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MERRILL LYNCH
SERIES FUND, INC.
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1995 Semi-Annual Report
June 30, 1995
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1995
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DEAR SHAREHOLDER:
We are pleased to submit this semi-annual report for Merrill Lynch Series Fund,
Inc., in which we summarize the investment performance of each Portfolio and
outline our view of the investment environment. Performance information for each
Portfolio in Merrill Lynch Series Fund, Inc., excluding the Money Reserves
Portfolio, can be found in the tables on pages 7 through 9 of this report to
shareholders.
THE ENVIRONMENT
During the first six months of 1995, economic data finally showed evidence of
slowing activity. Gross domestic product (GDP) growth for the first three months
of 1995 was reported at 2.7%, the weakest showing in the past 18 months. Other
signs of a sluggish economy included slowing growth in the manufacturing sector
in May and June as well as three consecutive months of declines in the Index of
Leading Economic Indicators, an occurrence which has often (but not always)
forecast recessions. As a result, by the end of June concerns had arisen that
the economic "soft landing" could turn into an actual recession. However, at the
same time there were also expectations that a few months of very slow or zero
growth would be followed by a pickup in economic activity later in the year.
This view was supported by the stronger-than-expected employment data for June
and an upward revision in May's employment figures.
Thus far in 1995, economic developments have been very positive for the US stock
and bond markets, and most US stock market averages recently have attained
record levels. In contrast, the US dollar has been persistently weak, especially
relative to the yen. Following the Federal Reserve Board's cut in short-term
interest rates in early July, continued signs of a moderating expansion and
well-contained inflationary pressures could provide further assurance that the
peak in US interest rates is behind us, creating a stronger foundation for
higher stock and bond prices. On the other hand, indications of reaccelerating
growth and increasing inflationary pressures would likely suggest that higher
interest rates are on the horizon, a negative development for the US financial
markets.
BALANCED PORTFOLIO
As of June 30, 1995, the Portfolio's asset allocation was: stocks (45%), bonds
(39%), and cash (16%). We took advantage of a rally in the bond market during
the first half of 1995 to reduce the size of our bond commitment. The remaining
assets in the bond sector remain allocated to intermediate-term US Treasury
obligations. The average duration of the remaining bond commitment is 6.5 years,
with the average maturity at 8.6 years. The reduction in the Portfolio's bond
holdings reflected our belief that bond prices were discounting a modest
slowdown in US economic activity. We believe that such a modest slowdown could
be followed by a gradual reacceleration in the economy over the next 6 months-12
months. In such an environment, we believe Federal Reserve Board monetary policy
likely will remain stable rather than become aggressively accommodative. A
stable monetary policy, in turn, will not support a substantial further decline
in intermediate-term interest rates. On this basis, we believe that the major
portion of a rally in the US bond market has taken place, at least for the next
several quarters.
On the other hand, we expanded US equity representation during the early part of
1995. While we accepted profits in Hewlett-Packard Co. and sold J.P. Morgan &
Co., we established new positions in General Signal Corp., Stewart & Stevenson
Services, Inc., Ford Motor Co., GTE Corp. and Fisher Scientific International,
Inc. We enlarged the equity commitment at a time when we believed that the
Federal Reserve Board had completed its tightening of monetary policy, which had
commenced in February 1994. The economic scenario outlined in reference to the
bond sector should prove favorable for US equities, since it will permit a
favorable trend in corporate earnings, at least through 1996. The equity sector
reflects emphasis on the capital spending area, which we believe will remain a
strong sector over the next several years. Significant assets remain allocated
to consumer staples with favorable earnings prospects. The energy sector also
remains overweighted as an area offering exceptional value within the US equity
market.
1
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1995 (Continued)
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CAPITAL STOCK PORTFOLIO
Attempts by the Federal Reserve Board to decelerate the US economy during 1994
and into 1995 are clearly meeting with success. GDP growth declined to very
modest levels during the second quarter as US industry attempted to control
inventories which were slightly above desired levels. The products sector of GDP
has fallen far behind the services sector in recent months, lending strength to
the argument that commodity inflation is contained both at home and abroad.
Since the US economy continues to be the locomotive for worldwide growth,
especially in developed economies, markets around the world are focusing on the
US Federal Funds rate. Many equity markets began to discount a renewed level of
economic activity in the United States brought on by lower interest rates in the
marketplace, even before action by the Federal Reserve Board in early July.
During recent months it remained appropriate to emphasize capital spending and
credit-sensitive sectors which continued in investor favor through mid-year. The
quest for global competitiveness has driven industry to seek labor-saving
equipment and technology at a pace not seen since the industrial revolution. Our
underweighted positions in basic industry, consumer durables and energy seem
appropriate at the moment, although evidence of economic reacceleration later
this year would cause us to become more interested in basic industry, especially
if export demand improves as we expect.
GLOBAL STRATEGY PORTFOLIO
As of June 30, 1995, the Portfolio's asset allocation was: US stocks (21%),
foreign stocks (42%), US bonds (17%), foreign bonds (12%), and cash (8%). During
the first half of 1995, we reduced the US bond sector, taking advantage of a
rally in bond prices. The reduction resulted from our belief that limited
potential existed for a further decline in intermediate-term US interest rates
during the second half of 1995, as bond prices appeared to fully discount the
modest slowdown in US economic activity which appeared to be taking place. In
the foreign bond sector, we eliminated our position in Australian bonds and
expanded the commitment to German bonds, which appeared to offer better total
return potential. Other foreign bond commitments were maintained in Canada, the
United Kingdom and Italy.
The primary shift in the equity sector was to enlarge the position in US common
stocks. Much of this change was undertaken early in 1995 and resulted from the
expectation that the Federal Reserve Board had completed its tightening of
monetary policy. However, the primary overweighting is maintained in the
emerging Asian and Latin American markets. In Asia, we established a position in
Philippine Long Distance Telephone Co. These emerging markets should extend the
recoveries which commenced in recent months. Lower interest rates worldwide
should prove to be a catalyst for higher share prices in the emerging markets.
Favorable economic prospects in Asia and evidence of a continuing improvement in
the financial condition of Mexico also should have a positive impact on investor
interest in the Asian and Latin American stock markets, respectively.
While the commitment to Japanese equities remains relatively neutral, we shifted
representation in favor of companies which appeared reasonably valued relative
to earnings expectations. Following significant weakness during the first half
of 1995, the Japanese stock market offers a larger number of undervalued
situations than has been the case for many years. Since we expect the US dollar
to recover relative to the Japanese yen, we maintain a currency hedge by selling
yen forward for the equivalent of 75% of the value of the Japanese equity
positions. We also reduced our weighting in European equities during the first
half of 1995, with emphasis among remaining positions focused on companies which
had made strong progress in restructuring operations to maintain strong
competitive positions in Europe and globally.
GROWTH STOCK PORTFOLIO
Growth Stock Portfolio had a cash reserve position of 3.9% of net assets on June
30, 1995, which reflects our strategy of being relatively fully invested in
stocks during the first half of 1995. A relatively modest portfolio weighting in
a number of Mexican growth companies at the beginning of 1995 had a significant
2
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1995 (Continued)
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negative impact on total returns in the first three months of 1995. Therefore,
all of the Mexican companies were eliminated from the Growth Stock Portfolio
during the first quarter of 1995.
The industry structure of the Portfolio was modified to reflect the changes in
business conditions and financial markets during the first half of 1995. The
substantial stock price gains in the financial and technology sectors of the
stock market led us to reduce the net asset exposure of these sectors. We have
meaningfully increased the investments in the consumer nondurable goods and
services companies from 41.5% of net assets at year-end 1994 to 57.4% at
mid-year 1995. The most significant industry weightings are in pharmaceuticals,
computers, specialty retailing, household products and information processing.
The stock investments in these industries were equal to 32.4% of net assets at
mid-year 1995. The investment objective of the Portfolio is to produce long-term
capital growth by focusing on a diversified group of growth companies where we
believe the managements are likely to earn relatively high returns on investment
and above-average rates of growth in earnings over an extended time horizon. The
slowdown in the overall rate of real growth of the US economy during the first
half of 1995, which was accompanied by a significant decline in long-term
interest rates, may have created a more favorable environment for improved
valuations on growth stocks during the remainder of 1995.
HIGH YIELD PORTFOLIO
The positive trend in the financial markets continued during second quarter
1995. Ten-year US Treasury note yields declined from 7.13% to 6.25% over the
three-month period. High-yield bond yields also dropped, but the decline was
more muted. Heavy new-issue supply was one factor affecting the market. Concern
that the economic slowdown could deepen seems to have depressed investor
psychology toward economically sensitive cyclicals like steel and paper. This
contributed to the lag between US Treasury securities and high-yield bonds. In
July, the high-yield market caught up as technical conditions and investor
sentiment improved.
We have been positive on the high-yield market for most of the year, feeling
that last year's bear market left US Government and high-yield securities
significantly undervalued. The fundamentals unique to high-yield securities
remain positive. Credit quality trends are stable for the market as a whole and
pockets of undervaluation exist. However, the relatively narrow spreads between
high-yield and US Government securities reflect the solid fundamentals.
Consequently, we have become more selective recently. We increased our positions
in selected cyclicals which we felt were oversold and added to our emerging
market and consumer product positions. The quality focus in new issues was on
B-rated companies which appeared particularly inexpensive.
At June 30, 1995, the Portfolio's cash position was 2.5% of net assets with the
average portfolio maturity at seven years. Major industry sectors represented in
the Portfolio included: energy, 9.0%; hotels & casinos, 8.2%; food & beverages,
8.0%; conglomerates, 6.4%; containers, 5.9%; and paper, 5.2%.
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
The bond market rallied with unexpected vigor during the six-month period ended
June 30, 1995 in response to a significant deceleration in economic growth. The
domestic economy expanded at a 2.7% annual rate for the first three months of
1995, the slowest rate of growth since the summer of 1993. This was an abrupt
change from the pace of the fourth quarter of 1994, which recorded a 5.1% rate
of growth. The slowdown offered further evidence that the economy, after a
four-year expansion, is braking at a steady rate in a much desired soft landing.
At the same time, signs indicated that inflation remains under control.
During the six-month period ended June 30, 1995, the yield on the long-term US
Treasury bond dropped 126 basis points (1.26%) from 7.88% at December 31, 1994
to 6.62% at June 30, 1995. Since prices move inversely to yields, this resulted
in a strong rally in bond values, particularly in the longer maturities.
We have continued to push the average duration of the Portfolio out longer in
order to take advantage of the rally by extending the Portfolio from 4.4 years
in January to 5.2 years at the end of June. This was
3
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1995 (Continued)
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accomplished by investing cash flows into bonds with longer maturities. The
Portfolio's cash position remained at less than 1% of net assets at June 30,
1995.
LONG TERM CORPORATE BOND PORTFOLIO
The bond market rallied with unexpected vigor during the six-month period ended
June 30, 1995 in response to a significant deceleration in economic growth. The
domestic economy expanded at a 2.7% annual rate for the first three months of
1995, the slowest rate of growth since the summer of 1993. This was an abrupt
change from the pace of the fourth quarter of 1994, which recorded a 5.1% rate
of growth. The slowdown offered further evidence that the economy, after a
four-year expansion, is braking at a steady rate in a much desired soft landing.
At the same time, signs indicated that inflation remains under control.
During the six-month period ended June 30, 1995, the yield on the long-term US
Treasury bond dropped 126 basis points from 7.88% at December 31, 1994 to 6.62%
at June 30, 1995. Since prices move inversely to yields, this resulted in a
strong rally in bond values, particularly in the longer maturities.
We have continued to push the average duration of the Portfolio out longer in
order to take advantage of the rally by extending the Portfolio from 4.8 years
in January to 5.7 years at the end of June. This was accomplished by investment
of cash flows into bonds with longer maturities. The Portfolio's cash position
was reduced from 14% of net assets to less than 3% by June 30, 1995.
MONEY RESERVE PORTFOLIO
For the six-month period ended June 30, 1995, the Money Reserve Portfolio's net
annualized yield was 5.79%*. The Portfolio's 7-day yield as of June 30, 1995 was
5.72% (excluding gains and losses) and 5.75% (including gains and losses).
For the six months ended June 30, 1995, the Money Reserve Portfolio maintained
an average life ranging from a low of 39 days to a high of 85 days. The upward
trend in average life reflects our progressively optimistic attitude regarding
the direction of interest rates and the expected shape for the front end of the
yield curve.
As 1995 began, we held the Portfolio's average life in the mid 40-day area while
we awaited the results of the February 1, 1995 Federal Open Market Committee
(FOMC) meeting. The meeting, which produced a 50 basis point increase in
interest rates, provided the incentive for us to modestly increase the
Portfolio's average life to the high 50-day-low 60-day area as strong technicals
dominated the market. In spite of the market's improved sentiment, a large
portion of the Portfolio's investment was concentrated in the 6-month-12-month
area, which encompassed much of the steepness in the yield curve. Although we
took advantage of the technicals by extending the Portfolio's average life into
the 60-day area, we tempered our involvement somewhat until we saw clearer
evidence that economic momentum had slowed.
By mid-period, we had extended the Portfolio's average life to the mid
70-day-low 80-day area. This investment decision was based on the belief that
the level of economic activity would continue to slow, thereby negating the
Federal Reserve Board's ability to maintain tight monetary policy. As a result,
we emphasized selected areas that reflected good relative value, with
commitments to the very front end of the investment spectrum, the six-month
area, and the two-year sector. Much of the exposure in the longer end was placed
in US Treasury securities and Federal agencies as quality spreads continued to
compress further out the yield curve. As the six-month period came to a close,
we reduced the Portfolio's average life to 75 days as mixed signals clouded
investors' perceptions as to the outcome of the July FOMC meeting.
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* Based on constant investment throughout the period, with dividends compounded
daily, and reflecting a net return to the investor after all expenses.
4
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1995 (Continued)
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Looking ahead, we expect to maintain the Portfolio's average life toward the
higher end of its permitted investment band, in view of our belief that the
short end of the yield curve will remain well bid for. We will continue to
monitor economic data as well as the inflationary impact of the recent Federal
Reserve Board move.
MULTIPLE STRATEGY PORTFOLIO
Attempts by the Federal Reserve Board to decelerate the US economy during 1994
and into 1995 are clearly meeting with success. GDP growth declined to very
modest levels during the second quarter as US industry attempted to control
inventories which were slightly above desired levels. The products sector of GDP
has fallen far behind the services sector in recent months, lending strength to
the argument that commodity inflation is contained both at home and abroad.
Since the US economy continues to be the locomotive for worldwide growth,
especially in developed economies, markets around the world are focusing on the
US Federal Funds rate.
Many equity markets began to discount a renewed growth of economic activity in
the United States brought on by lower interest rates in the marketplace even
before the action by the Federal Reserve Board in early July.
During recent months it remained appropriate to emphasize capital spending and
credit-sensitive sectors which continued in investor favor through mid-year. The
quest for global competitiveness has driven industry to seek labor-saving
equipment and technology at a pace not seen since the industrial revolution. Our
underweighted positions in basic industry, consumer durables and energy seem
appropriate at the moment, although evidence of economic reacceleration later
this year would cause us to become more interested in basic industry, especially
if export demand improves as we expect.
Recognizing that the yield on a 30-year US Treasury bond dropped from 8.15% in
November 1994 to 6.50% recently, it seemed appropriate to assume a less
aggressive posture in the fixed-income segment of the Portfolio. Accordingly, we
have shortened the duration and slightly reduced the allocation to bonds in
favor of equities.
NATURAL RESOURCES PORTFOLIO
The environment for investments in the natural resource sector turned positive
during the six-month period ended June 30, 1995. After a weak start, investor
sentiment toward natural resource-related shares improved progressively during
the period, encouraged by signs that US economic growth might be slowing and
that we may be at or near the end of the interest rate increases by the US
Federal Reserve Board. The broad stock market averages in the United States
pushed ahead into record territory, with many resource-related shares staging
sharp recoveries after being sold aggressively during the final months of 1994.
Foreign equities also recovered from weakness earlier in the year, encouraged by
more stable currency markets and the German Bundesbank's unexpected interest
rate cut near the end of March. Share prices of gold mining companies and
energy-related companies were particularly strong. Commodity prices generally
maintained their upward trend during the period, benefiting from continued
strong demand for basic resources worldwide.
The Portfolio's primary investment focus remained in the energy sector, where we
maintained exposure in a cross-section of integrated, producing and oil service
companies. Portfolio returns during the period were enhanced by this large
exposure to energy-related stocks. The integrated oil companies posted solid
share price gains, supported by their relatively high dividend yields, improved
chemical margins and ongoing cost-cutting efforts, which allowed many companies
to report better-than-expected earnings for the first quarter of 1995. Our
increased exposure to natural gas-related exploration and production companies
also contributed positively to returns for the period. Share prices in this
group rose significantly as natural gas prices stabilized and oil prices rose
modestly. The Portfolio also continued to maintain a significant exposure to the
industrial side of our universe, including investments in the paper, base metal
and chemical industries, where a combination of firm commodity prices, improved
capacity
5
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1995 (Concluded)
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utilization rates and reduced cost structures were expected to lead to an
improved earnings outlook. In fact, earnings results reported during the period
did generally meet or exceed expectations. However, these results failed to
inspire investors, as prospects of slower economic growth heightened concerns
about the sustainability of these earnings. Investor psychology generally turned
negative toward cyclical areas of the economy, and stock price performance in
these industries generally lagged the strong returns of the broad stock market
averages.
Looking ahead, we remain optimistic about the outlook for investing in the
natural resource sector. Uncertainty about the ability of the US Federal Reserve
Board to achieve a soft landing in the US economy may keep investors cautious
toward the outlook for natural resource companies in the near term. While the
growth rate of the US economy may be moderating, we believe that worldwide
economic growth will remain robust and will continue to support a rising
consumption pattern for most basic resources. This should strengthen fundamental
supply/demand prospects for most natural resource-related industries, which in
turn should have positive implications for the earnings of many resource-related
companies.
IN CONCLUSION
We appreciate your investment in Merrill Lynch Series Fund, Inc., and we look
forward to sharing our investment outlook and objectives with you in our
December annual report to shareholders.
Sincerely,
/s/ TERRY K. GLENN
- ------------------
Terry K. Glenn
President
August 15, 1995
6
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MERRILL LYNCH SERIES FUND, INC.
Performance Information
June 30, 1995
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RECENT PERFORMANCE RESULTS
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<TABLE>
<CAPTION>
12 MONTH 6 MONTH
6/30/95 12/31/94 6/30/94 % CHANGE % CHANGE
<S> <C> <C> <C> <C> <C>
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BALANCED PORTFOLIO $14.06 $13.27 $13.42 + 8.64%(1) + 9.87%(1)
- ---------------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO 21.95 21.64 21.04 + 10.44 (2) + 7.37 (2)
- ---------------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO 14.68 14.54 14.96 - 0.79 (3) + 2.08 (3)
- ---------------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO 20.72 19.20 17.99 + 16.27 (4) + 8.94 (4)
- ---------------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO 9.01 8.53 9.05 - 0.44 + 5.63
- ---------------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO 11.13 10.32 10.65 + 4.51 + 7.85
- ---------------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO 11.61 10.72 11.07 + 4.88 + 8.30
- ---------------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO 16.36 16.22 16.15 + 7.90 (5) + 7.44 (5)
- ---------------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO 7.93 7.43 7.37 + 7.60 + 6.73
- ---------------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO -- TOTAL RETURN + 13.72 (6) + 12.58 (7)
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CAPITAL STOCK PORTFOLIO -- TOTAL RETURN + 13.95 (8) + 10.00 (9)
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GLOBAL STRATEGY PORTFOLIO -- TOTAL RETURN + 2.63 (10) + 4.06 (11)
- ---------------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO -- TOTAL RETURN + 24.93 (12) + 16.25 (13)
- ---------------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO -- TOTAL RETURN + 11.42 (14) + 11.41 (15)
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INTERMEDIATE GOVERNMENT BOND PORTFOLIO -- TOTAL RETURN + 12.43 (16) + 11.91 (17)
- ---------------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO -- TOTAL RETURN + 13.07 (18) + 12.47 (19)
- ---------------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO -- TOTAL RETURN + 11.89 (20) + 9.70 (21)
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NATURAL RESOURCES PORTFOLIO -- TOTAL RETURN + 10.03 (22) + 7.74 (23)
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</TABLE>
(1) Percent change includes reinvestment of $0.461 per share capital gains
distributions.
(2) Percent change includes reinvestment of $1.162 per share capital gains
distributions.
(3) Percent change includes reinvestment of $0.155 per share capital gains
distributions.
(4) Percent change includes reinvestment of $0.168 per share capital gains
distributions.
(5) Percent change includes reinvestment of $0.967 per share capital gains
distributions.
(6) Percent change includes reinvestment of $0.602 per share ordinary income
dividends and $0.461 per share capital gains distributions.
(7) Percent change includes reinvestment of $0.318 per share ordinary income
dividends and $0.461 per share capital gains distributions.
(8) Percent change includes reinvestment of $0.664 per share ordinary income
dividends and $1.162 per share capital gains distributions.
(9) Percent change includes reinvestment of $0.515 per share ordinary income
dividends and $1.162 per share capital gains distributions.
(10) Percent change includes reinvestment of $0.494 per share ordinary income
dividends and $0.155 per share capital gains distributions.
(11) Percent change includes reinvestment of $0.276 per share ordinary income
dividends and $0.155 per share capital gains distributions.
(12) Percent change includes reinvestment of $1.322 per share ordinary income
dividends and $0.168 per share capital gains distributions.
(13) Percent change includes reinvestment of $1.197 per share ordinary income
dividends and $0.168 per share capital gains distributions.
(14) Percent change includes reinvestment of $0.987 per share ordinary income
dividends.
(15) Percent change includes reinvestment of $0.466 per share ordinary income
dividends.
(16) Percent change includes reinvestment of $0.771 per share ordinary income
dividends.
(17) Percent change includes reinvestment of $0.392 per share ordinary income
dividends.
(18) Percent change includes reinvestment of $0.825 per share ordinary income
dividends.
(19) Percent change includes reinvestment of $0.417 per share ordinary income
dividends.
(20) Percent change includes reinvestment of $0.581 per share ordinary income
dividends and $0.967 per share capital gains distributions.
(21) Percent change includes reinvestment of $0.332 per share ordinary income
dividends and $0.967 per share capital gains distributions.
(22) Percent change includes reinvestment of $0.165 per share ordinary income
dividends.
(23) Percent change includes reinvestment of $0.069 per share ordinary income
dividends.
7
<PAGE> 9
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MERRILL LYNCH SERIES FUND, INC.
Performance Information
June 30, 1995 (Continued)
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR FIVE YEARS TEN YEARS SINCE
ENDED ENDED ENDED INCEPTION
6/30/95 6/30/95 6/30/95 TO 6/30/95
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO +13.72% + 9.57% -- +10.64% +
- ------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO +13.95% + 8.73% +12.08% --
- ------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO + 2.63% + 9.17% -- + 9.43% ++
- ------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +24.93% + 8.78% +10.18% --
- ------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO +11.42% + 13.80% -- +11.28% +++
- ------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO +12.43% + 9.34% + 9.16% --
- ------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO +13.07% + 9.98% + 9.94% --
- ------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO +11.89% + 9.84% +11.51% --
- ------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO +10.03% + 4.29% -- - 0.47% ++++
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Balanced Portfolio commenced operations on 5/2/88.
++ Global Strategy Portfolio commenced operations on 7/1/87.
+++ High Yield Portfolio commenced operations on 5/1/86.
++++ Natural Resources Portfolio commenced operations on 7/1/87.
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT AVERAGE ANNUAL TOTAL RETURNS*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR FIVE YEARS TEN YEARS SINCE
ENDED ENDED ENDED INCEPTION
6/30/95 6/30/95 6/30/95 TO 6/30/95
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO + 4.00% + 7.17% -- + 8.76% +
- ------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO + 4.26% + 6.30% +10.49% --
- ------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO - 6.68% + 6.71% -- + 7.66% ++
- ------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +14.99% + 6.25% + 8.26% --
- ------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO + 1.72% + 11.51% -- + 9.57% +++
- ------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 2.45% + 6.94% + 7.52% --
- ------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO + 3.17% + 7.57% + 8.31% --
- ------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO + 2.08% + 7.35% + 9.94% --
- ------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO - 0.13% + 1.67% -- -2.80% ++++
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
* Returns assume the separate account had been in existence and a contract
had been in force during the periods shown. They reflect separate account
mortality and expense risk charge at an annual rate of 0.90% and a
deferred contract load of 9%. They do not reflect quarterly cost of
insurance. Returns would be lower if they reflected the deduction for cost
of insurance, which can vary by age, sex, and rating class of the insured,
and by each contract's net amount at risk. Some contract owners have lower
mortality and expense risk charges and/or lower deferred contract loads
than those reflected above. Average annual rates of return for those
contract owners would, therefore, be higher than the returns shown above.
Some contract owners pay administrative fees that could have the effect of
reducing the returns shown above. All charges and fees are described in
the product prospectuses. See those prospectuses for more complete
information.
+ The Portfolio commenced operations on 5/2/88.
++ The Portfolio commenced operations on 7/1/87.
+++ The Portfolio commenced operations on 5/1/86.
++++ The Portfolio commenced operations on 7/1/87.
Investment results and principal value will fluctuate so that an investment may
be worth more or less than its original cost. Past performance illustrated
should not be considered a representation of future performance.
8
<PAGE> 10
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Performance Information
June 30, 1995 (Concluded)
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT AVERAGE ANNUAL TOTAL RETURNS FOR
ESTATE INVESTOR I AND II*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR FIVE YEARS TEN YEARS SINCE
ENDED ENDED ENDED INCEPTION
6/30/95 6/30/95 6/30/95 TO 6/30/95
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO +12.25% + 8.54% -- + 9.73% +
- ------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO +12.92% + 7.69% +10.98% --
- ------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO + 1.71% + 8.10% -- + 8.46% ++
- ------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +23.81% + 7.69% + 8.81% --
- ------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO +10.42% + 12.77% -- +10.30% +++
- ------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO +11.42% + 8.35% + 8.16% --
- ------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO +12.05% + 8.98% + 8.93% --
- ------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO +10.89% + 8.73% +10.48% --
- ------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO + 9.04% + 3.33% -- - 1.37% ++++
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
* Returns assume the separate account had been in existence and a contract
had been in force during the periods shown. They reflect the separate
account mortality and expense risks charge at an annual rate of 0.90%.
Returns do not reflect contract loading or quarterly cost of insurance,
which varies by age, sex and underwriting class of the insured and the
contract's net amount at risk. Returns would be lower if these two charges
were reflected. Refer to the product prospectus which contains a more
complete description of all charges and fees.
When contract loading is reflected, the returns for One Year, Five Years,
Ten Years and Since Inception, respectively, would be: Balanced Portfolio,
-43.87%, -5.51%, (N/A), -0.47%; Capital Stock Portfolio, -43.54%, -6.25%,
3.55%, (N/A); Global Strategy, -49.15%, -5.90%, (N/A), -0.54%; Growth
Stock Portfolio, -38.10%, -6.25%, 1.52%, (N/A); High Yield Portfolio,
-44.79%, -1.83%, (N/A), 2.27%; Intermediate Government Bond Portfolio,
-44.29%, -5.67%, 0.92%, (N/A); Long Term Corporate Bond Portfolio,
-43.98%, -5.31%, 1.64%, (N/A); Multiple Strategy Portfolio, -44.56%,
-5.35%, 3.08%, (N/A); Natural Resources Portfolio, -45.48%, -10.05%,
(N/A), -9.56%.
+ The Portfolio commenced operations on 5/2/88.
++ The Portfolio commenced operations on 7/1/87.
+++ The Portfolio commenced operations on 5/1/86.
++++ The Portfolio commenced operations on 7/1/87.
Investment results and principal value will fluctuate so that an investment may
be worth more or less than its original cost. Past performance illustrated
should not be considered a representation of future performance.
9
<PAGE> 11
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of June 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT
VALUE (NOTE OF NET
FACE AMOUNT US GOVERNMENT OBLIGATIONS COST 1a) ASSETS
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
US TREASURY NOTES US Treasury Notes:
$ 8,200,000 6.25% due 2/15/2003.................... $ 8,397,250 $ 8,221,812 9.3%
4,400,000 5.75% due 8/15/2003.................... 4,418,578 4,265,932 4.8
11,000,000 7.25% due 8/15/2004.................... 11,107,500 11,754,490 13.4
9,000,000 7.875% due 11/15/2004.................. 9,011,250 10,023,750 11.4
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT OBLIGATIONS 32,934,578 34,265,984 38.9
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
INDUSTRY HELD COMMON STOCKS
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
AEROSPACE 19,000 United Technologies Corp. ............. 913,577 1,484,375 1.7
- ----------------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE 40,000 Ford Motor Co. ........................ 1,073,776 1,190,000 1.3
30,000 Stewart & Stevenson Services, Inc. .... 1,067,480 1,072,500 1.2
------------ ------------ ------
2,141,256 2,262,500 2.5
- ----------------------------------------------------------------------------------------------------------------------------
CHEMICALS 26,250 Eastman Chemical Co. .................. 1,101,189 1,561,875 1.8
38,000 Nalco Chemical Co. .................... 1,193,145 1,382,250 1.6
------------ ------------ ------
2,294,334 2,944,125 3.4
- ----------------------------------------------------------------------------------------------------------------------------
CONSUMER SERVICES 55,000 Kelly Services, Inc. .................. 1,450,000 1,388,750 1.6
- ----------------------------------------------------------------------------------------------------------------------------
ELECTRONICS 35,000 General Signal Corp. .................. 1,245,918 1,391,250 1.6
- ----------------------------------------------------------------------------------------------------------------------------
ENERGY-RELATED 82,000 +California Energy Co. Inc. ........... 1,403,585 1,342,750 1.5
- ----------------------------------------------------------------------------------------------------------------------------
ENVIRONMENTAL CONTROL 78,256 Wheelabrator Technologies Inc. ........ 1,276,578 1,203,186 1.4
- ----------------------------------------------------------------------------------------------------------------------------
FOOD 73,552 Archer-Daniels-Midland Co. ............ 1,117,501 1,369,906 1.6
- ----------------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 34,000 Stanley Works Co. ..................... 1,340,289 1,287,750 1.5
- ----------------------------------------------------------------------------------------------------------------------------
HEALTHCARE 65,000 +Humana Inc. .......................... 516,047 1,145,625 1.3
- ----------------------------------------------------------------------------------------------------------------------------
MACHINERY 39,000 Ingersoll-Rand Co. .................... 1,008,480 1,491,750 1.7
73,000 Keystone International, Inc. .......... 1,730,886 1,432,625 1.6
------------ ------------ ------
2,739,366 2,924,375 3.3
- ----------------------------------------------------------------------------------------------------------------------------
MANUFACTURING 40,000 Fisher Scientific International,
Inc. ................................. 1,234,274 1,325,000 1.5
- ----------------------------------------------------------------------------------------------------------------------------
NATURAL GAS 37,100 Consolidated Natural Gas Co. .......... 1,536,522 1,400,525 1.6
- ----------------------------------------------------------------------------------------------------------------------------
OFFICE-RELATED 49,000 Pitney Bowes, Inc. .................... 1,576,905 1,880,375 2.1
- ----------------------------------------------------------------------------------------------------------------------------
OIL-INTEGRATED 38,000 Phillips Petroleum Co. ................ 1,075,140 1,268,250 1.4
- ----------------------------------------------------------------------------------------------------------------------------
OIL SERVICES 69,500 Dresser Industries, Inc. .............. 1,346,534 1,546,375 1.8
- ----------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 25,000 Abbott Laboratories.................... 777,352 1,012,500 1.1
45,000 Merck & Co., Inc. ..................... 1,536,450 2,205,000 2.5
------------ ------------ ------
2,313,802 3,217,500 3.6
- ----------------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 36,000 Eastman Kodak Co. ..................... 1,491,356 2,182,500 2.5
- ----------------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING 28,000 Gannett Co., Inc. ..................... 1,239,100 1,519,000 1.7
- ----------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 35,700 American Telephone & Telegraph Co. .... 1,522,784 1,896,563 2.1
27,600 Bell Atlantic Corp. ................... 1,351,417 1,545,600 1.8
66,000 Comsat Corp. .......................... 1,647,695 1,295,250 1.5
45,000 GTE Corp. ............................. 1,468,864 1,535,625 1.7
------------ ------------ ------
5,990,760 6,273,038 7.1
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS 34,242,844 39,357,155 44.7
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
10
<PAGE> 12
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of June 30, 1995 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT
VALUE (NOTE OF NET
FACE AMOUNT SHORT-TERM SECURITIES COST 1a) ASSETS
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER* $ 5,000,000 Ciesco L.P., 5.85% due 7/12/1995....... $ 4,990,250 $ 4,990,250 5.7%
3,681,000 General Electric Capital Corp., 6.20%
due 7/03/1995......................... 3,679,098 3,679,098 4.2
------------ ------------ ------
8,669,348 8,669,348 9.9
- ----------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY 5,000,000 Federal Farm Credit Bank, 5.79% due
OBLIGATIONS* 8/04/1995............................. 4,971,854 4,971,854 5.7
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 13,641,202 13,641,202 15.6
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS...................... $ 80,818,624 87,264,341 99.2
============
OTHER ASSETS LESS LIABILITIES.......... 671,855 0.8
------------ -----
NET ASSETS............................. $ 87,936,196 100.0%
============ =====
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
* Commercial Paper and certain US Government & Agency Obligations are traded on
a discount basis. The interest rates shown are the discount rates paid at the
time of purchase by the Portfolio.
See Notes to Financial Statements.
11
<PAGE> 13
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT
SHARES VALUE OF NET
INDUSTRY HELD US COMMON STOCKS & WARRANTS COST (NOTE 1a) ASSETS
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
AEROSPACE 50,000 Boeing Co. ........................ $ 3,086,662 $ 3,131,250 1.4%
15,500 Crane Co. ......................... 554,855 561,875 0.2
35,000 United Technologies Corp. ......... 2,701,173 2,734,375 1.2
------------- ------------- ------
6,342,690 6,427,500 2.8
- ---------------------------------------------------------------------------------------------------------------------------
ALUMINUM 25,000 Aluminum Co. of America............ 1,201,968 1,253,125 0.6
- ---------------------------------------------------------------------------------------------------------------------------
APPLIANCES 150,000 Singer Company N.V. ............... 4,380,891 3,881,250 1.7
- ---------------------------------------------------------------------------------------------------------------------------
AUTOMOBILE 115,000 Ford Motor Co. .................... 3,291,605 3,421,250 1.5
- ---------------------------------------------------------------------------------------------------------------------------
BANKING 130,000 Bank of New York, Inc. ............ 3,955,596 5,248,750 2.3
15,000 Bank of New York,
Inc. (Warrants) (a)............... 168,750 318,750 0.2
95,000 BankAmerica Corp. ................. 4,325,358 4,999,375 2.2
34,500 CoreStates Financial Corp. ........ 1,219,495 1,203,188 0.5
------------- ------------- ------
9,669,199 11,770,063 5.2
- ---------------------------------------------------------------------------------------------------------------------------
BEVERAGES 25,000 PepsiCo, Inc. ..................... 964,067 1,140,625 0.5
- ---------------------------------------------------------------------------------------------------------------------------
CHEMICALS 15,000 Dow Chemical Co. .................. 1,098,143 1,078,125 0.5
98,800 Eastman Chemical Co. .............. 5,100,576 5,878,600 2.6
3,000 Engelhard Corp. ................... 121,680 128,625 0.1
------------- ------------- ------
6,320,399 7,085,350 3.2
- ---------------------------------------------------------------------------------------------------------------------------
COMMUNICATION 115,600 +ADC Telecommunications Inc. ...... 2,439,613 4,103,800 1.8
EQUIPMENT 119,000 +DSC Communications Corp. ......... 2,928,714 5,533,500 2.5
55,000 +Tellabs, Inc. .................... 1,150,068 2,640,000 1.2
------------- ------------- ------
6,518,395 12,277,300 5.5
- ---------------------------------------------------------------------------------------------------------------------------
COMPUTER 50,000 International Business Machines
Corp. ............................ 4,637,042 4,800,000 2.1
EQUIPMENT 50,000 +Solectron Corp. .................. 1,126,679 1,706,250 0.8
------------- ------------- ------
5,763,721 6,506,250 2.9
- ---------------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 125,000 +Computer Sciences Corp. .......... 3,943,617 7,109,375 3.2
120,000 General Motors Corp. (Class E)..... 4,928,820 5,220,000 2.3
------------- ------------- ------
8,872,437 12,329,375 5.5
- ---------------------------------------------------------------------------------------------------------------------------
COMPUTERS 65,000 +Compaq Computer Corp. ............ 2,595,635 2,949,375 1.3
75,000 +Novell, Inc. ..................... 1,586,686 1,490,625 0.7
------------- ------------- ------
4,182,321 4,440,000 2.0
- ---------------------------------------------------------------------------------------------------------------------------
CONSUMER SERVICES 50,000 Block (H&R), Inc. ................. 2,063,023 2,056,250 0.9
- ---------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 90,000 General Electric Co. .............. 4,983,001 5,073,750 2.3
- ---------------------------------------------------------------------------------------------------------------------------
ENERGY-RELATED 75,000 +California Energy Co., Inc. ...... 1,436,274 1,228,125 0.5
- ---------------------------------------------------------------------------------------------------------------------------
ENVIRONMENTAL CONTROL 300,000 Wheelabrator Technologies Inc. .... 4,242,288 4,612,500 2.0
- ---------------------------------------------------------------------------------------------------------------------------
FOODS 40,000 +Darden Restaurants Inc. .......... 418,547 435,000 0.2
40,000 General Mills, Inc. ............... 1,936,943 2,055,000 0.9
------------- ------------- ------
2,355,490 2,490,000 1.1
- ---------------------------------------------------------------------------------------------------------------------------
HEALTHCARE 135,000 +Humana Inc. ...................... 2,854,910 2,379,375 1.1
125,000 +Physician Corp. of America........ 2,740,675 1,687,500 0.7
------------- ------------- ------
5,595,585 4,066,875 1.8
- ---------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 45,000 Procter & Gamble Co. .............. 2,628,179 3,234,375 1.4
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
12
<PAGE> 14
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT
SHARES VALUE OF NET
INDUSTRY HELD US COMMON STOCKS & WARRANTS COST (NOTE 1a) ASSETS
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
INSURANCE 65,000 Aetna Life & Casualty Co. ......... $ 3,606,482 $ 4,086,875 1.8%
40,000 American International Group,
Inc. ............................. 4,197,626 4,560,000 2.0
55,000 ITT Corp. ......................... 4,715,940 6,462,500 2.9
40,000 National Re Corp. ................. 1,156,735 1,340,000 0.6
------------- ------------- ------
13,676,783 16,449,375 7.3
- ---------------------------------------------------------------------------------------------------------------------------
MACHINERY & EQUIPMENT 35,200 York International Corp. .......... 1,514,968 1,584,000 0.7
- ---------------------------------------------------------------------------------------------------------------------------
OIL-INTEGRATED 65,000 Chevron Corp. ..................... 3,156,195 3,030,625 1.3
70,000 Mobil Corp. ....................... 5,526,336 6,720,000 3.0
------------- ------------- ------
8,682,531 9,750,625 4.3
- ---------------------------------------------------------------------------------------------------------------------------
PACKAGING 42,700 +Crown Cork & Seal Co., Inc. ...... 1,311,949 2,140,337 1.0
- ---------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 30,000 American Home Products Corp. ...... 2,069,964 2,321,250 1.0
50,000 Merck & Co., Inc. ................. 1,884,479 2,450,000 1.1
------------- ------------- ------
3,954,443 4,771,250 2.1
- ---------------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 80,000 Eastman Kodak Co. ................. 4,058,109 4,850,000 2.2
- ---------------------------------------------------------------------------------------------------------------------------
RETAIL 29,000 +Michaels Stores, Inc. ............ 907,903 616,250 0.3
40,000 +Revco D.S., Inc. ................. 862,788 960,000 0.4
40,000 Sears, Roebuck & Co. .............. 2,148,800 2,395,000 1.1
50,000 +Toys 'R' Us, Inc. ................ 1,362,232 1,462,500 0.6
------------- ------------- ------
5,281,723 5,433,750 2.4
- ---------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS 49,000 Intel Corp. ....................... 1,969,762 3,099,250 1.4
43,000 Texas Instruments, Inc. ........... 5,018,730 5,756,625 2.6
------------- ------------- ------
6,988,492 8,855,875 4.0
- ---------------------------------------------------------------------------------------------------------------------------
SOFTWARE 70,000 Grainger (W.W.) Inc. .............. 4,138,785 4,112,500 1.8
- ---------------------------------------------------------------------------------------------------------------------------
UTILITIES- 55,000 +ALC Communications Corp. ......... 1,794,655 2,481,875 1.1
COMMUNICATIONS 100,000 GTE Corp. ......................... 3,196,908 3,412,500 1.5
75,000 MCI Communications Corp. .......... 2,146,054 1,640,625 0.7
90,000 Southwestern Bell Corp. ........... 3,840,650 4,286,250 1.9
200,000 +WorldCom, Inc. ................... 4,458,409 5,375,000 2.4
------------- ------------- ------
15,436,676 17,196,250 7.6
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL US COMMON STOCKS & WARRANTS 145,855,992 168,437,925 74.8
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
COUNTRY FOREIGN STOCKS++
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
AUSTRALIA 320,000 News Corp., Ltd. (Convertible
Preferred) (ADR)* (14)............ 5,120,806 6,400,000 2.8
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN AUSTRALIA 5,120,806 6,400,000 2.8
- ---------------------------------------------------------------------------------------------------------------------------
CANADA 20,000 Canadian Pacific Ltd. (32)......... 347,500 347,500 0.2
30,000 Magna International, Inc.
(Class A) (2)..................... 1,093,205 1,323,750 0.6
75,000 NOVA Corp. (5)..................... 788,175 637,500 0.3
100,000 Semi-Tech Corp. (Receipts)** (1)... 1,065,272 400,583 0.2
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 3,294,152 2,709,333 1.3
- ---------------------------------------------------------------------------------------------------------------------------
CHILE 34,200 Banco O'Higgins (ADR)* (3)......... 522,508 786,600 0.3
25,000 Cristalerias de Chile S.A. (ADR)*
(30).............................. 438,118 618,750 0.3
28,400 Distribuidora Chilectra
Metropolitana S.A.
(ADR)* (23)++..................... 794,176 1,420,000 0.6
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CHILE 1,754,802 2,825,350 1.2
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
13
<PAGE> 15
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT
SHARES VALUE OF NET
COUNTRY HELD FOREIGN STOCKS++ COST (NOTE 1a) ASSETS
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
DENMARK 65,000 Tele Danmark A/S (ADR)* (22)....... $ 1,577,685 $ 1,820,000 0.8%
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN DENMARK 1,577,685 1,820,000 0.8
- ---------------------------------------------------------------------------------------------------------------------------
FRANCE 6,600 Eramet S.A. (26)................... 432,350 471,234 0.2
20,000 Havas S.A. (27).................... 1,761,248 1,584,812 0.7
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 2,193,598 2,056,046 0.9
- ---------------------------------------------------------------------------------------------------------------------------
HONG KONG 158,522 HSBC Holdings PLC (3).............. 1,568,390 2,033,437 0.9
25,000 Hong Kong Telecommunications,
Ltd. (21)......................... 518,035 496,875 0.2
107,000 Johnson Electric Co. (8)........... 218,462 215,734 0.1
1,000,000 Shanghai Petrochemical Company,
Ltd. (5).......................... 334,199 313,417 0.1
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN HONG KONG 2,639,086 3,059,463 1.3
- ---------------------------------------------------------------------------------------------------------------------------
INDONESIA 29,500 PT Hanjaya Mandala Sampoerna
(Foreign) (28).................... 164,524 231,918 0.1
5,000 PT Indonesian Satellite
(ADR)* (21)....................... 175,285 191,250 0.1
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 339,809 423,168 0.2
- ---------------------------------------------------------------------------------------------------------------------------
LUXEMBOURG 180,000 Espirito Santo Financial Holdings
S.A. (ADR)* (10).................. 2,668,105 2,092,500 0.9
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN LUXEMBOURG 2,668,105 2,092,500 0.9
- ---------------------------------------------------------------------------------------------------------------------------
MEXICO 150,000+ Grupo Carso, S.A. de C.V.
(ADR)* (15)++..................... 1,923,125 1,631,250 0.7
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 1,923,125 1,631,250 0.7
- ---------------------------------------------------------------------------------------------------------------------------
NETHERLANDS 58,200 Getronics NV (7)................... 2,550,525 2,852,315 1.3
25,000 Royal Dutch Petroleum Co. N.V.
(ADR)* (16)....................... 2,474,830 3,046,875 1.4
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE NETHER-
LANDS 5,025,355 5,899,190 2.7
- ---------------------------------------------------------------------------------------------------------------------------
NORWAY 82,975 Nera AS (21)....................... 2,363,359 2,356,288 1.0
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 2,363,359 2,356,288 1.0
- ---------------------------------------------------------------------------------------------------------------------------
SPAIN 40,000 Repsol S.A. (ADR)* (31)............ 1,316,132 1,265,000 0.6
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 1,316,132 1,265,000 0.6
- ---------------------------------------------------------------------------------------------------------------------------
SWEDEN 220,000 L.M. Ericsson Telephone Co. (6).... 3,716,732 4,400,000 2.0
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 3,716,732 4,400,000 2.0
- ---------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 205,000 Danka Business Systems PLC
(ADR)* (34)....................... 3,269,149 4,945,625 2.2
95,590 Siebe PLC (8)...................... 898,692 954,785 0.4
75,000 Thorn EMI PLC (Ordinary) (33)...... 1,443,953 1,556,702 0.7
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
UNITED KINGDOM 5,611,794 7,457,112 3.3
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 39,544,540 44,394,700 19.7
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
14
<PAGE> 16
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1995 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT
FACE VALUE OF NET
AMOUNT SHORT-TERM SECURITIES COST (NOTE 1a) ASSETS
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
COMMERCIAL $ 4,000,000 Associates Corp. of North America,
PAPER*** 6.20% due 7/03/1995............... $ 3,997,933 $ 3,997,933 1.8%
6,000,000 Ciesco L.P., 5.90% due 7/27/1995... 5,973,450 5,973,450 2.6
3,191,000 Daimler-Benz AG, 5.94% due
7/17/1995......................... 3,182,049 3,182,049 1.4
3,371,000 General Electric Capital Corp.,
6.20% due 7/03/1995............... 3,369,258 3,369,258 1.5
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 16,522,690 16,522,690 7.3
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS.................. $ 201,923,222 229,355,315 101.8
=============
LIABILITIES IN EXCESS OF OTHER
ASSETS............................ (4,069,888) (1.8)
------------- -----
NET ASSETS......................... $ 225,285,427 100.0%
============= =====
- ---------------------------------------------------------------------------------------------------------------------------
(a) Warrants entitle the Portfolio to purchase a predetermined number of shares of common stock. The purchase
price and number of shares are subject to adjustment under certain conditions until the expiration date.
* American Depositary Receipt (ADR).
** Receipts evidence payment by the Portfolio of 70% of the purchase price of Class A Shares of Semi-Tech Corp.
The Portfolio is obligated to pay the remaining 30%, approximately $410,000, during the next year.
*** Commercial Paper is traded on a discount basis; the interest rates shown are the discount rates paid at the
time of purchase by the Portfolio.
+ Non-income producing security.
++ Restricted securities as to resale. The value of the Portfolio's investment in restricted securities was
approximately $3,051,000, representing 1.4% of net assets.
----------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
ACQUISITION VALUE
ISSUE DATES COST (NOTE 1a)
<S> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------
Distribuidora Chilectra Metropolitana S.A. (ADR)............ 2/12/1992-2/26/1992 $ 794,176 $ 1,420,000
Grupo Carso, S.A. de C.V. (ADR)............................. 1/16/1995-1/31/1995 1,923,125 1,631,250
---------------------------------------------------------------------------------------------------------------
TOTAL $ 2,717,301 $ 3,051,250
=========== ===========
---------------------------------------------------------------------------------------------------------------
++ Corresponding industry groups for foreign stocks:
</TABLE>
(1) Appliances
(2) Auto-Parts
(3) Banking
(4) Beverages
(5) Chemicals
(6) Communications Equipment
(7) Computers
(8) Electrical Equipment
(9) Electronics
(10) Financial Services
(11) Furniture
(12) Industrial Components
(13) Insurance
(14) Media/Publishing
(15) Multi-Industry
(16) Oil-Integrated
(17) Real Estate
(18) Retail
(19) Semiconductors
(20) Soap
(21) Telecommunications
(22) Utilities-Communications
(23) Utilities-Electric
(24) Utilities-Water
(25) Food Processing
(26) Metals
(27) Advertising
(28) Tobacco
(29) Industrials
(30) Containers
(31) Petroleum
(32) Railroads
(33) Leisure & Entertainment
(34) Office Equipment
See Notes to Financial Statements.
15
<PAGE> 17
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE (NOTE PERCENT OF
INDUSTRY HELD US STOCKS COST 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
AEROSPACE 26,600 United Technologies Corp. ............ $ 1,494,541 $ 2,078,125 1.0%
- ----------------------------------------------------------------------------------------------------------------------------
AUTOMOBILE 60,000 Ford Motor Co. ....................... 1,610,668 1,785,000 0.9
- ----------------------------------------------------------------------------------------------------------------------------
CHEMICALS 28,750 Eastman Chemical Co. ................. 1,275,464 1,710,625 0.8
39,000 Nalco Chemical Co. ................... 1,219,352 1,418,625 0.7
------------- ------------- ----------
2,494,816 3,129,250 1.5
- ----------------------------------------------------------------------------------------------------------------------------
CONSUMER SERVICES 50,000 Kelly Services, Inc. (Class A)........ 1,414,625 1,262,500 0.6
- ----------------------------------------------------------------------------------------------------------------------------
ELECTRONICS 37,000 General Signal Corp. ................. 1,317,236 1,470,750 0.7
- ----------------------------------------------------------------------------------------------------------------------------
ENERGY-RELATED 77,000 +California Energy Co., Inc. ......... 1,351,979 1,260,875 0.6
- ----------------------------------------------------------------------------------------------------------------------------
ENVIRONMENTAL CONTROL 115,000 Wheelabrator Technologies Inc. ....... 2,095,840 1,768,125 0.9
- ----------------------------------------------------------------------------------------------------------------------------
FOOD 81,343 Archer-Daniels-Midland Co. ........... 1,321,858 1,515,013 0.7
- ----------------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 44,500 Stanley Works Co. .................... 1,821,901 1,685,438 0.8
- ----------------------------------------------------------------------------------------------------------------------------
HEALTHCARE 60,000 +Humana Inc. ......................... 1,424,460 1,057,500 0.5
- ----------------------------------------------------------------------------------------------------------------------------
MACHINERY 47,600 Ingersoll-Rand Co. ................... 1,534,570 1,820,700 0.9
90,000 Keystone International, Inc. ......... 1,940,496 1,766,250 0.9
40,000 Stewart & Stevenson Services, Inc. ... 1,426,990 1,430,000 0.7
------------- ------------- ----------
4,902,056 5,016,950 2.5
- ----------------------------------------------------------------------------------------------------------------------------
MANUFACTURING 40,000 Fisher Scientific International,
Inc. ................................ 1,234,274 1,325,000 0.6
- ----------------------------------------------------------------------------------------------------------------------------
MULTI-INDUSTRY 2,450 +US Industries, Inc. ................. 33,403 33,381 0.0
- ----------------------------------------------------------------------------------------------------------------------------
OFFICE-RELATED 38,500 Pitney Bowes, Inc. ................... 1,432,234 1,477,438 0.7
- ----------------------------------------------------------------------------------------------------------------------------
OIL SERVICES 68,000 Dresser Industries, Inc. ............. 1,425,430 1,513,000 0.7
17,000 Schlumberger Ltd., Inc. .............. 1,023,053 1,056,125 0.5
------------- ------------- ----------
2,448,483 2,569,125 1.2
- ----------------------------------------------------------------------------------------------------------------------------
PETROLEUM 56,500 Phillips Petroleum Co. ............... 1,697,975 1,885,687 0.9
- ----------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 39,000 Abbott Laboratories................... 1,106,235 1,579,500 0.8
42,000 Merck & Co., Inc. .................... 1,449,465 2,058,000 1.0
------------- ------------- ----------
2,555,700 3,637,500 1.8
- ----------------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 37,000 Eastman Kodak Co. .................... 1,534,190 2,243,125 1.1
- ----------------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING 32,000 Gannett Co., Inc. .................... 1,551,091 1,736,000 0.8
- ----------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 32,000 American Telephone & Telegraph Co. ... 1,689,860 1,700,000 0.8
33,000 Bell Atlantic Corp. .................. 1,773,280 1,848,000 0.9
71,000 Comsat Corp. ......................... 1,453,190 1,393,375 0.7
45,000 GTE Corp. ............................ 1,468,865 1,535,625 0.7
------------- ------------- ----------
6,385,195 6,477,000 3.1
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS 40,122,525 43,413,782 20.9
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
COUNTRY FOREIGN STOCKS & WARRANTS++
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
ARGENTINA 64,852 Banco de Galicia y Buenos Aires S.A.
(ADR)* (4)........................... 1,222,121 1,021,419 0.5
54,000 Banco Frances del Rio de la Plata S.A.
(ADR)* (5)........................... 1,459,674 972,000 0.5
50,000 Yaciementos Petroliferos Fiscales S.A.
(Sponsored) (ADR)* (29).............. 1,172,941 943,750 0.5
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ARGENTINA 3,854,736 2,937,169 1.5
- ----------------------------------------------------------------------------------------------------------------------------
AUSTRALIA 120,000 National Australia Bank Ltd. (4)...... 812,521 946,757 0.5
358,500 Pacific Dunlop, Ltd. (25)............. 1,184,606 752,893 0.4
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN AUSTRALIA 1,997,127 1,699,650 0.9
- ----------------------------------------------------------------------------------------------------------------------------
CANADA 59,000 Canadian Pacific Ltd. (25)............ 948,380 1,025,125 0.5
30,000 Imperial Oil (27)..................... 1,038,466 1,114,348 0.5
25,000 Northern Telecommunications Ltd. (35) 619,973 912,500 0.4
60,000 Westcoast Energy, Inc. (26)........... 988,867 885,000 0.4
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 3,595,686 3,936,973 1.8
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
16
<PAGE> 18
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE (NOTE PERCENT OF
COUNTRY HELD FOREIGN STOCKS & WARRANTS++ COST 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
CHILE 55,000 Banco O'Higgins (4)................... $ 900,371 $ 1,265,000 0.6%
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CHILE 900,371 1,265,000 0.6
- ----------------------------------------------------------------------------------------------------------------------------
FRANCE 11,300 Alcatel Alsthom (9)................... 1,246,482 1,018,539 0.5
9,500 Compagnie de Saint Gobain (17)........ 900,246 1,148,782 0.6
13,033 Schneider S.A. (12)................... 791,709 1,031,936 0.5
4,833 Schneider S.A. (Warrants) (a) (12).... 40,087 26,579 0.0
17,000 TOTAL S.A. (29)....................... 868,957 1,024,350 0.5
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 3,847,481 4,250,186 2.1
- ----------------------------------------------------------------------------------------------------------------------------
GERMANY 3,800 Mannesmann AG (20).................... 791,059 1,160,882 0.6
4,400 Preussag S.A. (25).................... 1,073,571 1,313,955 0.6
2,500 Siemens AG (13)....................... 1,056,555 1,240,962 0.6
6,800 +Thyssen AG (21)...................... 829,859 1,266,088 0.6
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 3,751,044 4,981,887 2.4
- ----------------------------------------------------------------------------------------------------------------------------
HONG KONG 236,000 China Light & Power Co., Ltd. (40).... 951,854 1,213,964 0.6
3,000,000 Shanghai Petrochemical Company,
Ltd. (11)............................ 1,003,326 940,250 0.5
200,000 Sun Hung Kai Properties, Ltd. (32).... 1,397,453 1,479,844 0.7
150,000 Swire Pacific, Ltd. (Class A) (25).... 838,166 1,143,810 0.6
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN HONG KONG 4,190,799 4,777,868 2.4
- ----------------------------------------------------------------------------------------------------------------------------
INDONESIA 33,450 PT Indonesian Satellite (ADR)* (35)... 1,293,001 1,279,462 0.6
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 1,293,001 1,279,462 0.6
- ----------------------------------------------------------------------------------------------------------------------------
ITALY 370,000 Danieli & Co. (20).................... 1,361,249 1,125,153 0.5
330,000 Italcementi S.p.A. (10)............... 1,180,489 1,028,729 0.5
200,000 Societa Finanziara Telefonica S.p.A.
(STET) (35).......................... 606,877 553,178 0.3
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 3,148,615 2,707,060 1.3
- ----------------------------------------------------------------------------------------------------------------------------
JAPAN 89,000 Asahi Glass Co., Ltd. (7)............. 966,696 983,402 0.5
81,000 Canon, Inc. (13)...................... 1,024,759 1,319,561 0.6
77,000 Dai Nippon Printing Co., Ltd. (31).... 1,140,324 1,227,128 0.6
160,000 Hitachi Cable, Ltd. (13).............. 1,075,162 1,042,616 0.5
25,000 Ito-Yokado Co., Ltd. (33)............. 1,063,360 1,319,207 0.6
103,000 Kamigumi Co. (38)..................... 1,234,927 1,033,526 0.5
64,000 Kandenko Co., Ltd. (6)................ 1,114,083 876,402 0.4
140,000 Komatsu Ltd. (20)..................... 1,054,295 1,069,295 0.5
10,000 Kyocera Corp. (13).................... 751,522 823,988 0.4
95,000 Maeda Corp. (6)....................... 851,176 1,054,185 0.5
160,000 +Makino Milling Machine Co. (24)...... 1,016,034 929,288 0.4
69,000 Makita Electric Works, Ltd. (13)...... 1,116,229 944,871 0.5
170,000 Mitsubishi Electric Corp. (12)........ 1,080,460 1,196,081 0.6
180,000 Mistubishi Heavy Industries,
Ltd. (13)............................ 1,018,102 1,223,940 0.6
65,000 Mitsubishi Trust & Banking
Corp. (5)............................ 1,101,201 920,789 0.4
196,000 Nippon Fire and Marine Insurance Co.,
Ltd. (19)............................ 1,325,645 1,235,557 0.6
191,000 Nippon Oil Co., Ltd. (29)............. 1,272,486 1,201,783 0.6
99,000 Okumura Corp. (6)..................... 758,488 940,798 0.5
15,000 Rohm Company Ltd. (13)................ 709,709 775,587 0.4
10,000 SMC Corporation (20).................. 558,856 574,903 0.3
95,000 Sekisui Chemical Co. Ltd. (11)........ 947,936 1,121,473 0.5
85,000 Sharp Corp. (13)...................... 1,199,172 1,123,834 0.5
115,000 Sumitomo Corp. (38)................... 977,016 1,048,046 0.5
120,000 Tokio Marine and Fire Insurance Co.,
Ltd. (19)............................ 1,536,571 1,376,933 0.7
84,000 Tokyo Style Co. (1)................... 1,354,942 1,269,272 0.6
200,000 Toray Industries, Ltd. (36)........... 1,413,536 1,244,245 0.6
68,000 Toto Ltd. (18)........................ 1,251,023 971,314 0.5
30,000 Toyo Seikan Kaisha Corp. (22)......... 863,340 878,291 0.4
59,000 Yamazaki Baking Ltd. (15)............. 1,054,228 1,211,899 0.6
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 30,831,278 30,938,214 14.9
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
17
<PAGE> 19
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE (NOTE PERCENT OF
COUNTRY HELD FOREIGN STOCKS & WARRANTS++ COST 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
MALAYSIA 170,000 Hong Leong Industries BHD (7)......... $ 915,481 $ 1,060,103 0.5%
350,000 UMW Holdings BHD (3).................. 916,406 1,012,308 0.5
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MALAYSIA 1,831,887 2,072,411 1.0
- ----------------------------------------------------------------------------------------------------------------------------
MEXICO 181,750 Cementos Mexicanos, S.A. de C.V.
(Series B) (10)...................... 759,944 656,683 0.3
526,666 Cifra, S.A. de C.V. (33).............. 858,313 693,801 0.3
60,000 Empresas ICA Sociedad Controladora,
S.A. de C.V. (ADR)* (37)............. 1,391,849 615,000 0.3
31,250 Telefonos de Mexico, S.A. de C.V.
(Telmex) (ADR)* (35)................. 1,305,546 925,781 0.4
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 4,315,652 2,891,265 1.3
- ----------------------------------------------------------------------------------------------------------------------------
NETHERLANDS 7,400 Royal Dutch Petroleum Co., N.V.
(ADR)* (29).......................... 742,123 901,875 0.4
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE NETHERLANDS 742,123 901,875 0.4
- ----------------------------------------------------------------------------------------------------------------------------
NORWAY 23,500 Kvaerner, Inc. (Class B) (9).......... 855,063 1,029,615 0.5
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 855,063 1,029,615 0.5
- ----------------------------------------------------------------------------------------------------------------------------
PHILIPPINES 16,000 Philippine Long Distance Telephone Co.
(ADR)* (35).......................... 1,135,073 1,148,000 0.6
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE PHILIPPINES 1,135,073 1,148,000 0.6
- ----------------------------------------------------------------------------------------------------------------------------
PORTUGAL 73,800 Banco Comercial Portugues (ADR)* (4).. 958,590 968,625 0.5
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN PORTUGAL 958,590 968,625 0.5
- ----------------------------------------------------------------------------------------------------------------------------
SINGAPORE 147,000 Jurong Shipyard Ltd. (6).............. 1,033,378 1,052,255 0.5
810,000 Neptune Orient Lines Ltd. (34)........ 829,336 939,298 0.5
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SINGAPORE 1,862,714 1,991,553 1.0
- ----------------------------------------------------------------------------------------------------------------------------
SPAIN 36,000 Repsol S.A. (ADR)* (29)............... 935,136 1,138,500 0.6
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 935,136 1,138,500 0.6
- ----------------------------------------------------------------------------------------------------------------------------
SWEDEN 60,000 SKF AB 'B' Free (24).................. 878,239 1,212,905 0.6
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 878,239 1,212,905 0.6
- ----------------------------------------------------------------------------------------------------------------------------
SWITZERLAND 1,050 BBC Brown Boveri & Cie (24)........... 611,386 1,087,402 0.5
1,500 Holderbank Financiere Glarus
AG (10).............................. 665,239 1,231,538 0.6
7,500 Holderbank Financiere Glarus AG
(Warrants)(a)(10).................... 10,100 0.0
1,800 Sulzer Gebrueder AG (20).............. 837,656 1,219,809 0.6
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWITZERLAND 2,114,281 3,548,849 1.7
- ----------------------------------------------------------------------------------------------------------------------------
THAILAND 300,000 MDX Company Ltd. (32)................. 1,283,619 686,930 0.3
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THAILAND 1,283,619 686,930 0.3
- ----------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 129,000 +Allied Lyons PLC (15)................ 1,211,757 1,117,175 0.5
247,000 British Gas PLC (26).................. 1,195,894 1,137,311 0.6
180,000 British Telecommunications PLC (35)... 1,153,121 1,122,257 0.5
114,000 GKN PLC (8)........................... 869,982 1,162,242 0.6
230,000 General Electric PLC (13)............. 1,035,268 1,123,052 0.5
44,000 Grand Metropolitan PLC (ADR)* (14).... 1,197,852 1,100,000 0.5
245,000 Hanson PLC (Sponsored) (25)........... 903,543 857,279 0.4
88,000 Imperial Chemical Industries
PLC (28)............................. 1,137,770 1,078,423 0.5
370,000 Lucas Industries PLC (8).............. 827,415 1,109,294 0.5
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE UNITED KINGDOM 9,532,602 9,807,033 4.6
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS & WARRANTS 83,855,117 86,171,030 41.6
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
18
<PAGE> 20
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT
OF
FACE VALUE NET
COUNTRY AMOUNT** FOREIGN BONDS++ COST (NOTE 1a) ASSETS
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
CANADA C$ 6,900,000 Government of Canada,
7.25% due 6/01/2003 (16)............. $ 5,540,905 $ 4,843,865 2.3%
- --------------------------------------------------------------------------------------------------------------------------
GERMANY Bundes Obligations (16):
DM 10,000,000 6.375% due 5/20/1998.............. 6,387,011 7,367,744 3.6
4,100,000 7.375% due 1/03/2005.............. 2,956,970 3,039,870 1.5
------------- ------------- ------
9,343,981 10,407,614 5.1
- --------------------------------------------------------------------------------------------------------------------------
ITALY Buoni Poliennali del Tesoro (16):
Lit 3,000,000,000 8.50% due 1/01/1997............... 1,873,676 1,761,125 0.9
3,000,000,000 10% due 8/01/2003................. 1,919,737 1,636,980 0.8
------------- ------------- ------
3,793,413 3,398,105 1.7
- --------------------------------------------------------------------------------------------------------------------------
UNITED UK Treasury Gilt (16):
KINGDOM L 2,900,000 7.25% due 3/30/1998............... 4,477,495 4,537,498 2.2
350,000 9.75% due 8/27/2002............... 697,240 595,294 0.3
1,000,000 8% due 6/10/2003.................. 1,668,701 1,547,755 0.7
------------- ------------- ------
6,843,436 6,680,547 3.2
- --------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN BONDS 25,521,735 25,330,131 12.3
- --------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY OBLIGATIONS
- --------------------------------------------------------------------------------------------------------------------------
GOVERNMENT $ 64,978 Government National Mortgage
NATIONAL Association, 9% due
MORTGAGE 8/15/2016 (b)........................ 64,348 68,247 0.0
ASSOCIATION
- --------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT US Treasury Notes:
OBLIGATIONS 9,800,000 5.75% due 8/15/2003............... 9,854,281 9,501,394 4.6
7,200,000 7.25% due 8/15/2004............... 7,215,188 7,693,848 3.7
16,000,000 7.875% due 11/15/2004............. 15,993,125 17,820,000 8.6
------------- ------------- ------
33,062,594 35,015,242 16.9
- --------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY
OBLIGATIONS 33,126,942 35,083,489 16.9
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
19
<PAGE> 21
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1995 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT
OF
FACE VALUE NET
AMOUNT** SHORT-TERM SECURITIES COST (NOTE 1a) ASSETS
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
COMMERCIAL $4,000,000 Ciesco L.P., 5.85% due 7/12/1995...... $ 3,992,850 $ 3,992,850 1.9%
PAPER***
5,792,000 General Electric Capital Corp., 6.20%
due 7/03/1995........................ 5,790,005 5,790,005 2.8
------------- ------------- -----
9,782,855 9,782,855 4.7
- --------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & 7,000,000 Federal Farm Credit Bank, 5.85% due
AGENCY 7/19/1995............................ 6,979,525 6,979,525 3.4
OBLIGATIONS***
- --------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 16,762,380 16,762,380 8.1
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS..................... $ 199,388,699 206,760,812 99.8
=============
UNREALIZED DEPRECIATION ON FORWARD
FOREIGN EXCHANGE CONTRACTS+++......... (2,835,374) (1.4)
OTHER ASSETS LESS LIABILITIES......... 3,231,003 1.6
------------- -----
NET ASSETS............................ $ 207,156,441 100.0%
============= =====
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
* American Depositary Receipt (ADR).
** Denominated in US dollars unless otherwise indicated.
*** Commercial Paper and certain US Government & Agency Obligations are traded
on a discount basis; the interest rates shown are the discount rates paid
at the time of purchase by the Portfolio.
(a) Warrants entitle the Portfolio to purchase a predetermined number of
shares of common stock. The purchase price and number of shares are
subject to adjustment under certain conditions until the expiration date.
(b) Mortgage-backed bonds; original face amounts and related costs are reduced
by principal payment pass-throughs.
+ Non-income producing security.
++ Corresponding industry groups for foreign stocks and bonds:
(1) Apparel
(2) Automobile
(3) Automotive & Equipment
(4) Banking
(5) Banking-International
(6) Building & Construction
(7) Building Materials
(8) Business Services
(9) Capital Goods
(10) Cement
(11) Chemicals
(12) Electrical Equipment
(13) Electronics
(14) Food & Beverage
(15) Food
(16) Government (Bonds)
(17) Glass
(18) Industrials
(19) Insurance
(20) Machinery
(21) Machinery and Equipment
(22) Metal Fabricating
(23) Miscellaneous
(24) Miscellaneous-Capital Goods
(25) Multi-Industry
(26) Natural Gas
(27) Oil & Gas Producers
(28) Oil-Integrated
(29) Petroleum
(30) Pharmaceutical
(31) Printing & Publishing
(32) Real Estate
(33) Retail
(34) Shipping
(35) Telecommunications
(36) Textiles
(37) Toys
(38) Trading
(39) Trucking
(40) Utilities
(41) Utilities-Electric
(42) Utilities-Water
+++ Forward foreign exchange contracts as of June 30, 1995 were as follows:
<TABLE>
<CAPTION>
----------------------------------------------------------------
<S> <C> <C>
UNREALIZED
FOREIGN EXPIRATION DEPRECIATION
CURRENCY SOLD DATE (NOTE 1e)
----------------------------------------------------------------
Y 1,947,120,000 July 1995 $(2,835,374)
----------------------------------------------------------------
TOTAL (US COMMITMENT--$20,193,572) $(2,835,374)
===========
----------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
20
<PAGE> 22
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of June 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT
SHARES VALUE (NOTE OF NET
INDUSTRY HELD STOCKS & BONDS COST 1a) ASSETS
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
ADVERTISING 55,000 Interpublic Group of Companies,
Inc. ........................... $ 1,855,175 $ 2,062,500 1.5%
- ---------------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE 40,000 Ek Chor China Motorcycle Co.,
Ltd. ........................... 894,381 645,000 0.5
- ---------------------------------------------------------------------------------------------------------------------------
BANKING 10,000 State Street Boston Corp. ....... 397,500 368,750 0.3
- ---------------------------------------------------------------------------------------------------------------------------
BEVERAGES 65,000 Coca-Cola Co. ................... 3,326,400 4,143,750 3.1
55,000 PepsiCo., Inc. .................. 1,914,550 2,509,375 1.9
------------- ------------- ------
5,240,950 6,653,125 5.0
- ---------------------------------------------------------------------------------------------------------------------------
BROADCASTING-CABLE 135,000 +TCI-Communications Inc. (Class
A).............................. 3,146,874 3,155,625 2.4
80,000 Time Warner Inc. ................ 3,234,718 3,290,000 2.5
------------- ------------- ------
6,381,592 6,445,625 4.9
- ---------------------------------------------------------------------------------------------------------------------------
BROADCASTING-MEDIA 60,000 Turner Broadcasting System, Inc.
(Class B)....................... 1,575,805 1,230,000 0.9
- ---------------------------------------------------------------------------------------------------------------------------
CHEMICAL PRODUCERS 80,000 Duracell International, Inc. .... 3,457,338 3,460,000 2.6
20,000 Great Lakes Chemical Corp. ...... 1,523,285 1,205,000 0.9
------------- ------------- ------
4,980,623 4,665,000 3.5
- ---------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS 65,000 +Bay Networks Inc. .............. 2,386,125 2,673,125 2.0
20,000 +Nextel Communications, Inc.
(Class A)....................... 905,000 280,000 0.2
------------- ------------- ------
3,291,125 2,953,125 2.2
- ---------------------------------------------------------------------------------------------------------------------------
COMPUTERS 120,000 +Compaq Computer Corp. .......... 4,518,954 5,445,000 4.1
55,000 Hewlett-Packard Co............... 3,678,012 4,097,500 3.1
------------- ------------- ------
8,196,966 9,542,500 7.2
- ---------------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS & 60,000 +CUC International, Inc. ........ 2,168,186 2,520,000 1.9
SERVICES
- ---------------------------------------------------------------------------------------------------------------------------
COSMETICS 70,000 Gillette Co., The................ 2,571,870 3,123,750 2.3
40,000 International Flavors &
Fragrances, Inc. ............... 1,737,845 1,990,000 1.5
------------- ------------- ------
4,309,715 5,113,750 3.8
- ---------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 15,000 Emerson Electric Co. ............ 987,060 1,072,500 0.8
- ---------------------------------------------------------------------------------------------------------------------------
ELECTRONICS 70,000 Intel Corp. ..................... 3,021,875 4,427,500 3.3
- ---------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 130,000 +Electronic Arts, Inc. .......... 3,475,349 3,526,250 2.6
- ---------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 60,000 Travelers Corp. (The)............ 2,527,475 2,625,000 2.0
- ---------------------------------------------------------------------------------------------------------------------------
FOOD 30,000 Wrigley (Wm.) Jr. Company
(Class B)....................... 1,275,640 1,391,250 1.0
- ---------------------------------------------------------------------------------------------------------------------------
FOOD MERCHANDISING 90,000 Albertson's Inc. ................ 2,503,992 2,677,500 2.0
- ---------------------------------------------------------------------------------------------------------------------------
HOTELS 60,000 Marriott International, Inc. .... 1,861,122 2,152,500 1.6
- ---------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 50,000 Colgate-Palmolive Co. ........... 3,139,437 3,656,250 2.7
55,000 Procter & Gamble Co. ............ 3,500,937 3,953,125 2.9
------------- ------------- ------
6,640,374 7,609,375 5.6
- ---------------------------------------------------------------------------------------------------------------------------
INFORMATION 50,000 First Financial Management
PROCESSING Corp. .......................... 3,045,670 4,275,000 3.2
65,000 General Motors Corp. (Class E)... 2,372,100 2,827,500 2.1
------------- ------------- ------
5,417,770 7,102,500 5.3
- ---------------------------------------------------------------------------------------------------------------------------
INSURANCE 25,000 American International Group,
Inc. ........................... 2,531,999 2,850,000 2.1
- ---------------------------------------------------------------------------------------------------------------------------
LEISURE 60,000 PolyGram N.V. (ADR)++............ 2,438,416 3,547,500 2.6
- ---------------------------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 40,000 +Haemonetics Corp. .............. 1,091,168 770,000 0.6
- ---------------------------------------------------------------------------------------------------------------------------
OIL SERVICES 45,000 Schlumberger Ltd. ............... 2,664,075 2,795,625 2.1
- ---------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICAL 50,000 +Amgen, Inc. .................... 3,090,992 4,012,500 3.0
50,000 Merck & Co., Inc. ............... 2,401,750 2,450,000 1.8
40,000 Pfizer, Inc. .................... 2,646,576 3,695,000 2.8
------------- ------------- ------
8,139,318 10,157,500 7.6
- ---------------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 50,000 Eastman Kodak Co. ............... 2,494,125 3,031,250 2.3
- ---------------------------------------------------------------------------------------------------------------------------
POLLUTION CONTROL 65,000 WMX Technologies, Inc. .......... 1,790,987 1,844,375 1.4
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
21
<PAGE> 23
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of June 30, 1995 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT
HELD/ VALUE (NOTE OF NET
INDUSTRY FACE AMOUNT STOCKS & BONDS COST 1a) ASSETS
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
PUBLISHING 20,000 +Scholastic Corp. ............... $ 902,500 $ 1,085,000 0.8%
- ---------------------------------------------------------------------------------------------------------------------------
RESTAURANTS 100,000 McDonald's Corp. ................ 2,915,400 3,912,500 2.9
- ---------------------------------------------------------------------------------------------------------------------------
RETAIL-SPECIALTY 40,200 Pep Boys-Manny, Moe & Jack....... 1,315,010 1,075,350 0.8
$ 650,000 Pep Boys-Manny, Moe & Jack,
4% due 9/01/1999................ 650,000 606,125 0.5
150,000 +Staples Inc. ................... 3,101,264 4,331,250 3.2
100,000 +Toys 'R' Us, Inc. .............. 2,626,260 2,925,000 2.2
------------- ------------- ------
7,692,534 8,937,725 6.7
- ---------------------------------------------------------------------------------------------------------------------------
SOFTWARE-COMPUTER 25,000 +Microsoft Corp. ................ 2,170,000 2,259,375 1.7
- ---------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 150,000 MCI Communications Corp. ........ 3,862,285 3,281,250 2.4
- ---------------------------------------------------------------------------------------------------------------------------
TOYS 130,000 Mattel, Inc. .................... 2,793,904 3,380,000 2.5
- ---------------------------------------------------------------------------------------------------------------------------
TRAVEL AND LODGING 120,000 Carnival Corp. (Class A)......... 2,729,568 2,805,000 2.1
- ---------------------------------------------------------------------------------------------------------------------------
UTILITIES-ELECTRIC 40,000 +AES China Generating Co.
Ltd. ........................... 643,500 400,000 0.3
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL STOCKS & BONDS 111,862,454 125,840,850 94.0
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE AMOUNT SHORT-TERM SECURITIES
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER* $ 5,276,000 General Electric Capital Corp.,
6.20% due 7/03/1995............. 5,273,274 5,273,274 3.9
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 5,273,274 5,273,274 3.9
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS................ $ 117,135,728 131,114,124 97.9
=============
OTHER ASSETS LESS LIABILITIES.... 2,874,670 2.1
------------- -----
NET ASSETS....................... $ 133,988,794 100.0%
============= =====
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commercial Paper is traded on a discount basis; the interest rate shown is
the discount rate paid at the time of purchase by the Portfolio.
+ Non-income producing security.
++ American Depositary Receipt (ADR).
See Notes to Financial Statements.
22
<PAGE> 24
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S VALUE
INDUSTRY RATINGS RATINGS FACE AMOUNT ISSUE COST (NOTE 1a)
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
- ------------------------------------------------------------------------------------------------------------------------------
AIRLINES-1.7% BB+ Baa3 $ 750,000 Delta Air Lines, Inc., 9.30% due
1/02/2010....................... $ 740,775 $ 835,496
BB- B1 750,000 USAir, Inc., 10.375%
due 3/01/2013................... 750,000 712,500
------------ ------------
1,490,775 1,547,996
- ------------------------------------------------------------------------------------------------------------------------------
BROADCASTING & BB- Ba3 600,000 Heritage Media Services Inc., 11%
PUBLISHING-5.0% due 6/15/2002................... 637,500 646,500
B B3 500,000 The Katz Corp., 12.75% due
11/15/2002...................... 516,875 542,500
B Caa 2,000,000 NWCG Holding Corp., 13.947%* due
6/15/1999....................... 1,173,896 1,240,000
B+ B3 1,000,000 Sinclair Broadcast Group Inc.,
10% due 12/15/2003.............. 935,000 1,000,000
BB+ Baa3 1,000,000 Videotron Holdings PLC, 10.625%
due 2/15/2005................... 1,023,750 1,052,500
------------ ------------
4,287,021 4,481,500
- ------------------------------------------------------------------------------------------------------------------------------
BUILDING B+ B2 1,500,000 Pacific Lumber Co., 10.50% due
MATERIALS-1.5% 3/01/2003....................... 1,450,313 1,376,250
- ------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS-1.0% B Ba3 1,000,000 Inter-City Products Corp., 9.75%
due 3/01/2000................... 963,750 860,000
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL GOODS-1.6% B+ B3 1,500,000 Sequa Corp., 9.375% due
12/15/2003...................... 1,545,938 1,402,500
- ------------------------------------------------------------------------------------------------------------------------------
CELLULAR CCC Caa 1,000,000 Dial Page, Inc., 12.25% due
TELEPHONES-3.3% 2/15/2000....................... 1,004,000 1,030,000
BB- B2 1,000,000 Rogers Communications Inc.,
10.875% due 4/15/2004........... 1,007,500 1,025,000
CCC+ B3 1,000,000 USA Mobile Communications
Holdings, Inc., 9.50% due
2/01/2004....................... 908,750 880,000
------------ ------------
2,920,250 2,935,000
- ------------------------------------------------------------------------------------------------------------------------------
CHEMICALS-1.3% B+ Ba3 1,717,000 G-I Holdings Inc., 11.15%* due
10/01/1998...................... 1,206,065 1,150,390
- ------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS- CCC+ Caa 1,000,000 American Telecasting, Inc.,
4.6% 16.989%* due 6/15/2004.......... 449,236 590,000
CCC+ B3 2,000,000 Nextel Communications, Inc.,
14.085%* due 8/15/2004.......... 1,025,293 960,000
B- B3 1,000,000 Panamsat L.P., 12.301%* due
8/01/2003....................... 669,343 715,000
NR+ NR+ 1,000,000 Telecom Argentina S.A., 8.375%
due 10/18/2000.................. 825,000 882,500
BB- B1 1,000,000 Telefonica de Argentina S.A.,
11.875% due 11/01/2004.......... 980,080 965,000
------------ ------------
3,948,952 4,112,500
- ------------------------------------------------------------------------------------------------------------------------------
CONGLOMERATES-6.4% B+ B1 1,000,000 Foamex Capital Corp., 11.25% due
10/01/2002...................... 989,062 985,000
B+ B2 1,000,000 J.B. Poindexter & Co., Inc.,
12.50% due 5/15/2004............ 955,000 980,000
B+ B3 950,000 Jordan Industries Inc., 10.375%
due 8/01/2003................... 950,000 876,375
</TABLE>
23
<PAGE> 25
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S VALUE
INDUSTRY RATINGS RATINGS FACE AMOUNT ISSUE COST (NOTE 1a)
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS (CONTINUED)
- ------------------------------------------------------------------------------------------------------------------------------
CONGLOMERATES NR+ NR+ $ 1,000,000 MacAndrew & Forbes Group, Inc.,
(CONCLUDED) 13% due 3/01/1999............... $ 995,000 $ 990,000
BB- B1 2,000,000 Sherritt Gordon, Ltd., 9.75% due
4/01/2003....................... 1,946,250 1,940,000
------------ ------------
5,835,312 5,771,375
- ------------------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS-4.0% B NR+ 1,500,000 Coleman Holdings Inc., 11.981%*
due 5/27/1998................... 1,012,500 1,102,500
B+ Ba3 500,000 Coty Inc., 10.25% due
5/01/2005....................... 500,000 510,000
B- Caa 1,000,000 ++Polymer Group Inc., 12.75% due
7/15/2002....................... 1,000,000 1,010,000
B B2 1,000,000 Revlon Consumer Products Corp.,
9.375% due 4/01/2001............ 871,088 965,000
------------ ------------
3,383,588 3,587,500
- ------------------------------------------------------------------------------------------------------------------------------
CONTAINERS-5.9% B B2 1,000,000 Anchor Glass Container Co.,
9.875% due 12/15/2008........... 981,875 920,000
B- Caa 2,750,000 Ivex Holdings Inc., 12.03%* due
3/15/2005....................... 1,626,101 1,485,000
A A3 1,500,000 Owens-Illinois, Inc., 9.95% due
10/15/2004...................... 1,488,750 1,530,000
B- B3 1,500,000 Silgan Holdings, Inc., 12.489%*
due 12/15/2002.................. 1,345,999 1,372,500
------------ ------------
5,442,725 5,307,500
- ------------------------------------------------------------------------------------------------------------------------------
ENERGY-9.0% B+ B1 2,000,000 Clark R & M Holdings, Inc.,
11.016%* due 2/15/2000.......... 1,219,867 1,250,000
BB B1 850,000 Gulf Canada Resources, Ltd., 9%
due 8/15/1999................... 789,281 845,750
BB- Ba3 1,000,000 Noble Drilling Corp., 9.25% due
10/01/2003...................... 1,000,000 1,017,500
NR+ B3 1,000,000 Tesoro Petroleum Corp., 12.75%
due 3/15/2001................... 842,000 1,010,000
BB- B2 1,000,000 TransTexas Gas Corp., 11.50%* due
6/15/2002....................... 1,000,000 1,020,000
B- Caa 1,700,000 Transamerica Refining Corp.,
19.571%* due 2/15/2002.......... 1,003,367 1,122,000
B+ B1 1,125,000 Triton Energy Corp., 9.678%* due
11/01/1997...................... 897,714 916,875
BB- B1 1,000,000 Yacimientos Petroliferos Fiscales
S.A., 8% due 2/15/2004.......... 710,000 870,000
------------ ------------
7,462,229 8,052,125
- ------------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT-4.7% B B3 1,375,000 AMC Entertainment, Inc., 12.625%
due 8/01/2002................... 1,396,102 1,526,250
B+ B1 750,000 Cinemark USA, Inc., 12% due
6/01/2002....................... 750,000 806,250
B Caa 2,000,000 Marvel Holdings Inc., 9.125% due
2/15/1998....................... 1,797,500 1,850,000
------------ ------------
3,943,602 4,182,500
- ------------------------------------------------------------------------------------------------------------------------------
FINANCIAL B- B3 750,000 Pioneer Finance Corp., 13.50% due
SERVICES-2.3% 12/01/1998...................... 792,187 630,000
BB- B1 1,500,000 Reliance Group Holdings Inc.,
9.75% due 11/15/2003............ 1,449,375 1,455,000
------------ ------------
2,241,562 2,085,000
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
24
<PAGE> 26
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S VALUE
INDUSTRY RATINGS RATINGS FACE AMOUNT ISSUE COST (NOTE 1a)
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS (CONTINUED)
- ------------------------------------------------------------------------------------------------------------------------------
FOOD & B B2 $ 1,000,000 Coca-Cola Bottling Co., Inc., 9%
BEVERAGE-8.0% due 11/15/2003.................. $ 1,000,000 $ 985,000
NR+ NR+ 500,000 ++Cumberland Farms, 10.50% due
10/01/2003...................... 489,375 422,500
B B3 1,000,000 Del Monte Corp., 10%
due 5/01/2003................... 976,250 840,000
B- B2 1,000,000 Envirodyne Industries Inc.,
10.25% due 12/01/2001........... 1,018,750 795,000
B B3 2,100,000 Farm Fresh, Inc., 7.50% due
3/01/2010....................... 1,093,875 1,267,495
B- B3 1,137,400 Grand Union Co., 12% due
9/01/2004....................... 1,096,020 1,097,591
BB- Ba3 750,000 P&C Food Markets, Inc., 11.50%
due 10/15/2001.................. 780,469 787,500
B B3 1,000,000 Specialty Foods Corp., 10.25% due
8/15/2001....................... 1,000,312 960,000
------------ ------------
7,455,051 7,155,086
- ------------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BB- B1 1,500,000 Republic of Argentina, 8.375% due
OBLIGATIONS-1.2% 12/20/2003...................... 1,128,750 1,106,250
- ------------------------------------------------------------------------------------------------------------------------------
HEALTH SERVICES-1.0% B+ B1 1,000,000 MEDIQ/PRN Life Support Services,
Inc., 11.125% due 7/01/1999..... 1,002,500 930,000
- ------------------------------------------------------------------------------------------------------------------------------
HIGH TECHNOLOGY-1.0% CCC+ B3 1,000,000 ComputerVision Corp., 11.375% due
8/15/1999....................... 995,000 920,000
- ------------------------------------------------------------------------------------------------------------------------------
HOTELS & CASINOS-8.2% BB B1 1,000,000 Bally's Park Place Funding Corp.,
9.25% due 3/15/2004............. 920,000 940,000
B+ B2 1,000,000 GB Properties Funding Corp.,
10.875% due 1/15/2004........... 845,000 850,000
NR+ NR+ 635,000 Goldriver Hotel & Casino Corp.,
13.375%* due 8/31/1999.......... 790,072 469,900
B+ B1 500,000 Harrah's Jazz Company, 14.25% due
11/15/2001...................... 500,000 520,000
BB- B1 1,000,000 Host Marriott Hospitality, Inc.,
9.50% due 5/15/2005............. 963,582 967,500
BB- B1 1,000,000 John Q. Hammons Hotel, 8.875% due
2/15/2004....................... 887,500 970,000
B B2 750,000 Showboat Inc., 13% due
8/01/2009....................... 727,500 772,500
NR+ Caa 500 Trump Castle Funding, Inc.,
11.75% due 11/15/2003........... 479 365
B+ B3 2,000,000 Trump Plaza Funding, Inc.,
10.875% due 6/15/2001........... 1,997,527 1,830,000
------------ ------------
7,631,660 7,320,265
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL BB+ Ba3 650,000 ADT Operations, 9.25% due
SERVICES-2.8% 8/01/2003....................... 650,000 671,125
B- Caa 629,000 Southeastern Public Service Co.,
11.875% due 2/01/1998........... 470,807 646,298
Thermadyne Industries, Inc.:
NR+ Caa 517,000 10.25% due 5/01/2002............ 518,393 509,245
NR+ Caa 718,000 10.75% due 11/01/2003........... 719,382 700,050
------------ ------------
2,358,582 2,526,718
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
25
<PAGE> 27
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S VALUE
INDUSTRY RATINGS RATINGS FACE AMOUNT ISSUE COST (NOTE 1a)
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS (CONCLUDED)
- ------------------------------------------------------------------------------------------------------------------------------
METALS & MINING-2.4% B- B2 $ 1,000,000 Kaiser Aluminum Corp., 12.75% due
2/01/2003....................... $ 1,045,000 $ 1,075,000
B- B3 1,750,000 Maxxam Group, Inc., 12.25%* due
8/01/2003....................... 1,212,198 1,085,000
------------ ------------
2,257,198 2,160,000
- ------------------------------------------------------------------------------------------------------------------------------
PAPER-5.2% B B2 1,500,000 Fort Howard Corp., 9% due
2/01/2006....................... 1,430,000 1,365,000
BB- Ba3 1,000,000 Repap New Brunswick, 9.875% due
7/15/2000....................... 1,000,000 1,005,000
B+ B1 1,000,000 Repap Wisconsin Finance, Inc.,
9.25% due 2/01/2002............. 900,000 967,500
B B1 750,000 Riverwood International, Corp.,
11.25% due 6/15/2002............ 750,000 817,500
B+ B1 500,000 ++S.D. Warren Co., 12% due
12/15/2004...................... 500,000 538,750
------------ ------------
4,580,000 4,693,750
- ------------------------------------------------------------------------------------------------------------------------------
RESTAURANTS-0.9% CCC+ Caa 1,000,000 Flagstar Corp., 11.375%
due 9/15/2003................... 935,000 785,000
- ------------------------------------------------------------------------------------------------------------------------------
RETAIL-0.3% B+ Caa 1,000,000 Bradlees, Inc., 11% due
8/01/2002....................... 1,023,750 310,000
- ------------------------------------------------------------------------------------------------------------------------------
STEEL-1.1% B B1 1,000,000 Gulf States Steel Acquisition
Corp., 13.50% due 4/15/2003
(e)............................. 1,000,000 975,000
- ------------------------------------------------------------------------------------------------------------------------------
TEXTILES-3.8% B+ B2 1,000,000 Decorative Home Accents, Inc.,
13% due 6/30/2002 (f)........... 1,000,000 1,000,000
BB- Ba3 1,000,000 Tultex Corp., 10.625% due
3/15/2005....................... 1,007,500 1,006,250
B+ B3 1,500,000 Westpoint Stevens Industries,
Inc., 9.375% due 12/15/2005..... 1,465,000 1,443,750
------------ ------------
3,472,500 3,450,000
- ------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION-3.3% NR+ NR+ 2,000,000 Transtar Holdings L.P., 11.065%*
due 12/15/2003.................. 1,267,677 1,200,000
B+ Ba3 1,750,000 Viking Star Shipping Co., 9.625%
due 7/15/2003................... 1,735,000 1,745,625
------------ ------------
3,002,677 2,945,625
- ------------------------------------------------------------------------------------------------------------------------------
UTILITIES-3.2% B+ B1 980,000 Beaver Valley Funding Co., 9% due
6/01/2017....................... 924,875 823,200
B+ Ba3 1,000,000 CTC Mansfield Funding, Inc.,
11.125% due 9/30/2016........... 1,076,250 1,017,940
B- B2 1,000,000 Midland Cogeneration Venture
L.P., 13.25% due 7/23/2006...... 1,108,750 1,010,290
------------ ------------
3,109,875 2,851,430
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS-94.7% 86,074,625 84,981,260
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES
HELD COMMON STOCKS & WARRANTS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS-0.0% 5,000 American Telecasting, Inc.
(Warrants) (b).................. 4,776 15,000
- ------------------------------------------------------------------------------------------------------------------------------
ENERGY-0.1% 29,058 Transamerica Refining Corp.
(Warrants) (b).................. 67,742 94,438
- ------------------------------------------------------------------------------------------------------------------------------
FOOD & BEVERAGE-0.3% 18,488 FoodBrands America, Inc. (d)..... 1,061,305 238,033
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
26
<PAGE> 28
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
INDUSTRY SHARES HELD ISSUE COST (NOTE 1a)
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS &
WARRANTS (CONCLUDED)
- ------------------------------------------------------------------------------------------------------------------------------
HIGH TECHNOLOGY-0.0% 30,351 ++Anacomp, Inc. (Warrants) (b)... $ 40,000 $ 11,382
- ------------------------------------------------------------------------------------------------------------------------------
HOTELS & 10,000 Goldriver Hotel & Casino Corp.
CASINOS-0.0% (Class B) (c)(d)................ 65,657 10,000
1,000 ++Goldriver Hotel & Casino
Liquidating Trust............... 24,040 17,128
2,000 Trump Taj Mahal Holding Corp.
(Class A)(d).................... 1,000 24,000
------------ ------------
90,697 51,128
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL 17,674 Grand Union Co.(d)............... 1,000,000 247,436
SERVICES-0.3% 1,036 Thermadyne Industries, Inc.
(Warrants) (b).................. 15,022 14,633
------------ ------------
1,015,022 262,069
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
& WARRANTS-0.7% 2,279,542 672,050
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
PREFERRED STOCKS
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
BROADCASTING & 9,376 K-III Communications Corp. (a)... 952,944 909,436
PUBLISHING-1.0%
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS-1.0% 952,944 909,436
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
27
<PAGE> 29
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1995 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE
AMOUNT ISSUE COST (NOTE 1a)
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHORT-TERM SECURITIES
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL $ 1,000,000 Ciba-Geigy Corp., 6% due
PAPER**-2.5% 7/11/1995......................... $ 998,167 $ 998,167
1,220,000 General Electric Capital Corp.,
6.20% due 7/03/1995............... 1,219,370 1,219,370
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES-2.5% 2,217,537 2,217,537
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-98.9%............ $ 91,524,648 88,780,283
===========
OTHER ASSETS LESS
LIABILITIES-1.1%.................. 974,911
------------
NET ASSETS-100.0%.................. $ 89,755,194
===========
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Represents a zero coupon or step bond; the interest rate shown is the
effective yield at the time of purchase.
** Commercial Paper is traded on a discount basis; the interest rates shown are
the discount rates paid at the time of purchase by the Portfolio.
(a) Represents a pay-in-kind security which may pay interest/dividends in
additional face amount/shares.
(b) Warrants entitle the Portfolio to purchase a predetermined number of shares
of common stock/face amount of bonds. The purchase price and number of
shares/face amount are subject to adjustments under certain conditions until
the expiration date.
(c) Each share contains a right which entitles the Portfolio to purchase a
predetermined number of shares of preferred stock. The purchase price and
number of shares are subject to adjustment.
(d) Non-income producing security.
(e) Attached is one warrant per $1,000 of face amount.
(f) Attached is one share of Class F common stock per $1,000 of face amount.
+ Not Rated.
++ Restricted securities as to resale. The value of the Portfolio's investment
in restricted securities was approximately $2,000,000, representing 2.2% of
net assets.
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------
VALUE
ISSUE ACQUISITION DATES COST (NOTE 1a)
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Anacomp, Inc. (Warrants)................................... 10/23/1990 $ 40,000 $ 11,382
Cumberland Farms, 10.50% due 10/01/2003.................... 2/18/1994 -- 3/28/1994 489,375 422,500
Goldriver Hotel & Casino Liquidating Trust................. 8/31/1992 24,040 17,128
Polymer Group Inc.,12.75% due 7/15/2002.................... 6/17/1994 1,000,000 1,010,000
S.D. Warren Co., 12% due 12/15/2004........................ 12/31/1994 500,000 538,750
----------------------------------------------------------------------------------------------------------------
TOTAL $2,053,415 $1,999,760
========== ==========
----------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
28
<PAGE> 30
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of June 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE
AMOUNT ISSUE COST (NOTE 1a)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY OBLIGATIONS
- ---------------------------------------------------------------------------------------------------------------------------
FEDERAL FARM CREDIT $ 5,000,000 Federal Farm Credit Bank, 8.65% due 10/01/1999.... $ 5,113,650 $ 5,446,100
BANK-2.4%
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL FARM CREDIT BANK 5,113,650 5,446,100
- ---------------------------------------------------------------------------------------------------------------------------
FEDERAL HOME Federal Home Loan Mortgage Corporation:
LOAN MORTGAGE 6,000,000 6.55% due 1/04/2000............................. 6,102,840 6,079,680
CORPORATION-5.0% 5,000,000 7.90% due 9/19/2001............................. 5,000,000 5,407,050
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION 11,102,840 11,486,730
- ---------------------------------------------------------------------------------------------------------------------------
FEDERAL NATIONAL Federal National Mortgage Association:
MORTGAGE 7,000,000 8.35% due 11/10/1999............................ 7,650,000 7,561,120
ASSOCIATION-16.5% 10,000,000 7.85% due 9/10/2004............................. 9,824,469 10,431,700
9,000,000 7.65% due 3/10/2005............................. 8,990,156 9,748,080
10,000,000 6.35% due 6/10/2005............................. 10,000,000 9,918,700
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION 36,464,625 37,659,600
- ---------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED 786,803 Federal National Mortgage Association,
SECURITIES-0.4% 9% due 1/01/2002 (a)........................... 759,265 821,470
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES 759,265 821,470
- ---------------------------------------------------------------------------------------------------------------------------
PRIVATE EXPORT Private Export Funding Corporation:
FUNDING 7,000,000 8.35% due 1/31/2001............................. 7,083,590 7,653,800
CORPORATION-8.3% 10,000,000 8.75% due 6/30/2003............................. 10,410,681 11,347,200
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL PRIVATE EXPORT FUNDING CORPORATION 17,494,271 19,001,000
- ---------------------------------------------------------------------------------------------------------------------------
STUDENT LOAN Student Loan Marketing Association,
MARKETING 13,000,000 7.50% due 3/08/2000............................. 13,176,719 13,682,500
ASSOCIATION-6.0%
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL STUDENT LOAN MARKETING ASSOCIATION 13,176,719 13,682,500
- ---------------------------------------------------------------------------------------------------------------------------
US TREASURY US Treasury Notes:
NOTES-58.8% 10,000,000 8.875% due 11/15/1997........................... 10,321,875 10,653,100
13,000,000 8.875% due 2/15/1999............................ 14,712,344 14,218,750
6,000,000 6% due 10/15/1999............................... 6,206,719 6,004,680
10,000,000 8.75% due 8/15/2000............................. 11,795,313 11,200,000
5,000,000 6.375% due 8/15/2002............................ 4,843,589 5,059,350
20,000,000 7.25% due 5/15/2004............................. 20,214,531 21,353,200
5,000,000 7.875% due 11/15/2004........................... 5,246,875 5,568,750
21,500,000 6.50% due 5/15/2005............................. 21,097,070 21,956,875
18,000,000 12% due 5/15/2005............................... 25,619,062 25,472,880
10,000,000 10.75% due 8/15/2005............................ 13,385,937 13,278,100
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL US TREASURY NOTES 133,443,315 134,765,685
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY
OBLIGATIONS-97.4% 217,554,685 222,863,085
- ---------------------------------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES
- ---------------------------------------------------------------------------------------------------------------------------
REPURCHASE 2,032,000 Morgan Stanley Group Inc., purchased on 6/30/1995
AGREEMENT*-0.9% to yield 6% to 7/03/1995......................... 2,032,000 2,032,000
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES-0.9% 2,032,000 2,032,000
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-98.3%........................... $ 219,586,685 224,895,085
=============
OTHER ASSETS LESS LIABILITIES-1.7%................ 3,964,560
-------------
NET ASSETS-100.0%................................. $ 228,859,645
=============
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) US Government Agency Mortgage-Backed Obligations are subject to principal
paydowns as a result of prepayments or refinancings of the underlying
mortgage instrument. As a result, the average life may be substantially less
than the original maturity.
* Repurchase Agreements are fully collateralized by US Government Obligations.
See Notes to Financial Statements.
29
<PAGE> 31
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE (NOTE
RATING RATING AMOUNT ISSUE COST 1a)
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT OBLIGATIONS
- -----------------------------------------------------------------------------------------------------------------------------
US TREASURY NOTES US Treasury Notes & Bonds:
& BONDS-13.2% AAA Aaa $2,000,000 7.25% due 2/15/1998............ $ 1,994,440 $ 2,065,620
AAA Aaa 1,500,000 5.50% due 4/15/2000............ 1,418,906 1,470,930
AAA Aaa 500,000 5.875% due 6/30/2000........... 500,405 497,810
AAA Aaa 1,000,000 6.375% due 8/15/2002........... 961,225 1,011,870
AAA Aaa 5,000,000 6.50% due 5/15/2005............ 4,835,935 5,106,250
AAA Aaa 2,000,000 8% due 11/15/2021.............. 2,021,875 2,309,060
AAA Aaa 3,000,000 7.50% due 11/15/2024........... 3,238,281 3,319,230
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT
OBLIGATIONS-13.2% 14,971,067 15,780,770
- -----------------------------------------------------------------------------------------------------------------------------
INDUSTRY CORPORATE BONDS & NOTES
- -----------------------------------------------------------------------------------------------------------------------------
BANKING-10.4% A+ Aa2 2,000,000 ABN AMRO Bank, 7.25% due
5/31/2005......................... 1,998,300 2,054,100
A A2 1,000,000 BankAmerica Corp., 7.125% due
5/12/2005......................... 985,500 1,009,100
A A2 2,000,000 Citicorp., 8.80% due 2/01/2000..... 2,000,000 2,169,480
A- A2 2,000,000 First Interstate Bancorp, 11% due
3/05/1998......................... 2,402,040 2,206,600
A- A3 2,000,000 Mellon Bank Corp., 6.875% due
3/01/2003......................... 1,822,480 1,993,100
A A2 2,000,000 NationsBank Corp., 7.50% due
2/15/1997......................... 1,998,280 2,037,020
A+ A1 1,000,000 Norwest Corp., 6.625% due
3/15/2003......................... 1,003,060 989,210
------------- -------------
12,209,660 12,458,610
- -----------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- Chrysler Financial Corp.:
CAPTIVE-2.7% A- A3 1,000,000 7.13% due 9/30/1996............ 985,130 1,010,410
A- A3 2,000,000 10.95% due 8/01/2017........... 2,202,640 2,239,980
------------- -------------
3,187,770 3,250,390
- -----------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- A+ A1 2,000,000 American General Finance Corp.,
CONSUMER-9.0% 7.70% due 11/15/1997............... 1,977,660 2,058,340
Associates Corp. of North America:
AA- Aa3 2,500,000 8.80% due 8/01/1998............ 2,817,275 2,660,525
AA- Aa3 1,000,000 7.25% due 9/01/1999............ 987,620 1,025,160
A A2 2,000,000 Beneficial Corp., 5.73% due
10/14/1997........................ 2,000,000 1,988,076
A+ Aa3 2,000,000 CIT Group Holdings, Inc., 6.162%
due 2/28/1997..................... 1,998,680 1,999,940
A+ A2 1,000,000 Transamerica Financial Corp., 6.80%
due 3/15/1999..................... 999,730 1,009,860
------------- -------------
10,780,965 10,741,901
- -----------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- Dean Witter, Discover & Co.:
OTHER-9.8% A A2 1,000,000 6.50% due 11/01/2005........... 988,450 959,500
A A2 2,500,000 6.75% due 10/15/2013........... 2,252,475 2,288,850
AAA Aaa 1,000,000 General Electric Capital Corp.,
8.125% due 5/15/2012.............. 1,018,330 1,097,530
A+ A1 3,500,000 Morgan Stanley Group, Inc., 7% due
10/01/2013........................ 3,021,480 3,209,080
A- A3 3,000,000 Smith Barney Holdings, Inc., 7.98%
due 3/01/2000..................... 3,014,490 3,147,450
A+ A2 1,000,000 Travelers Group, Inc., 7.875% due
5/15/2025......................... 999,420 1,015,400
------------- -------------
11,294,645 11,717,810
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
30
<PAGE> 32
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE (NOTE
INDUSTRY RATING RATING AMOUNT ISSUE COST 1a)
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES (CONTINUED)
- -----------------------------------------------------------------------------------------------------------------------------
FOREIGN+-9.2% AA- A1 $1,000,000 AEGON, N.V., 8%
due 8/15/2006(2).................. $ 990,870 $ 1,077,050
A+ A2 1,000,000 CRA Finance Ltd., 6.50% due
12/01/2003(1)..................... 1,004,510 974,270
A A2 3,000,000 Kingdom of Thailand, 8.25% due
3/15/2002(3)...................... 2,949,600 3,217,080
A+ A2 1,000,000 Pohang Iron & Steel Co. Ltd.,
7.375% due 5/15/2005(4)........... 1,018,160 1,020,580
Province of Quebec (Canada)(3):
A+ A2 1,000,000 8.80% due 4/15/2003............ 1,038,020 1,109,900
A+ A2 1,500,000 13% due 10/01/2013............. 1,959,060 1,835,835
A+ A2 1,000,000 7.125% due 2/09/2024........... 840,480 929,660
AA A1 1,000,000 Republic of Italy, 6.875% due
9/27/2023(3)...................... 972,070 887,640
------------- -------------
10,772,770 11,052,015
- -----------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- A- A2 1,500,000 American Home Products Corp., 7.90%
CONSUMER-10.7% due 2/15/2005 1,497,075 1,612,080
A+ A1 3,500,000 Bass America, Inc., 8.125% due
3/31/2002......................... 3,532,070 3,762,395
Grand Metropolitan Investment Corp:
A+ A2 1,000,000 6.50% due 9/15/1999............ 1,000,000 1,000,440
A+ A2 1,000,000 8.625% due 8/15/2001........... 1,047,750 1,093,510
AAA Aaa 2,000,000 Johnson & Johnson Co., 8.72% due
11/01/2024........................ 2,019,140 2,262,820
BBB- Baa3 2,000,000 RJR Nabisco, Inc., 8.75% due
8/15/2005......................... 1,931,540 2,052,580
A A2 1,000,000 Weyerhaeuser Co., 7.95% due
3/15/2025......................... 989,040 1,069,540
------------- -------------
12,016,615 12,853,365
- -----------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- BP America Inc.:
ENERGY-5.6% AA- A1 1,000,000 7.875% due 5/15/2002........... 1,055,380 1,074,240
AA- A1 2,000,000 10% due 7/01/2018.............. 2,156,880 2,258,040
A- A3 1,000,000 Burlington Resources, Inc., 9.875%
due 6/15/2010..................... 1,280,800 1,239,750
Texaco Capital Inc.:
A+ A1 1,000,000 6.875% due 7/15/1999........... 998,060 1,012,660
A+ A1 1,000,000 8.625% due 11/15/2031.......... 1,045,390 1,150,970
------------- -------------
6,536,510 6,735,660
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
31
<PAGE> 33
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE (NOTE
INDUSTRY RATING RATING AMOUNT ISSUE COST 1a)
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES (CONCLUDED)
- -----------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- BBB- Baa3 $1,000,000 Applied Materials, Inc., 8% due
OTHER-13.4% 9/01/2004......................... $ 992,690 $ 1,066,130
AA- Aa2 2,000,000 Archer-Daniels-Midland Co., 8.875%
due 4/15/2011..................... 2,155,230 2,333,600
AA- Aa3 1,000,000 Capital Cities/ABC, Inc., 8.75% due
8/15/2021......................... 1,174,030 1,159,010
A A1 1,000,000 Electronic Data Systems, Inc.,
6.85% due 5/15/2000............... 999,210 1,017,500
BBB Baa2 2,500,000 Federal Express Corp., 9.65% due
6/15/2012......................... 2,758,750 2,939,375
AA Aa2 1,000,000 Kaiser Foundation Hospital, 9.55%
due 7/15/2005..................... 1,124,850 1,193,050
BBB+ A3 1,000,000 Philips Electronics N.V., 7.75% due
5/15/2025......................... 996,610 1,028,730
BBB Baa2 1,000,000 Placer Dome Inc., 7.75% due
6/15/2015......................... 990,310 980,808
BBB- Baa3 4,000,000 Tele-Communications Inc., 9.80% due
2/01/2012......................... 4,201,240 4,398,240
------------- -------------
15,392,920 16,116,443
- -----------------------------------------------------------------------------------------------------------------------------
SUPRANATIONAL-3.6% AAA Aaa 1,500,000 Asian Development Bank, 10.75% due
6/01/1997......................... 1,580,525 1,620,495
AAA Aaa 2,000,000 International Bank for
Reconstruction & Development,
12.375% due 10/15/2002............ 2,432,280 2,662,820
------------- -------------
4,012,805 4,283,315
- -----------------------------------------------------------------------------------------------------------------------------
TRANSPORT Southwest Airlines, Inc.:
SERVICES-3.6% A- Baa1 2,000,000 9.40% due 7/01/2001................ 2,407,120 2,244,780
A- Baa1 1,000,000 7.875% due 9/01/2007............... 998,750 1,063,440
A- A3 1,000,000 Union Pacific Corp., 7.375% due
5/15/2001......................... 1,000,000 1,036,120
------------- -------------
4,405,870 4,344,340
- -----------------------------------------------------------------------------------------------------------------------------
UTILITIES- AA Aa3 1,000,000 AT&T Corp., 8.35% due 1/15/2025.... 982,270 1,058,160
COMMUNICATIONS-2.2% AAA Aaa 1,500,000 Southern Bell Telephone & Telegraph
Co., 8.625% due 9/01/2026......... 1,456,785 1,561,995
------------- -------------
2,439,055 2,620,155
- -----------------------------------------------------------------------------------------------------------------------------
UTILITIES-GAS-2.2% AA- A1 2,500,000 Consolidated Natural Gas Co., 8.75%
due 6/01/1999..................... 2,575,440 2,696,700
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS &
NOTES-82.4% 95,625,025 98,870,704
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
32
<PAGE> 34
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1995 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE (NOTE
AMOUNT ISSUE COST 1a)
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS
- -----------------------------------------------------------------------------------------------------------------------------
REPURCHASE $3,193,000 Morgan Stanley Group, Inc.,
AGREEMENT*-2.7% purchased on 6/30/1995 to yield 6%
to 7/03/1995...................... $ 3,193,000 $ 3,193,000
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM
INVESTMENTS-2.7% 3,193,000 3,193,000
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-98.3%............ $ 113,789,092 117,844,474
=============
OTHER ASSETS LESS
LIABILITIES-1.7%................... 2,096,301
-------------
NET ASSETS-100.0%.................. $ 119,940,775
=============
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Repurchase Agreements are fully collateralized by US Government Obligations.
+ Corresponding industry groups for foreign bonds:
(1) Industrial Mining.
(2) Insurance.
(3) Government Entity.
(4) Iron/Steel.
See Notes to Financial Statements.
33
<PAGE> 35
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of June 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTEREST MATURITY VALUE
FACE AMOUNT ISSUE RATE* DATE (NOTE 1a)
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
CERTIFICATES OF $ 6,000,000 Abbey National Treasury Services PLC........ 6.54% 4/09/96 $ 6,029,679
DEPOSIT-EUROPEAN-2.3% 7,000,000 Abbey National Treasury Services PLC........ 6.42 5/29/96 7,000,700
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATE OF DEPOSIT-EUROPEAN
(COST-$13,000,444) 13,030,379
- ---------------------------------------------------------------------------------------------------------------------------
CERTIFICATES OF 6,000,000 Deutsche Bank AG............................ 6.40 5/29/96 6,000,600
DEPOSIT-YANKEE-1.1%
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATE OF DEPOSIT-YANKEE
(COST-$6,000,000) 6,000,600
- ---------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER- 9,200,000 Asset Securitization Cooperative Corp. ..... 5.90 7/14/95 9,178,891
42.0% 6,000,000 CSW Credit, Inc. ........................... 5.85 9/25/95 5,914,450
12,000,000 Central and South West Corp. ............... 5.95 8/22/95 11,896,650
2,000,000 Deer Park Refining, L.P. ................... 5.95 7/05/95 1,998,347
10,000,000 Deer Park Refining, L.P. ................... 6.25 7/06/95 9,989,583
711,000 Deer Park Refining, L.P. ................... 5.93 7/14/95 709,360
14,535,000 Deer Park Refining, L.P. ................... 6.00 7/14/95 14,501,085
5,390,000 Deutsche Bank Financial, Inc. .............. 5.97 7/06/95 5,384,637
10,681,000 Du Pont (E.I.) de Nemours................... 6.05 10/13/95 10,500,313
10,900,000 Eiger Capital Corp. ........................ 5.90 7/10/95 10,882,136
4,144,000 Eiger Capital Corp. ........................ 5.97 7/19/95 4,130,943
1,275,000 Falcon Asset Securitization Corp. .......... 6.00 7/17/95 1,271,387
5,000,000 Falcon Asset Securitization Corp. .......... 5.93 8/17/95 4,960,467
15,000,000 General Electric Capital Corp. ............. 6.38 8/03/95 14,916,417
10,000,000 General Electric Capital Corp. ............. 6.12 10/10/95 9,835,667
8,760,000 Goldman Sachs Group, L.P. .................. 5.92 8/14/95 8,696,052
4,700,000 KFW International Finance, Inc. ............ 6.00 7/07/95 4,694,517
4,622,000 KFW International Finance, Inc. ............ 6.00 7/25/95 4,602,742
10,000,000 National Fleet Funding Corp. ............... 6.00 7/13/95 9,978,333
4,000,000 New Center Asset Trust...................... 6.20 7/19/95 3,987,397
793,000 New Center Asset Trust...................... 5.98 8/03/95 788,581
10,000,000 New Center Asset Trust...................... 6.12 9/07/95 9,886,917
15,000,000 Riverwoods Funding Corp. ................... 5.90 7/10/95 14,975,417
332,000 Southwestern Bell Capital Corp. ............ 6.00 7/20/95 330,899
10,000,000 Svenska Handelsbanken, Inc. ................ 5.85 9/14/95 9,875,444
3,000,000 Svenska Handelsbanken, Inc. ................ 5.85 9/20/95 2,959,683
15,000,000 Svenska Handelsbanken, Inc. ................ 5.89 9/20/95 14,798,417
4,800,000 Toshiba International Finance (UK) PLC...... 5.92 8/31/95 4,751,640
4,000,000 Toshiba International Finance (UK) PLC...... 5.88 9/11/95 3,952,144
3,000,000 WCP Funding Inc. ........................... 5.95 8/14/95 2,977,688
1,337,000 Windmill Funding Corp. ..................... 5.97 7/06/95 1,335,670
20,000,000 Windmill Funding Corp. ..................... 5.97 7/17/95 19,943,617
2,500,000 Windmill Funding Corp. ..................... 6.01 7/31/95 2,487,126
5,000,000 Windmill Funding Corp. ..................... 5.98 8/04/95 4,970,931
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (COST-$242,034,465) 242,063,548
- ---------------------------------------------------------------------------------------------------------------------------
CORPORATE 10,000,000 Fifth Third Bancorp......................... 6.24 10/18/95 10,006,443
NOTES-3.8% 4,000,000 Morgan Guaranty Trust Co. .................. 6.40 5/28/96 4,000,400
5,000,000 NationsBank Corp., N.C. .................... 5.65 7/21/95 4,998,500
3,000,000 SMM Trust+.................................. 6.083 6/14/96 3,000,000
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE NOTES (COST-$21,999,199) 22,005,343
- ---------------------------------------------------------------------------------------------------------------------------
MASTER NOTES-3.1% 10,000,000 Goldman Sachs Group, L.P. .................. 6.09 11/24/95 10,000,000
8,000,000 Goldman Sachs Group, L.P. .................. 6.09 2/14/96 8,000,000
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL MASTER NOTES (COST-$18,000,000) 18,000,000
- ---------------------------------------------------------------------------------------------------------------------------
MEDIUM-TERM 5,000,000 Abbey National Treasury Services............ 6.45 5/15/96 5,015,000
NOTES-0.9%
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL MEDIUM-TERM NOTES (COST-$4,998,732) 5,015,000
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
34
<PAGE> 36
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of June 30, 1995 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTEREST MATURITY VALUE
FACE AMOUNT ISSUE RATE* DATE (NOTE 1a)
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT, $ 9,140,000 Federal Home Loan Bank...................... 5.84 % 11/06/95 $ 8,953,643
AGENCY & 1,100,000 Federal Home Loan Bank...................... 6.20 2/12/96 1,061,366
INSTRUMENTALITY 4,970,000 Federal Home Loan Bank...................... 6.09 3/08/96 4,776,915
OBLIGATIONS- 1,030,000 Federal Home Loan Bank...................... 6.22 3/22/96 987,761
DISCOUNT-7.3% 773,000 Federal Home Loan Mortgage Corp. ........... 6.02 4/12/96 738,983
13,000,000 US Treasury Bills........................... 6.115 8/17/95 12,905,187
5,000,000 US Treasury Bills........................... 6.60 10/19/95 4,915,054
4,000,000 US Treasury Bills........................... 6.815 1/11/96 3,882,567
4,000,000 US Treasury Bills........................... 6.59 2/08/96 3,865,209
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT, AGENCY & INSTRUMENTALITY
OBLIGATIONS-DISCOUNT (COST-$41,963,732) 42,086,685
- ---------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT, 3,000,000 Federal Home Loan Bank...................... 4.625 8/09/95 2,997,049
AGENCY & 6,000,000 Federal Home Loan Bank...................... 6.43 12/28/95 6,000,000
INSTRUMENTALITY 6,000,000 Federal Home Loan Bank...................... 6.46 6/17/96 6,000,000
OBLIGATIONS- 2,000,000 Federal Home Loan Bank...................... 6.46 6/21/96 2,000,000
NON-DISCOUNT-38.0% 8,000,000 Federal Home Loan Bank+..................... 5.61 9/12/96 7,994,913
3,000,000 Federal Home Loan Bank...................... 7.10 4/03/97 3,000,900
5,000,000 Federal Home Loan Bank...................... 6.42 6/12/97 5,000,000
3,000,000 Federal Loan Mortgage Corp. ................ 4.635 8/09/95 2,997,246
19,000,000 Federal Loan Mortgage Corp.+................ 6.36 9/01/95 18,999,377
5,000,000 Federal Loan Mortgage Corp.+................ 6.37 9/01/95 4,999,918
20,000,000 Federal National Mortgage Association+...... 5.61 2/07/96 19,998,780
21,000,000 Federal National Mortgage Association+...... 6.86 2/28/96 21,130,200
10,000,000 Federal National Mortgage Association+...... 5.61 5/10/96 9,995,845
8,000,000 Federal National Mortgage Association+...... 6.33 5/13/96 8,000,000
5,000,000 Federal National Mortgage Association+...... 6.33 5/24/96 5,000,000
25,000,000 Federal National Mortgage Association+...... 5.593 10/11/96 25,000,000
15,000,000 Federal National Mortgage Association+...... 5.73 2/21/97 15,000,000
8,000,000 Federal National Mortgage Association+...... 6.45 5/19/97 8,000,000
8,000,000 Federal National Mortgage Association+...... 6.50 5/14/98 8,000,000
15,000,000 Student Loan Marketing Association+......... 5.69 5/14/96 15,010,029
5,000,000 Student Loan Marketing Association+......... 5.87 1/14/97 5,000,000
7,500,000 US Treasury Notes........................... 3.875 8/31/95 7,474,215
1,000,000 US Treasury Notes........................... 4.25 12/31/95 992,500
1,500,000 US Treasury Notes........................... 4.00 1/31/96 1,484,530
500,000 US Treasury Notes........................... 5.875 5/31/96 500,156
5,000,000 US Treasury Notes........................... 6.875 2/28/97 5,076,560
3,300,000 US Treasury Notes........................... 6.125 5/31/97 3,314,437
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT, AGENCY & INSTRUMENTALITY
OBLIGATIONS-NON-DISCOUNT (COST-$218,897,091) 218,966,655
- ---------------------------------------------------------------------------------------------------------------------------
REPURCHASE 5,943,000 Lehman Government Securities, purchased on
AGREEMENTS**-1.0% 6/30/95 to yield 6.25% to 7/03/95........... 5,943,000
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS
(COST-$5,943,000) 5,943,000
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(COST-$572,836,663)-99.5%................... 573,111,210
OTHER ASSETS LESS LIABILITIES-0.5%.......... 2,683,799
------------
NET ASSETS-100.0%........................... $575,795,009
============
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commercial Paper and certain US Government & Agency Obligations are traded on
a discount basis; the interest rates shown are the discount rates paid at the
time of purchase by the Portfolio. Other securities bear interest at the
rates shown, payable at fixed rates or upon maturity. Interest rates on
variable rate securities are adjusted periodically based on approximate
indexes; the interest rates shown are the rates in effect at June 30, 1995.
** Repurchase Agreements are fully collateralized by US Government Obligations.
+ Variable Rate Notes.
See Notes to Financial Statements.
35
<PAGE> 37
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRY HELD US STOCKS & WARRANTS COST (NOTE 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
AEROSPACE 150,000 Boeing Co. ..................... $ 9,259,857 $ 9,393,750 0.8%
46,300 Crane Co. ...................... 1,657,353 1,678,375 0.1
105,000 United Technologies Corp. ...... 8,103,519 8,203,125 0.7
-------------- -------------- ----------
19,020,729 19,275,250 1.6
- --------------------------------------------------------------------------------------------------------------------------
ALUMINUM 75,000 Aluminum Co. of America......... 3,606,181 3,759,375 0.3
- --------------------------------------------------------------------------------------------------------------------------
APPLIANCES 450,000 Singer Co. N.V. ................ 12,592,274 11,643,750 1.0
- --------------------------------------------------------------------------------------------------------------------------
AUTOMOBILE 350,000 Ford Motor Co. ................. 10,011,630 10,412,500 0.9
- --------------------------------------------------------------------------------------------------------------------------
BANKING 400,000 Bank of New York, Inc. ......... 11,551,520 16,150,000 1.4
65,000 Bank of New York, Inc.
(Warrants)(b).................. 581,250 1,381,250 0.1
300,000 BankAmerica Corp. .............. 13,663,527 15,787,500 1.4
100,500 CoreStates Financial Corp. ..... 3,552,757 3,504,937 0.3
-------------- -------------- ----------
29,349,054 36,823,687 3.2
- --------------------------------------------------------------------------------------------------------------------------
BEVERAGES 75,000 PepsiCo, Inc. .................. 3,033,177 3,421,875 0.3
- --------------------------------------------------------------------------------------------------------------------------
CHEMICALS 45,000 Dow Chemical Co. ............... 3,294,403 3,234,375 0.3
291,900 Eastman Chemical Co. ........... 15,331,781 17,368,050 1.5
10,000 Engelhard Corp. ................ 405,600 428,750 0.0
-------------- -------------- ----------
19,031,784 21,031,175 1.8
- --------------------------------------------------------------------------------------------------------------------------
COMMUNICATION 342,000 +ADC Telecommunications Inc. ... 7,184,020 12,141,000 1.1
EQUIPMENT 350,000 +DSC Communications Corp. ...... 10,205,222 16,275,000 1.4
90,000 +Tellabs, Inc. ................. 2,287,903 4,320,000 0.4
-------------- -------------- ----------
19,677,145 32,736,000 2.9
- --------------------------------------------------------------------------------------------------------------------------
COMPUTER EQUIPMENT 150,000 International Business Machines
Corp. ......................... 13,911,125 14,400,000 1.3
150,000 +Solectron Corp. ............... 4,044,424 5,118,750 0.5
-------------- -------------- ----------
17,955,549 19,518,750 1.8
- --------------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 375,000 +Computer Sciences Corp. ....... 12,570,699 21,328,125 1.9
360,000 General Motors Corp. (Class
E)............................. 14,519,442 15,660,000 1.4
-------------- -------------- ----------
27,090,141 36,988,125 3.3
- --------------------------------------------------------------------------------------------------------------------------
COMPUTERS 215,000 Compaq Computer Corp. .......... 8,591,777 9,755,625 0.9
- --------------------------------------------------------------------------------------------------------------------------
CONSUMER-SERVICES 150,000 Block (H&R), Inc. .............. 6,189,139 6,168,750 0.5
- --------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 275,000 General Electric Co. ........... 15,099,475 15,503,125 1.4
202,000 Grainger (W.W.) Inc. ........... 11,817,472 11,867,500 1.0
-------------- -------------- ----------
26,916,947 27,370,625 2.4
- --------------------------------------------------------------------------------------------------------------------------
ENERGY-RELATED 191,700 +California Energy Co., Inc. ... 3,448,639 3,139,087 0.3
- --------------------------------------------------------------------------------------------------------------------------
ENVIRONMENTAL CONTROL 900,000 Wheelabrator Technologies,
Inc. .......................... 12,685,898 13,837,500 1.2
- --------------------------------------------------------------------------------------------------------------------------
FOODS 150,000 +Darden Restaurants Inc. ....... 1,579,203 1,631,250 0.1
120,000 General Mills, Inc. ............ 5,872,669 6,165,000 0.5
-------------- -------------- ----------
7,451,872 7,796,250 0.6
- --------------------------------------------------------------------------------------------------------------------------
HEALTHCARE 440,000 Humana Inc. .................... 8,967,444 7,755,000 0.7
400,000 +Physician Corp. of America .... 8,041,091 5,400,000 0.5
-------------- -------------- ----------
17,008,535 13,155,000 1.2
- --------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 135,000 Procter & Gamble Co. ........... 7,868,137 9,703,125 0.9
- --------------------------------------------------------------------------------------------------------------------------
INSURANCE 195,000 Aetna Life & Casualty Co. ...... 10,969,603 12,260,625 1.1
135,000 American International Group,
Inc. .......................... 14,153,037 15,390,000 1.4
</TABLE>
36
<PAGE> 38
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRY HELD US STOCKS & WARRANTS COST (NOTE 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
INSURANCE 183,000 ITT Corp. ...................... $ 15,807,736 $ 21,502,500 1.9%
(CONCLUDED) 136,000 National Re Corp. .............. 3,925,962 4,556,000 0.4
-------------- -------------- ----------
44,856,338 53,709,125 4.8
- --------------------------------------------------------------------------------------------------------------------------
MACHINE & EQUIPMENT 105,600 York International Corp. ....... 4,544,798 4,752,000 0.4
- --------------------------------------------------------------------------------------------------------------------------
OIL-INTEGRATED 200,000 Chevron Corp.................... 9,561,910 9,325,000 0.8
210,000 Mobil Corp...................... 16,394,607 20,160,000 1.8
-------------- -------------- ----------
25,956,517 29,485,000 2.6
- --------------------------------------------------------------------------------------------------------------------------
PACKAGING 128,000 +Crown Cork & Seal Co., Inc. .... 5,929,652 6,416,000 0.6
- --------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 90,000 American Home Products Corp. ... 6,209,893 6,963,750 0.6
150,000 Merck & Co., Inc. .............. 5,634,260 7,350,000 0.6
-------------- -------------- ----------
11,844,153 14,313,750 1.2
- --------------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 260,000 Eastman Kodak Co. .............. 13,262,954 15,762,500 1.4
- --------------------------------------------------------------------------------------------------------------------------
RETAIL 87,000 +Michaels Stores, Inc. .......... 2,723,492 1,848,750 0.2
100,000 +Revco D.S., Inc. ............... 2,108,077 2,400,000 0.2
105,000 Sears, Roebuck & Co. ........... 5,638,928 6,286,875 0.6
150,000 +Toys 'R' Us, Inc. .............. 4,086,696 4,387,500 0.4
-------------- -------------- ----------
14,557,193 14,923,125 1.4
- --------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS 174,600 Intel Corp. .................... 7,230,820 11,043,450 1.0
128,000 Texas Instruments Inc. ......... 14,950,485 17,136,000 1.5
-------------- -------------- ----------
22,181,305 28,179,450 2.5
- --------------------------------------------------------------------------------------------------------------------------
SOFTWARE 225,000 +Novell, Inc. ................... 4,759,904 4,471,875 0.4
- --------------------------------------------------------------------------------------------------------------------------
UTILITIES-COMMUNICATIONS 165,000 ALC Communication Corp. ........ 5,365,660 7,445,625 0.7
300,000 GTE Corp. ...................... 9,653,208 10,237,500 0.9
225,000 MCI Communications Corp. ....... 6,391,008 4,921,875 0.4
200,000 Southwestern Bell Corp. ........ 8,417,003 9,525,000 0.8
665,000 +WorldCom, Inc. ................. 14,943,951 17,871,875 1.6
-------------- -------------- ----------
44,770,830 50,001,875 4.4
- --------------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS & WARRANTS 444,192,252 508,551,149 44.8
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
COUNTRY FOREIGN STOCKS+++
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
AUSTRALIA 960,000 News Corp. Ltd. (Convertible
Preferred) (ADR) (a)(25)....... 14,986,911 19,200,000 1.7
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN AUSTRALIA 14,986,911 19,200,000 1.7
- --------------------------------------------------------------------------------------------------------------------------
CANADA 60,000 Canadian Pacific Ltd. (33)...... 1,042,500 1,042,500 0.1
90,000 Magna International Inc. (2).... 3,279,613 3,971,250 0.3
225,000 NOVA Corp. (5).................. 2,364,525 1,912,500 0.2
400,000 Semi-Tech Corp.
(Receipts)(c)(1)............... 4,218,587 1,602,331 0.1
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 10,905,225 8,528,581 0.7
- --------------------------------------------------------------------------------------------------------------------------
CHILE 118,600 Banco O'Higgins (ADR)(a)(3)..... 1,834,963 2,727,800 0.2
120,700 Cristalerias de Chile S.A.
(ADR)(a)(7).................... 2,340,803 2,987,325 0.3
136,400 ++Distribuidora Chilectra
Metropolitana S.A.
(ADR)(a)(23)................... 3,929,378 6,820,000 0.6
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CHILE 8,105,144 12,535,125 1.1
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
37
<PAGE> 39
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRY HELD FOREIGN STOCKS+++ COST (NOTE 1a) NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
DENMARK 205,000 Tele Danmark A/S (ADR)(a)(22)... $ 4,953,220 $ 5,740,000 0.5%
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN DENMARK 4,953,220 5,740,000 0.5
- --------------------------------------------------------------------------------------------------------------------------
FRANCE 31,135 Eramet S.A. (28)................ 2,044,478 2,223,011 0.2
75,000 Havas S.A. (29)................. 6,601,139 5,943,046 0.5
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 8,645,617 8,166,057 0.7
- --------------------------------------------------------------------------------------------------------------------------
HONG KONG 75,000 Hong Kong Telecommunications,
Ltd. (26)...................... 1,554,119 1,490,625 0.1
479,269 HSBC Holdings PLC (3)........... 3,409,021 6,147,810 0.5
225,000 Johnson Electric Co. (8)........ 454,942 453,647 0.0
3,000,000 Shanghai Petrochemical
Company, Ltd. (5).............. 1,003,375 940,250 0.1
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN HONG KONG 6,421,457 9,032,332 0.7
- --------------------------------------------------------------------------------------------------------------------------
INDONESIA 97,000 PT Hanjaya Mandala Sampoerna
(Foreign) (32)................. 540,949 762,579 0.1
15,000 PT Indonesian Satellite
(ADR)(a)(26)................... 520,132 573,750 0.0
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 1,061,081 1,336,329 0.1
- --------------------------------------------------------------------------------------------------------------------------
LUXEMBOURG 540,000 Espirito Santo Financial
Holdings S.A. (ADR) (a)(10).... 7,547,451 6,277,500 0.6
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN LUXEMBOURG 7,547,451 6,277,500 0.6
- --------------------------------------------------------------------------------------------------------------------------
MEXICO 633,200 ++Grupo Carso, S.A. de C.V.
(ADR)(a)(15)................... 5,523,580 6,886,050 0.6
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 5,523,580 6,886,050 0.6
- --------------------------------------------------------------------------------------------------------------------------
NETHERLANDS 170,900 Getronics NV (31)............... 7,469,925 8,375,612 0.7
75,000 Royal Dutch Petroleum Co. N.V.
(ADR)(a)(16)................... 6,999,130 9,140,625 0.8
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
NETHERLANDS 14,469,055 17,516,237 1.5
- --------------------------------------------------------------------------------------------------------------------------
NORWAY 267,575 Nera AS (26).................... 7,620,247 7,598,479 0.7
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 7,620,247 7,598,479 0.7
- --------------------------------------------------------------------------------------------------------------------------
SPAIN 130,000 Repsol S.A. (ADR)(a)(30)........ 4,277,429 4,111,250 0.4
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 4,277,429 4,111,250 0.4
- --------------------------------------------------------------------------------------------------------------------------
SWEDEN 860,000 L.M. Ericsson Telephone Co.
(ADR)(a)(6).................... 13,310,110 17,200,000 1.5
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 13,310,110 17,200,000 1.5
- --------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 650,000 Danka Business Systems PLC
(ADR)(a)(35)................... 10,783,075 15,681,250 1.4
285,771 Siebe PLC (8)................... 2,678,145 2,854,378 0.3
225,000 Thorn EMI PLC (Ordinary) (34)... 4,331,850 4,670,106 0.4
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE UNITED
KINGDOM 17,793,070 23,205,734 2.1
- --------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 125,619,597 147,333,674 12.9
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
38
<PAGE> 40
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
COUNTRY AMOUNT* FOREIGN BONDS+++ COST (NOTE 1a) NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CANADA C$ 30,000,000 Government of Canada, 7.50% due
9/01/2000 (12)................. $ 22,082,425 $ 21,808,820 1.9%
- --------------------------------------------------------------------------------------------------------------------------
GERMANY Bundes Obligation (12):
DM 63,000,000 6% due 2/20/1998............... 43,717,724 46,122,605 4.1
69,000,000 7.375% due 1/03/2005........... 50,049,935 51,158,785 4.5
-------------- -------------- ----------
93,767,659 97,281,390 8.6
- --------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN BONDS 115,850,084 119,090,210 10.5
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
INDUSTRY US CORPORATE BONDS
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMPUTERS US$ 5,000,000 Texas Instruments Inc., 9% due
3/15/2001...................... 5,143,400 5,500,000 0.5
- --------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES 10,000,000 Virginia Electric & Power Co.,
8.45% due 10/30/2003........... 10,000,000 11,038,500 1.0
- --------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 10,000,000 Associate Corp. of North
America, 7.625% due
06/01/2004..................... 9,969,700 10,575,000 0.9
- --------------------------------------------------------------------------------------------------------------------------
INSURANCE 5,000,000 ITT Hartford Financial, 8.30%
due 12/01/2001................. 5,107,750 5,287,500 0.5
- --------------------------------------------------------------------------------------------------------------------------
TOTAL US CORPORATE BONDS 30,220,850 32,401,000 2.9
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
US & FOREIGN GOVERNMENT & AGENCY
OBLIGATIONS
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FOREIGN GOVERNMENT 5,000,000 Hydro Electric Quebec, 6.35% due
OBLIGATIONS 1/15/2002 (8).................. 5,000,000 4,812,500 0.4
5,000,000 Republic of Italy, 8.75% due
2/08/2001 (12)................. 5,373,050 5,432,820 0.5
-------------- -------------- ----------
10,373,050 10,245,320 0.9
- --------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT AGENCY 8,973,395 Federal Home Loan Mortgage
OBLIGATIONS Corp., 6.50% due 9/15/2008..... 8,780,951 8,695,780 0.8
Federal National Mortgage
Association:
10,000,000 7.85% due 9/10/2004............ 9,985,937 10,431,700 0.9
30,000,000 6% due 3/25/2020............... 27,750,000 27,956,100 2.5
10,395,800 7% due 5/01/2024............... 9,586,877 10,217,096 0.9
14,569,520 8% due 10/01/2024.............. 13,911,615 14,838,036 1.3
-------------- -------------- ----------
70,015,380 72,138,712 6.4
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
39
<PAGE> 41
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE US & FOREIGN GOVERNMENT & AGENCY VALUE PERCENT OF
AMOUNT* OBLIGATIONS COST (NOTE 1a) NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
US GOVERNMENT US Treasury Notes:
OBLIGATIONS $ 40,000,000 7.875% due 8/15/2001........... $ 39,230,800 $ 43,668,800 3.8%
6,000,000 7.50% due 11/15/2001........... 6,023,437 6,440,640 0.6
25,000,000 6.25% due 2/15/2003............ 25,710,937 25,066,500 2.2
15,000,000 US Treasury STRIPS++, 6.35%**
due 5/15/2000.................. 11,132,258 11,292,300 1.0
-------------- -------------- ----------
82,097,432 86,468,240 7.6
- --------------------------------------------------------------------------------------------------------------------------
TOTAL US & FOREIGN
GOVERNMENT &
AGENCY OBLIGATIONS 162,485,862 168,852,272 14.9
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM SECURITIES
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMMERCIAL PAPER*** 51,387,000 Associates Corp. of North
America, 6.20% due 7/03/1995... 51,369,300 51,369,300 4.5
38,000,000 British Gas Capital Corp., 5.95%
due 7/06/1995.................. 37,968,597 37,968,597 3.3
35,000,000 Dean Witter, Discover & Co.,
5.95% due 7/10/1995............ 34,947,938 34,947,938 3.1
25,000,000 IBM Credit Corp., 5.94% due
7/26/1995...................... 24,896,875 24,896,875 2.2
35,000,000 Sheffield Receivables Corp.,
5.98% due 7/17/1995............ 34,906,978 34,906,978 3.1
- --------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 184,089,688 184,089,688 16.2
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS............... $1,062,458,333 1,160,317,993 102.2
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS.......................... (24,885,371) (2.2)
-------------- ----------
NET ASSETS...................... $1,135,432,622 100.0%
============== ==========
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Denominated in US dollars unless otherwise indicated.
** Represents the yield-to-maturity on this zero coupon issue.
*** Commercial paper is traded on a discount basis; the interest rates shown are
discount rates paid at the time of purchase by the Portfolio.
(a) American Depositary Receipt (ADR).
(b) Warrants entitle the Portfolio to purchase a predetermined number of shares
of Common Stock. The purchase price and number of shares are subject to
adjustment under certain conditions until the expiration date.
(c) Receipts evidence payment by the Portfolio of 70% of the purchase price of
Class A shares of Semi-Tech Corp. The Portfolio is obligated to pay the
remaining 30%, approximately $1,600,000, during the next year.
+ Non-income producing security.
++ Restricted securities as to resale. The value of the Portfolio's investment
in restricted securities was approximately $13,706,000, representing 1.2%
net assets.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
VALUE
ISSUE ACQUISITION DATE COST (NOTE 1a)
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Distribuidora Chilectra Metropolitana S.A. (ADR)............... 2/12/1992 $3,929,378 $ 6,820,000
Grupo Carso, S.A. de C.V. (ADR)................................ 11/27/1991 5,523,580 6,886,050
- ----------------------------------------------------------------------------------------------------------------------
TOTAL $9,452,958 $13,706,050
========== ===========
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
40
<PAGE> 42
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1995 (Concluded)
- --------------------------------------------------------------------------------
+++ Corresponding industry groups for foreign stocks and bonds:
(1) Appliances
(2) Auto Parts
(3) Banking
(4) Beverages
(5) Chemicals
(6) Communication Equipment
(7) Containers
(8) Electrical Equipment
(9) Electronics
(10) Financial Services
(11) Energy-Related
(12) Government Entities
(13) Industrial Components
(14) Insurance
(15) Multi-Industry
(16) Oil-Integrated
(17) Real Estate
(18) Retail
(19) Semiconductors
(20) Soap
(21) Tools
(22) Utilities-Communications
(23) Utilities-Electric
(24) Utilities-Water
(25) Media-Publishing
(26) Telecommunications
(27) Food Processing
(28) Metals
(29) Advertising
(30) Petroleum
(31) Computers
(32) Tobacco
(33) Railroads
(34) Leisure & Entertainment
(35) Office Equipment
++ STRIPS--Separate Trading of Registered Interest and Principal of
Securities.
See Notes to Financial Statements.
41
<PAGE> 43
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of June 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE (NOTE PERCENT OF
INDUSTRY HELD STOCKS COST 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
ALUMINUM 9,000 Alcan Aluminium, Ltd................... $ 188,505 $ 272,250 1.1%
34,000 Comalco Ltd. .......................... 124,939 122,786 0.5
4,000 Reynolds Metals Co..................... 187,992 207,000 0.8
------------ ------------ -----------
501,436 602,036 2.4
- -----------------------------------------------------------------------------------------------------------------------------
CHEMICALS 55,000 Asahi Chemical Industry Co., Ltd. ..... 405,681 361,646 1.5
3,300 Dow Chemical Co. ...................... 227,401 237,188 1.0
5,700 Du Pont (E.I.) de Nemours & Co......... 280,444 391,875 1.6
------------ ------------ -----------
913,526 990,709 4.1
- -----------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED RESOURCES 17,500 Canadian Pacific Ltd. ................. 277,220 304,063 1.2
COMPANIES 8,100 Coastal Corp........................... 229,504 246,038 1.0
19,000 Cyprus Amax Minerals Co. .............. 544,274 541,500 2.2
20,000 +Freeport-McMoRan Inc.................. 382,853 352,500 1.4
32,400 Norcen Energy Resources Ltd. .......... 539,739 436,562 1.8
11,500 Occidental Petroleum Corp. ............ 237,877 263,062 1.1
36,400 Renison Goldfields Consolidated
Ltd. ................................. 141,791 114,925 0.5
------------ ------------ -----------
2,353,258 2,258,650 9.2
- -----------------------------------------------------------------------------------------------------------------------------
GOLD 111,000 +Delta Gold N.L........................ 218,407 206,337 0.8
162,000 Newcrest Mining Ltd. .................. 714,454 683,887 2.8
12,513 Newmont Mining Corp. .................. 534,040 523,982 2.1
24,000 Placer Dome Inc. ...................... 573,621 627,000 2.5
20,600 Santa Fe Pacific Gold Corp. ........... 298,797 249,775 1.0
------------ ------------ -----------
2,339,319 2,290,981 9.2
- -----------------------------------------------------------------------------------------------------------------------------
METALS & MINING 7,000 ASARCO Inc. ........................... 188,753 213,500 0.9
14,000 CRA Ltd. .............................. 174,887 190,118 0.8
16,000 Falconbridge Ltd. ..................... 216,804 285,506 1.2
1,375 Freeport-McMoRan Copper & Gold Inc. ... 31,861 28,359 0.1
188,000 M.I.M. Holdings Ltd. .................. 417,352 233,426 0.9
8,500 Magma Copper Co. ...................... 147,294 138,125 0.6
29,400 Noranda Inc. .......................... 561,642 578,150 2.3
6,100 Phelps Dodge Corp. .................... 336,581 359,900 1.5
38,500 The RTZ Corp. PLC...................... 494,418 501,815 2.0
19,500 Trelleborg 'B' Fria.................... 254,451 227,935 0.9
96,000 Western Mining Corp. Holdings Ltd. .... 537,023 527,187 2.1
------------ ------------ -----------
3,361,066 3,284,021 13.3
- -----------------------------------------------------------------------------------------------------------------------------
OIL & GAS PRODUCERS 90,100 Ampolex Ltd............................ 280,111 203,285 0.8
7,500 Anadarko Petroleum Corp. .............. 366,825 323,438 1.3
13,500 Apache Corp. .......................... 361,767 369,562 1.5
8,800 Burlington Resources Inc. ............. 344,579 324,500 1.3
23,000 +Chauvco Resources Ltd. ............... 271,708 261,744 1.1
10,200 Enron Oil & Gas Co. ................... 218,353 221,850 0.9
61,000 Enterprise Oil PLC..................... 389,546 384,201 1.6
5,000 Louisiana Land and Exploration Co.
(The)................................. 194,446 199,375 0.8
15,000 Mitchell Energy & Development Corp.
(Class B)............................. 262,459 268,125 1.1
12,000 +Oryx Energy Co. ...................... 199,885 165,000 0.7
6,500 Parker & Parsley Petroleum Co. ........ 127,952 127,562 0.5
57,000 Ranger Oil Ltd. ....................... 385,100 356,250 1.4
</TABLE>
42
<PAGE> 44
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of June 30, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE (NOTE PERCENT OF
INDUSTRY HELD STOCKS COST 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
OIL & GAS PRODUCERS 11,000 Sonat Inc. ............................ $ 350,194 $ 335,500 1.4%
(CONCLUDED) 4,200 Triton Energy Corp. ................... 136,413 194,775 0.8
8,200 Vastar Resources Inc. ................. 224,963 253,175 1.0
------------ ------------ -----------
4,114,301 3,988,342 16.2
- -----------------------------------------------------------------------------------------------------------------------------
OIL-INTEGRATED 8,000 Amoco Corp............................. 440,946 533,000 2.2
5,300 British Petroleum Co. PLC (ADR)*....... 404,443 453,812 1.8
1,300 Mobil Corp. ........................... 126,570 124,800 0.5
1,200 OMV AG................................. 128,441 138,393 0.6
26,300 Petro-Canada........................... 219,904 249,017 1.0
6,500 Phillips Petroleum Co. ................ 198,217 216,937 0.9
6,900 Repsol, S.A. .......................... 199,089 216,995 0.9
6,400 Societe Nationale Elf Aquitaine (ADR)*... 227,337 238,400 1.0
8,200 Total S.A. (Class B)................... 490,048 494,098 2.0
14,500 Unocal Corp. .......................... 409,628 400,562 1.6
17,000 YPF S.A. (ADR)*........................ 422,432 320,875 1.3
------------ ------------ -----------
3,267,055 3,386,889 13.8
- -----------------------------------------------------------------------------------------------------------------------------
OIL SERVICE 11,400 Baker Hughes, Inc. .................... 218,655 233,700 0.9
4,100 Coflexip Stena Offshore, Inc. ......... 88,150 103,525 0.4
12,000 IHC Caland N.V......................... 270,645 340,931 1.4
26,200 +Rowan Companies, Inc. ................ 243,045 212,875 0.9
7,200 Schlumberger Ltd. ..................... 453,858 447,300 1.8
9,300 Tidewater Inc. ........................ 188,402 233,662 0.9
------------ ------------ -----------
1,462,755 1,571,993 6.3
- -----------------------------------------------------------------------------------------------------------------------------
PAPER & PULP 14,400 Aracruz Celulose S.A. (ADR)*........... 115,506 169,200 0.7
17,400 +Avenor Inc. .......................... 346,730 370,685 1.5
6,700 Georgia-Pacific Corp. ................. 513,239 581,225 2.4
6,000 International Paper.................... 403,170 514,500 2.1
6,000 Metsa Serla OY 'B'..................... 262,339 267,010 1.1
6,600 Mo Och Domsjo AB Co. .................. 278,259 380,745 1.5
7,200 Scott Paper Co. ....................... 142,404 356,400 1.4
12,800 Weyerhaeuser Co. ...................... 526,423 603,200 2.4
4,000 Willamette Industries, Inc. ........... 167,500 220,000 0.9
------------ ------------ -----------
2,755,570 3,462,965 14.0
- -----------------------------------------------------------------------------------------------------------------------------
PLANTATIONS 59,000 Golden Hope Plantations BHD............ 109,022 108,439 0.4
38,000 Kuala Lumpur Kepong BHD................ 77,754 120,821 0.5
------------ ------------ -----------
186,776 229,260 0.9
- -----------------------------------------------------------------------------------------------------------------------------
REFINING 22,500 Total Petroleum (North America),
Ltd. ................................. 331,454 247,500 1.0
- -----------------------------------------------------------------------------------------------------------------------------
STEEL 12,000 Allegheny Ludlum Corp. ................ 283,352 237,000 1.0
6,300 Koninklijke Nederlansche Hoogovens en
Staalfabrienken N.V. ................. 252,640 250,584 1.0
114,000 +Sumitomo Metal Industries, Ltd. ...... 372,977 297,415 1.2
------------ ------------ -----------
908,969 784,999 3.2
- -----------------------------------------------------------------------------------------------------------------------------
WOOD 19,000 Louisiana-Pacific Corp. ............... 661,640 498,750 2.0
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL STOCKS 23,157,125 23,597,095 95.6
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
43
<PAGE> 45
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of June 30, 1995 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
AMOUNT SHORT-TERM SECURITIES COST (NOTE 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER** $ 1,000,000 Ciesco L.P., 5.95% due 7/18/1995....... $ 997,025 $ 997,025 4.0%
707,000 General Electric Capital Corp., 6.20%
due 7/03/1995......................... 706,635 706,635 2.9
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 1,703,660 1,703,660 6.9
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS...................... $ 24,860,785 25,300,755 102.5
===========
LIABILITIES IN EXCESS OF OTHER
ASSETS................................ (612,040) (2.5)
------------ -----------
NET ASSETS............................. $ 24,688,715 100.0%
=========== ===========
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
* American Depositary Receipt (ADR).
** Commercial Paper is traded on a discount basis; the interest rates shown are
the discount rates paid at the time of the purchase by the Portfolio.
See Notes to Financial Statements.
44
<PAGE> 46
(This page intentionally left blank.)
45
<PAGE> 47
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Assets and Liabilities as of June 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at value* (Note 1a)........................................ $ 87,264,341 $ 229,355,315 $ 206,760,812
Cash.................................................................... 11,952 -- 42,045
Foreign cash (Note 1f).................................................. -- -- 74,565
Interest receivable..................................................... 671,481 -- 1,005,812
Dividends receivable.................................................... 90,259 393,882 568,726
Receivable for securities sold.......................................... -- 1,822,719 2,366,012
Receivable for capital shares sold...................................... 61,398 284,371 251,306
Receivable for forward foreign exchange contracts (Note 1e)............. -- -- 1,473
Receivable for loaned securities (Note 7)............................... -- -- --
Prepaid registration fees and other assets (Note 1d).................... 2,302 -- 2,783
------------ ------------- -------------
Total assets.......................................................... 88,101,733 231,856,287 211,073,534
------------ ------------- -------------
LIABILITIES:
Unrealized depreciation on forward foreign exchange contracts (Note
1e)................................................................... -- -- 2,835,374
Payable for capital shares redeemed..................................... 119,630 157,194 461,297
Payable for securities purchased........................................ -- 3,781,706 --
Payable to investment adviser (Note 2).................................. 23,940 60,648 57,142
Payable for dividends to shareholders (Note 1g)......................... -- -- --
Payable for forward foreign exchange contracts (Note 1e)................ -- -- 500,368
Accrued expenses and other liabilities.................................. 21,967 2,571,312 62,912
------------ ------------- -------------
Total liabilities..................................................... 165,537 6,570,860 3,917,093
------------ ------------- -------------
NET ASSETS.............................................................. $ 87,936,196 $ 225,285,427 $ 207,156,441
=========== ============= =============
NET ASSETS CONSIST OF:
Common Stock, $0.10 par value+.......................................... $ 625,475 $ 1,026,209 $ 1,411,135
Paid-in capital in excess of par........................................ 78,050,752 192,255,135 197,385,157
Undistributed investment income -- net.................................. 1,909,832 2,075,718 4,054,044
Undistributed (accumulated) realized capital gains (losses) on
investments and foreign currency transactions -- net (Note 5)......... 904,420 2,486,675 (248,793)
Accumulated distributions in excess of realized capital gains -- net.... -- -- --
Unrealized appreciation (depreciation) on investments and foreign
currency transactions -- net.......................................... 6,445,717 27,441,690 4,554,898
------------ ------------- -------------
NET ASSETS.............................................................. $ 87,936,196 $ 225,285,427 $ 207,156,441
=========== ============= =============
Capital shares outstanding.............................................. 6,254,750 10,262,092 14,111,350
=========== ============= =============
Net asset value, offering and redemption price per share................ $ 14.06 $ 21.95 $ 14.68
=========== ============= =============
*Identified cost........................................................ $ 80,818,624 $ 201,923,222 $ 199,388,699
=========== ============= =============
+Authorized shares...................................................... 100,000,000 100,000,000 100,000,000
=========== ============= =============
</TABLE>
See Notes to Financial Statements.
46
<PAGE> 48
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GROWTH HIGH GOVERNMENT CORPORATE MONEY MULTIPLE NATURAL
STOCK YIELD BOND BOND RESERVE STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------------------------
$131,114,124 $88,780,283 $224,895,085 $117,844,474 $ 573,111,210 $1,160,317,993 $25,300,755
16,194 924 438,124 468 277 -- 1,798
-- -- -- -- -- 2,399,238 --
8,477 1,932,207 3,656,187 2,259,580 3,007,917 6,112,344 --
102,149 -- -- -- -- 1,478,427 61,929
2,155,313 -- -- -- -- 12,403,172 --
1,911,366 254,381 123,756 14,366 -- 66,488 12,159
-- -- -- -- -- -- --
-- -- 1,244 332 -- -- --
2,124 2,421 5,199 2,960 7,111 -- 812
------------ ----------- ------------ ------------ -------------- -------------- -----------
135,309,747 90,970,216 229,119,595 120,122,180 576,126,515 1,182,777,662 25,377,453
------------ ----------- ------------ ------------ -------------- -------------- -----------
-- -- -- -- -- -- --
291,898 158,949 155,039 125,136 -- 1,159,876 666,405
971,200 1,000,000 -- -- -- 36,560,025 --
35,170 24,891 62,383 32,624 157,012 307,836 6,882
-- -- -- -- 130 -- --
-- -- -- -- -- -- --
22,685 31,182 42,528 23,645 174,364 9,317,303 15,451
------------ ----------- ------------ ------------ -------------- -------------- -----------
1,320,953 1,215,022 259,950 181,405 331,506 47,345,040 688,738
------------ ----------- ------------ ------------ -------------- -------------- -----------
$133,988,794 $89,755,194 $228,859,645 $119,940,775 $ 575,795,009 $1,135,432,622 $24,688,715
============ =========== ============ ============ ============== ============== ===========
$ 646,521 $ 996,405 $ 2,056,221 $ 1,033,505 $ 57,552,046 $ 6,942,155 $ 311,460
124,060,245 94,686,558 228,852,233 118,270,860 517,968,416 1,001,363,516 35,713,451
362,313 796,733 1,331,814 707,459 -- 18,957,415 276,642
(5,058,681) (3,980,137) (8,364,292) (4,126,431) -- 10,270,431 (12,053,727)
-- -- (324,731) -- -- -- --
13,978,396 (2,744,365) 5,308,400 4,055,382 274,547 97,899,105 440,889
------------ ----------- ------------ ------------ -------------- -------------- -----------
$133,988,794 $89,755,194 $228,859,645 $119,940,775 $ 575,795,009 $1,135,432,622 $24,688,715
============ =========== ============ ============ ============== ============== ===========
6,465,211 9,964,048 20,562,208 10,335,045 575,520,463 69,421,546 3,114,604
============ =========== ============ ============ ============== ============== ===========
$ 20.72 $ 9.01 $ 11.13 $ 11.61 $ 1.00 $ 16.36 $ 7.93
============ =========== ============ ============ ============== ============== ===========
$117,135,728 $91,524,648 $219,586,685 $113,789,092 $ 572,836,663 $1,062,458,333 $24,860,785
============ =========== ============ ============ ============== ============== ===========
100,000,000 100,000,000 100,000,000 100,000,000 2,000,000,000 300,000,000 100,000,000
============ =========== ============ ============ ============== ============== ===========
</TABLE>
47
<PAGE> 49
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Operations for the Six Months Ended June 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME (NOTES 1b & 1c):
Interest and discount earned*........................................... $1,560,587 $ 590,850 $2,982,960
Dividends*.............................................................. 506,799 1,826,152 1,640,799
Other income............................................................ -- 7,570 --
---------- ----------- ----------
Total income.......................................................... 2,067,386 2,424,572 4,623,759
---------- ----------- ----------
EXPENSES:
Investment advisory fees (Note 2)....................................... 136,320 352,221 352,422
Custodian fees.......................................................... 6,381 25,766 75,376
Accounting services (Note 2)............................................ 2,618 23,026 21,542
Professional fees....................................................... 3,782 6,890 8,291
Printing and shareholder reports........................................ 3,486 4,401 2,561
Transfer agent fees (Note 2)............................................ 2,762 2,635 2,462
Pricing services........................................................ 459 1,842 3,117
Directors' fees and expenses............................................ 452 1,043 1,016
Registration fees (Note 1d)............................................. 106 500 --
Other................................................................... 1,187 3,421 692
---------- ----------- ----------
Total expenses.......................................................... 157,553 421,745 467,479
---------- ----------- ----------
Investment income -- net................................................ 1,909,833 2,002,827 4,156,280
---------- ----------- ----------
REALIZED & UNREALIZED GAIN ON INVESTMENTS & FOREIGN CURRENCY
TRANSACTIONS -- NET (NOTES 1c, 1e, 1f & 3):
Realized gain (loss) on investments -- net.............................. 904,422 2,576,217 103,993
Realized gain (loss) on foreign currency transactions -- net............ -- (16,566) (434,162)
Change in unrealized appreciation/depreciation on investments -- net.... 6,811,124 16,086,663 7,497,106
Change in unrealized appreciation/depreciation on foreign currency
transactions -- net................................................... -- 9,026 (3,071,099)
---------- ----------- ----------
Total realized and unrealized gain on investments and foreign currency
transactions -- net................................................... 7,715,546 18,655,340 4,095,838
---------- ----------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................... $9,625,379 $20,658,167 $8,252,118
========== =========== ==========
*Net of withholding tax................................................. $ -- $ 63,786 $ 159,108
========== =========== ==========
</TABLE>
See Notes to Financial Statements.
48
<PAGE> 50
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GROWTH HIGH GOVERNMENT CORPORATE MONEY MULTIPLE NATURAL
STOCK YIELD BOND BOND RESERVE STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------
$ 41,908 $4,814,761 $ 8,561,018 $ 4,551,627 $17,078,758 $ 15,425,640 $ 79,078
545,003 48,880 -- -- -- 5,773,103 249,439
-- 55,779 94,381 77,764 -- 42,989 --
----------- ---------- ----------- ----------- ----------- ------------ ----------
586,911 4,919,420 8,655,399 4,629,391 17,078,758 21,241,732 328,517
----------- ---------- ----------- ----------- ----------- ------------ ----------
190,644 150,693 368,941 191,077 941,388 1,815,535 38,857
8,491 7,895 13,703 11,522 17,561 94,817 3,493
14,120 1,507 22,810 11,995 21,837 124,002 2,825
5,394 3,928 6,145 4,472 13,963 26,320 4,642
-- 3,640 8,637 4,233 12,337 23,158 458
2,981 2,747 2,592 2,483 2,824 2,718 2,432
130 2,895 756 1,715 -- 2,511 1,751
642 444 1,073 549 2,984 5,275 142
7 5 12 5 29 54 --
2,194 1,203 2,908 1,780 4,895 9,808 478
----------- ---------- ----------- ----------- ----------- ------------ ----------
224,603 174,957 427,577 229,831 1,017,818 2,104,198 55,078
----------- ---------- ----------- ----------- ----------- ------------ ----------
362,308 4,744,463 8,227,822 4,399,560 16,060,940 19,137,534 273,439
----------- ---------- ----------- ----------- ----------- ------------ ----------
(4,841,451) 176,615 845,997 775,541 145,862 9,330,730 228,502
3 -- -- -- -- 2,567,447 1,470
22,231,956 5,009,705 16,103,463 8,287,887 950,573 70,504,546 1,356,425
-- -- -- -- -- 20,069 875
----------- ---------- ----------- ----------- ----------- ------------ ----------
17,390,508 5,186,320 16,949,460 9,063,428 1,096,435 82,422,792 1,587,272
----------- ---------- ----------- ----------- ----------- ------------ ----------
$17,752,816 $9,930,783 $25,177,282 $13,462,988 $17,157,375 $101,560,326 $1,860,711
=========== ========== =========== =========== =========== ============ ==========
$ 6,900 $ -- $ -- $ -- $ -- $ 244,926 $ 19,452
=========== ========== =========== =========== =========== ============ ==========
</TABLE>
49
<PAGE> 51
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO
-------------------------------- --------------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
INCREASE (DECREASE) IN NET ASSETS: 1995 1994 1995 1994
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net....................... $ 1,909,833 $ 3,495,455 $ 2,002,827 $ 2,850,892
Realized gain (loss) on investments and foreign
currency transactions -- net................. 904,422 2,638,524 2,559,651 14,627,590
Change in unrealized appreciation/depreciation
on investments............................... 6,811,124 (9,897,682) 16,086,663 (29,422,358)
Change in unrealized appreciation/depreciation
on foreign currency transactions............. -- -- 9,026 1,038
------------ ------------ ------------- -------------
Net increase (decrease) in net assets resulting
from operations.............................. 9,625,379 (3,763,703) 20,658,167 (11,942,838)
------------ ------------ ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO SHAREHOLDERS (NOTE
1g):
Investment income -- net....................... (1,820,628) (3,126,480) (1,379,710) (2,631,150)
Realized gain on investments -- net............ (2,637,147) (1,294,833) (14,631,127) (22,655,649)
------------ ------------ ------------- -------------
Net decrease in net assets resulting from
dividends and distributions to
shareholders................................. (4,457,775) (4,421,313) (16,010,837) (25,286,799)
------------ ------------ ------------- -------------
CAPITAL SHARE TRANSACTIONS (NOTE 4):
Net increase (decrease) in net assets derived
from capital share transactions.............. 6,875,343 (3,940,079) 13,990,819 19,906,036
------------ ------------ ------------- -------------
NET ASSETS:
Total increase (decrease) in net assets........ 12,042,947 (12,125,095) 18,638,149 (17,323,601)
Beginning of period............................ 75,893,249 88,018,344 206,647,278 223,970,879
------------ ------------ ------------- -------------
End of period*................................. $ 87,936,196 $ 75,893,249 $ 225,285,427 $ 206,647,278
=========== =========== ============= =============
*Undistributed investment income -- net........ $ 1,909,832 $ 1,820,627 $ 2,075,718 $ 1,452,601
=========== =========== ============= =============
</TABLE>
See Notes to Financial Statements.
50
<PAGE> 52
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL STRATEGY PORTFOLIO GROWTH STOCK PORTFOLIO HIGH YIELD PORTFOLIO
------------------------------- ------------------------------- -----------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED MONTHS ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1995 1994 1995 1994 1995 1994
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
$ 4,156,280 $ 6,790,200 $ 362,308 $ 1,604,226 $ 4,744,463 $ 8,884,353
(330,169) 2,882,617 (4,841,448) 6,082,192 176,615 (221,579)
7,497,106 (14,859,909) 22,231,956 (16,062,225) 5,009,705 (9,621,977)
(3,071,099) 267,487 -- -- -- --
------------- ------------- ------------- ------------- ------------ ------------
8,252,118 (4,919,605) 17,752,816 (8,375,807) 9,930,783 (959,203)
------------- ------------- ------------- ------------- ------------ ------------
(3,576,070) (5,377,946) (928,760) (1,529,012) (4,786,206) (8,745,213)
(3,043,742) (2,701,303) (6,299,419) (18,174,826) -- --
------------- ------------- ------------- ------------- ------------ ------------
(6,619,812) (8,079,249) (7,228,179) (19,703,838) (4,786,206) (8,745,213)
------------- ------------- ------------- ------------- ------------ ------------
(17,969,108) 53,820,053 21,762,543 6,944,971 2,189,597 (2,613,948)
------------- ------------- ------------- ------------- ------------ ------------
(16,336,802) 40,821,199 32,287,180 (21,134,674) 7,334,174 (12,318,364)
223,493,243 182,672,044 101,701,614 122,836,288 82,421,020 94,739,384
------------- ------------- ------------- ------------- ------------ ------------
$ 207,156,441 $ 223,493,243 $ 133,988,794 $ 101,701,614 $ 89,755,194 $ 82,421,020
============= ============= ============= ============= =========== ===========
$ 4,054,044 $ 3,473,834 $ 362,313 $ 928,765 $ 796,733 $ 838,476
============= ============= ============= ============= =========== ===========
</TABLE>
51
<PAGE> 53
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT BOND LONG TERM CORPORATE BOND
PORTFOLIO PORTFOLIO
--------------------------------- ---------------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
INCREASE (DECREASE) IN NET ASSETS: 1995 1994 1995 1994
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net.................... $ 8,227,822 $ 16,728,923 $ 4,399,560 $ 8,794,942
Realized gain (loss) on investments and
foreign currency transactions -- net...... 845,997 (9,210,294) 775,541 (4,901,953)
Change in unrealized
appreciation/depreciation on
investments............................... 16,103,463 (20,469,569) 8,287,887 (10,846,549)
Change in unrealized
appreciation/depreciation on foreign
currency transactions..................... -- -- -- --
------------- ------------- ------------- -------------
Net increase (decrease) in net assets
resulting from operations................. 25,177,282 (12,950,940) 13,462,988 (6,953,560)
------------- ------------- ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO SHAREHOLDERS
(NOTE 1g):
Investment income -- net.................... (8,196,462) (16,934,443) (4,323,359) (8,923,319)
Realized gain on investments -- net......... (9,062,228) -- (4,821,218)
In excess of realized gain in
investment -- net......................... -- (324,731) -- --
------------- ------------- ------------- -------------
Net decrease in net assets resulting from
dividends and distributions to
shareholders.............................. (8,196,462) (26,321,402) (4,323,359) (13,744,537)
------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS (NOTE 4):
Net increase (decrease) in net assets
derived from capital share transactions... (6,731,902) (26,611,957) (1,077,067) (6,744,452)
------------- ------------- ------------- -------------
NET ASSETS:
Total increase (decrease) in net assets..... 10,248,918 (65,884,299) 8,062,562 (27,442,549)
Beginning of period......................... 218,610,727 284,495,026 111,878,213 139,320,762
------------- ------------- ------------- -------------
End of period*.............................. $ 228,859,645 $ 218,610,727 $ 119,940,775 $ 111,878,213
============= ============= ============= =============
*Undistributed investment income -- net..... $ 1,331,814 $ 1,300,454 $ 707,459 $ 631,258
============= ============= ============= =============
</TABLE>
See Notes to Financial Statements.
52
<PAGE> 54
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY RESERVE PORTFOLIO MULTIPLE STRATEGY PORTFOLIO NATURAL RESOURCES PORTFOLIO
---------------------------- --------------------------------- -----------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED MONTHS ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1995 1994 1995 1994 1995 1994
<S> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------
$ 16,060,940 $ 22,412,034 $ 19,137,534 $ 34,291,112 $ 273,439 $ 477,313
145,862 1,825 11,898,177 67,745,547 229,972 (165,775)
950,573 (687,566) 70,504,546 (163,387,087) 1,356,425 (494,368)
-- -- 20,069 106,729 875 45
------------- ------------- -------------- -------------- ------------ ------------
17,157,375 21,726,293 101,560,326 (61,243,699) 1,860,711 (182,785)
------------- ------------- -------------- -------------- ------------ ------------
(16,060,940) (22,412,034) (13,790,852) (36,928,856) (200,688) (444,638)
(145,862) (1,825) (72,889,968) (134,514,526) -- --
-- -- -- -- -- --
------------- ------------- -------------- -------------- ------------ ------------
(16,206,802) (22,413,859) (86,680,820) (171,443,382) (200,688) (444,638)
------------- ------------- -------------- -------------- ------------ ------------
(9,148,033) 37,969,893 38,470,209 77,433,705 1,574,048 3,645,242
------------- ------------- -------------- -------------- ------------ ------------
(8,197,460) 37,282,327 53,349,715 (155,253,376) 3,234,071 3,017,819
583,992,469 546,710,142 1,082,082,907 1,237,336,283 21,454,644 18,436,825
------------- ------------- -------------- -------------- ------------ ------------
$ 575,795,009 $ 583,992,469 $1,135,432,622 $1,082,082,907 $ 24,688,715 $ 21,454,644
============= ============= ============== ============== =========== ===========
$ -- $ -- $ 18,957,415 $ 13,610,733 $ 276,642 $ 203,891
============= ============= ============== ============== =========== ===========
</TABLE>
53
<PAGE> 55
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED PORTFOLIO
--------------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, ---------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 1995 1994 1993 1992 1991
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS HAVE
BEEN DERIVED FROM INFORMATION PROVIDED IN THE
FINANCIAL STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period......... $ 13.27 $ 14.62 $ 13.70 $ 13.29 $ 11.78
-------- ---------- ---------- ---------- ----------
Investment income -- net..................... .31 .61 .50 .47 .60
Realized and unrealized gain (loss) on
investments and foreign currency
transactions -- net........................ 1.26 (1.21) 1.35 .38 1.77
-------- ---------- ---------- ---------- ----------
Total from investment operations............. 1.57 (.60) 1.85 .85 2.37
-------- ---------- ---------- ---------- ----------
Less dividends and distributions:
Investment income -- net..................... (.32) (.53) (.75) (.26) (.68)
Realized gain on investments -- net.......... (.46) (.22) (.18) (.18) (.18)
-------- ---------- ---------- ---------- ----------
Total dividends and distributions............ (.78) (.75) (.93) (.44) (.86)
-------- ---------- ---------- ---------- ----------
Net asset value, end of period............... $ 14.06 $ 13.27 $ 14.62 $ 13.70 $ 13.29
======== ========== ========== ========== ==========
TOTAL INVESTMENT RETURN:**
Based on net asset value per share........... 12.58%++ (4.28%) 14.31% 6.67% 20.95%
======== ========== ========== ========= ==========
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of reimbursement............... .38%* .40% .43% .48% .50%
======== ========== ========== ========== ==========
Expenses..................................... .38%* .40% .43% .48% .50%
======== ========== ========== ========== ==========
Investment income -- net..................... 4.65%* 4.28% 3.72% 4.40% 4.91%
======== ========== ========== ========== ==========
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands)..... $ 87,936 $ 75,893 $ 88,018 $ 56,080 $ 38,128
======== ========== ========== ========== ==========
Portfolio turnover........................... 9.98% 46.94% 25.38% 33.15% 58.77%
======== ========== ========== ========== ==========
</TABLE>
- ------------
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregate total investment return.
See Notes to Financial Statements.
54
<PAGE> 56
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL STRATEGY
CAPITAL STOCK PORTFOLIO PORTFOLIO
FOR THE YEAR
FOR THE SIX FOR THE SIX ENDED
MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, MONTHS ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------------- JUNE 30, ------------
1995 1994 1993 1992 1991 1995+ 1994
<S> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------
$ 21.64 $ 25.73 $ 23.22 $ 23.39 $ 19.65 $ 14.54 $ 15.42
----------- ----------- ----------- ----------- ----------- ----------- ------------
.19 .29 .33 .39 .45 .28 .47
1.79 (1.50) 3.41 .16 4.97 .29 (.71)
----------- ----------- ----------- ----------- ----------- ---------- -----------
1.98 (1.21) 3.74 .55 5.42 .57 (.24)
----------- ----------- ----------- ----------- ----------- ---------- -----------
(.14) (.28) (.59) (.20) (.54) (.23) (.41)
(1.53) (2.60) (.64) (.52) (1.14) (.20) (.23)
----------- ----------- ----------- ----------- ----------- ---------- -----------
(1.67) (2.88) (1.23) (.72) (1.68) (.43) (.64)
----------- ----------- ----------- ----------- ----------- ---------- -----------
$ 21.95 $ 21.64 $ 25.73 $ 23.22 $ 23.39 $ 14.68 $ 14.54
========== =========== =========== =========== =========== ========== ===========
10.00%++ (5.12%) 17.01% 2.47% 29.05% 4.06%++ (1.62%)
========== =========== =========== =========== =========== ========== ===========
.42%* .39% .38% .41% .40% .44%* .48%
========== =========== ========== =========== =========== ========== ===========
.42%* .39% .38% .41% .40% .44%* .48%
========== =========== =========== =========== =========== ========== ===========
2.01%* 1.32% 1.43% 1.89% 2.27% 3.91%* 3.22%
========== =========== =========== =========== =========== ========== ===========
$ 225,285 $ 206,647 $ 223,971 $ 202,417 $ 177,604 $ 207,156 $ 223,493
========== =========== =========== =========== =========== ========== ===========
59.38% 71.19% 100.12% 74.89% 63.90% 11.79% 27.31%
========== ========== =========== =========== =========== ========== ===========
<CAPTION>
GLOBAL STRATEGY PORTFOLIO
FOR THE YEAR ENDED DECEMBER 31,
------------------------------------------------
1993 1992 1991
------------------------------------------------
<S> <C> <C>
$ 13.23 $ 13.16 $ 12.00
----------- ---------- ----------
.36 .39 .41
2.61 (.01) 1.60
----------- ---------- ----------
2.97 .38 2.01
----------- ---------- ----------
(.60) (.17) (.85)
(.18) (.14) --
----------- ---------- ----------
(.78) (.31) (.85)
----------- ---------- ----------
$ 15.42 $ 13.23 $ 13.16
=========== ========== ==========
23.73% 3.00% 17.50%
=========== ========== ==========
.45% .50% .50%
=========== ========== ==========
.46% .54% .60%
=========== ========== ==========
3.27% 3.84% 3.86%
=========== ========== ==========
$ 182,672 $ 52,599 $ 29,893
=========== ========== ==========
30.53% 43.56% 93.85%
=========== ========== ==========
</TABLE>
55
<PAGE> 57
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH STOCK PORTFOLIO
-----------------------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31,
INCREASE (DECREASE) IN NET ASSET JUNE 30, ----------------------------------------------------------------------
VALUE: 1995 1994 1993 1992 1991
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND
RATIOS HAVE BEEN DERIVED FROM
INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of
period........................... $ 19.20 $ 24.65 $ 23.98 $ 23.31 $ 16.28
--------- ----------- ----------- ----------- -----------
Investment income -- net........... .06 .31 .32 .26 .25
Realized and unrealized gain (loss)
on investments and foreign
currency transactions -- net..... 2.83 (1.81) 1.63 .53 7.06
--------- ----------- ----------- ----------- -----------
Total from investment operations... 2.89 (1.50) 1.95 .79 7.31
--------- ----------- ----------- ----------- -----------
Less dividends and distributions:
Investment income -- net........... (.18) (.30) (.41) (.12) (.28)
Realized gain on
investments -- net............... (1.19) (3.65) (.87) -- --
--------- ----------- ----------- ----------- -----------
Total dividends and
distributions.................... (1.37) (3.95) (1.28) (.12) (.28)
--------- ----------- ----------- ----------- -----------
Net asset value, end of period..... $ 20.72 $ 19.20 $ 24.65 $ 23.98 $ 23.31
========= =========== =========== =========== ===========
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share............................ 16.25%++ (6.93%) 8.63% 3.40% 45.31%
========= =========== =========== =========== ===========
RATIOS TO AVERAGE NET ASSETS:
Expenses........................... .39%* .40% .38% .42% .42%
========= =========== =========== =========== ===========
Investment income -- net........... .63%* 1.53% 1.35% 1.32% 1.56%
========= =========== =========== =========== ===========
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands)....................... $ 133,989 $ 101,702 $ 122,836 $ 139,062 $ 113,715
========= =========== =========== =========== ===========
Portfolio turnover................. 40.74% 102.96% 160.29% 87.25% 60.48%
========= =========== =========== =========== ===========
</TABLE>
- ------------
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the period.
++ Aggregate total investment return.
See Notes to Financial Statements.
56
<PAGE> 58
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD PORTFOLIO
-----------------------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, ----------------------------------------------------------------------
1995+ 1994 1993 1992 1991
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------
$ 8.53 $ 9.68 $ 9.10 $ 8.44 $ 6.98
--------- ----------- ----------- ----------- -----------
.46 1.00 .94 1.03 1.02
.49 (1.17) .62 .64 1.47
--------- ----------- ----------- ----------- -----------
.95 (.17) 1.56 1.67 2.49
--------- ----------- ----------- ----------- -----------
(.47) (.98) (.98) (1.01) (1.03)
-- -- -- -- --
--------- ----------- ----------- ----------- -----------
(.47) (.98) (.98) (1.01) (1.03)
--------- ----------- ----------- ----------- -----------
$ 9.01 $ 8.53 $ 9.68 $ 9.10 $ 8.44
========= =========== =========== =========== ===========
11.41%++ (1.88%) 18.11% 20.63% 37.77%
========= ======== =========== =========== ===========
.38%* .41% .43% .44% .46%
========= =========== =========== =========== ===========
10.28%* 10.88% 10.17% 11.45% 12.74%
========= =========== =========== =========== ===========
$ 89,755 $ 82,421 $ 94,739 $ 68,034 $ 51,072
========= =========== =========== =========== ===========
29.96% 63.43% 73.01% 83.95% 76.34%
========= =========== =========== =========== ===========
</TABLE>
57
<PAGE> 59
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT PORTFOLIO
------------------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, ------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 1995+ 1994+ 1993 1992 1991
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS
HAVE BEEN DERIVED FROM INFORMATION
PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period.... $ 10.32 $ 12.02 $ 11.75 $ 11.79 $ 11.04
-------- ---------- ----------- ----------- ----------
Investment income -- net................ .39 .75 .83 .83 .86
Realized and unrealized gain (loss) on
investments and foreign currency
transactions -- net................... .81 (1.30) .50 (.04) .76
-------- ---------- ----------- ----------- ----------
Total from investment operations........ 1.20 (.55) 1.33 .79 1.62
-------- ---------- ----------- ----------- -----------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income -- net................ (.39) (.75) (.84) (.83) (.87)
Realized gain on investments -- net..... -- (.39) (.22) -- --
In excess of realized gain on
investments -- net.................... -- (.01) -- -- --
-------- ---------- ----------- ----------- -----------
Total dividends and distributions....... (.39) (1.15) (1.06) (.83) (.87)
-------- ---------- ----------- ----------- -----------
Net asset value, end of period.......... $ 11.13 $ 10.32 $ 12.02 $ 11.75 $ 11.79
======== =========== =========== =========== ===========
TOTAL INVESTMENT RETURN:**
Based on net asset value per share...... 11.91%++ (4.78%) 11.20% 7.03% 15.57%
======== =========== =========== =========== ===========
RATIOS TO AVERAGE NET ASSETS:
Expenses................................ .39%* .37% .36% .40% .39%
======== =========== =========== =========== ===========
Investment income -- net................ 7.44%* 6.89% 6.42% 7.03% 7.82%
======== =========== =========== =========== ===========
Investment income -- net, and realized
gain on investments -- net............ -- -- -- -- --
======== =========== =========== =========== ===========
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands)............................ $228,860 $ 218,611 $ 284,495 $ 269,254 $ 261,434
======== =========== =========== =========== ===========
Portfolio turnover...................... 52.57% 140.55% 113.61% 80.54% 138.41%
======== =========== =========== =========== ===========
</TABLE>
- ------------
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the period.
++ Aggregate total investment return.
See Notes to Financial Statements.
58
<PAGE> 60
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LONG TERM CORPORATE BOND PORTFOLIO MONEY RESERVE PORTFOLIO
-------------------------------------------------------------------------------- -----------------------------
FOR THE YEAR
FOR THE SIX FOR THE SIX ENDED
MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, MONTHS ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------------- JUNE 30, ------------
1995+ 1994+ 1993 1992 1991 1995 1994
<S> <C> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------------------------
$ 10.72 $ 12.59 $ 12.07 $ 12.06 $ 11.21 $ 1.00 $ 1.00
--------- ----------- ----------- ----------- ----------- -------- -----------
.42 .81 .83 .90 .96 .03 .04
.89 (1.42) .68 .02 .85 -- --
--------- ----------- ----------- ----------- ----------- -------- -----------
1.31 (.61) 1.51 .92 1.81 .03 .04
--------- ----------- ----------- ----------- ----------- -------- -----------
(.42) (.82) (.83) (.91) (.96) (.03) (.04)
-- (.44) (.16) -- -- -- --
-- -- -- -- -- -- --
--------- ----------- ----------- ----------- ----------- -------- -----------
(.42) (1.26) (.99) (.91) (.96) (.03) (.04)
--------- ----------- ----------- ----------- ----------- -------- -----------
$ 11.61 $ 10.72 $ 12.59 $ 12.07 $ 12.06 $ 1.00 $ 1.00
======== =========== =========== =========== =========== ======== ===========
12.47%++ (5.13%) 13.01% 8.05% 17.01% 5.79%* 4.05%
======== =========== =========== =========== =========== ======== ===========
.40%* .39% .38% .43% .42% .36%* .36%
======== =========== =========== =========== =========== ======== ===========
7.64%* 7.16% 6.65% 7.51% 8.35% -- --
======== =========== =========== =========== =========== ======== ===========
-- -- -- -- -- 5.71%* 4.00%
======== =========== =========== =========== =========== ======== ===========
$119,941 $ 111,878 $ 139,321 $ 126,864 $ 128,396 $575,795 $ 583,992
======== =========== =========== =========== =========== ======== ===========
74.22% 134.53% 110.53% 93.10% 124.58% -- --
======== =========== =========== =========== =========== ======== ===========
<CAPTION>
MONEY RESERVE PORTFOLIO
- ------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
- -----------------------------------------------------
1993 1992 1991
- -----------------------------------------------------
<S> <C> <C>
$ 1.00 $ 1.00 $ 1.00
----------- ----------- -----------
.03 .04 .06
-- -- --
----------- ----------- -----------
.03 .04 .06
----------- ----------- -----------
(.03) (.04) (.06)
-- -- --
-- -- --
----------- ----------- -----------
(.03) (.04) (.06)
----------- ----------- -----------
$ 1.00 $ 1.00 $ 1.00
=========== =========== ===========
3.08% 3.76% 6.11%
=========== =========== ===========
.36% .39% .38%
=========== =========== ===========
-- -- --
=========== =========== ===========
3.03% 3.77% 5.97%
=========== =========== ===========
$ 546,710 $ 647,190 $ 798,020
=========== =========== ===========
-- -- --
=========== =========== ===========
</TABLE>
59
<PAGE> 61
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTIPLE STRATEGY PORTFOLIO
-------------------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, -------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 1995+ 1994+ 1993 1992 1991
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS HAVE
BEEN DERIVED FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period.... $ 16.22 $ 19.84 $ 18.70 $ 18.32 $ 15.45
----------- ------------ ------------ ------------ ------------
Investment income -- net................ .27 .50 .54 .61 .72
Realized and unrealized gain (loss) on
investments and foreign currency
transactions -- net................... 1.17 (1.39) 2.30 .17 3.13
----------- ------------ ------------ ------------ ------------
Total from investment operations........ 1.44 (.89) 2.84 .78 3.85
----------- ------------ ------------ ------------ ------------
Less dividends and distributions:
Investment income -- net................ (0.21) (.57) (.88) (.32) (.98)
Realized gain on investments -- net..... (1.09) (2.16) (.82) (.08) --
----------- ------------ ------------ ------------ ------------
Total dividends and distributions....... (1.30) (2.73) (1.70) (.40) (.98)
----------- ------------ ------------ ------------ ------------
Net asset value, end of period.......... $ 16.36 $ 16.22 $ 19.84 $ 18.70 $ 18.32
=========== ============ ============ ============ ============
TOTAL INVESTMENT RETURN:**
Based on net asset value per share...... 9.70%++ (5.05%) 16.66% 4.35% 25.97%
=========== ============ =========== ============ ============
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of reimbursement.......... .38%* .38% .36% .40% .39%
=========== ============ =========== ============ ============
Expenses................................ .38%* .38% .36% .40% .39%
=========== ============ =========== ============ ============
Investment income -- net................ 3.50%* 2.97% 2.91% 3.26% 4.17%
=========== ============ ============ ============ ============
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands)............................ $ 1,135,433 $ 1,082,083 $ 1,237,336 $ 1,137,022 $ 1,152,395
=========== ============ ============ ============ ============
Portfolio turnover...................... 69.55% 68.12% 91.08% 67.71% 95.48%
=========== ============ ============ ============ ============
</TABLE>
- ------------
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the period.
++ Aggregate total investment return.
See Notes to Financial Statements.
60
<PAGE> 62
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NATURAL RESOURCES PORTFOLIO
------------------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, ------------------------------------------------------------------
1995 1994 1993 1992 1991
<S> <C> <C> <C> <C>
------------------------------------------------------------------------------------
$ 7.43 $ 7.53 $ 7.01 $ 7.04 $ 7.18
-------- ---------- ---------- --------- ---------
.09 .17 .13 .21 .27
.48 (.10) .66 (.12) (.14)
-------- ---------- ---------- --------- ---------
.57 .07 .79 .09 .13
-------- ---------- ---------- --------- ---------
(.07) (.17) (.27) (.12) (.27)
-- -- -- -- --
-------- ---------- ---------- --------- ---------
(.07) (.17) (.27) (.12) (.27)
-------- ---------- ---------- --------- ---------
$ 7.93 $ 7.43 $ 7.53 $ 7.01 $ 7.04
======== ========== ========== ========= =========
7.74%++ .88% 11.65% 1.35% 1.67%
======== ========== ========== ========= =========
.47%* .50% .50% .50% .50%
======== ========== ========== ========= =========
.47%* .59% .59% .82% .74%
======== ========== ========== ========= =========
2.34%* 2.23% 2.00% 2.84% 3.12%
======== ========== ========== ========= =========
$ 24,689 $ 21,455 $ 18,437 $ 7,987 $ 8,030
======== ========== ========== ========= =========
17.26% 48.16% 65.26% 32.14% 30.20%
======== ========== ========== ========= =========
</TABLE>
61
<PAGE> 63
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES:
Merrill Lynch Series Fund, Inc. (the "Fund") is registered under the Investment
Company Act of 1940 as a diversified, open-end management investment company,
with the exceptions of Global Strategy Portfolio and Natural Resources
Portfolio, which are classified as non-diversified. These unaudited financial
statements reflect all adjustments which are, in the opinion of management,
necessary to a fair statement of the results for the interim period presented.
All such adjustments are of a normal recurring nature. The Fund offers its
shares to Merrill Lynch Life Insurance Company, ML Life Insurance Company of New
York (indirect wholly-owned subsidiaries of Merrill Lynch & Co., Inc. ("ML &
Co.")) and Monarch Life Insurance Company (an insurance company not affiliated
with ML & Co.) separate accounts to fund benefits under certain variable life
insurance contracts. The following is a summary of significant accounting
policies followed by the Fund.
(a) Valuation of investments -- Money Reserve and Multiple Strategy Portfolios:
Investments maturing more than sixty days after the valuation date are valued at
the most recent bid price or yield equivalent as obtained from dealers that make
markets in such securities. When such securities are valued with sixty days or
less to maturity, the difference between the valuation existing on the
sixty-first day before maturity and maturity value is amortized on a
straight-line basis to maturity. Investments maturing within sixty days from
their date of acquisition are valued at amortized cost, which approximates
market value. For the purpose of valuation, the maturity of a variable rate
certificate of deposit is deemed to be the next coupon date on which the
interest rate is to be adjusted.
Balanced, Capital Stock, Global Strategy, Growth Stock, High Yield, Intermediate
Government Bond, Long Term Corporate Bond, Multiple Strategy and Natural
Resources Portfolios: Portfolio securities which are traded on stock exchanges
are valued at the last sale price as of the close of business on the day the
securities are being valued or, lacking any sales, at the closing bid price.
Securities other than money market securities traded in the over-the-counter
market are valued at the bid price or yield equivalent as obtained from one or
more dealers that make markets in the securities. Portfolio securities which are
traded both in the over-the-counter market and on a stock exchange are valued
according to the broadest and most representative market, and it is expected
that for debt securities this ordinarily will be the over-the-counter market.
Short-term securities are valued at amortized cost, which approximates market
value.
Options are valued at the last bid price in the case of options purchased and
the last asked price in the case of options written. Futures contracts are
valued at settlement price at the close of the applicable exchange. Securities
and assets for which market quotations are not readily available are valued at
fair value as determined in good faith by or under the direction of the Board of
Directors of the Fund.
(b) Income taxes -- It is the Fund's policy to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to its shareholders.
Therefore, no Federal income tax provision is required. Under the applicable
foreign tax law, a withholding tax may be imposed on interest, dividends and
capital gains at various rates.
(c) Security transactions and investment income -- Security transactions are
recorded on the dates the transactions are entered into (the trade dates).
Dividend income is recorded on the ex-dividend dates, except that if the
ex-dividend date has passed, certain dividends from foreign securities are
recorded as soon as the Funds are informed of the ex-dividend date. Interest
income (including amortization of premium and discount) is recognized on the
accrual basis. Realized gains and losses on security transactions are determined
on the identified cost basis.
(d) Prepaid registration fees -- Prepaid registration fees are charged to
expense as the related shares are issued.
(e) Derivative financial instruments -- The Fund may engage in various portfolio
strategies to seek to increase its return by hedging its portfolio against
adverse movements in the equity, debt and currency markets. Losses may arise due
to changes in the value of the contract or if the counterparty does not perform
under the contract.
62
<PAGE> 64
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
* Foreign currency options and futures -- Certain Portfolios may purchase or
sell listed or over-the-counter foreign currency options, foreign currency
futures and related options on foreign currency futures as a short or long hedge
against possible variations in foreign exchange rates. Such transactions may be
effected with respect to hedges on non-US dollar denominated securities owned by
the Portfolio, sold by the Portfolio but not yet delivered, or committed or
anticipated to be purchased by the Portfolio.
* Forward foreign exchange contracts -- Global Strategy, Multiple Strategy and
Natural Resources Portfolios are authorized to enter into forward foreign
exchange contracts as a hedge against either specific transactions or portfolio
positions. Such contracts are not entered on the Portfolio's records. However,
the effect on operations is recorded from the date the Portfolio enters into
such contracts. Premium or discount is amortized over the life of the contracts.
* Options -- Certain Portfolios are authorized to write and purchase call and
put options. When a Portfolio writes an option, an amount equal to the premium
received by the Portfolio is reflected as an asset and an equivalent liability.
The amount of the liability is subsequently marked to market to reflect the
current market value of the option written. When a security is purchased or sold
through an exercise of an option, the related premium paid (or received) is
added to (or deducted from) the basis of the security acquired or deducted from
(or added to) the proceeds of the security sold. When an option expires (or the
Portfolio enters into a closing transaction), the Portfolio realizes a gain or
loss on the option to the extent of the premiums received or paid (or gain or
loss to the extent the cost of the closing transaction exceeds the premium paid
or received).
Written and purchased options are non-income producing investments.
(f) Foreign currency transactions -- Transactions denominated in foreign
currencies are recorded at the exchange rate prevailing when recognized. Assets
and liabilities denominated in foreign currencies are valued at the exchange
rate at the end of the period. Foreign currency transactions are the result of
settling (realized) or valuing (unrealized) assets or liabilities expressed in
foreign currencies into US dollars. Realized and unrealized gains or losses from
investments include the effects of foreign exchange rates on investments.
(g) Dividends and distributions -- Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates.
2. INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH AFFILIATES:
The Fund has entered into an Investment Advisory Agreement with Merrill Lynch
Asset Management, L.P. ("MLAM"). The general partner of MLAM is Princeton
Services, Inc. ("PSI"), an indirect wholly-owned subsidiary of ML & Co., which
is the limited partner. The Fund has also entered into a Distribution Agreement
and a Distribution Plan with Merrill Lynch Funds Distributor, Inc. ("MLFD" or
"Distributor"), a wholly-owned subsidiary of Merrill Lynch Group, Inc. MLAM is
responsible for the management of the Fund's portfolios and provides the
necessary personnel, facilities, equipment and certain other services necessary
to the operations of the Fund. For such services, the Fund pays a monthly fee
based upon the aggregate average daily value of the ten combined Portfolio's net
assets at the following annual rates: 0.50% of the Fund's average daily net
assets not exceeding $250 million, 0.45% of the next $50 million, 0.40% of the
next $100 million, 0.35% of the next $400 million, and 0.30% of average daily
net assets in excess of $800 million.
The Investment Advisory Agreement obligates MLAM to reimburse the Fund, if in
any year the aggregate ordinary operating expenses of any Portfolio exceed the
most restrictive expense limitations then in effect under any state securities
law or the regulations thereunder. Under the most restrictive state regulations
presently in effect, the Investment Adviser is required to reimburse each
Portfolio for advisory fees received by it from the Fund, to the extent that
such Portfolio's aggregate ordinary operating expenses (excluding interest,
taxes, brokerage fees and commissions, and extraordinary items) exceed in any
fiscal year 2.5% of the Portfolio's first $30 million of average daily net
assets, 2.0% of the next $70 million of average daily net assets and 1.5% of the
average daily net assets in excess thereof. In addition, the Investment Adviser,
Merrill Lynch Life Agency, Inc. and Monarch Life Insurance Co. ("Monarch")
entered into an agreement which provided that Monarch will reimburse the Fund's
63
<PAGE> 65
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
operating expenses other than interest, taxes, brokerage fees and commissions
and extraordinary items, with respect to each Portfolio, to the extent that
these expenses exceed 0.50% of the Portfolio's average daily net assets. Monarch
will also reimburse MLAM for any amount MLAM is required to pay to the Fund by
reduction of its fee pursuant to the expense limitation provisions of the
Investment Advisory Agreement.
Merrill Lynch, Pierce, Fenner & Smith Inc. ("MLPF&S"), a subsidiary of ML & Co.,
earned commissions on the execution of portfolio security transactions
aggregating $2,100 in the Balanced Portfolio, $33,565 in the Capital Stock
Portfolio, $23,126 in the Global Strategy Portfolio, $3,000 in the Growth Stock
Portfolio, $47,119 in the Multiple Strategy Portfolio, and $480 in the Natural
Resources Portfolio.
Merrill Lynch Financial Data Services, Inc. ("MLFDS"), a wholly-owned subsidiary
of ML & Co., is the Fund's transfer agent.
During the six months ended June 30, 1995, Merrill Lynch Security Pricing
Service, an affiliate of MLPF&S, was paid by Intermediate Government Bond
Portfolio $139; Growth Stock Portfolio $148; Balanced Portfolio $330; High Yield
Portfolio $462; and Long Term Corporate Bond Portfolio $1,416, for security
price quotations to compute the net asset value of the Fund.
Accounting services are provided to the Fund by MLAM at cost.
Certain officers and/or directors of the Fund are officers and/or directors of
MLAM, MLFDS, MLPF&S, PSI, and/or ML & Co.
3. INVESTMENTS:
Purchases and sales of investments, excluding short-term securities for the six
months ended June 30, 1995 were as follows:
<TABLE>
<CAPTION>
INTERMEDIATE
CAPITAL GLOBAL GROWTH HIGH GOVERNMENT
BALANCED STOCK STRATEGY STOCK YIELD BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Total Purchases.............. $ 7,568,994 $ 121,054,636 $ 24,144,470 $ 60,159,332 $ 36,002,244 $113,088,524
=========== ============ =========== =========== =========== ============
Total Sales.................. $ 13,688,357 $ 115,938,779 $ 56,469,842 $ 45,191,586 $ 24,481,219 $112,114,003
=========== ============ =========== =========== =========== ============
<CAPTION>
LONG TERM
CORPORATE MULTIPLE NATURAL
BOND STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- -----------------------------
Total Purchases.............. $86,307,373 $655,484,020 $5,214,795
=========== ============ ==========
Total Sales.................. $80,009,907 $671,163,631 $3,619,422
=========== ============ ==========
</TABLE>
In the Capital Stock Portfolio, transactions in call options written for the six
months ended June 30, 1995 were as follows:
<TABLE>
<CAPTION>
NUMBER
OF
SHARES
CALL OPTIONS WRITTEN COVERED PREMIUMS
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
Outstanding call options, beginning of period............................................ 10,000 $ 12,096
Options written.......................................................................... 64,500 79,055
Options terminated in closing purchase transactions...................................... (36,500) (45,490)
Options expired.......................................................................... (32,000) --
Options exercised........................................................................ (6,000) (45,661)
-------- ---------
Outstanding call options, end of period.................................................. -- $ --
======== =========
</TABLE>
In the Multiple Strategy Portfolio, transactions in call options written for the
six months ended June 30, 1995 were as follows:
<TABLE>
<CAPTION>
NUMBER OF
SHARES
CALL OPTIONS WRITTEN COVERED PREMIUMS
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
Outstanding call options, beginning of period......................................... 65,000 $ 77,475
Options written....................................................................... 152,000 195,787
Options exercised..................................................................... (159,000) (213,403)
Options expired....................................................................... (58,000) (59,859)
--------- ----------
Outstanding call options, end of period............................................... -- --
========= ==========
</TABLE>
64
<PAGE> 66
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
As of June 30, 1995, unrealized appreciation/depreciation for Federal Income tax
purposes was as follows:
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
Appreciated securities............................................................ $ 7,808,520 $ 32,718,844 $ 16,810,605
Depreciated securities............................................................ (1,362,803) (5,286,750) (9,438,492)
============ ============= =============
Net unrealized appreciation (depreciation)........................................ $ 6,445,717 $ 27,432,094 $ 7,372,113
============ ============= =============
Cost for Federal income tax purposes*............................................. $ 80,818,624 $ 201,923,222 $ 199,388,699
============ ============= =============
<CAPTION>
GROWTH HIGH
STOCK YIELD
PORTFOLIO PORTFOLIO
<S> <C> <C>
- ----------------------------------------------------------------------------------
Appreciated securities............................................................ $ 16,974,855 $ 2,542,253
Depreciated securities............................................................ (2,996,459) (5,286,617)
============= ============
Net unrealized appreciation (depreciation)........................................ $ 13,978,396 $ (2,744,364)
============= ============
Cost for Federal income tax purposes*............................................. $ 117,135,728 $ 91,524,648
============= ============
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GOVERNMENT CORPORATE MONEY
BOND BOND RESERVE
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
Appreciated securities......................................................... $ 7,046,705 $ 4,930,698 $ 350,553
Depreciated securities......................................................... (1,738,305) (875,316) (76,006)
============ ============ ============
Net unrealized appreciation.................................................... $ 5,308,400 $ 4,055,382 $ 274,547
============ ============ ============
Cost for Federal income tax purposes*.......................................... $219,586,685 $113,789,092 $572,836,663
============ ============ ============
<CAPTION>
MULTIPLE NATURAL
STRATEGY RESOURCES
PORTFOLIO PORTFOLIO
<S> <C> <C>
- -------------------------------------------------------------------------------
Appreciated securities......................................................... $ 112,471,222 $ 1,738,933
Depreciated securities......................................................... (14,611,562) (1,298,963)
============== ===========
Net unrealized appreciation.................................................... $ 97,859,660 $ 439,970
============== ===========
Cost for Federal income tax purposes*.......................................... $1,062,458,333 $24,860,785
============== ===========
</TABLE>
- ------------
* Net of premium received on options written.
65
<PAGE> 67
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
Net realized and unrealized gains (losses) as of June 30, 1995 were as follows:
<TABLE>
<CAPTION>
CAPITAL STOCK GLOBAL STRATEGY
BALANCED PORTFOLIO PORTFOLIO
PORTFOLIO ------------------------ -----------------------
--------------------- REALIZED REALIZED UNREALIZED
REALIZED UNREALIZED GAINS UNREALIZED GAINS GAINS
GAINS GAINS (LOSSES) GAINS (LOSSES) (LOSSES)
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------
Long-term securities................. $904,422 $6,455,717 $2,541,164 $27,432,093 $ 103,993 $ 7,372,113
Short-term securities................ -- -- (267) -- -- --
Options.............................. -- -- 35,320 -- -- --
Forward foreign exchange contracts... -- -- -- -- 1,473 (2,835,374)
Foreign currency transactions........ -- -- (16,566) 9,597 (435,635) 18,159
-------- ---------- ---------- ----------- --------- -----------
Total................................ $904,422 $6,445,717 $2,559,651 $27,441,690 $(330,169) $ 4,554,898
======== ========== ========== =========== ========== ===========
<CAPTION>
GROWTH STOCK
PORTFOLIO HIGH YIELD
------------------------- PORTFOLIO
REALIZED ----------------------
GAINS UNREALIZED REALIZED UNREALIZED
(LOSSES) GAINS GAINS LOSSES
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
Long-term securities................. $(4,841,446) $13,978,396 $176,613 $(2,744,365)
Short-term securities................ (5) -- 2 --
Options.............................. -- -- -- --
Forward foreign exchange contracts... -- -- -- --
Foreign currency transactions........ 3 -- -- --
----------- ----------- -------- -----------
Total................................ $(4,841,448) $13,978,396 $176,615 $(2,744,365)
=========== =========== ======== ===========
</TABLE>
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares were as follows:
<TABLE>
<CAPTION>
GLOBAL
CAPITAL STOCK STRATEGY
BALANCED PORTFOLIO PORTFOLIO PORTFOLIO
---------------------- ----------------------- ----------
FOR THE SIX MONTHS ENDED DOLLAR DOLLAR
JUNE 30, 1995 SHARES AMOUNT SHARES AMOUNT SHARES
- -------------------------------------------------------- -------- ----------- --------- ----------- ----------
<S> <C> <C> <C> <C> <C>
Shares sold............................................. 611,692 $ 8,258,138 1,371,882 $27,741,272 607,767
Shares issued to shareholders in reinvestment of
dividends and distributions............................ 357,480 4,457,775 247,659 4,913,552 472,169
------- ----------- --------- ----------- ----------
Total issued............................................ 969,172 12,715,913 1,619,541 32,654,824 1,079,936
Shares redeemed......................................... (433,015) (5,840,570) (907,395) (18,664,005) (2,340,013)
------- ----------- --------- ----------- ----------
Net increase (decrease)................................. 536,157 $ 6,875,343 712,146 $13,990,819 (1,260,077)
======== =========== ========= =========== ==========
<CAPTION>
GLOBAL
STRATEGY
PORTFOLIO GROWTH STOCK PORTFOLIO
---------- ------------------------
FOR THE SIX MONTHS ENDED DOLLAR DOLLAR
JUNE 30, 1995 AMOUNT SHARES AMOUNT
- -------------------------------------------------------- ------------ ---------- -----------
<S> <C> <C> <C>
Shares sold............................................. $ 8,689,265 2,351,071 $44,778,136
Shares issued to shareholders in reinvestment of
dividends and distributions............................ 6,619,812 408,834 7,228,179
------------ ---------- -----------
Total issued............................................ 15,309,077 2,759,905 52,006,315
Shares redeemed......................................... (33,278,185) (1,590,397) (30,243,772)
------------ ---------- -----------
Net increase (decrease)................................. $(17,969,108) 1,169,508 $21,762,543
============ ========== ===========
</TABLE>
<TABLE>
<CAPTION>
FOR THE YEAR ENDED DOLLAR DOLLAR
DECEMBER 31, 1994 SHARES AMOUNT SHARES AMOUNT SHARES
- ------------------------------------------------------ ----------- ------------ ----------- ------------ -----------
<S> <C> <C> <C> <C> <C>
Shares sold........................................... 796,517 $ 10,927,406 3,132,708 $ 70,162,822 5,777,347
Shares issued to shareholders in reinvestment of
dividends and distributions.......................... 321,722 4,421,313 1,116,160 25,286,799 541,326
----------- ------------ ----------- ------------ -----------
Total issued.......................................... 1,118,239 15,348,719 4,248,868 95,449,621 6,318,673
Shares redeemed....................................... (1,418,737) (19,288,798) (3,403,477) (75,543,585) (2,796,991)
----------- ------------ ----------- ------------ -----------
Net increase (decrease)............................... (300,498) $ (3,940,079) 845,391 $ 19,906,036 3,521,682
========== =========== ========== =========== ==========
<CAPTION>
FOR THE YEAR ENDED DOLLAR DOLLAR
DECEMBER 31, 1994 AMOUNT SHARES AMOUNT
- ------------------------------------------------------ ------------ ----------- ------------
<S> <C> <C> <C>
Shares sold........................................... $ 87,535,692 3,016,630 $ 57,816,537
Shares issued to shareholders in reinvestment of
dividends and distributions.......................... 8,079,249 967,756 19,703,838
------------ ---------- ------------
Total issued.......................................... 95,614,941 3,984,386 77,520,375
Shares redeemed....................................... (41,794,888) (3,671,567) (70,575,404)
------------ ---------- ------------
Net increase (decrease)............................... $ 53,820,053 312,819 $ 6,944,971
============ ========== ============
</TABLE>
66
<PAGE> 68
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE
GOVERNMENT LONG TERM
BOND PORTFOLIO CORPORATE MONEY RESERVE
----------------------- BOND PORTFOLIO PORTFOLIO
----------------------- -----------------------
REALIZED UNREALIZED REALIZED UNREALIZED REALIZED UNREALIZED
GAINS GAINS GAINS GAINS GAINS GAINS
<S> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------
$845,997 $5,308,400 $775,541 $4,055,382 -- --
-- -- -- -- $145,862 $274,547
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-------- ---------- -------- ---------- -------- ---------
$845,997 $5,308,400 $775,541 $4,055,382 $145,862 $274,547
======== ========== ======== ========== ======== =========
<CAPTION>
MULTIPLE STRATEGY NATURAL RESOURCES
PORTFOLIO PORTFOLIO
--------------------------- -----------------------
REALIZED UNREALIZED REALIZED UNREALIZED
GAINS GAINS GAINS GAINS
<S> <C> <C> <C>
-------------------------------------------------------------------------------
$ 9,182,124 $97,859,660 $228,494 $439,970
-- -- 8 --
148,606 -- -- --
-- -- -- --
2,567,447 39,445 1,470 919
----------- ----------- -------- ---------
$11,898,177 $97,899,105 $229,972 $440,889
=========== =========== ========= =========
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE
GOVERNMENT BOND LONG TERM CORPORATE
HIGH YIELD PORTFOLIO PORTFOLIO BOND PORTFOLIO
--------------------------- --------------------------- ---------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C>
3,085,631 $ 26,992,761 897,039 $ 9,507,281 603,142 $ 6,685,685
550,390 4,786,206 776,318 8,196,462 393,136 4,323,360
---------- ------------ ---------- ------------ ---------- ------------
3,636,021 31,778,967 1,673,357 17,703,743 996,278 11,009,045
(3,337,587) (29,589,370) (2,303,415) (24,435,645) (1,093,059) (12,086,112)
---------- ------------ ---------- ------------ ---------- ------------
298,434 $ 2,189,597 (630,058) $ (6,731,902) (96,781) $ (1,077,067)
========== ============ ========== ============ ========== ============
<CAPTION>
MULTIPLE STRATEGY NATURAL RESOURCES
MONEY RESERVE PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------- --------------------------- ---------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
----------- ------------- ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C>
88,706,940 $ 88,706,940 435,509 $ 6,741,395 1,994,170 $ 15,047,478
16,206,748 16,206,748 5,841,026 86,680,820 27,379 200,688
------------ ------------- ---------- ------------ ---------- ------------
104,913,688 104,913,688 6,276,535 93,422,215 2,021,549 15,248,166
(114,061,721) (114,061,721) (3,550,602) (54,952,006) (1,795,287) (13,674,118)
------------ ------------- ---------- ------------ ---------- ------------
(9,148,033) $ (9,148,033) 2,725,933 $ 38,470,209 226,262 $ 1,574,048
============ ============= ========== ============ ========== ============
</TABLE>
<TABLE>
<CAPTION>
DOLLAR DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ----------- ---------- ----------- ---------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
6,957,804 $62,994,131 1,145,062 $12,193,233 617,781 $ 7,030,745 268,477,395 $268,477,395
965,110 8,745,213 2,387,827 26,321,402 1,196,731 13,744,537 22,352,889 22,352,889
---------- ----------- ---------- ----------- ---------- ----------- ------------ ------------
7,922,914 71,739,344 3,532,889 38,514,635 1,814,512 20,775,282 290,830,284 290,830,284
(8,047,084) (74,353,292) (6,015,949) (65,126,592) (2,448,292) (27,519,734) (252,860,390) (252,860,391)
---------- ----------- ---------- ----------- ---------- ----------- ------------ ------------
(124,170) $(2,613,948) (2,483,060) $(26,611,957) (633,780) $(6,744,452) 37,969,894 $ 37,969,893
========== =========== ========== =========== ========== =========== ============ ============
<CAPTION>
DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- -----------
<S> <C> <C> <C>
1,343,178 $ 22,804,677 3,685,749 $28,285,313
10,026,362 171,443,382 37,202 273,432
---------- ------------ ---------- -----------
11,369,540 194,248,059 3,722,951 28,558,745
(7,035,582) (116,814,354) (3,282,644) (24,913,503)
---------- ------------ ---------- -----------
4,333,958 $ 77,433,705 440,307 $ 3,645,242
========== ============ ========== ===========
</TABLE>
67
<PAGE> 69
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Concluded)
- --------------------------------------------------------------------------------
5. CAPITAL LOSS CARRYFORWARD:
At December 31, 1994, the Fund had capital loss carryforwards of approximately
$3,749,000 in the High Yield Portfolio, of which $3,400,000 expires in 1998, and
$349,000 expires in 1999; $7,516,000 in the Intermediate Government Bond
Portfolio, all of which expires in 2002; $3,770,000 in the Long Term Corporate
Bond Portfolio, all of which expires in 2002; $11,945,000 in the Natural
Resources Portfolio, of which $8,243,000 expires in 1996, $2,063,000 expires in
1997, $1,187,000 expires in 1998, $155,000 expires in 1999, and $297,000 expires
in 2000. These amounts will be available to offset like amounts of any future
taxable capital gains.
6. COMMITMENTS:
At June 30, 1995, the Capital Stock Portfolio and the Multiple Strategy
Portfolio had entered into foreign exchange contracts under which they agreed to
purchase various foreign currencies with values of approximately $811,000 and
$25,616,600, respectively; the Capital Stock Portfolio, the Global Strategy
Portfolio and the Multiple Strategy Portfolio had entered into foreign exchange
contracts under which they agreed to sell various foreign currencies with values
of approximately $397,000, $1,540,100, and $3,485,700, respectively.
7. LOANED SECURITIES:
At June 30, 1995, the Intermediate Government Bond Portfolio held US Treasury
Notes having an aggregate value of approximately $22,969,000 as collateral for
portfolio securities loaned having a market value of approximately $21,956,875;
the Long Term Corporate Bond Portfolio held US Treasury Notes having an
aggregate value of approximately $8,831,000 as collateral for portfolio
securities loaned having a market value of approximately $8,425,000.
8. SUBSEQUENT EVENT:
On July 6, 1995, the Board of Directors declared dividends and distributions per
share payable on July 6, 1995 to shareholders of record as of July 5, 1995 as
follows:
<TABLE>
<CAPTION>
REALIZED
ORDINARY CAPITAL
INCOME GAINS
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
FUND
Balanced Portfolio.................................................................... $ .305357 $ --
Capital Stock Portfolio............................................................... .194926 --
Global Strategy Portfolio............................................................. .316596 --
Growth Stock Portfolio................................................................ .055967 --
Multiple Strategy Portfolio........................................................... .275746 --
Natural Resources Portfolio........................................................... .087826 --
</TABLE>
68
<PAGE> 70
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Directors and Officers
- --------------------------------------------------------------------------------
TERRY K. GLENN-President and Director
JACK B. SUNDERLAND-Director
STEPHEN B. SWENSRUD-Director
J. THOMAS TOUCHTON-Director
N. JOHN HEWITT-Senior Vice President
ALEX BOUZAKIS-Vice President
DONALD C. BURKE-Vice President
DENIS B. CUMMINGS-Vice President
LAWRENCE R. FULLER-Vice President
JAY C. HARBECK-Vice President
JOEL HEYMSFELD-Vice President
JOSEPH T. KENNEY-Vice President
VINCENT T. LATHBURY III-Vice President
PETER A. LEHMAN-Vice President
JACQUELINE ROGERS-Vice President
ALDONA SCHWARTZ-Vice President
WILLIAM WILDE-Vice President
GERALD M. RICHARD-Treasurer
MICHAEL J. HENNEWINKEL-Secretary
PRINCIPAL OFFICE OF THE FUND
Box 9011
Princeton, NJ 08453-9011
CUSTODIAN
The Bank of New York
90 Washington Street
New York, NY 10286
TRANSFER AGENT
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
(800) 637-3863
<PAGE> 71
This report is authorized for distribution only to Policyowners of certain
variable life insurance policies which are funded by shares of the Fund. This
report is not authorized for use as an offer of sale or a solicitation of an
offer to buy shares of the Fund or the policies. Past performance results shown
in this report should not be considered a representation of future performance.
Investment return and principal value of shares will fluctuate so that shares,
when redeemed, may be worth more or less than their original cost. For Money
Reserve Portfolio, the Portfolio seeks to maintain a consistent $1.00 net asset
value per share, although this cannot be assured. An investment in the Portfolio
is neither insured nor guaranteed by the US Government.
MERRILL 59828 Rev 6/95
