -------- -------------- --------------
--------- -------- -------------- --------------
Ratio of Expenses to Average Net
Assets................................. 0.63%** 0.62% 0.69% 0.78%**
--------- -------- -------------- --------------
--------- -------- -------------- --------------
Ratio of Net Investment Income to
Average Net Assets..................... 1.12%** 1.44% 1.68% 1.93%**
--------- -------- -------------- --------------
--------- -------- -------------- --------------
Portfolio Turnover Rate................. 51.19% 93.92% 80.00% 54.18%
--------- -------- -------------- --------------
--------- -------- -------------- --------------
Average Commission Rate #............... $ 0.0495 $0.0515
--------- --------
--------- --------
</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.
#Disclosure required for fiscal years beginning after September 1, 1995.
The Accompanying Notes are an Integral Part of the Financial Statements
---
68
<PAGE>
GROWTH STOCK PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Growth Stock Portfolio
Financial Statements
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997
<TABLE>
<S> <C>
ASSETS
Common Stocks (cost $143,169)......... $199,166
Money Market Investments (cost
$17,737)............................. 17,737
---------
216,903
Due from Sale of Securities........... 606
Due from Sale of Fund Shares.......... 372
Dividends and Interest Receivable..... 182
---------
Total Assets........................ 218,063
---------
LIABILITIES
Due to Purchase of Securities......... 832
Due to Investment Advisor............. 89
Futures Variation Margin.............. 63
Due to Purchase of Fund Shares........ 31
Accrued Expenses...................... 22
---------
Total Liabilities................... 1,037
---------
NET ASSETS.............................. $217,026
---------
---------
REPRESENTED BY:
Aggregate Paid in Capital (400,000
shares authorized, $.01 par value;
128,497 shares outstanding).......... $156,767
Undistributed Net Investment Income... 225
Undistributed Accumulated Net Realized
Gain on Investments.................. 4,053
Net Unrealized
Appreciation(Depreciation) of:
Investment Securities............... 55,997
Index Futures Contracts............... (16)
---------
Net Assets for 128,497 Shares
Outstanding.......................... $217,026
---------
---------
Net Asset Value, Offering and
Redemption Price per Share........... $ 1.69
---------
---------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Dividends (less foreign dividend tax
of $15)............................ $ 1,219
Interest............................ 673
---------
Total Income...................... 1,892
---------
Expenses
Management Fees..................... 466
Custodian Expenses.................. 8
Other Expenses...................... 15
---------
Total Expenses.................... 489
---------
Less Custodian Fees:
Paid by Affiliate............ (6)
Paid Indirectly.............. (2)
---------
Total Net Expenses................ 481
---------
Net Investment Income................. 1,411
---------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investments:
Investment Securities............... 1,929
Index Futures Contracts............. 2,294
---------
Net Realized Gain on Investments
for the Period................... 4,223
---------
Net Change in Unrealized
Appreciation(Depreciation) of:
Investments Securities.............. 26,158
Index Futures Contracts............. (173)
---------
Net Change in Unrealized Appreciation
of Investments for the Period........ 25,985
---------
Net Gain on Investments............... 30,208
---------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS.............. $ 31,619
---------
---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
69
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Growth Stock Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX YEAR
MONTHS ENDED
ENDED DECEMBER
JUNE 30, 31,
1997 1996
--------- ---------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income............... $ 1,411 $ 1,767
Net Realized Gain on Investments.... 4,223 5,039
Net Change in Unrealized
Appreciation of Investments for the
Period............................. 25,985 17,013
--------- ---------
Net Increase in Net Assets
Resulting from Operations......... 31,619 23,819
--------- ---------
Distributions to Shareholders from:
Net Investment Income............... (1,218) (1,749)
Net Realized Gain on Investments.... (799) (5,031)
--------- ---------
Net Decrease in Net Assets
Resulting from Distributions to
Shareholders...................... (2,017) (6,780)
--------- ---------
Fund Share Transactions
Proceeds from Sale of 23,084 and
45,246 Shares...................... 35,642 62,709
Proceeds from Shares Issued on
Reinvestment of Distributions Paid
(1,224 and 4,630 shares,
respectively)...................... 2,017 6,780
Payments for 12,274 and 1,147 Shares
Redeemed........................... (20,717) (1,603)
--------- ---------
Net Increase in Net Assets
Resulting from Fund Share
Transactions
(12,034 and 48,729 shares,
respectively)..................... 16,942 67,886
--------- ---------
Total Increase in Net Assets.......... 46,544 84,925
NET ASSETS
Beginning of Period................... 170,482 85,557
--------- ---------
End of Period (includes undistributed
net investment income of $225
and $32, respectively)............... $217,026 $170,482
--------- ---------
--------- ---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
70
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Growth Stock Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX PERIOD
MONTHS FOR THE MAY 3,
ENDED YEAR ENDED 1994*
JUNE 30, DECEMBER 31, THROUGH
1997 --------------------- DECEMBER 31,
(UNAUDITED) 1996 1995 1994
--------- --------- --------- ---------------
<S> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of
Period............................... $ 1.46 $ 1.26 $ 1.00 $ 1.00
Income from Investment Operations:
Net Investment Income............... 0.01 0.02 0.02 0.01
Net Realized and Unrealized Gains on
Investments........................ 0.24 0.25 0.28 --
--------- --------- --------- ---------------
Total from Investment
Operations....................... 0.25 0.27 0.30 0.01
--------- --------- --------- ---------------
Less Distributions:
Distributions from Net Investment
Income............................. (0.01) (0.02) (0.02) (0.01)
Distributions from Realized Gains on
Investments........................ (0.01) (0.05) (0.02) --
--------- --------- --------- ---------------
Total Distributions............... (0.02) (0.07) (0.04) (0.01)
--------- --------- --------- ---------------
Net Asset Value, End of Period........ $ 1.69 $ 1.46 $ 1.26 $ 1.00
--------- --------- --------- ---------------
--------- --------- --------- ---------------
Total Return+......................... 16.46%++ 20.91% 30.82% 1.55%++
--------- --------- --------- ---------------
--------- --------- --------- ---------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in
thousands)........................... $217,026 $170,482 $ 85,557 $ 41,868
--------- --------- --------- ---------------
--------- --------- --------- ---------------
Ratio of Expenses to Average Net
Assets............................... 0.52%** 0.57% 0.61% 0.71%**
--------- --------- --------- ---------------
--------- --------- --------- ---------------
Ratio of Net Investment Income to
Average Net Assets................... 1.53%** 1.41% 1.77% 2.30%**
--------- --------- --------- ---------------
--------- --------- --------- ---------------
Portfolio Turnover Rate............... 16.32% 37.61% 46.83% 16.51%
--------- --------- --------- ---------------
--------- --------- --------- ---------------
Average Commission Rate#.............. $ 0.0532 $ 0.0629
--------- ---------
--------- ---------
</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.
# Disclosure required for fiscal years beginning after September 1, 1995.
The Accompanying Notes are an Integral Part of the Financial Statements
---
71
<PAGE>
INTERNATIONAL EQUITY PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
International Equity Portfolio
Financial Statements
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997
<TABLE>
<S> <C>
ASSETS
Common Stocks (cost $417,953)......... $565,346
Money Market Investments (cost
$64,526)............................. 64,526
Bonds (cost $9,026)................... 10,856
---------
640,728
Cash.................................. 52
Dividends and Interest Receivable..... 4,536
Due from Sale of Securities........... 1,900
Due from Foreign Currency Contracts... 1,250
Due from Purchase of Fund Shares...... 535
---------
Total Assets........................ 649,001
---------
LIABILITIES
Due on Purchase of Securities......... 3,741
Due on Foreign Currency Contracts..... 1,259
Due to Investment Advisor............. 361
Accrued Expenses...................... 175
---------
Total Liabilities................... 5,536
---------
NET ASSETS.............................. $643,465
---------
---------
REPRESENTED BY:
Aggregate Paid in Capital (700,000
shares authorized, $.01 par value;
373,898 shares outstanding).......... $476,968
Undistributed Net Investment Income... 10,575
Undistributed Accumulated Net Realized
Gain on Investments.................. 6,705
Net Unrealized Appreciation
(Depreciation) of:
Investment Securities............... 149,223
Foreign Currency Transactions....... (6)
---------
Net Assets for 373,898 Shares
Outstanding.......................... $643,465
---------
---------
Net Asset Value, Offering and
Redemption Price per Share........... $ 1.72
---------
---------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Dividends (less foreign dividend tax
of $1,242)......................... $ 10,935
Interest............................ 1,635
---------
Total Income...................... 12,570
---------
Expenses
Management Fees..................... 1,854
Custodian Fees...................... 80
Other Expenses...................... 56
---------
Total Expenses.................... 1,990
---------
Net Investment Income................. 10,580
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES
Net Realized Gain (Loss) on:
Investment Securities............... 7,636
Foreign Currency Transactions....... (328)
---------
Net Realized Gain For the
Period........................... 7,308
---------
Net Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities............... 60,653
Foreign Currency Transactions....... (9)
---------
Net Change in Unrealized
Appreciation for the Period...... 60,644
---------
Net Gain on Investments............... 67,952
---------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS........................ $ 78,532
---------
---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
72
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
International Equity Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
1997 1996
--------------- ---------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income............... $ 10,580 $ 12,614
Net Realized Gain on Investments.... 7,308 7,391
Net Unrealized Appreciation of
Investments for the Period......... 60,644 61,490
--------------- ---------------
Net Increase in Net Assets
Resulting from Operations......... 78,532 81,495
--------------- ---------------
Distributions to Shareholders from:
Net Investment Income............... (12,704) (8,311)
Net Realized Gain on Investments.... (7,542) (11,653)
--------------- ---------------
Net Decrease in Net Assets
Resulting from Distributions to
Shareholders...................... (20,246) (19,964)
--------------- ---------------
Fund Share Transactions
Proceeds from Sale of 39,677 and
64,977 Shares...................... 63,938 92,514
Proceeds from Shares Issued on
Reinvestment of Dividends Paid
(12,596 and 14,362 shares,
respectively)...................... 20,246 19,964
Payments for 2,621 and 7,589 Shares
Redeemed........................... (4,194) (10,947)
--------------- ---------------
Net Increase in Net Assets Resulting
from Fund Share Transactions
(49,652 and 71,750 shares,
respectively)...................... 79,990 101,531
--------------- ---------------
Total Increase in Net Assets.......... 138,276 163,062
NET ASSETS
Beginning of Period................... 505,189 342,127
--------------- ---------------
End of Period (includes undistributed
net investment income of $10,575 and
$12,699 respectively)................ $643,465 $505,189
--------------- ---------------
--------------- ---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
73
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
International Equity Portfolio
Financial Highlights
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
FOR THE
PERIOD
FOR THE MAY 3,
SIX MONTHS FOR THE YEARS 1994*
ENDED JUNE 30, ENDED DECEMBER 31, THROUGH
1997 --------------------------------- DECEMBER 31,
(UNAUDITED) 1996 1995 1994
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of
Period............................... $ 1.56 $ 1.35 $ 1.19 $ 1.22
Income from Investment Operations:
Net Investment Income............. 0.03 0.04 0.04 0.02
Net Realized and Unrealized
Gain/(Loss) on Investments....... 0.19 0.24 0.13 (0.02)
--------------- --------------- --------------- ---------------
Total from Investment
Operations..................... 0.22 0.28 0.17 0.00
--------------- --------------- --------------- ---------------
Less Distributions:
Distributions from Net Investment
Income........................... (0.04) (0.03) -- (0.02)
Distributions from Realized Gains
on Investments................... (0.02) (0.04) (0.01) (0.01)
--------------- --------------- --------------- ---------------
Total Distributions............. (0.06) (0.07) (0.01) (0.03)
--------------- --------------- --------------- ---------------
Net Asset Value, End of Period........ $ 1.72 $ 1.56 $ 1.35 $ 1.19
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
Total Return+......................... 14.41%++ 21.01% 14.57% 0.11%++
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in
thousands)............................. $643,465 $505,189 $342,127 $292,533
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
Ratio of Expenses to Average Net
Assets................................. 0.71%** 0.81% 0.85% 0.87%**
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
Ratio of Net Investment Income to
Average Net Assets..................... 3.76%** 3.02% 2.68% 2.28%**
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
Portfolio Turnover Rate................. 4.36% 17.07% 26.71% 10.97%
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
Average Commission Rate#................ $ 0.0007 $ 0.0151
--------------- ---------------
--------------- ---------------
</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.
#Disclosure required for fiscal years beginning after September 1, 1995.
The Accompanying Notes are an Integral Part of the Financial Statements
---
74
<PAGE>
AGGRESSIVE GROWTH STOCK PORTFOLIO
NORTHWESTERN MUTUAL SERIES FUND, INC.
Aggressive Growth Stock Portfolio
Financial Statements
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997
<TABLE>
<S> <C>
ASSETS
Common Stocks (cost $586,863)......... $878,994
Money Market Investments (cost
$86,633)............................. 86,633
---------
965,627
Cash.................................. 4,302
Due from Sale of Securities........... 281
Due from Sale of Fund Shares.......... 261
Dividends and Interest Receivable..... 90
---------
Total Assets........................ 970,561
---------
LIABILITIES
Due on Purchase of Securities......... 7,800
Due on Redemption of Fund Shares...... 1,039
Due to Investment Advisor............. 412
Futures Variation Margin.............. 150
Accrued Expenses...................... 47
---------
Total Liabilities................... 9,448
---------
NET ASSETS.............................. $961,113
---------
---------
REPRESENTED BY:
Aggregate Paid in Capital (700,000
shares authorized, $.01 par value;
311,045 shares outstanding).......... $676,197
Undistributed Net Investment Income... 532
Undistributed Accumulated Net Realized
Loss on Investments.................. (7,504)
Net Unrealized Appreciation of:
Investment Securities............... 292,131
Index Futures Contracts............. (243)
---------
Net Assets for 311,045 Shares
Outstanding.......................... $961,113
---------
---------
Net Asset Value, Offering and
Redemption Price per Share........... $ 3.09
---------
---------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME
Income
Interest............................ $ 2,490
Dividends........................... 494
---------
Total Income...................... 2,984
---------
Expenses
Management Fees..................... 2,215
Custodian Expenses.................. 14
Other Expenses...................... 27
---------
Total Expenses.................... 2,256
---------
Less Custodian Fees:
Paid by Affiliate............ (11)
Paid Indirectly.............. (3)
---------
Total Net Expenses................ 2,242
---------
Net Investment Income................. 742
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) on
Investments:
Investment Securities............... (4,427)
Index Futures Contracts............. 2,113
---------
Net Realized Loss on Investments
for the Period................... (2,314)
---------
Net Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities............... 53,471
Index Futures Contracts............. (243)
---------
Net Change in Unrealized
Appreciation of Investments for
the Period 53,228
---------
Net Gain on Investments............... 50,914
---------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS........................ $ 51,656
---------
---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
75
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Aggressive Growth Stock Portfolio
Statement of Changes in Net Assets
(IN THOUSANDS)
<TABLE>
<CAPTION>
FOR THE
SIX FOR THE
MONTHS YEAR
ENDED ENDED
JUNE 30, DECEMBER
1997 31, 1996
--------- ---------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations
Net Investment Income (Loss)........ $ 742 $ (210)
Net Realized Gain (Loss) on
Investments........................ (2,314) 52,175
Net Change in Unrealized
Appreciation of Investments for the
Period............................. 53,228 56,387
--------- ---------
Net Increase in Net Assets
Resulting from Operations......... 51,656 108,352
--------- ---------
Distributions to Shareholders from:
Net Investment Income............... 0 (572)
Net Realized Gain on Investments.... (57,365) (24,986)
--------- ---------
Net Decrease in Net Assets
Resulting from Distributions to
Shareholders...................... (57,365) (25,558)
--------- ---------
Fund Share Transactions
Proceeds from Sale of 20,098 and
64,691 Shares...................... 58,729 198,427
Proceeds from Shares Issued on
Reinvestment of Distributions Paid
(20,913 and 8,276 shares,
respectively)...................... 57,365 25,558
Payments for 7,188 and 3,953 Shares
Redeemed........................... (21,198) (11,867)
--------- ---------
Net Increase in Net Assets
Resulting from Fund Share
Transactions (33,822 and 69,014
shares, respectively)............. 94,896 212,118
--------- ---------
Total Increase in Net Assets.......... 89,187 294,912
NET ASSETS
Beginning of Period................... 871,926 577,014
--------- ---------
End of Period (includes undistributed
net investment income/(loss) of $532
and $(210), respectively)............ $961,113 $871,926
--------- ---------
--------- ---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
(Prepared from Unaudited Figures)
---
76
<PAGE>
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 FOR THE YEARS MAY 3, 1994*
ENDED JUNE 30, ENDED DECEMBER 31, THROUGH
1997 --------------------- DECEMBER 31,
(UNAUDITED) 1996 1995 1994
--------------- --------- --------- ---------------
<S> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of
Period............................... $ 3.15 $ 2.77 $ 2.00 $ 1.91
Income from Investment Operations:
Net Investment Income............... -- -- -- --
Net Realized and Unrealized Gains on
Investments........................ 0.14 0.49 0.78 0.09
--------------- --------- --------- ---------------
Total from Investment
Operations....................... 0.14 0.49 0.78 0.09
--------------- --------- --------- ---------------
Less Distributions:
Distributions from Net Investment
Income............................. -- -- -- --
Distributions from Realized Gains on
Investments........................ (0.20) (0.11) (0.01) --
--------------- --------- --------- ---------------
Total Distributions............... (0.20) (0.11) (0.01) --
--------------- --------- --------- ---------------
Net Asset Value, End of Period........ $ 3.09 $ 3.15 $ 2.77 $ 2.00
--------------- --------- --------- ---------------
--------------- --------- --------- ---------------
Total Return+......................... 5.44%++ 17.70% 39.29% 4.47%++
--------------- --------- --------- ---------------
--------------- --------- --------- ---------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in
thousands)........................... $961,113 $871,926 $577,014 $327,096
--------------- --------- --------- ---------------
--------------- --------- --------- ---------------
Ratio of Expenses to Average Net
Assets............................... 0.52%** 0.54% 0.56% 0.58%**
--------------- --------- --------- ---------------
--------------- --------- --------- ---------------
Ratio of Net Investment Income/(Loss)
to Average Net Assets................ 0.17%** (0.03%) 0.13% 0.29%**
--------------- --------- --------- ---------------
--------------- --------- --------- ---------------
Portfolio Turnover Rate............... 32.34% 47.25% 37.84% 21.54%
--------------- --------- --------- ---------------
--------------- --------- --------- ---------------
Average Commission Rate #............. $ 0.0538 $ 0.0513
--------------- ---------
--------------- ---------
</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.
#Disclosure required for fiscal years beginning after September 1, 1995.
The Accompanying Notes are an Integral Part of the Financial Statements
---
77
<PAGE>
NOTES TO FINANCIAL STATEMENTS
NORTHWESTERN MUTUAL SERIES FUND, INC.
Notes to Financial Statements
JUNE 30, 1997
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 Money Market Portfolio,
Select Bond Portfolio, High Yield Bond Portfolio, Balanced Portfolio, Index 500
Stock Portfolio, Growth and Income Stock Portfolio, Growth Stock Portfolio,
International Equity Portfolio and the Aggressive Growth Stock Portfolio (the
"Portfolios"). Shares are present offered only to The Northwestern Mutual Life
Insurance Company ("Northwestern Mutual Life") and its segregated asset
accounts.
NOTE 2 -- The preparation of the financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities at
the date of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from those
estimates.
Principal accounting policies are summarized below.
NOTE 3 -- Bonds are valued on the basis of prices furnished by a service which
determines prices for normal institutional size trading units of bonds, without
regard to exchange or over-the-counter prices. When quotations are not readily
available, bonds are valued at fair market value determined by procedures
approved by the Board of Directors. Stocks listed on a national or foreign stock
exchange are valued at the final sale price, or final bid price in absence of a
sale. Stocks not listed on a national or foreign stock exchange are valued at
the closing bid price on the over-the-counter market. Money market investments,
other than in the Money Market Portfolio, with maturities exceeding sixty days
but generally not exceeding one year are valued by marking to market on the
basis of an average of the most recent bid prices or yields. Money market
investments with maturities of sixty days or less and all securities in the
Money Market Portfolio are valued on an amortized cost basis or, if the current
market value differs substantially from the amortized cost, by marking to
market.
NOTE 4 -- Securities and other assets and liabilities denominated in foreign
currencies are translated into U.S. dollar amounts on the date of valuation.
Purchases and sales of securities and income items denominated in foreign
currencies are translated in U.S. dollar amounts on the respective dates of such
transactions. When the International Equity Portfolio 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 due to changes in foreign exchange rates on investments from the
fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized gain or loss from investments.
Net realized foreign exchange gains or losses arise from sales of foreign
currencies, currency gains or losses realized between the trade date and the
settlement date on security transactions, the differences between the amounts of
dividends and foreign withholding taxes recorded on the portfolio's books, and
the U.S. dollar equivalent of the amounts actually received or paid.
NOTE 5 -- The Select Bond, Balanced, Index 500 Stock, Growth Stock and
Aggressive Growth Stock Portfolios invest in futures contracts as an alternative
to investing in individual securities. The Select Bond, Balanced, Index 500
Stock, Growth Stock and Aggressive Growth Stock could be exposed to market risk
due to changes in the value of the underlying securities or due to an illiquid
secondary market. Futures contracts are marked to market daily based upon quoted
settlement prices. The Portfolios receive from or pay to brokers an amount of
cash equal to the daily fluctuation in the value of the contracts. Such receipts
or payments, known as the "variation margin," are recorded by the Portfolios as
unrealized gains or losses. When the contract is closed, the Portfolios record a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed.
--
78
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Notes to Financial Statements
JUNE 30, 1997
NOTE 6 -- Interest income and discounts earned are recorded daily on the accrual
basis and dividend income is recorded on the ex-dividend date or as soon as
information from foreign issuers is available. Where applicable, dividends are
recorded net of foreign dividend tax. Discounts and premiums on securities
purchased are amortized over the life of the respective securities when required
for federal income tax purposes using the effective interest method. Securities
transactions are accounted for on trade date. The basis for determining cost on
sale of securities is identified cost. For the period ended June 30, 1997,
transactions in securities other than money market investments were:
<TABLE>
<CAPTION>
TOTAL U.S. GOVT
TOTAL U.S. GOVT SECURITY SECURITY
SECURITY SECURITY SALES/ SALES/
PORTFOLIOS PURCHASES PURCHASES MATURITIES MATURITIES
- ------------------------------------------------------------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Select Bond........................................................ $ 210,064,832 $ 65,193,563 $ 196,704,941 $ 120,195,869
High Yield Bond.................................................... 123,254,231 -- 99,605,289 --
Balanced........................................................... 385,163,083 176,958,121 457,374,695 247,778,274
Index 500 Stock.................................................... 91,897,788 -- 10,786,953 --
Growth and Income Stock............................................ 214,399,020 -- 165,693,524 --
Growth Stock....................................................... 50,041,289 -- 30,096,005 --
International Equity............................................... 71,754,802 -- 29,756,637 10,000,000
Aggressive Growth Stock............................................ 278,294,684 -- 242,309,319 --
</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>
FIRST $50 NEXT $50
PORTFOLIOS MILLION MILLION EXCESS
- --------------------------------- ----------- ----------- -------------
<S> <C> <C> <C>
High Yield Bond.................. .60% .50% .40%
Growth and Income Stock.......... .70% .60% .55%
Growth Stock..................... .60% .50% .40%
International Equity............. .85% .65% .65%
Aggressive Growth Stock.......... .80% .65% .50%
</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, 1997,
the amounts paid through expense offset arrangements are $31,810 in the High
Yield Bond Portfolio, $1,295 in the Index 500 Portfolio, $3,395 in the Growth
and Income Stock Portfolio, $2,435 in the Growth Stock Portfolio and $2,789 in
the Aggressive Growth Stock Portfolio.
J. P. Morgan Investment Management, Inc. ("J. P. Morgan") and Templeton
Investment Counsel, Inc. ("Templeton Counsel") have been retained under an
investment sub-advisory agreement to provide investment advice and, in general,
to conduct the management investment program of the Growth and Income Stock
Portfolio and the International Equity Portfolio, respectively. NMIS pays J.P.
Morgan .45% on the first $100 million of the combined net assets for all funds
managed for Northwestern Mutual Life by J.P. Morgan, .40% on the next $100
million, .35% on the next $200 million and .30% in excess of $400 million. NMIS
pays Templeton Counsel .50% on the first $100 million of the combined net assets
for all funds managed for Northwestern Mutual Life by Templeton Counsel and .40%
in excess of $100 million.
--
79
<PAGE>
NORTHWESTERN MUTUAL SERIES FUND, INC.
Notes to Financial Statements
JUNE 30, 1997
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 $768,562 in the Select Bond Portfolio carried forward from 1995
and is available to offset future net realized capital gains. The amount expires
in 2002. A capital loss carryforward of $569,291 was utilized in the Select Bond
Portfolio during the year ended December 31, 1996. As of June 30, 1997, 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 on investments was $493,345,370 for the International Equity
Portfolio. The net unrealized appreciation (depreciation) for federal income tax
purposes are shown below:
<TABLE>
<CAPTION>
(IN THOUSANDS)
HIGH YIELD INDEX 500
SELECT BOND BOND BALANCED STOCK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ -----------
<S> <C> <C> <C> <C>
Gross unrealized appreciation.......................................... $ 3,152 $ 5,634 $ 697,820 $ 364,349
Gross unrealized depreciation.......................................... (618) (1,691) (19,248) (7,709)
------------ ----------- ------------ -----------
Net unrealized appreciation............................................ $ 2,534 $ 3,943 $ 677,820 $ 356,640
------------ ----------- ------------ -----------
------------ ----------- ------------ -----------
<CAPTION>
AGGRESSIVE
GROWTH AND GROWTH INTERNATIONAL GROWTH
INCOME STOCK STOCK EQUITY STOCK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ -----------
<S> <C> <C> <C> <C>
Gross unrealized appreciation.......................................... $ 46,053 $ 57,081 $ 168,051 $ 300,549
Gross unrealized depreciation.......................................... (4,205) (1,084) (20,668) (8,418)
------------ ----------- ------------ -----------
Net unrealized appreciation............................................ $ 41,848 $ 55,997 $ 147,383 $ 292,131
------------ ----------- ------------ -----------
------------ ----------- ------------ -----------
</TABLE>
- --------------------------------------------------------------------------------
Taxable distributions from net investment income and realized capital gains in
the Portfolios differ from book amounts earned during the period due to
differences in the timing of capital recognition and due to the reclassification
of certain gains or losses from capital to income.
For Federal income tax purposes, net unrealized appreciation(depreciation) on
open futures contracts is required to be treated as realized gains(losses).
NOTE 9 -- Dividends from net investment income and net realized capital gains
are declared each year for the Select Bond, High Yield Bond, Balanced, Index 500
Stock, Growth and Income Stock, Growth Stock, International Equity and
Aggressive Growth Stock Portfolios and each business day for the Money Market
Portfolio. Dividend distributions are described below.
A dividend was declared on May 12, 1997, payable to shareholders of record on
May 12, 1997. Dividends paid from 1996 net investment income and 1996 net
capital gains were as follows:
<TABLE>
<CAPTION>
NET
INVESTMENT NET CAPITAL
PORTFOLIOS INCOME GAINS
- ------------------------------------- ------------ ------------
<S> <C> <C>
Select Bond.......................... $ 13,298,619 $ --
High Yield Bond...................... 160,082 992,215
Balanced............................. 86,698,498 29,228,140
Index 500 Stock...................... 13,865,506 16,994,473
Growth and Income Stock.............. 26,286 6,062,555
Growth Stock......................... 14,615 799,017
International Equity................. 12,704,098 7,541,567
Aggressive Growth Stock.............. -- 57,364,645
</TABLE>
A dividend was declared on June 26, 1997, payable to shareholders of record on
June 26, 1997. Dividends paid from 1997 net investment income:
<TABLE>
<CAPTION>
NET INVESTMENT
PORTFOLIOS INCOME
- ----------------------------------------------- ---------------
<S> <C>
High Yield Bond................................ $3,943,225
Growth and Income Stock........................ 1,262,918
Growth Stock................................... 1,203,768
</TABLE>
NOTE 10 -- Effective April 1, 1996, 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
as of June 30, 1997 was $807,364 and for the period April 1, 1996 through
December 31, 1996 was $921,388.
--
80
<PAGE>
Northwestern
Mutual
Life-Registered Trademark-
720 East Wisconsin Avenue
Milwaukee, Wisconsin 53202
VARIABLE LIFE TRANSFER / ALLOCATION / DOLLAR COST AVERAGING
POLICYOWNER SERVICES
<TABLE>
<S> <C> <C>
Insured Policy Number Date
GA# SA# Business Number:
Home Number:
</TABLE>
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.
<TABLE>
<S><C> <C>
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 ------------%
Balanced ------------%
Index 500 Stock ------------%
Aggressive Growth Stock ------------%
High Yield Bond ------------%
Growth Stock ------------%
Growth and Income Stock ------------%
Total ----100 ----%
2. ALLOCATION OF FUTURE PREMIUM/DIVIDENDS:
Complete this section to change where your future Premium/ Dividends are
invested. Allocations of future investments will be effective with the next
Premium/Dividend deposit.
ALLOCATION OF
FUTURE
INVESTMENT DIVISIONS PREMIUMS/DIVIDENDS
Select Bond ------------%
International Equity ------------%
Money Market ------------%
Balanced ------------%
Index 500 Stock ------------%
Aggressive Growth Stock ------------%
High Yield Bond ------------%
Growth Stock ------------%
Growth and Income Stock ------------%
Total ----100 ----%
3. DOLLAR COST AVERAGING (DCA): FOR VCL ONLY
Effective date for the first DCA transfer.
/ / The month following the date this form is signed. Must have assets in
Money Market on that date. Choose Money Market in section 1 and Money
Market in section 2
/ / With the next Premium/Dividend deposit, choose Money Market in section
2.
How would you like the fund transferred? Choose one:
/ / Transfer in monthly installments so that at year end, Money Market
valance will be zero.
/ / Specified amount to be transferred monthly of $ ----------------.
Select Bond ------------%
International Equity ------------%
Balanced ------------%
Index 500 Stock ------------%
Aggressive Growth Stock ------------%
High Yield Bond ------------%
Growth Stock ------------%
Growth and Income Stock ------------%
Total ----100 ----%
4. TERMINATION OF DOLLAR COST AVERAGING:
/ / IMMEDIATELY / / NEXT POLICY ANNIVERSARY
Any existing funds will remain in the Money Market Division unless you elect
to transfer assets. Future premium and dividends will be allocated on the
policy anniversary date according to your allocation instructions.
</TABLE>
5. SPECIAL INSTRUCTIONS:
- --------------------------------------------------------------------------------
------------------------------------------------------------------------------
6. EFFECTIVE DATE:
This asset transfer and/or allocaiton 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 ------
18-1425 (2/96) WORD 6
<PAGE>
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:
<TABLE>
<S> <C> <C> <C>
East 414-299-4268 Central 414-299-4982
West 414-299-4268 South 414-299-3382
EPS 414-299-5123
</TABLE>
The original form is NOT needed. Please keep it 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 names as they appear 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.
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NOTES
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NOTES
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DIRECTORS AND OFFICERS
NORTHWESTERN MUTUAL SERIES FUND, INC.
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
William A. McIntosh .......... Retired Division Head--U.S. Fixed Income, Salomon
Brothers,
................................................................ Kenilworth, IL
OFFICERS
James D. Ericson ..................................................... President
Mark G. Doll ........................................ Vice President & Treasurer
Merrill C. Lundberg .................................................. Secretary
Barbara E. Courtney ................................................. Controller
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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(6-97)
NORTHWESTERN
MUTUAL LIFE -Registered Trademark-
P.O. Box 3095
Milwaukee WI 53201-3095
