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MERRILL LYNCH
SERIES FUND, INC.
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1996 Semi-Annual Report
June 30, 1996
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1996
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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 views on 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 7-9 of this report to
shareholders.
THE ENVIRONMENT
The pace of economic activity picked up over the course of the six-month period
ended June 30, 1996. As a result, recessionary concerns have abated. Investors
are now focusing on prospects for an overheating economy, increasing
inflationary pressures, and the potential for monetary policy tightening by the
Federal Reserve Board. With more robust economic growth, a sharp rise in prices
for crude oil and agricultural commodities, and expectations of escalating wage
pressures, long-term interest rates rose.
Inflationary concerns were heightened further shortly after the close of the
June period with the report of a stronger-than-expected employment report for
June. Unemployment fell to a six-year low, and hourly wages rose sharply. This
mounting evidence of a tighter labor market and rising labor costs suggested to
many investors that the US central bank would be forced to raise short-term
interest rates in the coming months. In the weeks ahead, investors will continue
to monitor economic data releases to determine the potential for monetary policy
tightening by the Federal Reserve Board. Evidence of more moderate, but
sustained, economic activity would be a beneficial development for the US
capital markets.
BALANCED PORTFOLIO
As of June 30, 1996, the asset allocation for Balanced Portfolio was: US
equities, 49.3% of net assets; US bonds, 40.7%; and cash and cash reserves,
10.0%.
Earlier in the year, we reduced the Portfolio's duration in the US bond sector
to under 3.5 years. In recent weeks, there was further evidence that the US
economy is more vigorous than was the case during the early months of 1996. This
environment may encourage the Federal Reserve Board to raise short-term interest
rates in the coming months and result in a further rise in intermediate-term and
long-term interest rates. Given this outlook, a relatively short duration
remains justified, in our opinion.
In recent months, as we moved to complete portfolio restructuring, we also
increased our commitment to US equities. We believe stock selection, rather than
industry focus, is more likely to yield positive results. We have continued to
allocate significant assets to focused and restructured companies which enjoy
dominant franchises within their respective industries. Cincinnati Milacron,
Inc. is an example of a new position which fulfills these criteria. Other new
positions which appeared reasonably valued in relation to their asset values or
earnings growth included International Business Machines Corp. and Procter &
Gamble Co. We also continued to enlarge the representation in quality technology
companies, where new positions included Intel Corp. and Microsoft Corp.
CAPITAL STOCK PORTFOLIIO
As of June 30, 1996, the asset allocation for Capital Stock Portfolio was: US
equities, 72.6% of net assets; foreign equities, 19.9%; and cash reserves, 7.5%.
In recent months, as we moved to complete portfolio restructuring, we also
increased our commitment to US equities. We believe stock selection, rather than
industry focus, is more likely to yield positive results. We have continued to
allocate significant assets to focused and restructured companies which enjoy
dominant franchises within their respective industries. Cincinnati Milacron,
Inc. is an example of a new position which fulfills these criteria. Other new
positions which appeared reasonably valued in relation to their asset values or
earnings growth included International Business Machines Corp. and Procter &
Gamble Co. We also continued to enlarge the representation in quality technology
companies, where new positions included Intel Corp. and Microsoft Corp.
While increasing our foreign equity allocation, we focused on commitments in
Europe, including Michelin (C.G.D.E.) S.A., Henkel KGaA and Nokia Corp. We also
enlarged representation in Latin America through commitments such as
Telecommunicacoes Brasileiras S.A.-Telebras and Companhia Cervejaria Brahma S.A.
PN in Brazil, and in Asia where new positions included San Miguel Corp. in the
Philippines. Japan is the largest commitment in the foreign equity sector, with
new positions established including Eisai Co. Ltd. and Matsushita Electric
Industrial Co. Overall, our expectation of a
1
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1996 (Continued)
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relatively synchronized global economic recovery has led us to allocate the
largest portion of foreign equity assets to the capital equipment area,
including electronics and electrical equipment. The most significant
underweighting is in the finance area, including banking, insurance and real
estate, since the economic environment we anticipate would not be conducive to
declining interest rates.
GLOBAL STRATEGY PORTFOLIO
As of June 30, 1996, the asset allocation for Global Strategy Portfolio was: US
equities, 40.7% of net assets; foreign equities, 35.9%; foreign bonds, 20.3%;
and cash and cash reserves, 3.1%.
In the fixed-income sector, we shifted assets from US bonds to foreign bonds
during the second quarter of 1996. This change reflected our belief that
evidence of a stronger US economy reduces the appeal of US bonds relative to
securities in selected foreign markets. In the foreign bond sector, after
initiating commitments in two-year and three-year German bonds in March, we
established positions in the higher-yielding European bond markets, namely
Italy, Spain and Sweden. Commitments were in bonds in the two-year to five-year
maturity range. The return on these bonds may be enhanced by the convergence of
yields in these markets with those in Germany in response to a lackluster German
economy, an accommodative monetary policy by the Bundesbank, and solid or better
fiscal and monetary rectitude in their economies. This should allow for interest
rate cuts by the central banks of Italy, Spain and Sweden, even while enabling
their currencies to strengthen versus the Deutschemark.
In recent months, as we moved to complete portfolio restructuring, we also
increased our commitment to US equities. We believe stock selection, rather than
industry focus, is more likely to yield positive results. We have continued to
allocate significant assets to focused and restructured companies which enjoy
dominant franchises within their respective industries. Cincinnati Milacron,
Inc. is an example of a new position which fulfills these criteria. Other new
positions which appeared reasonably valued in relation to their asset values or
earnings growth included International Business Machines Corp. and Procter &
Gamble Co. We also continued to enlarge the representation in quality technology
companies, where new positions included Intel Corp. and Microsoft Corp.
While increasing our foreign equity allocation, we focused on commitments in
Europe, including Michelin (C.G.D.E.) S.A., Henkel KGaA and Nokia Corp. We also
enlarged representation in Latin America through commitments such as
Telecommunicacoes Brasileiras S.A.-Telebras and Companhia Cervejaria Brahma S.A.
PN in Brazil, and in Asia where new positions included San Miguel Corp. in the
Philippines. We reduced our position in Japan through the sale of a number of
positions, including Kamigumi Co., Ltd. and Dai Nippon Printing Co., Ltd.
Overall, our expectation of a relatively synchronized global economic recovery
has led us to allocate the largest portion of foreign equity assets to the
capital equipment area, including electronics and electrical equipment. The most
signficant underweighting is in the finance area, including banking, insurance
and real estate, since the economic environment we anticipate would not be
conducive to declining interest rates.
GROWTH STOCK PORTFOLIO
During the first half of 1996, Growth Stock Portfolio continued to increase its
focus on companies where we anticipate management may be able to produce annual
gains in earnings at above-average rates even if overall real economic growth is
below average. We reduced, and in some cases eliminated, investment positions in
the more cyclical growth companies in the retailing and technology equipment
industries. We added or increased positions in the financial services sector
during the latter stages of the substantial rise in long-term interest rates
during the six months ended June 30, 1996. The most important contributors to
the positive total net investment return for Growth Stock Portfolio in the first
half of 1996 were stock holdings in the beverages, cosmetics, computer software,
information processing and retailing industries. The most important industry at
mid-year was pharmaceuticals at 19.8% of net assets. The stock holdings in the
top ten industries represented 67.9% of net assets at mid-year, and the ten
largest equity holdings were equal to 35.9% of net assets.
We consistently have kept the Portfolio's cash reserve position at a relatively
low level, reflecting our positive outlook for the US equity markets. The
Portfolio's primary investment focus is on large-capitalization global growth
companies. Over two-thirds of the Portfolio's net assets are in companies in
consumer non-durable goods and services and commercial services industries.
Reflecting the Portfolio's diversification, the variability of the weekly rates
of return during the first half of 1996 was, on average, less than the
variability of returns of the unmanaged Standard & Poor's 500 Composite Index.
2
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1996 (Continued)
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HIGH-YIELD PORTFOLIO
The high-yield bond market gave ground grudgingly over the six-month period
ended June 30, 1996 in the face of pressure from the weak Treasury bond market.
For the six-month period, the unmanaged Merrill Lynch High Yield Master Bond
Index returned +2.85% compared to -4.96% for the ten-year US Treasury note. Most
high-yield bond funds have produced returns superior to the Index because of a
lower weighting in BB-rated issues. This rating category is more sensitive to
Treasury yields than lower-quality B-rated and CCC-rated issues.
High coupon income, moderate default levels, strong earnings growth and
excellent technical support from cash inflows to the high-yield market have
buoyed prices for high-yield debt securities. Although there were periods when
high-yield bonds tracked other bond types quite closely, the importance of
prospective earnings and credit risk perceptions resulted in high-yield bonds'
offering very different returns than other fixed-income investments over an
extended time period. The table below reflects the correlation of investment
returns of US Treasury notes with those of other financial asset categories from
1980 through 1995. A perfect correlation would be 1.0, and no correlation in
returns would be 0.
CORRELATION WITH US TREASURY NOTES
<TABLE>
<S> <C> <C>
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Merrill Lynch High Yield Index 0.60 Somewhat correlated
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S&P 500 0.29 Minimally correlated
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High Quality Corporate Bond Index 0.93 Highly correlated
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Mortgage Index 0.91 Highly correlated
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</TABLE>
We expect the high-yield bond market to reverse its favorable trend and
underperform US Treasury securities. Because high-yield bonds reacted only
modestly to the major drop in Government and high-grade bond prices since
February, yield spreads tightened substantially. The yield spread between ten-
year Treasury securities and the unmanaged Merrill Lynch High Yield Master Bond
Index at December 31, 1995 was 400 basis points (4%) as compared to only 313
basis points at June 30, 1996. Historically, high-yield investors have required
a larger spread to compensate for the greater credit risk of high-yield issuers.
Although high-yield fundamentals remain sound, we expect spreads to widen,
causing underperformance in the high-yield market. Furthermore, with
fixed-income markets in a nervous transition period while investors evaluate the
potential for strong economic growth in the second half of the year, we believe
there is room for further downside price risk in fixed-income investments.
There was no single decisive event affecting the Portfolio's performance during
the six-month period ended June 30, 1996. Given the relatively extended
valuation of the high-yield market, we maintained a somewhat defensive posture.
We kept cash reserves at higher-than-normal levels, and selectively participated
in attractively priced new issues. Lower coupon, higher-quality BB-rated bonds
(38.1% of the Portfolio's net assets June 30, 1996) suffered the most, with
falling Treasury bond prices. By the end of the period, however, BB-rated
credits returned to fair value relative to B-rated bonds, and we began to
increase holdings in better-quality companies, including Mexican media company
Grupo Televisa, S.A. and Canadian-based publisher Hollinger Inc.
A positive contributor to the Portfolio's performance in both the past six and
the past 12 months was our relative overweighting in zero coupon bonds, which
significantly outperformed the high-yield market as a whole. As of June 30,
1996, the zero coupon bond sector totaled 15.9% of total assets.
At June 30, 1996, the Portfolio's cash position was 3.7% of net assets. Major
industries represented in the Portfolio included: communications, 8.3% of net
assets, conglomerates, 7.7%; consumer products, 6.9%; and energy, 6.1%. The
Portfolio's average maturity was 6 years, 5 months.
INTERMEDIATE GOVERNMENT BOND PORTFOLIO AND LONG TERM CORPORATE BOND PORTFOLIO
The acceleration of job creation, which became evident in February, adversely
impacted interest rates during the six-month period ended June 30, 1996. Job
growth averaged 233,000 jobs per month during the first six months of 1996,
compared with an average monthly gain of only 144,000 in the same period in
1995. Combined with surprising strength in the wage and salary index, these data
caused concern that the period of favorable inflation rates may be drawing to a
close. Economic activity heated up in the second quarter, and there was
speculation that the Federal Reserve Board
3
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1996 (Continued)
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may reverse trend and tighten rates during the summer months. Investors' concern
increased when Federal Reserve Board Chairman Alan Greenspan lamented that
serious discussion relating to reducing the Federal budget deficit had faded.
Trading activity pushed the interest rates on long-term Treasury notes from
under 6% to 7.25% before recovering to 6.90% at June 30, 1996.
During June, we maintained a defensive position and kept the average maturity
for the Intermediate Government Bond Portfolio at around 6.5 years. At the end
of June, Treasury securities made up 61% of the Portfolio's net assets, and cash
equivalents were less than 5%. We are hopeful that economic growth will slow in
the third quarter of 1996, but we will remain wary by continuing to maintain a
defensive strategy.
For the Long Term Corporate Bond Portfolio, we took a defensive position by
shortening the average portfolio duration from 5.72 years to 4.71 years. We
accomplished this by trading down the yield curve. We remained underweighted in
the utility and Canadian sectors, and increased our commitment to Yankee issues.
We are hopeful that economic growth will slow in the third quarter of 1996, but
we will remain wary and maintain a defensive strategy. The steepness of the
short-term yield curve compelled us to be invested, but inflation concerns will
keep us cautious. The Portfolio's US Treasury securities position at 60.8% of
net assets is lower than usual because wider spreads vis a vis Treasuries
encourage us to invest in the corporate market.
MONEY RESERVE PORTFOLIO
For the six-month period ended June 30, 1996, the Money Reserve Portfolio's net
annualized yield was 5.11%. The Portfolio's 7-day yield as of June 30, 1996 was
5.45%*. The average portfolio maturity was 56 days at June 30, 1996 compared to
79 days at December 31, 1995.
The Portfolio's composition at the end of June and as of our last report is
detailed below:
<TABLE>
<S> <C> <C>
ISSUE 6/30/96 12/31/95
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Certificates of Deposit -- European.............................................. 1.8% 1.1%
Commercial Paper................................................................. 51.1 40.9
Corporate Notes.................................................................. 8.5 7.7
Master Notes..................................................................... 5.4 3.7
Medium-Term Notes................................................................ 2.7 4.4
US Government Agency & Instrumentality Obligations -- Discount................... 0.4 3.2
US Government Agency & Instrumentality Obligations -- Non-Discount............... 29.6 40.1
Other Assets Less Liabilities.................................................... 0.5 (1.1)
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Total............................................................................ 100.0% 100.0%
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</TABLE>
MULTIPLE STRATEGY PORTFOLIO
As of June 30, 1996, the asset allocation of Multiple Strategy Portfolio was: US
equities, 51.6%; foreign equities, 19.4%; US bonds, 14.7%; foreign bonds, 5.5%;
and cash reserves, 8.0%.
In the US bond sector, we reduced the Portfolio's duration to under 3.5 years
because we believe that evidence of a stronger US economy may result in a
further rise in US interest rates. In the foreign bond sector, after
reestablishing commitments in two-year and three-year German bonds and Italian
fixed-income securities in March, we established positions in other
higher-yielding European bond markets, such as Spain and Sweden. Our investments
were in bonds in the two-year to five-year maturity range. The return on these
bonds may be enhanced by the convergence of yields in these markets with those
in Germany. The factors expected to cause this convergence are a lackluster
German economy, an accommodative monetary policy by the Bundesbank, and solid or
better fiscal and monetary rectitude in their economies. This should allow for
interest rate cuts by the central banks of Italy, Spain and Sweden, while
enabling their currencies to strengthen against the Deutschemark.
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* Based on a 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, 1996 (Continued)
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In recent months, as we moved to complete portfolio restructuring, we increased
the commitment to US equities. We believe stock selection, rather than industry
focus, is more likely to yield positive results. We continued to allocate
significant assets to focused and restructured companies which enjoy dominant
franchises within their respective industries. Cincinnati Milacron, Inc. is an
example of a new position which fulfills these criteria. Other new investments
which appeared reasonably valued in relationship to their asset values or
earnings growth included International Business Machines Corp. and Procter &
Gamble Co. We also continued to enlarge the Portfolio's investments in quality
technology companies, where new positions included Intel Corp. and Microsoft
Corp.
While increasing the foreign equity allocation, we focused our commitments in
Europe and invested in companies such as Michelin (C.G.D.E.) S.A., Henkel KGaA
and Nokia Corp. We also enlarged the Portfolio's representation in Latin America
through commitments such as Telecommunicacoes Brasileiras S.A.-Telebras and
Companhia Cervejaria Brahma S.A. PN in Brazil. New investments in Asia included
San Miguel Corp. in the Philippines. The Portfolio's largest commitment in the
foreign equity sector is in Japan, with new positions established in Eisai Co.
Ltd. and Matsushita Electric Industrial Co.
Overall, our expectation of a relatively synchronized global economic recovery
led us to allocate the largest proportion of foreign equity assets to the
capital equipment area, including electronics and electrical equipment. The
Portfolio's most significant underweighted area is the finance sector, including
banking, insurance and real estate, because the economic environment we
anticipate will not be conducive to declining interest rates.
NATURAL RESOURCES PORTFOLIO
The environment for investments in the natural resources sector was positive
during the six-month period ended June 30, 1996, as investors were encouraged by
signs of accelerating global economic activity. In the United States, the
improvement in investor sentiment about revived economic growth was triggered by
the release of stronger-than-expected employment figures for February and March.
This was reinforced by a number of other positive statistics such as
accelerating auto sales, an increase in consumer confidence and a
larger-than-expected 2.3% advance in real GDP for the first quarter. In Japan,
several indicators, including an upturn in industrial production, strong
machinery and construction orders, and an improvement in business and consumer
confidence, suggested that a moderate economic recovery is continuing. In the
emerging markets, growth in Asia continued to be strong, while growth in Latin
America appeared to be recovering. In contrast, the Continental European
economies generally remained weak. However, European central banks responded to
this by continuing to ease monetary policy in an attempt to stimulate economic
growth.
Investor sentiment in the underlying commodity markets was mixed during the
six-month period ended June 30, 1996. Despite the fact that Iraq may soon resume
oil exports, oil prices strengthened considerably and appear to have support
near the top of their recent trading range of $19-$21 per barrel. Natural gas
prices recovered sharply from their extreme weakness last year. While natural
gas prices may pull back somewhat from their recent highs, in our opinion strong
demand to refill extremely low inventory levels should support prices above
those realized last year. Gold prices broke out of their trading range and moved
sharply higher in January and February. However, gold prices have since retraced
all of these gains as gold producers and central banks used the higher gold
prices as an opportunity to sell. Similarly, base metals prices moved higher
during the first four months of the year as inventory drawdowns continued on the
major commodity exchanges. However, uncertainty surrounding Sumitomo Metal
Mining Co.'s disclosure of huge losses in copper trading caused copper and other
base metals prices to fall sharply during the June period. In the paper markets,
the pricing environment remained weak because of rising inventories in many
paper grades, although there is some evidence that inventories are being worked
down and order levels are increasing, which could give the industry greater
pricing flexibility soon.
Most sectors of our investment universe posted strong share price gains during
the June period with the exception of paper and steel shares, which were
modestly lower. Gold mining stocks posted the strongest gains in our investment
universe as the gold price moved briefly above $400 per ounce.
The Portfolio's increased exposure to the precious metals sector contributed
positively to returns. Portfolio returns also benefited from our large exposure
in the energy sector, with particular emphasis on exploration and production
companies. Energy-related stocks posted solid share price gains, with the shares
of exploration and production companies leading the advance, as both oil and
natural gas prices continued to strengthen. Natural gas prices rallied sharply
as colder-than-normal weather
5
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1996 (Concluded)
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combined with low storage levels of natural gas. Oil prices were supported by
strong demand and low inventories of crude oil and oil products, particularly in
the United States. Base metals and chemical shares also posted solid gains as
these economy-sensitive industries benefited from the prospects of an extended
economic cycle. The Portfolio's large exposure to companies in these industries
enhanced performance during the June period. Portfolio returns also benefited
from a number of takeover/merger proposals announced during the six-month period
ended June 30, 1996. In the energy area, Ampolex Ltd. received a takeover
proposal from Mobil Corp. In the gold mining industry, Hemlo Gold Mines Inc.
received a merger proposal from Battle Mountain Gold Co., and Golden Shamrock
Mines Ltd. received a merger proposal from Ashanti Goldfields Co. Ltd.
During the six-month period ended June 30, 1996, there was little change in our
investment strategy. While the Portfolio's largest exposure continued to be in
energy-related companies at about 29% of net assets, we used the strength in the
energy sector as an opportunity to take profits in several of our exploration
and production company holdings. The proceeds were generally redeployed into the
industrial side of our universe, including the base metals and paper sectors.
Despite the risk of a near-term slowdown in earnings momentum in some of these
areas caused by sluggish industrial commodity prices, we remained positive on
the medium-term outlook for these industries. We believe the emerging trend of
stronger worldwide economic growth should keep the demand for these industrial
commodities on a strong upward trend and provide support for underlying
commodity prices. Stronger industry fundamentals and reduced corporate cost
structures potentially could lead to a period of sustained above-average
profitability for many of these companies.
We also continued to increase the Portfolio's exposure to the Japanese equity
market, where we believe prospects of stronger economic growth and corporate
restructuring could set the stage for a strong rebound in profitability. Our
investment focus in Japan is on sectors that are both sensitive to the global
economy and are prime beneficiaries of a weaker yen, including the non-ferrous
metals, steel and chemical sectors.
Looking ahead, we continue to be optimistic about the outlook for the natural
resources sector. There continues to be much debate over the sustainability of
recent advances in economic growth. However, we remain encouraged by these
positive economic trends, and believe we may be moving toward a period of
synchronized growth in both the industralized and developing economies. This
should support the demand for basic resources and should improve the earnings
prospects for many natural 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 strategies with you in our
December annual report to shareholders.
Sincerely,
Terry K. Glenn
President
August 9, 1996
6
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MERRILL LYNCH SERIES FUND, INC.
Performance Information
June 30, 1996
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RECENT PERFORMANCE RESULTS
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<TABLE>
<S> <C> <C> <C> <C> <C>
12 MONTH 6 MONTH
6/30/96 12/31/95 6/30/95 % CHANGE % CHANGE
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BALANCED PORTFOLIO $ 14.61 $ 14.86 $ 14.06 + 6.08%(1) + 0.37%(1)
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CAPITAL STOCK PORTFOLIO 21.37 23.88 21.95 +10.41(2) + 1.49(2)
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GLOBAL STRATEGY PORTFOLIO 15.36 15.25 14.68 + 5.30(3) + 1.36(3)
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GROWTH STOCK PORTFOLIO 25.76 24.06 20.72 +24.32 + 7.07
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HIGH YIELD PORTFOLIO 8.94 8.99 9.01 -0.78 -0.56
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INTERMEDIATE GOVERNMENT BOND PORTFOLIO 10.80 11.41 11.13 -2.96 -5.35
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LONG TERM CORPORATE BOND PORTFOLIO 11.36 12.02 11.61 -2.15 -5.49
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MULTIPLE STRATEGY PORTFOLIO 15.95 17.24 16.36 + 4.98(4) -0.38(4)
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NATURAL RESOURCES PORTFOLIO 8.75 8.17 7.93 +10.34 + 7.10
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BALANCED PORTFOLIO -- TOTAL RETURN +10.65(5) + 2.45(6)
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CAPITAL STOCK PORTFOLIO -- TOTAL RETURN +16.11(7) + 5.80(8)
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GLOBAL STRATEGY PORTFOLIO -- TOTAL RETURN +10.40(9) + 4.02(10)
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GROWTH STOCK PORTFOLIO -- TOTAL RETURN +28.31(11) +10.20(12)
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HIGH YIELD PORTFOLIO -- TOTAL RETURN + 9.89(13) + 4.53(14)
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INTERMEDIATE GOVERNMENT BOND PORTFOLIO -- TOTAL RETURN + 4.06(15) -2.03(16)
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LONG TERM CORPORATE BOND PORTFOLIO -- TOTAL RETURN + 4.94(17) -2.18(18)
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MULTIPLE STRATEGY PORTFOLIO -- TOTAL RETURN +12.04(19) + 4.55(20)
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NATURAL RESOURCES PORTFOLIO -- TOTAL RETURN +12.66(21) + 8.16(22)
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</TABLE>
(1) Percent change includes reinvestment of $0.298 per share capital gains
distributions.
(2) Percent change includes reinvestment of $2.719 per share capital gains
distributions.
(3) Percent change includes reinvestment of $0.094 per share capital gains
distributions.
(4) Percent change includes reinvestment of $1.175 per share capital gains
distributions.
(5) Percent change includes reinvestment of $0.608 per share ordinary income
dividends and $0.298 per share capital gains distributions.
(6) Percent change includes reinvestment of $0.302 per share ordinary income
dividends and $0.298 per share capital gains distributions.
(7) Percent change includes reinvestment of $1.171 per share ordinary income
dividends and $2.719 per share capital gains distributions.
(8) Percent change includes reinvestment of $0.976 per share ordinary income
dividends and $2.719 per share capital gains distributions.
(9) Percent change includes reinvestment of $0.708 per share ordinary income
dividends and $0.094 per share capital gains distributions.
(10) Percent change includes reinvestment of $0.391 per share ordinary income
dividends and $0.094 per share capital gains distributions.
(11) Percent change includes reinvestment of $0.744 per share ordinary income
dividends.
(12) Percent change includes reinvestment of $0.688 per share ordinary income
dividends.
(13) Percent change includes reinvestment of $0.920 per share ordinary income
dividends.
(14) Percent change includes reinvestment of $0.451 per share ordinary income
dividends.
(15) Percent change includes reinvestment of $0.775 per share ordinary income
dividends.
(16) Percent change includes reinvestment of $0.381 per share ordinary income
dividends.
(17) Percent change includes reinvestment of $0.815 per share ordinary income
dividends.
(18) Percent change includes reinvestment of $0.401 per share ordinary income
dividends.
(19) Percent change includes reinvestment of $1.091 per share ordinary income
dividends and $1.175 per share capital gains distributions.
(20) Percent change includes reinvestment of $0.815 per share ordinary income
dividends and $1.175 per share capital gains distributions.
(21) Percent change includes reinvestment of $0.169 per share ordinary income
dividends.
(22) Percent change includes reinvestment of $0.081 per share ordinary income
dividends.
7
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MERRILL LYNCH SERIES FUND, INC.
Performance Information
June 30, 1996 (Continued)
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AVERAGE ANNUAL TOTAL RETURNS
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<TABLE>
<S> <C> <C> <C> <C> <C>
YEAR FIVE YEARS TEN YEARS SINCE
ENDED ENDED ENDED INCEPTION
6/30/96 6/30/96 6/30/96 TO 6/30/96
- ------------------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO +10.65% +10.42% -- +10.65%+
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO +16.11 +11.27 +10.57% --
- ------------------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO +10.40 +10.02 -- + 9.54++
- ------------------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +28.31 +14.01 + 9.22 --
- ------------------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO + 9.89 +13.72 +11.08 --
- ------------------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 4.06 + 8.08 + 7.95 --
- ------------------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO + 4.94 + 8.81 + 8.50 --
- ------------------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO +12.04 +10.63 + 9.84 --
- ------------------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO +12.66 + 6.87 -- + 0.91+++
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Balanced Portfolio commenced operations on 5/2/88.
++ Global Strategy Portfolio commenced operations on 7/1/87.
+++ Natural Resources Portfolio commenced operations on 7/1/87.
SEPARATE ACCOUNT AVERAGE ANNUALIZED RETURNS*
FOR VARIABLE LIFE INSURANCE POLICIES
(EXCEPT FOR ESTATE INVESTOR I AND II)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
YEAR FIVE YEARS TEN YEARS SINCE
ENDED ENDED ENDED INCEPTION
6/30/96 6/30/96 6/30/96 TO 6/30/96
- --------------------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO + 0.65% + 8.01% -- +8.83%+
- --------------------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO + 6.07 + 8.86 +8.86% --
- --------------------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO + 0.41 + 7.52 -- +7.82+ +
- --------------------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +18.16 +11.62 +7.15 --
- --------------------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO -0.10 +11.44 +9.46 --
- --------------------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO -5.87 + 5.62 +6.29 --
- --------------------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO -5.00 + 6.37 +6.84 --
- --------------------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO + 2.03 + 8.23 +8.17 --
- --------------------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO + 2.65 + 4.31 -- -1.29+ ++
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Returns are calculated as if the contract were surrendered at the end of the
periods shown and assume the Separate Account had been in existence and a
contract had been in force during the periods shown. They reflect fund
operating expenses, a Separate Account mortality and expense risk charge
deducted daily at an annual rate at the beginning of the year 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 underwriting 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 Balanced Portfolio commenced operations on 5/2/88.
++ The Global Strategy Portfolio commenced operations on 7/1/87.
+++ The Natural Resources 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>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Performance Information
June 30, 1996 (Concluded)
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT AVERAGE ANNUALIZED RETURNS*
FOR ESTATE INVESTOR I AND II
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
YEAR FIVE YEARS TEN YEARS SINCE
ENDED ENDED ENDED INCEPTION
6/30/96 6/30/96 6/30/96 TO 6/30/96
- --------------------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO + 9.65% + 9.43% -- + 9.65%+
- --------------------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO +15.07 +10.27 + 9.51% --
- --------------------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO + 9.41 + 9.03 -- + 8.56++
- --------------------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +27.16 +12.98 + 7.93 --
- --------------------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO + 8.90 +12.70 +10.10 --
- --------------------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 3.13 + 7.11 + 6.98 --
- --------------------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO + 4.00 + 7.83 + 7.53 --
- --------------------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO +11.03 + 9.64 + 8.84 --
- --------------------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO +11.65 + 5.90 -- 0.00+++
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Returns assume the Separate Account had been in existence and a contract had
been in force during the periods shown. They reflect fund operating expenses
and a Separate Account mortality and expense risk charge deducted daily at an
annual rate at the beginning of the year of 0.90%. Returns do not reflect
contract loading or quarterly cost of insurance, which can vary by age, sex
and underwriting class of the insured(s) and by each 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,
-45.17%, -4.74%, (N/A), 0.72%; Capital Stock Portfolio, -42.47%, -4.01%,
2.18%, (N/A); Global Strategy Portfolio, -45.30%, -5.08%, (N/A), 0.52%; Growth
Stock Portfolio, -36.42%, -1.64%, 0.70%, (N/A); High Yield Portfolio, -45.55%,
1.89%, (N/A), 2.90%; Intermediate Government Bond Portfolio, -48.44%, -6.76%,
-0.18%, (N/A); Long Term Corporate Bond Portfolio, -48.00%, -6.13%. 0.33%,
(N/A); Multiple Strategy Portfolio, -44.48%, -4.55%, 1.55%, (N/A); Natural
Resources Portfolio, - 44.18%, -7.81%, (N/A), -7.41%.
+ The Balanced Portfolio commenced operations on 5/2/88.
++ The Global Strategy Portfolio commenced operations on 7/1/87.
+++ The Natural Resources 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>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
VALUE (NOTE PERCENT OF NET
FACE AMOUNT US GOVERNMENT OBLIGATIONS COST 1A) ASSETS
- -----------------------------------------------------------------------------------------------------------------------
US TREASURY BONDS & $ 2,250,000 US Treasury Bond, 6.875% due
NOTES 8/15/2025........................... $ 2,199,727 $ 2,227,140 2.3%
US Treasury Notes:
17,750,000 5.75% due 10/31/1997.................. 17,686,211 17,705,625 18.2
20,000,000 5% due 1/31/1998...................... 19,790,625 19,687,400 20.2
- -----------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT OBLIGATIONS 39,676,563 39,620,165 40.7
- -----------------------------------------------------------------------------------------------------------------------
INDUSTRIES SHARES HELD COMMON STOCKS
- -----------------------------------------------------------------------------------------------------------------------
AEROSPACE 10,000 Boeing Co. (The)...................... 732,539 871,250 0.9
12,000 Northrop Grumman Corp................. 785,435 817,500 0.8
14,300 United Technologies Corp.............. 689,341 1,644,500 1.7
------------ ------------ ---
2,207,315 3,333,250 3.4
- -----------------------------------------------------------------------------------------------------------------------
AIRLINES 10,200 Delta Air Lines, Inc.................. 805,585 846,600 0.9
- -----------------------------------------------------------------------------------------------------------------------
AUTO & TRUCK 20,000 Ford Motor Co......................... 538,706 647,500 0.7
13,000 General Motors Corp................... 732,967 680,875 0.7
------------ ------------ ---
1,271,673 1,328,375 1.4
- -----------------------------------------------------------------------------------------------------------------------
BANKING 20,000 Bank of New York, Inc. (The).......... 945,166 1,025,000 1.0
- -----------------------------------------------------------------------------------------------------------------------
BEVERAGES 11,000 Coca-Cola Co.......................... 512,958 537,625 0.5
- -----------------------------------------------------------------------------------------------------------------------
CHEMICALS 20,000 PPG Industries, Inc................... 992,648 975,000 1.0
- -----------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 17,000 +cisco Systems, Inc................... 757,624 962,625 1.0
20,000 Electronic Data Systems Corp.......... 1,029,407 1,075,000 1.1
13,100 First Data Corp....................... 922,642 1,043,088 1.1
------------ ------------ ---
2,709,673 3,080,713 3.2
- -----------------------------------------------------------------------------------------------------------------------
COMPUTERS 7,000 International Business Machines
Corp.................................. 769,271 693,000 0.7
6,200 +Sun Microsystems, Inc................ 390,913 364,250 0.4
------------ ------------ ---
1,160,184 1,057,250 1.1
- -----------------------------------------------------------------------------------------------------------------------
DIVERSIFIED 30,000 Corning Inc........................... 836,784 1,151,250 1.2
- -----------------------------------------------------------------------------------------------------------------------
ELECTRONICS 10,000 General Electric Co................... 758,958 865,000 0.9
12,000 Intel Corp............................ 745,918 880,500 0.9
41,400 +Lexmark International Group, Inc.
(Class A)............................. 880,174 833,175 0.9
------------ ------------ ---
2,385,050 2,578,675 2.7
- -----------------------------------------------------------------------------------------------------------------------
ENGINEERING & 20,000 Foster Wheeler Corp................... 878,738 897,500 0.9
CONSTRUCTION
- -----------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 12,000 +Viacom, Inc. (Class B)............... 499,217 466,500 0.5
- -----------------------------------------------------------------------------------------------------------------------
ENVIRONMENTAL 70,456 Wheelabrator Technologies Inc......... 1,160,884 1,074,454 1.1
CONTROL
- -----------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 24,000 American Express Company.............. 1,115,812 1,071,000 1.1
900 +Associates First Capital Corp........ 26,100 33,862 0.0
11,000 Citicorp.............................. 802,390 908,875 0.9
------------ ------------ ---
1,944,302 2,013,737 2.0
- -----------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 48,800 Stanley Works Co...................... 977,524 1,451,800 1.5
- -----------------------------------------------------------------------------------------------------------------------
HEALTHCARE 49,400 +Humana Inc........................... 383,837 883,025 0.9
- -----------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 8,800 Procter & Gamble Co................... 741,294 797,500 0.8
- -----------------------------------------------------------------------------------------------------------------------
INSURANCE 15,000 Aetna Life & Casualty Co.............. 1,116,315 1,072,500 1.1
25,000 Allstate Corp......................... 1,023,305 1,140,625 1.2
------------ ------------ ---
2,139,620 2,213,125 2.3
- -----------------------------------------------------------------------------------------------------------------------
MACHINERY 15,000 +American Standard Companies, Inc..... 489,476 495,000 0.5
20,700 Cincinnati Milacron, Inc.............. 521,516 496,800 0.5
24,000 Deere & Co............................ 998,421 960,000 1.0
------------ ------------ ---
2,009,413 1,951,800 2.0
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
10
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of June 30, 1996 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
SHARES VALUE (NOTE PERCENT OF
INDUSTRIES HELD COMMON STOCKS COST 1A) NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------
MEDICAL SUPPLIES 22,000 Baxter International, Inc............. $ 1,031,951 $ 1,039,500 1.1%
- ---------------------------------------------------------------------------------------------------------------------
NATURAL GAS 25,000 Enron Corp............................ 973,747 1,021,875 1.0
- ---------------------------------------------------------------------------------------------------------------------
OIL SERVICES 56,000 Dresser Industries, Inc............... 1,097,465 1,652,000 1.7
- ---------------------------------------------------------------------------------------------------------------------
PETROLEUM 19,900 Pennzoil Co........................... 799,032 920,375 0.9
7,100 Unocal Corp........................... 237,761 239,625 0.3
------------ ------------ ------
1,036,793 1,160,000 1.2
- ---------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 25,000 Abbott Laboratories................... 777,352 1,087,500 1.1
24,300 Merck & Co., Inc...................... 770,558 1,570,387 1.6
------------ ------------ ------
1,547,910 2,657,887 2.7
- ---------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 13,400 Eastman Kodak Co...................... 648,326 1,041,850 1.1
- ---------------------------------------------------------------------------------------------------------------------
RAILROADS 7,000 Conrail, Inc.......................... 490,791 464,625 0.5
- ---------------------------------------------------------------------------------------------------------------------
REAL ESTATE 19,800 Spieker Properties, Inc............... 504,900 539,550 0.5
INVESTMENT TRUSTS
- ---------------------------------------------------------------------------------------------------------------------
RETAIL 22,000 +AutoZone, Inc........................ 770,000 764,500 0.8
34,000 Limited, Inc. (The)................... 758,098 731,000 0.7
18,000 Sears, Roebuck & Co................... 717,557 875,250 0.9
------------ ------------ ------
2,245,655 2,370,750 2.4
- ---------------------------------------------------------------------------------------------------------------------
SCIENTIFIC 40,000 Fisher Scientific International,
INSTRUMENTS Inc................................... 1,234,274 1,500,000 1.5
- ---------------------------------------------------------------------------------------------------------------------
SOFTWARE--COMPUTER 4,000 +Microsoft Corp....................... 448,244 480,000 0.5
24,375 +Oracle Corp.......................... 795,943 959,766 1.0
------------ ------------ ------
1,244,187 1,439,766 1.5
- ---------------------------------------------------------------------------------------------------------------------
STEEL 19,800 AK Steel Holding Corp................. 826,884 774,675 0.8
- ---------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 26,700 AT&T Corp............................. 1,272,412 1,655,400 1.7
18,000 Bell Atlantic Corp.................... 903,663 1,147,500 1.2
5,000 Lucent Technologies, Inc.............. 135,000 189,375 0.2
------------ ------------ ------
2,311,075 2,992,275 3.1
- ---------------------------------------------------------------------------------------------------------------------
TOBACCO 9,000 Philip Morris Companies, Inc.......... 890,935 936,000 1.0
- ---------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 27,000 Carnival Corp. (Class A).............. 763,149 779,625 0.8
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS 41,409,907 48,033,557 49.3
- ---------------------------------------------------------------------------------------------------------------------
FACE
AMOUNT SHORT-TERM SECURITIES
- ---------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER* $ 3,100,000 Falcon Asset Securitization Corp.,
5.28% due 7/09/1996................... 3,094,999 3,094,999 3.2
541,000 General Electric Capital Corp., 5.56%
due 7/01/1996......................... 540,749 540,749 0.6
342,000 Sheffield Receivables Corp., 5.28% due
7/01/1996............................. 341,850 341,850 0.4
- ---------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & 3,000,000 Federal Home Loan Bank, 5.29% due
AGENCY OBLIGATIONS* 8/16/1996........................... 2,978,399 2,978,399 3.0
2,000,000 Federal National Mortgage Association,
5.28% due 7/26/1996................... 1,991,787 1,991,787 2.0
- ---------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 8,947,784 8,947,784 9.2
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS..................... $ 90,034,254 96,601,506 99.2
------------
------------
800,646 0.8
OTHER ASSETS LESS LIABILITIES.........
------------ ------
$ 97,402,152 100.0%
NET ASSETS............................
------------ ------
------------ ------
- ---------------------------------------------------------------------------------------------------------------------
</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.
+ Non-income producing security.
See Notes to Financial Statements.
11
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
SHARES VALUE (NOTE PERCENT OF NET
INDUSTRIES HELD US STOCKS & WARRANTS COST 1A) ASSETS
- ------------------------------------------------------------------------------------------------------------------------
AEROSPACE 50,000 Boeing Co. (The).......................... $ 3,271,273 $ 4,356,250 1.6%
45,000 Northrop Grumman Corp..................... 2,943,880 3,065,625 1.2
50,000 United Technologies Corp.................. 4,082,694 5,750,000 2.1
------------ ------------ ---
10,297,847 13,171,875 4.9
- ------------------------------------------------------------------------------------------------------------------------
AIRLINES 45,800 Delta Air Lines, Inc...................... 3,677,427 3,801,400 1.4
- ------------------------------------------------------------------------------------------------------------------------
AUTO & TRUCK 79,000 Ford Motor Co............................. 2,458,727 2,557,625 0.9
51,000 General Motors Corp....................... 2,875,508 2,671,125 1.0
------------ ------------ ---
5,334,235 5,228,750 1.9
- ------------------------------------------------------------------------------------------------------------------------
BANKING 98,000 Bank of New York Co., Inc................. 3,273,149 5,022,500 1.9
15,000 Bank of New York Co., Inc. (Warrants) (a) 168,750 611,250 0.2
45,000 Citicorp.................................. 3,282,385 3,718,125 1.4
------------ ------------ ---
6,724,284 9,351,875 3.5
- ------------------------------------------------------------------------------------------------------------------------
BEVERAGES 41,000 Coca-Cola Co.............................. 1,911,943 2,003,875 0.7
- ------------------------------------------------------------------------------------------------------------------------
CHEMICALS 82,000 PPG Industries, Inc....................... 4,069,924 3,997,500 1.5
- ------------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 77,000 +cisco Systems, Inc....................... 3,672,758 4,360,125 1.6
97,000 Electronic Data Systems Corp.............. 4,172,475 5,213,750 1.9
57,900 First Data Corp........................... 4,159,549 4,610,288 1.7
------------ ------------ ---
12,004,782 14,184,163 5.2
- ------------------------------------------------------------------------------------------------------------------------
COMPUTERS 35,000 International Business Machines Corp...... 3,842,997 3,465,000 1.3
23,400 +Sun Microsystems, Inc.................... 1,475,388 1,374,750 0.5
------------ ------------ ---
5,318,385 4,839,750 1.8
- ------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED 115,000 Corning Inc............................... 3,208,600 4,413,125 1.6
- ------------------------------------------------------------------------------------------------------------------------
ELECTRONICS 46,000 General Electric Co....................... 3,532,177 3,979,000 1.5
42,000 Intel Corp................................ 2,610,713 3,081,750 1.1
87,000 +Lexmark International Group, Inc. (Class
A)........................................ 1,849,416 1,750,875 0.7
------------ ------------ ---
7,992,306 8,811,625 3.3
- ------------------------------------------------------------------------------------------------------------------------
ENGINEERING & 78,000 Foster Wheeler Corp....................... 3,429,149 3,500,250 1.3
CONSTRUCTION
- ------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 100,000 +Viacom, Inc. (Class B)................... 4,219,465 3,887,500 1.4
- ------------------------------------------------------------------------------------------------------------------------
ENVIRONMENTAL 272,600 Wheelabrator Technologies Inc............. 4,011,559 4,157,150 1.5
CONTROL
- ------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 82,500 American Express Company.................. 3,835,746 3,681,563 1.4
3,000 +Associates First Capital Corp............ 87,000 112,875 0.0
------------ ------------ ---
3,922,746 3,794,438 1.4
- ------------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 100,000 Stanley Works Co.......................... 2,483,010 2,975,000 1.1
- ------------------------------------------------------------------------------------------------------------------------
HEALTHCARE 124,100 +Humana Inc............................... 2,573,064 2,218,287 0.8
- ------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 42,000 Procter & Gamble Co....................... 3,578,661 3,806,250 1.4
- ------------------------------------------------------------------------------------------------------------------------
INSURANCE 80,000 Aetna Life & Casualty Co.................. 4,664,235 5,720,000 2.1
95,000 Allstate Corp............................. 3,091,710 4,334,375 1.6
------------ ------------ ---
7,755,945 10,054,375 3.7
- ------------------------------------------------------------------------------------------------------------------------
MACHINERY 64,000 +American Standard Companies, Inc......... 2,088,535 2,112,000 0.8
221,400 Cincinnati Milacron, Inc.................. 5,518,299 5,313,600 2.0
84,000 Deere & Co................................ 3,494,795 3,360,000 1.2
------------ ------------ ---
11,101,629 10,785,600 4.0
- ------------------------------------------------------------------------------------------------------------------------
MEDICAL SUPPLIES 84,000 Baxter International, Inc................. 3,940,507 3,969,000 1.5
- ------------------------------------------------------------------------------------------------------------------------
NATURAL GAS 120,000 Enron Corp................................ 4,602,728 4,905,000 1.8
- ------------------------------------------------------------------------------------------------------------------------
OIL SERVICES 120,000 Dresser Industries, Inc................... 2,812,419 3,540,000 1.3
41,000 Schlumberger Ltd.......................... 3,465,117 3,454,250 1.3
------------ ------------ ---
6,277,536 6,994,250 2.6
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
12
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
SHARES VALUE (NOTE PERCENT OF NET
INDUSTRIES HELD US STOCKS & WARRANTS COST 1A) ASSETS
- ------------------------------------------------------------------------------------------------------------------------
PETROLEUM 79,400 Pennzoil Co............................... $ 3,187,715 $ 3,672,250 1.3%
28,700 Unocal Corp............................... 961,091 968,625 0.4
------------ ------------ ---
4,148,806 4,640,875 1.7
- ------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 120,000 Abbott Laboratories....................... 4,913,838 5,220,000 1.9
100,000 Merck & Co., Inc.......................... 6,022,360 6,462,500 2.4
------------ ------------ ---
10,936,198 11,682,500 4.3
- ------------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 50,700 Eastman Kodak Co.......................... 2,989,454 3,941,925 1.5
- ------------------------------------------------------------------------------------------------------------------------
RAILROADS 68,000 Conrail, Inc.............................. 4,843,076 4,513,500 1.7
- ------------------------------------------------------------------------------------------------------------------------
RETAIL 84,000 +AutoZone, Inc............................ 2,940,000 2,919,000 1.1
140,000 Limited, Inc. (The)....................... 3,121,622 3,010,000 1.1
120,000 Sears, Roebuck & Co....................... 4,648,049 5,835,000 2.1
------------ ------------ ---
10,709,671 11,764,000 4.3
- ------------------------------------------------------------------------------------------------------------------------
SCIENTIFIC 75,000 Fisher Scientific International, Inc...... 2,477,538 2,812,500 1.0
INSTRUMENTS
- ------------------------------------------------------------------------------------------------------------------------
SOFTWARE 15,000 +Microsoft Corp........................... 1,680,917 1,800,000 0.7
123,750 +Oracle Corp.............................. 4,045,628 4,872,656 1.8
------------ ------------ ---
5,726,545 6,672,656 2.5
- ------------------------------------------------------------------------------------------------------------------------
STEEL 74,800 AK Steel Holding Corp..................... 3,123,589 2,926,550 1.1
- ------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 60,000 AT&T Corp................................. 3,963,267 3,720,000 1.4
55,000 Bell Atlantic Corporation................. 3,457,791 3,506,250 1.3
45,400 Lucent Technologies, Inc.................. 1,461,975 1,719,525 0.6
------------ ------------ ---
8,883,033 8,945,775 3.3
- ------------------------------------------------------------------------------------------------------------------------
TOBACCO 38,000 Philip Morris Companies, Inc.............. 3,722,024 3,952,000 1.5
- ------------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 130,000 Carnival Corp. (Class A).................. 3,676,086 3,753,750 1.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS & WARRANTS 179,671,752 196,457,069 72.6
- ------------------------------------------------------------------------------------------------------------------------
COUNTRIES FOREIGN STOCKS+++
- ------------------------------------------------------------------------------------------------------------------------
ARGENTINA 50,000 Yacimientos Petroliferos Fiscales S.A.
(ADR)* (31)............................... 1,102,030 1,125,000 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ARGENTINA 1,102,030 1,125,000 0.4
- ------------------------------------------------------------------------------------------------------------------------
BRAZIL 2,000,000 Companhia Cervejaria Brahma S.A. PN
(Preferred) (4)........................... 1,125,685 1,193,227 0.5
20,000 Telecomunicacoes Brasileiras S.A.-Telebras
(ADR)* (21)............................... 1,093,835 1,392,500 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BRAZIL 2,219,520 2,585,727 1.0
- ------------------------------------------------------------------------------------------------------------------------
CANADA 61,400 Canadian Pacific, Ltd. (15)............... 1,256,871 1,350,800 0.5
28,800 Magna International Inc. (Class A) (ADR)*
(2)....................................... 1,165,234 1,324,800 0.5
3,800 Northern Telecommunications Ltd. (21)..... 206,416 206,625 0.0
19,500 Potash Corp. of Saskatchewan, Inc. (41)... 1,375,082 1,291,875 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 4,003,603 4,174,100 1.5
- ------------------------------------------------------------------------------------------------------------------------
FINLAND 70,000 Nokia Corp. (Sponsored)(ADR)* (6)......... 2,588,330 2,590,000 1.0
44,400 UPM-Kymmene OY (b) (42)................... 913,420 923,147 0.3
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 3,501,750 3,513,147 1.3
- ------------------------------------------------------------------------------------------------------------------------
FRANCE 45,000 Michelin (C.G.D.E.) S.A. (Class B) (46)... 1,873,841 2,200,583 0.8
130,000 Usinor-Sacilor S.A. (26).................. 2,161,024 1,876,093 0.7
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 4,034,865 4,076,676 1.5
- ------------------------------------------------------------------------------------------------------------------------
GERMANY 3,000 Henkel KGaA (Preferred) (5)............... 1,280,587 1,295,858 0.5
4,000 Mannesmann AG (43)........................ 1,396,476 1,383,300 0.5
4,000 SGL Carbon AG (5)......................... 407,098 468,113 0.1
24,000 Siemens AG (9)............................ 1,348,146 1,282,840 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 4,432,307 4,430,111 1.6
- ------------------------------------------------------------------------------------------------------------------------
HONG KONG 95,200 HSBC Holdings PLC (3)..................... 1,533,087 1,438,977 0.5
600,000 Hong Kong Telecommunications, Ltd. (ADR)*
(21)...................................... 1,062,716 1,077,450 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN HONG KONG 2,595,803 2,516,427 0.9
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
13
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
SHARES VALUE (NOTE PERCENT OF NET
COUNTRIES HELD FOREIGN STOCKS+++ COST 1A) ASSETS
- ------------------------------------------------------------------------------------------------------------------------
INDONESIA 31,600 PT Indonesian Satellite Corp.
(ADR)* (21)............................. $ 1,274,981 $ 1,058,600 0.4%
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 1,274,981 1,058,600 0.4
- ------------------------------------------------------------------------------------------------------------------------
ITALY 89,100 Danieli & Co. (43)........................ 350,452 317,134 0.1
230,000 Societa Finanziaria Telefonica S.p.A.
(STET) (21)............................. 717,560 778,083 0.3
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 1,068,012 1,095,217 0.4
- ------------------------------------------------------------------------------------------------------------------------
JAPAN 70,000 Canon, Inc. (9)........................... 1,284,444 1,457,002 0.5
84,000 Eisai Co. Ltd. (37)....................... 1,484,442 1,587,365 0.6
89,000 Matsushita Electric Industrial Co., Ltd.
(9) 1,411,321 1,657,477 0.6
200,000 Mitsubishi Electric Co. (8)............... 1,444,729 1,394,924 0.5
173,000 Mitsubishi Heavy Industries, Ltd. (9)..... 1,413,289 1,505,103 0.6
70,000 Nomura Securities Co., Ltd. (10).......... 1,389,864 1,367,537 0.5
25,000 Rohm Co., Ltd. (9)........................ 1,388,377 1,652,364 0.6
150,000 Tokio Marine & Fire Insurance Co., Ltd.
(13)...................................... 1,786,071 1,999,270 0.8
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 11,602,537 12,621,042 4.7
- ------------------------------------------------------------------------------------------------------------------------
MEXICO 80,000 +Grupo Carso, S.A. de C.V.
(ADR)* (15)++........................... 981,625 1,120,000 0.4
84,000 Kimberly-Clark de Mexico, S.A. de C.V.
(42)...................................... 1,427,915 1,532,725 0.6
30,000 Panamerican Beverages, Inc.
(Class A) (4)........................... 1,174,599 1,342,500 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 3,584,139 3,995,225 1.5
- ------------------------------------------------------------------------------------------------------------------------
NETHERLANDS 9,100 Royal Dutch Petroleum Co. N.V. (NY
Registered Shares) (31)................... 1,239,001 1,399,125 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE NETHERLANDS 1,239,001 1,399,125 0.5
- ------------------------------------------------------------------------------------------------------------------------
PHILIPPINES 385,000 San Miguel Corp. (Class B) (4)............ 1,338,245 1,332,409 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE PHILIPPINES 1,338,245 1,332,409 0.5
- ------------------------------------------------------------------------------------------------------------------------
SOUTH KOREA 76,300 +Hyundai Engineering & Construction Co.,
Ltd. (GDR)** (40)++..................... 994,189 953,750 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH KOREA 994,189 953,750 0.4
- ------------------------------------------------------------------------------------------------------------------------
SPAIN 40,000 Repsol S.A. (ADR)* (31)................... 1,316,132 1,390,000 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 1,316,132 1,390,000 0.5
- ------------------------------------------------------------------------------------------------------------------------
SWEDEN 79,800 Bure Investment Aktiebolaget (45)......... 686,090 732,882 0.3
68,700 Sparbanken Sverige AB (Class A) (3)....... 872,249 889,521 0.3
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 1,558,339 1,622,403 0.6
- ------------------------------------------------------------------------------------------------------------------------
SWITZERLAND 1,200 ABB AG (44)............................... 1,456,929 1,484,892 0.6
1,500 Sandoz AG (37)............................ 1,302,615 1,715,827 0.6
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWITZERLAND 2,759,544 3,200,719 1.2
- ------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 300,000 General Electric PLC (Ordinary) (9)....... 1,661,401 1,614,136 0.6
100,000 Imperial Chemical Industries PLC (16)..... 1,422,479 1,220,501 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE UNITED KINGDOM 3,083,880 2,834,637 1.0
- ------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 51,708,877 53,924,315 19.9
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
14
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1996 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
VALUE (NOTE PERCENT OF
FACE AMOUNT SHORT-TERM SECURITIES COST 1A) NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER*** $ 4,273,000 Associates Corp. of North America,
5.56% due 7/01/1996.................. $ 4,271,020 $ 4,271,020 1.6%
5,000,000 Dean Witter, Discover & Co., 5.28%
due 7/02/1996...................... 4,997,067 4,997,067 1.9
3,000,000 Morgan Stanley Group, Inc., 5.31%
due 7/22/1996...................... 2,989,380 2,989,380 1.1
8,000,000 Xerox Corp., 5.35% due 8/06/1996..... 7,953,633 7,953,633 2.9
- ---------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 20,211,100 20,211,100 7.5
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS.................... $ 251,591,729 270,592,484 100.0
-------------
-------------
102,760 0.0
OTHER ASSETS LESS LIABILITIES........
------------- ------
$ 270,695,244 100.0%
NET ASSETS...........................
------------- ------
------------- ------
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
(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) Name changed as a result of the merger of Kymmene Corporation and
Repola Ltd.
* American Depositary Receipts (ADR).
** Global Depositary Receipts (GDR).
*** 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 $2,074,000, representing 0.8% of
net assets.
<TABLE>
<S> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
ACQUISITION VALUE
ISSUE DATE COST (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------
Grupo Carso, S.A. de C.V. (ADR)........................................... 1/16/1995 $ 981,625 $ 1,120,000
Hyundai Engineering & Construction Co., Ltd. (GDR)........................ 3/19/1996 994,189 953,750
- ------------------------------------------------------------------------------------------------------------------
TOTAL $ 1,975,814 $ 2,073,750
----------- -----------
----------- -----------
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
+++ Corresponding industry groups for foreign stocks:
(1) Appliances
(2) Auto-Parts
(3) Banking
(4) Beverages
(5) Chemicals
(6) Telecommunications & 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) Automotive
(34) Leisure & Entertainment
(35) Office Equipment
(36) Industrial Services
(37) Pharmaceuticals
(38) Photography
(39) Commercial Design
(40) Engineering & Construction
(41) Mining
(42) Paper & Forest Products
(43) Machinery & Equipment
(44) Capital Goods
(45) Investment Management
(46) Tires & Rubber
See Notes to Financial Statements.
15
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
SHARES VALUE (NOTE PERCENT OF NET
INDUSTRIES HELD US STOCKS COST 1A) ASSETS
- -----------------------------------------------------------------------------------------------------------------------
AEROSPACE 30,000 Boeing Co. (The)...................... $ 2,439,108 $ 2,613,750 1.2%
22,100 Northrop Grumman Corp................. 1,445,687 1,505,563 0.7
16,600 United Technologies Corp.............. 1,005,542 1,909,000 0.8
------------ ------------ ---
4,890,337 6,028,313 2.7
- -----------------------------------------------------------------------------------------------------------------------
AIRLINES 35,500 Delta Air Lines, Inc.................. 2,827,561 2,946,500 1.3
- -----------------------------------------------------------------------------------------------------------------------
AUTO & TRUCK 38,000 Ford Motor Co......................... 1,022,091 1,230,250 0.5
25,000 General Motors Corp................... 1,409,585 1,309,375 0.6
------------ ------------ ---
2,431,676 2,539,625 1.1
- -----------------------------------------------------------------------------------------------------------------------
BANKING 38,000 Bank of New York, Inc................. 1,885,666 1,947,500 0.9
27,000 Citicorp.............................. 2,106,909 2,230,875 1.0
------------ ------------ ---
3,992,575 4,178,375 1.9
- -----------------------------------------------------------------------------------------------------------------------
BEVERAGES 20,000 Coca-Cola Co.......................... 932,647 977,500 0.4
- -----------------------------------------------------------------------------------------------------------------------
CHEMICALS 36,500 PPG Industries, Inc................... 1,811,564 1,779,375 0.8
- -----------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 51,000 +cisco Systems, Inc................... 2,288,749 2,887,875 1.3
34,000 Electronic Data Systems Corp.......... 1,851,388 1,827,500 0.8
36,200 First Data Corp....................... 2,562,134 2,882,425 1.3
------------ ------------ ---
6,702,271 7,597,800 3.4
- -----------------------------------------------------------------------------------------------------------------------
COMPUTERS 13,000 International Business Machines
Corp.................................. 1,428,647 1,287,000 0.6
10,900 +Sun Microsystems, Inc................ 687,263 640,375 0.3
------------ ------------ ---
2,115,910 1,927,375 0.9
- -----------------------------------------------------------------------------------------------------------------------
DIVERSIFIED 58,300 Corning, Inc.......................... 1,723,832 2,237,263 1.0
- -----------------------------------------------------------------------------------------------------------------------
ELECTRONICS 25,000 General Electric Co................... 1,947,127 2,162,500 0.9
29,500 Intel Corp............................ 1,872,846 2,164,563 1.0
24,300 +Lexmark International Group, Inc.
(Class A)............................. 516,606 489,038 0.2
------------ ------------ ---
4,336,579 4,816,101 2.1
- -----------------------------------------------------------------------------------------------------------------------
ENGINEERING & 44,000 Foster Wheeler Corp................... 1,936,178 1,974,500 0.9
CONSTRUCTION
- -----------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 22,000 +Viacom, Inc. (Class B)............... 915,192 855,250 0.4
- -----------------------------------------------------------------------------------------------------------------------
ENVIRONMENTAL 108,100 Wheelabrator Technologies Inc......... 1,958,514 1,648,525 0.7
CONTROL
- -----------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 59,500 American Express Company.............. 2,769,546 2,655,187 1.2
2,000 +Associates First Capital Corp........ 58,000 75,250 0.0
------------ ------------ ---
2,827,546 2,730,437 1.2
- -----------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 81,000 Stanley Works Co...................... 1,670,749 2,409,750 1.1
- -----------------------------------------------------------------------------------------------------------------------
HEALTHCARE 68,200 +Humana Inc........................... 1,674,608 1,219,075 0.5
- -----------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 16,000 Procter & Gamble Co................... 1,347,798 1,450,000 0.6
- -----------------------------------------------------------------------------------------------------------------------
INSURANCE 28,000 Aetna Life & Casualty Co.............. 2,099,052 2,002,000 0.9
44,000 Allstate Corp......................... 1,869,066 2,007,500 0.9
------------ ------------ ---
3,968,118 4,009,500 1.8
- -----------------------------------------------------------------------------------------------------------------------
MACHINERY 29,000 +American Standard Companies, Inc..... 946,413 957,000 0.4
37,300 Cincinnati Milacron, Inc.............. 939,573 895,200 0.4
60,000 Deere & Co............................ 2,498,630 2,400,000 1.1
------------ ------------ ---
4,384,616 4,252,200 1.9
- -----------------------------------------------------------------------------------------------------------------------
MEDICAL SUPPLIES 40,000 Baxter International, Inc............. 1,876,378 1,890,000 0.8
- -----------------------------------------------------------------------------------------------------------------------
NATURAL GAS 57,000 Enron Corp............................ 2,149,413 2,329,875 1.0
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
16
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
SHARES VALUE (NOTE PERCENT OF NET
INDUSTRIES HELD US STOCKS COST 1A) ASSETS
- -----------------------------------------------------------------------------------------------------------------------
OIL SERVICES 68,000 Dresser Industries, Inc............... $ 1,425,430 $ 2,006,000 0.9%
26,000 Schlumberger Ltd., Inc................ 1,732,343 2,190,500 1.0
------------ ------------ ---
3,157,773 4,196,500 1.9
- -----------------------------------------------------------------------------------------------------------------------
PETROLEUM 52,700 Pennzoil Co........................... 2,110,010 2,437,375 1.1
13,000 Unocal Corp........................... 435,337 438,750 0.2
------------ ------------ ---
2,545,347 2,876,125 1.3
- -----------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 59,000 Abbott Laboratories................... 1,930,362 2,566,500 1.1
42,000 Merck & Co., Inc...................... 1,449,465 2,714,250 1.2
------------ ------------ ---
3,379,827 5,280,750 2.3
- -----------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 22,700 Eastman Kodak Co...................... 1,025,843 1,764,925 0.8
- -----------------------------------------------------------------------------------------------------------------------
RAILROADS 13,000 Conrail, Inc.......................... 911,449 862,875 0.4
- -----------------------------------------------------------------------------------------------------------------------
RETAIL 40,000 +AutoZone, Inc........................ 1,400,000 1,390,000 0.6
63,000 Limited, Inc. (The)................... 1,404,711 1,354,500 0.6
42,000 Sears, Roebuck & Co................... 1,853,933 2,042,250 0.9
------------ ------------ ---
4,658,644 4,786,750 2.1
- -----------------------------------------------------------------------------------------------------------------------
SCIENTIFIC 40,000 Fisher Scientific International,
INSTRUMENTS Inc................................... 1,234,274 1,500,000 0.7
- -----------------------------------------------------------------------------------------------------------------------
SOFTWARE 8,000 +Microsoft Corp....................... 896,489 960,000 0.4
54,750 +Oracle Corp.......................... 1,768,004 2,155,781 0.9
------------ ------------ ---
2,664,493 3,115,781 1.3
- -----------------------------------------------------------------------------------------------------------------------
STEEL 35,300 AK Steel Holding Corp................. 1,474,353 1,381,112 0.6
- -----------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 32,000 AT&T Corp............................. 1,689,860 1,984,000 0.9
17,000 Bell Atlantic Corporation............. 923,440 1,083,750 0.5
7,700 Lucent Technologies, Inc.............. 207,900 291,637 0.1
------------ ------------ ---
2,821,200 3,359,387 1.5
- -----------------------------------------------------------------------------------------------------------------------
TOBACCO 15,000 Philip Morris Companies, Inc.......... 1,484,785 1,560,000 0.7
- -----------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 50,000 Carnival Corp. (Class A).............. 1,413,255 1,443,750 0.6
- -----------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS 83,245,305 91,925,294 40.7
- -----------------------------------------------------------------------------------------------------------------------
COUNTRIES FOREIGN STOCKS+++
- -----------------------------------------------------------------------------------------------------------------------
ARGENTINA 80,285 Banco de Galicia y Buenos Aires S.A.
(ADR)* (4)............................ 1,531,620 2,057,303 0.9
54,150 Banco Frances del Rio de la Plata S.A.
(ADR)* (5)............................ 1,265,591 1,556,812 0.7
90,000 Yaciementos Petroliferos Fiscales S.A.
(ADR)* (29)........................... 2,029,393 2,025,000 0.9
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ARGENTINA 4,826,604 5,639,115 2.5
- -----------------------------------------------------------------------------------------------------------------------
BRAZIL 2,500,000 Companhia Cervejaria Brahma S.A. PN
(Preferred) (14)...................... 1,406,931 1,491,534 0.7
30,000 Telecomunicacoes Brasileiras S.A.-
Telebras (ADR)* (35).................. 1,613,301 2,088,750 0.9
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BRAZIL 3,020,232 3,580,284 1.6
- -----------------------------------------------------------------------------------------------------------------------
CANADA 85,000 Canadian Pacific, Ltd. (25)........... 1,473,190 1,870,000 0.8
45,000 Magna International Inc.
(Class A) (2)....................... 2,019,240 2,070,000 0.9
35,000 Northern Telecommunications Ltd.
(35).................................. 1,104,322 1,903,125 0.9
26,900 Potash Corp. of Saskatchewan, Inc.
(44).................................. 1,899,766 1,782,125 0.8
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 6,496,518 7,625,250 3.4
- -----------------------------------------------------------------------------------------------------------------------
FINLAND 50,000 Finnlines OY (50)..................... 923,284 1,001,874 0.4
61,000 Nokia Corp. (Sponsored)
(ADR)* (45)......................... 2,180,649 2,257,000 1.0
66,600 UPM-Kymmene OY (a) (46)............... 1,370,130 1,384,720 0.6
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 4,474,063 4,643,594 2.0
- -----------------------------------------------------------------------------------------------------------------------
FRANCE 35,000 Michelin (C.G.D.E.) S.A. (Class B)
(18) 1,555,978 1,711,565 0.8
100,000 Usinor-Sacilor S.A. (22).............. 1,627,128 1,443,149 0.6
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 3,183,106 3,154,714 1.4
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
17
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
SHARES VALUE (NOTE PERCENT OF NET
COUNTRIES HELD FOREIGN STOCKS+++ COST 1A) ASSETS
- -----------------------------------------------------------------------------------------------------------------------
GERMANY 4,000 Henkel KGaA (Preferred) (11).......... $ 1,707,552 $ 1,727,811 0.8%
4,600 Mannesmann AG (21).................... 1,088,211 1,590,796 0.7
6,000 SGL Carbon AG (11).................... 610,647 702,170 0.3
30,000 Siemens AG (13)....................... 1,331,145 1,603,550 0.7
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 4,737,555 5,624,327 2.5
- -----------------------------------------------------------------------------------------------------------------------
HONG KONG 1,168,000 Hong Kong Telecommunications,
Ltd. (35)........................... 2,074,055 2,097,436 0.9
112,800 HSBC Holdings PLC (4)................. 1,767,488 1,705,006 0.8
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN HONG KONG 3,841,543 3,802,442 1.7
- -----------------------------------------------------------------------------------------------------------------------
INDONESIA 54,250 PT Indonesian Satellite Corp.
(ADR)* (35)......................... 2,000,968 1,817,375 0.8
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 2,000,968 1,817,375 0.8
- -----------------------------------------------------------------------------------------------------------------------
ITALY 431,000 Danieli & Co. (21).................... 1,590,085 1,534,058 0.7
554,000 Societa Finanziara Telefonica S.p.A.
(STET) (35)........................... 1,581,727 1,874,164 0.8
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 3,171,812 3,408,222 1.5
- -----------------------------------------------------------------------------------------------------------------------
JAPAN 77,000 Canon, Inc. (13)...................... 1,200,443 1,602,702 0.7
84,000 Eisai Co. Ltd. (30)................... 1,558,026 1,587,365 0.7
165,000 Maeda Corp. (6)....................... 1,668,260 1,641,866 0.7
107,000 Matsushita Electric Industrial Co.,
Ltd. (13)........................... 1,712,944 1,992,697 0.9
225,000 Mitsubishi Electric Corp. (12)........ 1,472,559 1,569,290 0.7
180,000 Mitsubishi Heavy Industries, Ltd. (13) 1,018,102 1,566,003 0.7
245,000 Mitsui-Soko Co., Ltd. (51)............ 2,105,369 2,214,260 1.0
81,000 Nomura Securities Co., Ltd. (43)...... 1,661,741 1,582,436 0.7
187,000 Okumura Corp. (6)..................... 1,557,500 1,563,739 0.7
25,000 Rohm Co. Ltd. (13).................... 1,354,967 1,652,364 0.7
83,000 Sanwa Bank, Ltd. (5).................. 1,672,858 1,538,160 0.7
120,000 Tokio Marine and Fire Insurance Co.,
Ltd. (19)............................. 1,536,571 1,599,416 0.7
229,000 Toray Industries, Ltd. (36)........... 1,622,783 1,580,464 0.7
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 20,142,123 21,690,762 9.6
- -----------------------------------------------------------------------------------------------------------------------
MEXICO 105,000 +Grupo Carso, S.A. de C.V.
(ADR)* (25)++....................... 1,670,406 1,470,000 0.7
85,000 Kimberly-Clark de Mexico, S.A.
de C.V. (46)........................ 1,525,910 1,550,972 0.7
36,300 Panamerican Beverages, Inc.
(Class A) (14)...................... 1,445,007 1,624,425 0.7
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 4,641,323 4,645,397 2.1
- -----------------------------------------------------------------------------------------------------------------------
NETHERLANDS 13,400 Royal Dutch Petroleum Co., N.V. (NY
Registered Shares) (29)............... 1,676,529 2,060,250 0.9
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE NETHERLANDS 1,676,529 2,060,250 0.9
- -----------------------------------------------------------------------------------------------------------------------
PHILIPPINES 533,500 San Miguel Corp. (Class B) (14)....... 1,764,310 1,846,338 0.8
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE PHILIPPINES 1,764,310 1,846,338 0.8
- -----------------------------------------------------------------------------------------------------------------------
SOUTH KOREA 43,400 +Hyundai Engineering & Construction
Co., Ltd. (GDR)** (48)++............ 565,502 542,500 0.2
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH KOREA 565,502 542,500 0.2
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
18
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
SHARES VALUE (NOTE PERCENT OF NET
COUNTRIES HELD FOREIGN STOCKS+++ COST 1A) ASSETS
- -----------------------------------------------------------------------------------------------------------------------
SPAIN 58,300 Repsol S.A. (ADR)* (29)............... $ 1,720,869 $ 2,025,925 0.9%
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 1,720,869 2,025,925 0.9
- -----------------------------------------------------------------------------------------------------------------------
SWEDEN 115,900 Bure Investment Aktiebolaget (49)..... 995,673 1,064,423 0.5
103,100 Sparbanken Sverige AB
(Class A) (4)....................... 1,309,150 1,334,929 0.6
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 2,304,823 2,399,352 1.1
- -----------------------------------------------------------------------------------------------------------------------
SWITZERLAND 1,380 ABB AG (9)............................ 1,008,872 1,707,626 0.7
1,500 Sandoz AG (Registered) (30)........... 1,392,127 1,715,827 0.8
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWITZERLAND 2,400,999 3,423,453 1.5
- -----------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 301,000 General Electric PLC (13)............. 1,438,558 1,619,516 0.7
119,000 Imperial Chemical Industries
PLC (28)............................ 1,571,319 1,452,396 0.7
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE UNITED
KINGDOM 3,009,877 3,071,912 1.4
- -----------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 73,978,756 81,001,212 35.9
- -----------------------------------------------------------------------------------------------------------------------
FACE
AMOUNT*** FOREIGN BONDS+++
- -----------------------------------------------------------------------------------------------------------------------
GERMANY DM 23,000,000 Bundes Obligation, 5.875% due
5/15/2000 (16)........................ 15,497,390 15,473,964 6.9
11,000,000 Bundes Republik Deutschland, 7.125%
due 12/20/2002 (16)................... 7,639,288 7,645,759 3.4
------------ ------------ ---
23,136,678 23,119,723 10.3
- -----------------------------------------------------------------------------------------------------------------------
ITALY Buoni Poliennali del Tesoro (Italian
Government Bonds) (16):
Lit 3,500,000,000 9.50% due 2/01/1999................... 2,238,294 2,347,734 1.0
9,050,000,000 9.50% due 2/01/2001................... 5,927,087 6,101,894 2.7
------------ ------------ ---
8,165,381 8,449,628 3.7
- -----------------------------------------------------------------------------------------------------------------------
SPAIN Government of Spain (16):
Esp 210,000,000 7.40% due 7/30/1999................... 1,626,480 1,627,246 0.7
220,000,000 8.40% due 4/30/2001................... 1,713,995 1,738,811 0.8
------------ ------------ ---
3,340,475 3,366,057 1.5
- -----------------------------------------------------------------------------------------------------------------------
SWEDEN Government of Sweden (16):
Skr 55,000,000 11% due 1/21/1999..................... 9,098,608 9,117,811 4.1
10,000,000 10.25% due 5/05/2000.................. 1,635,739 1,663,204 0.7
------------ ------------ ---
10,734,347 10,781,015 4.8
- -----------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN BONDS 45,376,881 45,716,423 20.3
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
19
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1996 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
FACE VALUE (NOTE PERCENT OF
AMOUNT SHORT-TERM SECURITIES COST 1A) NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & Federal National Mortgage
AGENCY Association:
OBLIGATIONS**** $ 305,000 5.24% due 7/09/1996 $ 304,556 $ 304,556 0.2%
4,355,000 5.28% due 7/22/1996 4,340,309 4,340,309 1.9
- --------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 4,644,865 4,644,865 2.1
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS................ $ 207,245,807 223,287,794 99.0
--------------
--------------
2,313,554 1.0
OTHER ASSETS LESS LIABILITIES....
-------------- ------
$ 225,601,348 100.0%
NET ASSETS.......................
--------------
-------------- ------
------
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
* American Depositary Receipts (ADR).
** Global Depositary Receipts (GDR).
*** Denominated in US dollars unless otherwise indicated.
**** 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) Name changed as a result of the merger of Kymmene Corporation and Repola
Ltd.
+ Non-income producing security.
++ Restricted securities as to resale. The value of the Portfolio's investment
in restricted securities was approximately $2,013,000, representing 0.9% of
net assets.
<TABLE>
<S> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
VALUE
ISSUE ACQUISITION DATE(S) COST (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------
Grupo Carso, S.A. de C.V. (ADR)................................ 4/1/1996-4/3/1996 $ 1,670,406 $ 1,470,000
Hyundai Engineering & Construction Co., Ltd. (GDR)............. 3/19/1996 565,502 542,500
- ------------------------------------------------------------------------------------------------------------------
TOTAL $ 2,235,908 $ 2,012,500
----------- -----------
----------- -----------
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
+++ Corresponding industry groups for foreign stocks:
(1) Apparel
(2) Auto-Parts
(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) Beverages
(15) Food
(16) Government (Bonds)
(17) Glass
(18) Tires & Rubber
(19) Insurance
(20) Machinery
(21) Machinery & Equipment
(22) Metals
(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 Stores
(34) Shipping
(35) Telecommunications
(36) Textiles
(37) Toys
(38) Trading
(39) Trucking
(40) Utilities
(41) Utilities-Electric
(42) Utilities-Water
(43) Financial Services
(44) Mining
(45) Telecommunication &
Equipment
(46) Paper & Forest Products
(47) Photography
(48) Engineering & Construction
(49) Investment Management
(50) Transportation
(51) Warehouse & Storage
See Notes to Financial Statements.
20
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
SHARES VALUE (NOTE PERCENT OF NET
INDUSTRIES HELD STOCKS COST 1A) ASSETS
- -----------------------------------------------------------------------------------------------------------------------
ADVERTISING 100,000 Interpublic Group of Companies, Inc. $ 3,739,766 $ 4,687,500 2.1%
- -----------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE 40,000 Ek Chor China Motorcycle Co., Ltd..... 894,381 540,000 0.2
- -----------------------------------------------------------------------------------------------------------------------
BANKING 100,000 State Street Boston Corp.............. 4,889,340 5,100,000 2.3
25,000 Wells Fargo & Company................. 6,175,537 5,971,875 2.7
------------ ------------ ---
11,064,877 11,071,875 5.0
- -----------------------------------------------------------------------------------------------------------------------
BEVERAGES 110,000 Coca-Cola Co.......................... 3,336,725 5,376,250 2.5
220,000 PepsiCo., Inc......................... 4,676,184 7,782,500 3.5
------------ ------------ ---
8,012,909 13,158,750 6.0
- -----------------------------------------------------------------------------------------------------------------------
CHEMICAL PRODUCERS 20,000 Duracell International, Inc........... 929,540 862,500 0.4
- -----------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS 20,000 +Nextel Communications, Inc. (Class
A) ................................... 905,000 380,000 0.2
- -----------------------------------------------------------------------------------------------------------------------
COMPUTERS 25,000 +Compaq Computer Corp................. 1,220,975 1,231,250 0.6
- -----------------------------------------------------------------------------------------------------------------------
COSMETICS 125,000 Gillette Co. (The).................... 5,147,421 7,796,875 3.5
10,000 International Flavors & Fragrances,
Inc................................... 485,470 476,250 0.2
------------ ------------ ---
5,632,891 8,273,125 3.7
- -----------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 10,000 Emerson Electric Co................... 658,040 903,750 0.4
70,000 General Electric Co................... 4,792,949 6,055,000 2.7
------------ ------------ ---
5,450,989 6,958,750 3.1
- -----------------------------------------------------------------------------------------------------------------------
ELECTRONICS 15,000 Intel Corp............................ 906,803 1,100,625 0.5
- -----------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 100,000 +Viacom, Inc.......................... 5,086,797 3,812,500 1.8
50,000 Walt Disney Co........................ 3,020,500 3,143,750 1.4
------------ ------------ ---
8,107,297 6,956,250 3.2
- -----------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 200,000 Federal National Mortgage
Association........................... 6,269,261 6,700,000 3.0
180,000 Travelers Corp........................ 5,565,828 8,212,500 3.7
------------ ------------ ---
11,835,089 14,912,500 6.7
- -----------------------------------------------------------------------------------------------------------------------
FOOD 75,000 ConAgra, Inc.......................... 3,219,938 3,403,125 1.6
200,000 Sara Lee Corporation.................. 6,615,499 6,475,000 2.9
10,000 Wrigley (Wm.) Jr. Company (Class
B) ................................. 426,440 505,000 0.2
------------ ------------ ---
10,261,877 10,383,125 4.7
- -----------------------------------------------------------------------------------------------------------------------
FOOD MERCHANDISING 20,000 Albertson's Inc....................... 615,126 827,500 0.4
- -----------------------------------------------------------------------------------------------------------------------
HOTELS 50,000 Marriott International, Inc........... 2,098,265 2,687,500 1.2
- -----------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES 100,000 Rubbermaid, Inc....................... 2,944,159 2,725,000 1.2
- -----------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 10,000 Colgate-Palmolive Co.................. 696,898 847,500 0.4
50,000 Kimberly-Clark Corp................... 3,917,033 3,862,500 1.8
85,000 Procter & Gamble Co................... 5,887,592 7,703,125 3.5
------------ ------------ ---
10,501,523 12,413,125 5.7
- -----------------------------------------------------------------------------------------------------------------------
INFORMATION SERVICES 50,000 Electronic Data Systems Corp.......... 2,503,080 2,687,500 1.2
100,000 First Data Corp....................... 4,444,332 7,962,500 3.6
------------ ------------ ---
6,947,412 10,650,000 4.8
- -----------------------------------------------------------------------------------------------------------------------
INSURANCE 40,000 Aetna Life & Casualty Co.............. 2,840,476 2,860,000 1.3
25,000 American International Group, Inc..... 2,074,962 2,465,625 1.1
89,500 +Travelers/Aetna Property Casualty
Corp. (Class A)....................... 2,237,500 2,539,563 1.2
------------ ------------ ---
7,152,938 7,865,188 3.6
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
21
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of June 30, 1996 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
SHARES VALUE (NOTE PERCENT OF
INDUSTRIES HELD STOCKS COST 1A) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------
LEISURE 100,000 PolyGram N.V. (ADR)*..................... $ 4,807,631 $ 5,862,500 2.7%
- ------------------------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 170,000 Johnson & Johnson........................ 6,279,399 8,415,000 3.8
- ------------------------------------------------------------------------------------------------------------------------
NATURAL GAS 100,000 Enron Corp............................... 3,806,500 4,087,500 1.9
- ------------------------------------------------------------------------------------------------------------------------
OIL SERVICES 20,000 Schlumberger Ltd., Inc................... 1,707,480 1,685,000 0.8
- ------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 120,000 Amgen, Inc............................... 4,227,242 6,450,000 2.9
120,000 Merck & Co., Inc......................... 6,529,704 7,755,000 3.5
100,000 Pfizer, Inc.............................. 3,622,776 7,137,500 3.3
165,000 Pharmacia & Upjohn Inc. (ADR)*........... 4,902,245 7,321,875 3.3
110,000 Schering-Plough Corp..................... 5,723,607 6,902,500 3.1
150,000 SmithKline Beecham PLC (ADR)*............ 7,759,567 8,156,250 3.7
------------ ------------ ------
32,765,141 43,723,125 19.8
- ------------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 25,000 Eastman Kodak Co......................... 1,567,035 1,943,750 0.9
- ------------------------------------------------------------------------------------------------------------------------
POLLUTION CONTROL 35,000 WMX Technologies, Inc.................... 1,034,554 1,146,250 0.5
- ------------------------------------------------------------------------------------------------------------------------
RESTAURANTS 10,000 McDonald's Corp.......................... 335,600 467,500 0.2
- ------------------------------------------------------------------------------------------------------------------------
RETAIL--SPECIALTY 25,000 +Staples Inc............................. 397,917 484,375 0.2
- ------------------------------------------------------------------------------------------------------------------------
RETAIL--STORES 100,000 Wal-Mart Stores, Inc..................... 2,258,504 2,537,500 1.1
- ------------------------------------------------------------------------------------------------------------------------
SOFTWARE--COMPUTER 120,000 +Compuserve Corp......................... 3,567,430 2,520,000 1.1
110,000 Computer Associates International,
Inc...................................... 7,154,537 7,837,500 3.6
15,000 +Microsoft Corp.......................... 1,334,375 1,800,000 0.8
200,000 +Oracle Corp. (a)........................ 6,437,365 7,875,000 3.6
------------ ------------ ------
18,493,707 20,032,500 9.1
- ------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 70,000 MCI Communications Corp.................. 1,857,500 1,785,000 0.8
- ------------------------------------------------------------------------------------------------------------------------
TOYS 100,000 Hasbro, Inc.............................. 3,851,771 3,575,000 1.6
- ------------------------------------------------------------------------------------------------------------------------
TRAVEL AND LODGING 45,000 Carnival Corp. (Class A)................. 1,005,771 1,299,375 0.6
- ------------------------------------------------------------------------------------------------------------------------
UTILITIES--ELECTRIC 40,000 +AES China Generating Co. Ltd............ 643,500 420,000 0.2
- ------------------------------------------------------------------------------------------------------------------------
TOTAL STOCKS 180,033,827 215,148,938 97.5
- ------------------------------------------------------------------------------------------------------------------------
FACE AMOUNT SHORT-TERM SECURITIES
- ------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER** $ 6,720,000 Associates Corp. of North America, 5.56%
due 7/01/1996............................ 6,716,886 6,716,886 3.0
- ------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 6,716,886 6,716,886 3.0
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS........................ $186,750,713 221,865,824 100.5
------------
------------
(1,148,630) (0.5)
LIABILITIES IN EXCESS OF OTHER ASSETS....
------------ ------
$220,717,194 100.0%
NET ASSETS...............................
------------
------------ ------
------
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Formerly Oracle Systems Corp.
* American Depositary Receipts (ADR).
** 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.
See Notes to Financial Statements.
22
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
MOODY'S VALUE (NOTE
INDUSTRIES S&P RATINGS RATINGS FACE AMOUNT ISSUE COST 1A)
- -------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
- -------------------------------------------------------------------------------------------------------------------------
AIRLINES--0.7% BB- B1 $ 750,000 USAir, Inc., 10.375% due
3/01/2013...................... $ 750,000 $ 750,938
- -------------------------------------------------------------------------------------------------------------------------
BROADCASTING & BB Ba3 1,000,000 +Grupo Televisa S.A., 11.375%
PUBLISHING--4.3% due 5/15/2003................ 1,010,000 1,010,000
BB- B1 1,000,000 Hollinger International, Inc.,
9.25% due 2/01/2006............ 956,250 915,000
B Caa 2,000,000 NWCG Holding Corp., 13.947%**
due 6/15/1999.................. 1,339,318 1,465,000
B+ B3 1,000,000 Sinclair Broadcasting Group
Inc., 10% due 12/15/2003..... 935,000 955,000
------------ ------------
4,240,568 4,345,000
- -------------------------------------------------------------------------------------------------------------------------
BROADCASTING/ CCC+ Caa 75,790 American Telecasting, Inc.,
CABLE--3.1% 17.631%** due 6/15/2004...... 40,924 53,811
BB- B2 1,850,000 Bell Cablemedia PLC, 11.875%**
due 9/15/2005.................. 1,137,690 1,123,875
BB+ Ba3 1,000,000 Lenfest Communications, 8.375%
due 11/01/2005................. 931,250 912,500
BB+ Ba3 1,000,000 Videotron Holdings PLC, 10.625%
due 2/15/2005.................. 1,023,750 1,045,000
------------ ------------
3,133,614 3,135,186
- -------------------------------------------------------------------------------------------------------------------------
BUILDING MATERIALS-- B+ B3 1,500,000 Pacific Lumber Co., 10.50% due
1.4% 3/01/2003.................... 1,450,313 1,455,000
- -------------------------------------------------------------------------------------------------------------------------
CAPITAL GOODS-- 1.5% B- B3 1,500,000 International Wire Group, Inc.,
11.75% due 6/01/2005......... 1,486,875 1,488,750
- -------------------------------------------------------------------------------------------------------------------------
CHEMICALS--1.3% G-I Holdings, Inc.:
B+ Ba3 781,000 11.15%** due 10/01/1998........ 610,972 626,753
B+ Ba3 744,000 +10% due 2/15/2006............. 770,040 732,840
------------ ------------
1,381,012 1,359,593
- -------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS-- B- B3 2,000,000 +Millicom International
8.3% Cellular S.A., 13.116%**
due 6/01/2006................ 1,084,009 1,065,000
CCC+ B3 2,000,000 Nextel Communications, Inc.,
14.085%** due 8/15/2004........ 1,166,011 1,175,000
B B3 1,000,000 PanAmSat L.P., 12.301%** due
8/01/2003...................... 752,028 870,000
BB- B2 1,000,000 Rogers Communications Inc.,
10.875% due 4/15/2004.......... 1,007,500 1,017,500
BB- B1 1,000,000 Telecom Argentina S.A., 8.375%
due 10/18/2000................. 825,000 961,250
BB- B1 2,000,000 Telefonica de Argentina S.A.,
11.875% due 11/01/2004......... 1,978,830 2,160,000
BB B1 2,000,000 TeleWest Communications PLC,
11.489%** due 10/01/2007....... 1,216,212 1,180,000
------------ ------------
8,029,590 8,428,750
- -------------------------------------------------------------------------------------------------------------------------
COMPUTER B- B3 1,000,000 Dictaphone Corp., 11.75% due
SERVICES--0.9% 8/01/2005.................... 968,750 965,000
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
23
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
MOODY'S VALUE (NOTE
INDUSTRIES S&P RATINGS RATINGS FACE AMOUNT ISSUE COST 1A)
- -------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
- -------------------------------------------------------------------------------------------------------------------------
CONGLOMERATES-- 7.7% BB- B3 $ 2,000,000 Coltec Industries Inc., 10.25%
due 4/01/2002................ $ 2,060,000 $ 2,030,000
CCC+ B3 1,000,000 Interlake Corp., 12.125% due
3/01/2002...................... 941,625 1,000,000
B+ B2 1,000,000 J.B. Poindexter & Co., Inc.,
12.50% due 5/15/2004........... 955,000 842,500
NR* NR* 1,000,000 MacAndrew & Forbes Group, Inc.,
13% due 3/01/1999.............. 995,000 981,250
B+ B3 1,000,000 Sequa Corp., 9.375% due
12/15/2003..................... 1,030,938 960,000
BB- B1 2,000,000 Viridian, Inc., 9.75% due
4/01/2003...................... 1,946,250 2,055,000
------------ ------------
7,928,813 7,868,750
- -------------------------------------------------------------------------------------------------------------------------
CONSUMER B NR* 1,500,000 Coleman Holdings, Inc.,
PRODUCTS--6.9% 11.981%** due 5/27/1998...... 1,012,500 1,254,375
B+ Ba3 500,000 Coty Inc., 10.25% due
5/01/2005...................... 500,000 524,375
B+ Ba2 1,900,000 International Semi-Tech
Microelectronics, Inc.,
12.792%** due 8/15/2003........ 1,102,282 1,087,750
B- B2 683,000 Polymer Group Inc., 12.25% due
7/15/2002...................... 683,000 737,640
B- B3 2,000,000 Samsonite Corp., 11.125% due
7/15/2005...................... 1,935,625 2,030,000
B+ B1 1,400,000 Sealy Corp., 9.50% due
5/01/2003...................... 1,424,500 1,358,000
------------ ------------
6,657,907 6,992,140
- -------------------------------------------------------------------------------------------------------------------------
ENERGY--6.0% BB- Ba3 500,000 California Energy Company,
Inc., 9.875% due 6/30/2003... 500,000 510,000
B+ B1 2,000,000 Clark R & M Holdings, Inc.,
11.016%** due 2/15/2000........ 1,356,670 1,372,500
BB B1 850,000 Gulf Canada Resources Ltd., 9%
due 8/15/1999.................. 789,281 850,000
NR* B3 460,000 Tesoro Petroleum Corp., 12.75%
due 3/15/2001.................. 419,097 465,750
B- Caa 1,700,000 Transamerica Refining Corp.,
19.571%** due 2/15/2002........ 1,223,601 1,062,500
BB+ B2 1,000,000 TransTexas Gas Corp., 11.50%
due 6/15/2002.................. 1,000,000 995,000
BB- B1 1,000,000 Yacimientos Petroliferos
Fiscales S.A., 8% due
2/15/2004...................... 710,000 886,250
------------ ------------
5,998,649 6,142,000
- -------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT-- 1.9% B Caa 2,000,000 Marvel Holdings Inc., 9.125%
due 2/15/1998................ 1,797,500 1,890,000
- -------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES-- BB- B1 1,500,000 Reliance Group Holdings Inc.,
1.5% 9.75% due 11/15/2003......... 1,449,375 1,473,750
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
24
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
MOODY'S VALUE (NOTE
INDUSTRIES S&P RATINGS RATINGS FACE AMOUNT ISSUE COST 1A)
- -------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
- -------------------------------------------------------------------------------------------------------------------------
FOOD & BEVERAGE-- B+ B1 $ 2,000,000 Chiquita Brands International,
6.0% 9.125% due 3/01/2004......... $ 2,001,250 $ 1,940,000
NR* NR* 476,000 Cumberland Farms, Inc., 10.50%
due 10/01/2003................. 465,885 449,820
CCC+ Caa 1,000,000 Del Monte Corp., 10% due
5/01/2003...................... 976,250 930,000
B- B2 1,000,000 Envirodyne Industries Inc.,
10.25% due 12/01/2001.......... 1,018,750 855,000
B- B3 2,000,000 Specialty Foods Corp., 11.125%
due 10/01/2002................. 1,990,000 1,900,000
------------ ------------
6,452,135 6,074,820
- -------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BB- B1 1,500,000 Republic of Argentina, 8.375%
OBLIGATIONS--1.3% due 12/20/2003............... 1,128,750 1,305,000
- -------------------------------------------------------------------------------------------------------------------------
GAMING--5.2% BB B1 1,000,000 Bally's Park Place Funding
Corp., 9.25% due 3/15/2004 920,000 1,063,750
D NR* 635,000 Goldriver Hotel & Casino Corp.,
13.375% due 8/31/1999 (d) 790,072 346,075
B+ B2 1,000,000 Greate Bay Properties, Inc.,
10.875% due 1/15/2004.......... 845,000 900,000
D Caa 2,000,000 Harrah's Jazz Company, 14.25%
due 11/15/2001................. 1,971,250 1,000,000
B+ B2 1,000,000 Hollywood Casino Corp., 12.75%
due 11/01/2003................. 926,714 1,000,000
BB- B1 1,000,000 Trump Atlantic City, 11.25%
due 5/01/2006................ 1,008,750 1,005,000
------------ ------------
6,461,786 5,314,825
- -------------------------------------------------------------------------------------------------------------------------
HEALTHCARE--0.9% B+ B1 1,000,000 Beverly Enterprises, Inc., 9%
due 2/15/2006.................. 933,750 925,000
- -------------------------------------------------------------------------------------------------------------------------
HOTELS--2.7% BB- Ba3 2,000,000 +HMC Acquisition Properties, 9%
due 12/15/2007................. 2,000,000 1,820,000
BB- B1 1,000,000 John Q. Hammons Hotel, Inc.,
8.875% due 2/15/2004........... 887,500 935,000
------------ ------------
2,887,500 2,755,000
- -------------------------------------------------------------------------------------------------------------------------
METAL & MINING-- B- B2 1,000,000 Kaiser Aluminum Corp., 12.75%
2.3% due 2/01/2003................ 1,045,000 1,055,000
B- B3 1,750,000 Maxxam Group, Inc., 12.25%**
due 8/01/2003.................. 1,364,421 1,242,500
------------ ------------
2,409,421 2,297,500
- -------------------------------------------------------------------------------------------------------------------------
PACKAGING--3.4% CCC- Ca 2,000,000 Anchor Glass Container Co.,
9.875% due 12/15/2008.......... 1,736,875 900,000
B+ B2 1,500,000 Owens-Illinois, Inc., 9.95% due
10/15/2004..................... 1,488,750 1,503,750
B B2 1,000,000 Portola Packaging Inc., 10.75%
due 10/01/2005................. 1,000,000 1,017,500
------------ ------------
4,225,625 3,421,250
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
25
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
MOODY'S VALUE (NOTE
INDUSTRIES S&P RATINGS RATINGS FACE AMOUNT ISSUE COST 1A)
- -------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
- -------------------------------------------------------------------------------------------------------------------------
PAPER--6.1% BB Ba3 $ 1,000,000 Applied International Finance,
11.75% due 10/01/2005.......... $ 987,500 $ 1,025,000
B B3 1,000,000 Crown Paper Co., 11% due
9/01/2005...................... 923,750 952,500
BB- Ba3 1,000,000 Doman Industries Ltd., 8.75%
due 3/15/2004.................. 919,000 900,000
B B2 1,000,000 Fort Howard Corp., 9% due
2/01/2006...................... 930,000 960,000
B+ B2 1,000,000 Repap New Brunswick, Inc.,
10.625% due 4/15/2005.......... 1,008,750 940,000
B+ B1 1,000,000 Repap Wisconsin Finance, Inc.,
9.25% due 2/01/2002............ 900,000 935,000
NR* NR* 500,000 S.D. Warren Co., 12% due
12/15/2004..................... 500,000 527,500
------------ ------------
6,169,000 6,240,000
- -------------------------------------------------------------------------------------------------------------------------
REAL ESTATE--1.2% NR* NR* 2,000,000 Rockefeller Center Properties,
Inc., (Convertible) 11.04%**
due 12/31/2000................. 1,247,917 1,200,000
- -------------------------------------------------------------------------------------------------------------------------
RESTAURANTS--0.7% CCC+ Caa 1,000,000 Flagstar Corp., 11.375% due
9/15/2003...................... 935,000 670,000
- -------------------------------------------------------------------------------------------------------------------------
RETAIL SPECIALTY-- D Caa 1,000,000 Bradlees, Inc., 11% due
0.1% 8/01/2002 (d)................ 1,023,750 130,000
- -------------------------------------------------------------------------------------------------------------------------
STEEL--1.9% B B1 1,000,000 Gulf States Steel Acquisition
Corp., 13.50%
due 4/15/2003................ 989,000 912,500
B+ B1 1,000,000 WCI Steel Inc., 10.50% due
3/01/2002...................... 995,000 1,015,000
------------ ------------
1,984,000 1,927,500
- -------------------------------------------------------------------------------------------------------------------------
SUPERMARKETS-- 2.0% B- B3 1,137,000 Grand Union Co., 12% due
9/01/2004.................... 1,098,027 1,054,567
B B1 1,000,000 +Ralphs Grocery Co., 10.45% due
6/15/2004...................... 946,500 957,500
------------ ------------
2,044,527 2,012,067
- -------------------------------------------------------------------------------------------------------------------------
TEXTILES--3.2% NR* NR* 1,000,000 Decorative Home Accents, Inc.,
13% due 6/30/2002.............. 992,336 790,000
BB- Ba3 1,000,000 Tultex Corp., 10.625% due
3/15/2005...................... 1,007,500 1,035,000
B+ B3 1,500,000 Westpoint Stevens Industries,
Inc., 9.375% due 12/15/2005 1,465,000 1,447,500
------------ ------------
3,464,836 3,272,500
- -------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION-- BB- Ba2 1,200,000 Mexican Maritime
2.4% Transportation, S.A. de C.V.,
9.25% due 5/15/2003............ 978,000 1,101,000
B- B3 2,000,000 Transtar Holdings L.P.,
11.065%** due 12/15/2003....... 1,396,197 1,370,000
------------ ------------
2,374,197 2,471,000
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
26
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
MOODY'S VALUE (NOTE
INDUSTRIES S&P RATINGS RATINGS FACE AMOUNT ISSUE COST 1A)
- -------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
- -------------------------------------------------------------------------------------------------------------------------
UTILITIES--6.6% B+ B1 $ 980,000 Beaver Valley Funding Corp., 9%
due 6/01/2017.................. $ 924,875 $ 799,905
B+ Ba3 1,000,000 CTC Mansfield Funding, Inc.,
11.125% due 9/30/2016.......... 1,076,250 1,025,120
NR* A3 1,000,000 Gas Argentino S.A., 7.25% due
12/07/1998..................... 889,366 962,500
NR* B1 1,000,000 Metrogas S.A., 12% due
8/15/2000...................... 983,750 1,063,750
Midland Cogeneration Venture
L.P.:
BB Ba3 830,748 10.33% due 7/23/2002(e)........ 860,343 875,401
B- B2 1,000,000 13.25% due 7/23/2006........... 1,108,750 1,072,630
BBB- NR* 1,000,000 +Trans Gas de Occidente S.A.,
9.79% due 11/01/2010........... 1,000,000 951,250
------------ ------------
6,843,334 6,750,556
- -------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS--91.5% 95,858,494 93,061,875
- -------------------------------------------------------------------------------------------------------------------------
SHARES HELD COMMON STOCKS, RIGHTS & WARRANTS
- -------------------------------------------------------------------------------------------------------------------------
BROADCASTING/CABLE-- 5,000 American Telecasting, Inc.
0.0% (Warrants) (b)............... 4,776 25,000
- -------------------------------------------------------------------------------------------------------------------------
ENERGY--0.1% 29,058 Transamerica Refining Corp.
(Warrants) (b)................. 67,742 58,116
- -------------------------------------------------------------------------------------------------------------------------
FOOD & BEVERAGE-- 18,878 FoodBrands America, Inc. (d) 1,066,813 243,054
0.2%
- -------------------------------------------------------------------------------------------------------------------------
GAMING--0.0% 10,000 Goldriver Hotel & Casino Corp.
(Class B) (c) (d).............. 65,657 --
1,000 +Goldriver Hotel & Casino
Corp., Liquidating Trust
(d)............................ 24,040 8,564
------------ ------------
89,697 8,564
- -------------------------------------------------------------------------------------------------------------------------
HOTELS--0.0% 804 Buckhead America Corp. (d)..... 4,321 4,924
- -------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL-SERVICES-- 1,036 Thermadyne Industries, Inc..... 15,022 22,274
0.0%
- -------------------------------------------------------------------------------------------------------------------------
STEEL--0.0% 1,000 +Gulf States Steel Acquisition
Corp. (Warrants) (b)........... 11,000 250
- -------------------------------------------------------------------------------------------------------------------------
SUPERMARKETS-- 0.1% 17,674 Grand Union Co. (d)............ 1,000,000 112,672
- -------------------------------------------------------------------------------------------------------------------------
TEXTILES--0.0% 1,000 +Decorative Home Accents, Inc.
(Class F) (d).................. 7,664 5,500
- -------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS, RIGHTS &
WARRANTS--0.4% 2,267,035 480,354
- -------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS
- -------------------------------------------------------------------------------------------------------------------------
BROADCASTING & 10,514 K-III Communications Corp.
PUBLISHING--1.0% (Series B) (a)............... 1,063,890 1,040,875
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
27
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1996 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
VALUE (NOTE
INDUSTRIES SHARES HELD ISSUE COST 1A)
- ---------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS
- ---------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT-- 1.5% 1,538 +Time Warner Inc. (Series K) (a) $ 1,536,997 $ 1,480,747
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS--2.5% 2,600,887 2,521,622
- ---------------------------------------------------------------------------------------------------------------------------
FACE AMOUNT SHORT-TERM SECURITIES
- ---------------------------------------------------------------------------------------------------------------------------
COMMERCIAL $ 3,725,000 General Electric Capital Corp.,
PAPER***--3.7% 5.56% due 7/01/1996........... 3,723,274 3,723,274
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES--
3.7% 3,723,274 3,723,274
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS--98.1%........ $104,449,690 99,787,125
------------
------------
1,945,357
OTHER ASSETS LESS LIABILITIES--
1.9%............................
-------------
$ 101,732,482
NET ASSETS--100.0%..............
-------------
-------------
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Not Rated.
** Represents a zero coupon or step bond; the interest rate shown is the
effective yield at the time of purchase by the Portfolio.
*** 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) Subject to principal paydowns.
+ Restricted securities as to resale. The value of the Portfolio's investments
in restricted securities was approximately $8,032,000, representing 7.9% of
net assets.
<TABLE>
<S> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
VALUE (NOTE
ISSUE ACQUISITION DATE(S) COST 1A)
- ------------------------------------------------------------------------------------------------------------------
Decorative Home Accents, Inc., (Class F)....................... 6/30/1995 $ 7,664 $ 5,500
G-I Holdings, 10% due 2/15/2006................................ 2/14/1996 770,040 732,840
Goldriver Hotel & Casino, Liquidating Trust.................... 8/31/1992 24,040 8,564
Grupo Televisa S.A., 11.375% due 5/15/2003..................... 5/30/1996 1,010,000 1,010,000
Gulf States Steel (Warrants)................................... 4/12/1995 11,000 250
HMC Acquisition Properties, 9% due 12/15/2007.................. 12/15/1995-12/18/1995 2,000,000 1,820,000
Millicom International Cellular S.A., 13.116% due 6/01/2006.... 5/28/1996 1,084,009 1,065,000
Ralph's Grocery Co., 10.45% due 6/15/2004...................... 6/03/1996 946,500 957,500
Time Warner Inc. (Series K).................................... 4/03/1996-6/07/1996 1,536,997 1,480,747
Trans Gas de Occidente S.A., 9.79% due 11/01/2010.............. 11/02/1995 1,000,000 951,250
- ------------------------------------------------------------------------------------------------------------------
TOTAL $ 8,390,250 $ 8,031,651
----------- -----------
----------- -----------
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C>
FACE VALUE (NOTE
AMOUNT ISSUE COST 1A)
- -------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY OBLIGATIONS
- -------------------------------------------------------------------------------------------------------------------
FEDERAL FARM CREDIT $ 5,000,000 Federal Farm Credit Bank, 8.65% due 10/01/1999 $ 5,113,650 $ 5,303,900
BANK--2.4%
- -------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL FARM CREDIT BANK 5,113,650 5,303,900
- -------------------------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN Federal Home Loan Mortgage Corporation:
MORTGAGE 6,000,000 6.55% due 1/04/2000.............................. 6,102,840 6,000,000
CORPORATION--5.0% 5,000,000 7.90% due 9/19/2001.............................. 5,000,000 5,260,950
- -------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION 11,102,840 11,260,950
- -------------------------------------------------------------------------------------------------------------------
FEDERAL NATIONAL Federal National Mortgage Association:
MORTGAGE 10,000,000 7.85% due 9/10/2004.............................. 9,824,469 10,146,900
ASSOCIATION--13.0% 9,000,000 7.65% due 3/10/2005.............................. 8,990,156 9,382,500
10,000,000 6.35% due 6/10/2005.............................. 10,000,000 9,581,200
- -------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION 28,814,625 29,110,600
- -------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED 587,687 Federal National Mortgage Association, 9% due
SECURITIES--0.3% 1/01/2002(a)................................... 567,118 609,678
- -------------------------------------------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES 567,118 609,678
- -------------------------------------------------------------------------------------------------------------------
PRIVATE EXPORT Private Export Funding Corporation:
FUNDING 7,000,000 8.35% due 1/31/2001.............................. 7,083,590 7,449,890
CORPORATION--8.3% 10,000,000 8.75% due 6/30/2003.............................. 10,410,681 11,037,400
- -------------------------------------------------------------------------------------------------------------------
TOTAL PRIVATE EXPORT FUNDING CORPORATION 17,494,271 18,487,290
- -------------------------------------------------------------------------------------------------------------------
STUDENT LOAN 13,000,000 Student Loan Marketing Association, 7.50% due
MARKETING 3/08/2000...................................... 13,176,719 13,392,080
ASSOCIATION--6.0%
- -------------------------------------------------------------------------------------------------------------------
TOTAL STUDENT LOAN MARKETING ASSOCIATION 13,176,719 13,392,080
- -------------------------------------------------------------------------------------------------------------------
US TREASURY BONDS 16,000,000 US Treasury Bond, 12% due 5/15/2005.............. 22,772,500 21,562,560
& NOTES--60.8% US Treasury Notes:
5,000,000 8.875% due 11/15/1997............................ 5,160,938 5,186,700
6,000,000 8.875% due 2/15/1999............................. 6,790,313 6,374,040
6,000,000 8.75% due 8/15/2000.............................. 7,077,187 6,497,820
9,000,000 7.50% due 11/15/2001............................. 9,385,312 9,395,190
10,000,000 6.375% due 8/15/2002............................. 10,009,129 9,920,300
26,000,000 7.25% due 5/15/2004.............................. 26,328,906 26,938,340
5,000,000 7.875% due 11/15/2004............................ 5,246,875 5,374,200
21,500,000 6.50% due 5/15/2005.............................. 21,097,070 21,217,705
10,000,000 10.75% due 8/15/2005............................. 13,385,937 12,695,300
10,500,000 6.875% due 5/15/2006............................. 10,534,219 10,616,445
- -------------------------------------------------------------------------------------------------------------------
TOTAL US TREASURY BONDS & NOTES 137,788,386 135,778,600
- -------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY OBLIGATIONS--95.8% 214,057,609 213,943,098
- -------------------------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES
- -------------------------------------------------------------------------------------------------------------------
REPURCHASE 6,086,000 UBS Securities Funding Corp., purchased on
AGREEMENT*--2.7% 6/28/96 to yield 5.45% to 7/01/96.............. 6,086,000 6,086,000
- -------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES--2.7% 6,086,000 6,086,000
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS--98.5%......................... $ 220,143,609 220,029,098
-------------
-------------
3,438,873
OTHER ASSETS LESS LIABILITIES--1.5%..............
-------------
$ 223,467,971
NET ASSETS--100.0%...............................
-------------
-------------
- -------------------------------------------------------------------------------------------------------------------
</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>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
S&P MOODY'S FACE VALUE (NOTE
RATINGS RATINGS AMOUNT ISSUE COST 1A)
- -------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT OBLIGATIONS
- -------------------------------------------------------------------------------------------------------------------------
US TREASURY BONDS US Treasury Bonds & Notes:
& NOTES--8.0% AAA Aaa $ 2,000,000 7.25% due 2/15/1998............ $ 1,994,440 $ 2,035,320
AAA Aaa 500,000 6.25% due 2/15/2003............ 491,250 491,170
AAA Aaa 1,000,000 7.875% due 11/15/2004.......... 1,149,688 1,074,840
AAA Aaa 4,000,000 6.50% due 5/15/2005............ 3,869,375 3,947,480
AAA Aaa 2,000,000 6.875% due 8/15/2025........... 1,984,062 1,979,680
- -------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT
OBLIGATIONS--8.0% 9,488,815 9,528,490
- -------------------------------------------------------------------------------------------------------------------------
INDUSTRIES CORPORATE BONDS & NOTES
- -------------------------------------------------------------------------------------------------------------------------
ASSET BACKED AAA Aaa 1,000,000 AT&T Universal Card Master
SECURITIES***--2.6% Trust, 5.609% due 4/17/2003.. 1,000,000 1,000,000
AAA Aaa 2,000,000 Banc One Credit Card Master
Trust, 7.55% due 12/15/1999.... 2,037,109 2,035,000
------------ ------------
3,037,109 3,035,000
- -------------------------------------------------------------------------------------------------------------------------
BANKING--13.0% A- A2 1,000,000 Bank of New York Co., Inc.,
7.625% due 7/15/2002........... 1,076,500 1,027,520
A+ A1 1,000,000 BankAmerica Corp., 7.125%
due 5/12/2005................ 985,500 985,540
A- A 2,000,000 Citicorp., 8.80% due 2/01/2000 2,000,000 2,029,960
A+ A1 1,000,000 Continental Bank N.A., 7.875%
due 2/01/2003.................. 1,044,160 1,028,700
A- A2 2,000,000 First Fidelity Bancorp., 6.80%
due 6/15/2003.................. 1,973,580 1,925,340
Mellon Bank Corp.:
A- A3 2,000,000 6.875% due 3/01/2003........... 1,822,480 1,954,660
A A2 1,500,000 7% due 3/15/2006............... 1,505,385 1,462,005
NationsBank Corp.:
A A2 2,000,000 7.50% due 2/15/1997............ 1,998,280 2,018,660
A- A3 2,000,000 7.75% due 8/15/2015............ 2,000,000 1,998,320
A+ A1 1,000,000 Norwest Corp., 6.625% due
3/15/2003...................... 1,003,060 966,340
------------ ------------
15,408,945 15,397,045
- -------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES A- A3 2,000,000 Chrysler Financial Corp.,
CAPTIVE--7.3% 10.95% due 8/01/2017......... 2,202,640 2,186,540
A+ A1 2,500,000 Ford Motor Credit Co., 6.25%
due 11/08/2000................. 2,462,575 2,438,600
General Motors Acceptance
Corp.:
A- A3 2,000,000 7.125% due 5/11/1998........... 2,022,560 2,026,420
A- A3 1,000,000 7.125% due 5/01/2003........... 994,890 999,520
A- A3 1,000,000 General Motors Corp., 7.40% due
9/01/2025...................... 991,940 947,800
------------ ------------
8,674,605 8,598,880
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
30
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long-Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
MOODY'S VALUE (NOTE
INDUSTRIES S&P RATINGS RATINGS FACE AMOUNT ISSUE COST 1A)
- -------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES
- -------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES-- A+ A1 $ 2,000,000 American General Finance Corp.,
CONSUMER--7.0% 7.70% due 11/15/1997......... $ 1,977,660 $ 2,032,080
Associates Corp. of North
America:
AA- Aa3 2,300,000 5.25% due 9/01/1998............ 2,230,057 2,240,936
AA- Aa3 1,000,000 7.25% due 9/01/1999............ 987,620 1,014,800
A+ Aa3 2,000,000 CIT Group Holdings, Inc.,
5.592% due 2/28/1997........... 1,998,680 1,999,380
A+ A2 1,000,000 Transamerica Financial Corp.,
6.80% due 3/15/1999............ 999,730 1,004,040
------------ ------------
8,193,747 8,291,236
- -------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES-- A A2 1,000,000 Dean Witter, Discover & Co.,
OTHER--7.6% 6.30% due 1/15/2006.......... 995,600 923,936
A- Baa1 1,000,000 Donaldson, Lufkin & Jenrette,
Inc., 5.625% due 2/15/2016 998,060 941,207
BBB+ Baa1 3,500,000 Paine Webber Group Inc., 7.625%
due 2/15/2014.................. 3,342,430 3,290,210
A- A3 3,000,000 Smith Barney Holdings, Inc.,
6.50% due 10/15/2002........... 2,987,520 2,889,630
A+ A1 1,000,000 Travelers Group, Inc., 7.875%
due 5/15/2025.................. 999,420 1,000,740
------------ ------------
9,323,030 9,045,723
- -------------------------------------------------------------------------------------------------------------------------
FOREIGN+--11.8% BBB+ A3 1,000,000 ++Bangkok Bank Public Company
Ltd., 7.25% due 9/15/2005 (5).. 990,920 963,060
AA- A2 2,000,000 CRA Finance Ltd., 6.50% due
12/01/2003 (1)................. 2,006,950 1,895,880
A A3 1,000,000 China Light & Power Co., Ltd.,
7.50% due 4/15/2006 (7)........ 993,630 985,110
A A1 2,000,000 Midland Bank PLC, 7.625% due
6/15/2006 (5).................. 1,989,960 2,026,280
A+ A1 2,000,000 ++Petroliam Nasional BHD,
6.875% due 7/01/2003 (6)..... 1,977,680 1,969,600
A+ A2 1,000,000 Pohang Iron & Steel Co. Ltd.,
7.375% due 5/15/2005 (4)....... 1,018,160 982,520
Province of Quebec (Canada)
(3):
A+ A2 1,000,000 8.80% due 4/15/2003............ 1,129,480 1,091,300
A+ A2 1,500,000 13% due 10/01/2013............. 1,959,060 1,747,290
AA A1 1,000,000 Republic of Italy, 6.875% due
9/27/2023 (3).................. 972,070 901,720
A A2 1,500,000 Western Mining Corp. Holdings
Ltd., 7.25% due 11/15/2013
(1)............................ 1,519,575 1,437,510
------------ ------------
14,557,485 14,000,270
- -------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL-- A+ A1 3,500,000 Bass America, Inc., 8.125%
CONSUMER--10.3% due 3/31/2002................ 3,532,070 3,687,250
Grand Metropolitan Investment
Corp.:
A+ A2 1,000,000 6.50% due 9/15/1999............ 1,000,000 990,910
A+ A2 1,000,000 8.625% due 8/15/2001........... 1,047,750 1,075,210
A+ A1 2,000,000 JC Penney Co., Inc., 6.875%
due 10/15/2015............... 1,979,420 1,843,820
AAA Aaa 2,000,000 Johnson & Johnson Co., 8.72%
due 11/01/2024................. 2,019,140 2,166,060
A A2 500,000 Philip Morris Companies, Inc.,
7.25% due 1/15/2003............ 503,440 499,765
BBB- Baa3 1,000,000 RJR Nabisco, Inc., 8.75% due
8/15/2005...................... 963,120 989,500
A A2 1,000,000 Walt Disney Co., 6.375% due
3/30/2001...................... 1,000,000 982,160
------------ ------------
12,044,940 12,234,675
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
31
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long-Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
MOODY'S VALUE (NOTE
INDUSTRIES S&P RATINGS RATINGS FACE AMOUNT ISSUE COST 1A)
- -------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES
- -------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL-- AA- Aa3 $ 2,000,000 BP America Inc., 10% due
ENERGY--3.6% 7/01/2018.................... $ 2,156,880 $ 2,196,900
Texaco Capital Inc.:
A+ A1 1,000,000 6.875% due 7/15/1999........... 998,060 1,001,700
A+ A1 1,000,000 8.625% due 11/15/2031.......... 1,045,390 1,122,740
------------ ------------
4,200,330 4,321,340
- -------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL-- BBB Baa2 1,000,000 Applied Materials, Inc., 8% due
OTHER--11.1% 9/01/2004.................... 992,690 1,034,080
AA- Aa2 2,000,000 Archer-Daniels-Midland Co.,
8.125% due 6/01/2012........... 2,181,250 2,126,880
A- A3 500,000 Columbia/HCA Healthcare Corp.,
6.41% due 6/15/2000............ 499,700 489,560
A A1 1,000,000 ++Electronic Data Systems,
Inc., 6.85% due 5/15/2000.... 999,210 1,003,091
BBB Baa2 2,500,000 Federal Express Corp., 9.65%
due 6/15/2012.................. 2,758,750 2,889,900
BBB+ A3 500,000 Harris Corp., 7% due
1/15/2026...................... 497,515 451,625
AA Aa3 1,000,000 Kaiser Foundation Hospital,
9.55% due 7/15/2005............ 1,124,850 1,141,900
BBB+ A3 1,000,000 Lockheed Martin Corp., 6.625%
due 6/15/1998.................. 999,870 1,003,590
BBB+ A3 1,000,000 Martin Marietta Corp., 7.375%
due 4/15/2013.................. 961,610 980,920
Philips Electronics N.V.:
BBB+ A3 1,000,000 7.75% due 5/15/2025............ 996,610 986,840
BBB+ A3 1,000,000 7.20% due 6/01/2026............ 997,740 993,760
------------ ------------
13,009,795 13,102,146
- -------------------------------------------------------------------------------------------------------------------------
SUPRANATIONAL-- 3.5% AAA Aaa 1,500,000 Asian Development Bank, 10.75%
due 6/01/1997................ 1,580,525 1,560,060
AAA Aaa 2,000,000 International Bank for
Reconstruction & Development,
12.375% due 10/15/2002....... 2,432,280 2,554,560
------------ ------------
4,012,805 4,114,620
- -------------------------------------------------------------------------------------------------------------------------
TRANSPORT Southwest Airlines, Inc.:
SERVICES--2.7% A- Baa1 2,000,000 9.40% due 7/01/2001............ 2,407,120 2,165,840
A- Baa1 1,000,000 7.875% due 9/01/2007........... 998,750 1,011,610
------------ ------------
3,405,870 3,177,450
- -------------------------------------------------------------------------------------------------------------------------
UTILITIES-- BBB+ A3 1,000,000 GTE Corp., 9.375% due
COMMUNICATIONS-- 12/01/2000................... 1,091,700 1,084,020
0.9%
- -------------------------------------------------------------------------------------------------------------------------
UTILITIES-GAS--2.2% AA- A1 2,500,000 Consolidated Natural Gas Co.,
8.75% due 6/01/1999............ 2,575,440 2,626,100
- -------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS &
NOTES--83.6% 99,535,801 99,028,505
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
32
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long-Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1996 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
VALUE (NOTE
FACE AMOUNT ISSUE COST 1A)
- -------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS
- -------------------------------------------------------------------------------------------------------------------------
COMMERCIAL $ 2,500,000 General Electric Capital Corp.,
PAPER*--2.1% 5.39% due 7/08/1996.......... $ 2,496,257 $ 2,496,257
- -------------------------------------------------------------------------------------------------------------------------
REPURCHASE 5,439,000 UBS Securities Funding Corp.,
AGREEMENT**--4.6% purchased on 6/28/96 to yield
5.45% to 7/01/1996............. 5,439,000 5,439,000
- -------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS--
6.7% 7,935,257 7,935,257
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS--98.3%....... $116,959,873 116,492,252
------------
------------
1,961,645
OTHER ASSETS LESS LIABILITIES--
1.7%...........................
------------
$118,453,897
NET ASSETS--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.
** Repurchase Agreements are fully collateralized by US Government Obligations.
*** Subject to principal paydowns.
+ Corresponding industry groups for foreign bonds:
(1) Industrial Mining.
(2) Insurance.
(3) Government Entity.
(4) Iron/Steel.
(5) Banking.
(6) Industrial-Energy.
(7) Utilities-Electric.
++ Restricted securities as to resale. The value of the Portfolio's investment
in restricted securities was approximately $3,936,000, representing 3.3% of
net assets.
<TABLE>
<S> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
VALUE (NOTE
ISSUE ACQUISITION DATE COST 1A)
- ------------------------------------------------------------------------------------------------------------------
Bangkok Bank Public Company Ltd., 7.25% due 9/15/2005......... 9/27/1995 $ 990,920 $ 963,060
Electronic Data Systems, Inc., 6.85% due 5/15/2000............ 5/26/1995 999,210 1,003,091
Petroliam Nasional BHD, 6.875% due 7/01/2003.................. 7/28/1995 1,977,680 1,969,600
- ------------------------------------------------------------------------------------------------------------------
TOTAL $ 3,967,810 $ 3,935,751
----------- -----------
----------- -----------
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
INTEREST MATURITY VALUE (NOTE
FACE AMOUNT ISSUE RATE* DATE 1A)
- ----------------------------------------------------------------------------------------------------------------------
CERTIFICATES OF $ 10,000,000 Bayerische Hypotheken-Und Wechsel-Bank....... 5.68% 12/17/96 $ 9,999,541
DEPOSIT-EUROPEAN--
1.8%
- ----------------------------------------------------------------------------------------------------------------------
9,999,541
TOTAL CERTIFICATES OF DEPOSIT-EUROPEAN
(COST--$10,000,929)
- ----------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER-- 7,000,000 Abbey National N.A. Corp..................... 5.30 11/29/96 6,836,204
51.1% 7,167,000 Allomon Funding Corp......................... 5.32 7/09/96 7,155,350
6,080,000 Allomon Funding Corp......................... 5.32 8/05/96 6,045,858
9,000,000 American Brands, Inc......................... 5.30 7/23/96 8,966,688
10,000,000 American Express Credit Corp................. 4.88 8/09/96 9,937,933
2,200,000 CSW Credit, Inc.............................. 5.37 7/02/96 2,198,687
10,388,000 CSW Credit, Inc.............................. 5.29 7/18/96 10,357,471
10,000,000 CSW Credit, Inc.............................. 5.38 8/16/96 9,926,772
6,600,000 Dow Jones & Company, Inc..................... 5.33 7/02/96 6,596,091
12,000,000 Eureka Securitization, Inc................... 5.30 7/18/96 11,964,667
12,000,000 Eureka Securitization, Inc................... 5.30 8/19/96 11,906,747
20,000,000 Ford Motor Credit Co......................... 5.31 7/09/96 19,967,550
6,000,000 Ford Motor Credit Co......................... 5.31 7/12/96 5,987,610
10,000,000 General Electric Capital Corp................ 5.15 7/15/96 9,974,831
5,000,000 General Electric Capital Corp................ 5.50 3/03/97 4,806,422
2,000,000 General Motors Acceptance Corp............... 5.37 7/15/96 1,994,928
9,595,000 General Motors Acceptance Corp............... 5.42 7/25/96 9,555,996
15,000,000 General Motors Acceptance Corp............... 5.35 7/30/96 14,928,933
5,000,000 Goldman Sachs Group, L.P..................... 5.33 7/08/96 4,992,597
5,285,000 IBM Credit Corp.............................. 5.37 7/08/96 5,277,117
10,000,000 International Securitization Corp............ 5.42 7/23/96 9,962,361
13,500,000 Koch Industries, Inc......................... 5.55 7/01/96 13,493,756
10,000,000 McKenna Triangle National Corp............... 5.35 7/17/96 9,971,764
7,763,000 McKenna Triangle National Corp............... 5.38 7/22/96 7,735,157
9,975,000 Monte Rosa Capital Corp...................... 5.45 7/17/96 9,946,308
5,423,000 National Fleet Funding Corp.................. 5.42 7/30/96 5,396,873
5,000,000 New Center Asset Trust....................... 5.36 7/11/96 4,990,322
1,355,000 New Center Asset Trust....................... 5.50 11/26/96 1,323,911
10,000,000 New Center Asset Trust....................... 5.52 12/06/96 9,752,239
5,650,000 Preferred Receivables Funding Corp........... 5.32 7/16/96 5,634,971
10,000,000 Preferred Receivables Funding Corp........... 5.29 9/04/96 9,897,245
10,000,000 Riverwoods Funding Corp...................... 5.37 7/16/96 9,973,150
15,000,000 Riverwoods Funding Corp...................... 5.30 8/16/96 14,890,158
1,050,000 Toshiba International Finance PLC (UK)....... 5.35 7/03/96 1,049,220
- ----------------------------------------------------------------------------------------------------------------------
283,395,887
TOTAL COMMERCIAL PAPER (COST--$283,417,592)
- ----------------------------------------------------------------------------------------------------------------------
CORPORATE NOTES-- 16,000,000 Beta Finance Inc.+........................... 5.38 9/16/96 16,000,000
8.5% 5,000,000 Beta Finance Inc.+........................... 5.414 9/25/96 5,000,000
1,000,000 Ford Motor Credit Co......................... 5.625 3/03/97 998,300
20,000,000 SMM Trust 1995-Q+............................ 5.496 1/08/97 19,999,005
5,000,000 Short Term Card Account Trust 1995-1+........ 5.506 1/15/97 5,000,000
- ----------------------------------------------------------------------------------------------------------------------
46,997,305
TOTAL CORPORATE NOTES (COST--$46,997,193)
- ----------------------------------------------------------------------------------------------------------------------
MASTER NOTES--5.4% 10,000,000 Goldman Sachs Group, L.P.+................... 5.45 8/09/96 10,000,000
8,000,000 Goldman Sachs Group, L.P.+................... 5.43 11/08/96 8,000,000
9,000,000 Jackson National Life Insurance Co.+......... 5.47 4/08/97 9,000,000
3,000,000 Toyota Motor Credit Corp.+................... 5.373 9/13/96 2,999,572
- ----------------------------------------------------------------------------------------------------------------------
29,999,572
TOTAL MASTER NOTES (COST--$29,999,571)
- ----------------------------------------------------------------------------------------------------------------------
MEDIUM-TERM 10,000,000 CIT Group Holdings, Inc., The................ 5.31 9/12/96 9,998,188
NOTES--2.7% 5,000,000 General Electric Capital Corp................ 7.625 7/30/96 5,008,656
- ----------------------------------------------------------------------------------------------------------------------
15,006,844
TOTAL MEDIUM-TERM NOTES (COST--$15,005,619)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
34
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of June 30, 1996 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
INTEREST MATURITY VALUE (NOTE
FACE AMOUNT ISSUE RATE* DATE 1A)
- ----------------------------------------------------------------------------------------------------------------------
US GOVERNMENT, $ 2,445,000 Federal National Mortgage Association........ 5.11% 10/30/96 $ 2,400,028
AGENCY &
INSTRUMENTALITY
OBLIGATIONS--
DISCOUNT--0.4%
- ----------------------------------------------------------------------------------------------------------------------
2,400,028
TOTAL US GOVERNMENT, AGENCY & INSTRUMENTALITY
OBLIGATIONS--DISCOUNT (COST--$2,401,965)
- ----------------------------------------------------------------------------------------------------------------------
US GOVERNMENT, 10,000,000 Federal Farm Credit Bank+.................... 5.38 11/25/97 9,997,045
AGENCY & 8,000,000 Federal Home Loan Bank+...................... 5.32 9/12/96 7,999,121
INSTRUMENTALITY 25,000,000 Federal National Mortgage Association+....... 5.342 10/11/96 25,000,000
OBLIGATIONS--NON- 4,400,000 Federal National Mortgage Association+....... 5.37 11/04/96 4,400,000
DISCOUNT--29.6% 15,000,000 Federal National Mortgage Association+....... 5.44 2/21/97 15,000,000
4,000,000 Federal National Mortgage Association+....... 5.33 5/14/97 3,996,921
8,000,000 Federal National Mortgage Association+....... 5.70 5/19/97 8,000,000
15,000,000 Federal National Mortgage Association+....... 5.333 5/22/97 14,990,844
4,000,000 Federal National Mortgage Association........ 5.19 1/08/98 3,943,600
3,000,000 Federal National Mortgage Association........ 6.12 4/15/98 2,988,900
6,000,000 Federal National Mortgage Association+....... 5.75 5/14/98 6,000,000
6,000,000 Student Loan Marketing Association+.......... 5.37 10/04/96 6,000,000
5,000,000 Student Loan Marketing Association+.......... 5.58 1/14/97 5,000,000
10,000,000 Student Loan Marketing Association+.......... 5.62 1/23/97 10,004,949
10,000,000 Student Loan Marketing Association+.......... 5.57 10/30/97 10,002,840
5,000,000 US Treasury Notes............................ 6.625 3/31/97 5,031,250
3,250,000 US Treasury Notes............................ 6.50 4/30/97 3,268,025
3,250,000 US Treasury Notes............................ 6.50 5/15/97 3,267,264
3,300,000 US Treasury Notes............................ 6.125 5/31/97 3,308,250
3,000,000 US Treasury Notes............................ 6.00 8/31/97 3,000,000
2,300,000 US Treasury Notes............................ 5.625 10/31/97 2,288,500
6,500,000 US Treasury Notes............................ 5.375 11/30/97 6,443,125
1,650,000 US Treasury Notes............................ 5.25 12/31/97 1,630,406
2,920,000 US Treasury Notes............................ 5.00 1/31/98 2,871,636
- ----------------------------------------------------------------------------------------------------------------------
164,432,676
TOTAL US GOVERNMENT, AGENCY & INSTRUMENTALITY
OBLIGATIIONS--NON-DISCOUNT (COST--$164,673,042)
- ----------------------------------------------------------------------------------------------------------------------
552,231,853
TOTAL INVESTMENTS
(COST--$552,495,911)--99.5%................
2,825,675
OTHER ASSETS LESS LIABILITIES--0.5%..........
-------------
$ 555,057,528
NET ASSETS--100.0%...........................
-------------
-------------
- ----------------------------------------------------------------------------------------------------------------------
</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 appropriate indexes. The
interest rates shown are the rates in effect at June 30, 1996.
+ Variable Rate Notes.
See Notes to Financial Statements.
35
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
SHARES VALUE (NOTE PERCENT OF NET
INDUSTRIES HELD US STOCKS & WARRANTS COST 1A) ASSETS
- -----------------------------------------------------------------------------------------------------------------------
AEROSPACE 221,000 Boeing Co. (The)...................... $ 14,517,496 $ 19,254,625 1.6%
140,400 Northrop Grumman Corp................. 9,186,126 9,564,750 0.8
169,000 United Technologies Corp.............. 13,760,800 19,435,000 1.7
------------ ------------ ---
37,464,422 48,254,375 4.1
- -----------------------------------------------------------------------------------------------------------------------
AIRLINES 192,700 Delta Air Lines, Inc.................. 15,372,965 15,994,100 1.4
- -----------------------------------------------------------------------------------------------------------------------
AUTO & TRUCK 245,000 Ford Motor Co......................... 7,671,355 7,931,875 0.7
157,000 General Motors Corp................... 8,851,793 8,222,875 0.7
------------ ------------ ---
16,523,148 16,154,750 1.4
- -----------------------------------------------------------------------------------------------------------------------
BANKING 229,000 Bank of New York, Inc................. 8,214,835 11,736,250 1.0
65,000 Bank of New York, Inc. (Warrants) (c) 581,250 2,648,750 0.2
190,000 Citicorp.............................. 14,183,701 15,698,750 1.4
------------ ------------ ---
22,979,786 30,083,750 2.6
- -----------------------------------------------------------------------------------------------------------------------
BEVERAGES 129,000 Coca-Cola Co.......................... 6,015,546 6,304,875 0.5
- -----------------------------------------------------------------------------------------------------------------------
CHEMICALS 260,000 PPG Industries, Inc................... 12,904,505 12,675,000 1.1
- -----------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 200,000 +cisco Systems, Inc................... 8,913,383 11,325,000 1.0
323,000 Electronic Data Systems Corp.......... 13,666,332 17,361,250 1.5
206,800 First Data Corp....................... 14,627,539 16,466,450 1.4
------------ ------------ ---
37,207,254 45,152,700 3.9
- -----------------------------------------------------------------------------------------------------------------------
COMPUTERS 81,000 International Business Machines
Corp.................................. 8,901,568 8,019,000 0.7
73,400 +Sun Microsystems, Inc................ 4,627,850 4,312,250 0.4
------------ ------------ ---
13,529,418 12,331,250 1.1
- -----------------------------------------------------------------------------------------------------------------------
DIVERSIFIED 437,400 Corning, Inc.......................... 13,240,714 16,785,225 1.4
- -----------------------------------------------------------------------------------------------------------------------
ELECTRONICS 204,000 General Electric Co................... 15,761,849 17,646,000 1.5
157,500 Intel Corp............................ 9,874,026 11,556,562 1.0
310,000 +Lexmark International Group, Inc.
(Class A)............................. 6,590,060 6,238,750 0.5
------------ ------------ ---
32,225,935 35,441,312 3.0
- -----------------------------------------------------------------------------------------------------------------------
ENGINEERING & 324,000 Foster Wheeler Corporation............ 14,192,484 14,539,500 1.3
CONSTRUCTION
- -----------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 144,000 +Viacom, Inc. (Class B)............... 5,990,441 5,598,000 0.5
- -----------------------------------------------------------------------------------------------------------------------
ENVIRONMENTAL 831,400 Wheelabrator Technologies Inc......... 12,002,778 12,678,850 1.1
CONTROL
- -----------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 286,500 American Express Company.............. 13,321,077 12,785,062 1.1
12,000 +Associates First Capital Corp........ 348,000 451,500 0.0
------------ ------------ ---
13,669,077 13,236,562 1.1
- -----------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 443,600 Stanley Works Co...................... 11,693,052 13,197,100 1.1
- -----------------------------------------------------------------------------------------------------------------------
HEALTHCARE 378,400 +Humana Inc........................... 7,869,764 6,763,900 0.6
- -----------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 105,000 Procter & Gamble Co................... 8,845,002 9,515,625 0.8
- -----------------------------------------------------------------------------------------------------------------------
INSURANCE 240,000 Aetna Life & Casualty Co.............. 14,142,864 17,160,000 1.5
290,000 Allstate Corp......................... 9,530,478 13,231,250 1.1
------------ ------------ ---
23,673,342 30,391,250 2.6
- -----------------------------------------------------------------------------------------------------------------------
MACHINERY 200,000 +American Standard Companies, Inc..... 6,526,681 6,600,000 0.6
246,500 Cincinnati Milacron, Inc.............. 6,209,375 5,916,000 0.5
392,000 Deere & Co............................ 16,353,378 15,680,000 1.3
------------ ------------ ---
29,089,434 28,196,000 2.4
- -----------------------------------------------------------------------------------------------------------------------
MEDICAL SUPPLIES 260,000 Baxter International, Inc............. 12,196,935 12,285,000 1.1
- -----------------------------------------------------------------------------------------------------------------------
NATURAL GAS 330,000 Enron Corp............................ 12,657,331 13,488,750 1.2
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
36
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
SHARES VALUE (NOTE PERCENT OF NET
INDUSTRIES HELD US STOCKS & WARRANTS COST 1A) ASSETS
- -----------------------------------------------------------------------------------------------------------------------
OIL SERVICES 350,000 Dresser Industries, Inc............... $ 8,202,997 $ 10,325,000 0.9%
106,000 Schlumberger Ltd., Inc................ 8,941,977 8,930,500 0.8
------------ ------------ ---
17,144,974 19,255,500 1.7
- -----------------------------------------------------------------------------------------------------------------------
PETROLEUM 370,600 Pennzoil Co........................... 15,114,719 17,140,250 1.5
90,800 Unocal Corp........................... 3,040,665 3,064,500 0.2
------------ ------------ ---
18,155,384 20,204,750 1.7
- -----------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 405,000 Abbott Laboratories................... 16,616,217 17,617,500 1.5
200,000 Merck & Co., Inc...................... 12,022,994 12,925,000 1.1
------------ ------------ ---
28,639,211 30,542,500 2.6
- -----------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 160,200 Eastman Kodak Co...................... 9,314,414 12,455,550 1.1
- -----------------------------------------------------------------------------------------------------------------------
RAILROADS 85,000 Conrail, Inc.......................... 5,959,406 5,641,875 0.5
- -----------------------------------------------------------------------------------------------------------------------
RETAIL 260,000 +AutoZone, Inc........................ 9,100,000 9,035,000 0.8
440,000 Limited, Inc. (The)................... 9,810,988 9,460,000 0.8
300,000 Sears, Roebuck & Co................... 10,450,028 14,587,500 1.2
------------ ------------ ---
29,361,016 33,082,500 2.8
- -----------------------------------------------------------------------------------------------------------------------
SCIENTIFIC 170,000 Fisher Scientific International,
INSTRUMENTS Inc................................... 5,615,810 6,375,000 0.6
- -----------------------------------------------------------------------------------------------------------------------
SOFTWARE--COMPUTER 52,000 +Microsoft Corp....................... 5,827,177 6,240,000 0.5
304,500 +Oracle Corp.......................... 9,903,685 11,989,688 1.0
------------ ------------ ---
15,730,862 18,229,688 1.5
- -----------------------------------------------------------------------------------------------------------------------
STEEL 232,800 AK Steel Holding Corp................. 9,724,753 9,108,300 0.8
- -----------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 200,000 AT&T Corp............................. 13,137,910 12,400,000 1.1
184,000 Bell Atlantic Corporation............. 11,567,913 11,730,000 1.0
50,000 Lucent Technologies, Inc.............. 1,350,000 1,893,750 0.1
------------ ------------ ---
26,055,823 26,023,750 2.2
- -----------------------------------------------------------------------------------------------------------------------
TOBACCO 112,000 Philip Morris Companies, Inc.......... 10,928,327 11,648,000 1.0
- -----------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 320,000 Carnival Corp. (Class A).............. 9,043,610 9,240,000 0.8
- -----------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS & WARRANTS 545,016,923 600,875,287 51.6
- -----------------------------------------------------------------------------------------------------------------------
COUNTRIES FOREIGN STOCKS+++
- -----------------------------------------------------------------------------------------------------------------------
ARGENTINA 200,000 Banco de Galicia y Buenos Aires S.A.
(ADR) (a) (3)......................... 4,886,190 5,125,000 0.4
106,000 Banco Frances del Rio de la Plata S.A.
(ADR) (a) (3)......................... 2,901,745 3,047,500 0.3
286,700 Yacimientos Petroliferos Fiscales S.A.
(ADR) (a) (30)........................ 6,080,195 6,450,750 0.6
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ARGENTINA 13,868,130 14,623,250 1.3
- -----------------------------------------------------------------------------------------------------------------------
BRAZIL 8,500,000 Companhia Cervejaria Brahma S.A. PN
(Preferred) (4)....................... 4,784,876 5,071,215 0.4
80,000 Telecomunicacoes Brasileiras S.A.-
Telebras (ADR) (a) (26)............... 4,233,016 5,570,000 0.5
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BRAZIL 9,017,892 10,641,215 0.9
- -----------------------------------------------------------------------------------------------------------------------
CANADA 265,300 Canadian Pacific, Ltd. (15)........... 5,433,324 5,836,600 0.5
124,000 Magna International Inc. (Class A)
(2) ................................ 5,739,017 5,704,000 0.5
16,400 Northern Telecommunications Ltd.
(26).................................. 890,848 891,750 0.0
118,300 Potash Corp. of Saskatchewan, Inc.
(39).................................. 8,598,047 7,837,375 0.7
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 20,661,236 20,269,725 1.7
- -----------------------------------------------------------------------------------------------------------------------
FINLAND 158,000 Nokia Corp. (Sponsored) (ADR) (a)
(6). . 5,844,085 5,846,000 0.5
210,900 UPM-Kymmene OY (d) (40)............... 4,338,744 4,384,946 0.4
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 10,182,829 10,230,946 0.9
- -----------------------------------------------------------------------------------------------------------------------
FRANCE 125,000 Michelin (C.G.D.E.) S.A. (Class B)
(13) 5,204,939 6,112,731 0.5
364,000 Usinor-Sacilor S.A. (28).............. 6,061,767 5,253,061 0.5
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 11,266,706 11,365,792 1.0
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
37
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
SHARES VALUE (NOTE PERCENT OF NET
COUNTRIES HELD FOREIGN STOCKS+++ COST 1A) ASSETS
- -----------------------------------------------------------------------------------------------------------------------
GERMANY 14,000 Henkel KGaA (Preferred) (5)........... $ 5,977,042 $ 6,047,337 0.5%
15,700 Mannesmann AG (41).................... 5,481,167 5,429,454 0.5
17,500 SGL Carbon AG (5)..................... 1,781,054 2,047,995 0.2
100,000 Siemens AG (9)........................ 5,617,277 5,345,168 0.4
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 18,856,540 18,869,954 1.6
- -----------------------------------------------------------------------------------------------------------------------
HONG KONG 3,000,000 Hong Kong Telecommunications, Ltd.
(26).................................. 5,306,140 5,387,249 0.4
300,000 HSBC Holdings PLC (3)................. 4,832,486 4,534,591 0.4
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN HONG KONG 10,138,626 9,921,840 0.8
- -----------------------------------------------------------------------------------------------------------------------
INDONESIA 128,000 PT Indonesian Satellite (ADR) (a) (26) 4,912,955 4,288,000 0.4
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 4,912,955 4,288,000 0.4
- -----------------------------------------------------------------------------------------------------------------------
ITALY 306,100 Danieli & Co. (41).................... 1,203,809 1,089,502 0.1
1,643,000 Societa Finanziara Telefonica S.p.A.
(STET) (26)........................... 4,847,432 5,558,216 0.5
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 6,051,241 6,647,718 0.6
- -----------------------------------------------------------------------------------------------------------------------
JAPAN 300,000 Canon, Inc. (9)....................... 5,504,760 6,244,294 0.5
315,000 Eisai Co. Ltd. (38)................... 5,564,830 5,952,620 0.5
370,000 Matsushita Electric Industrial Co.
(9)................................... 5,867,403 6,890,634 0.6
815,000 Mitsubishi Electric Corp. (8)......... 5,887,029 5,684,316 0.5
725,000 Mitsubishi Heavy Industries, Ltd.
(9)................................... 5,922,739 6,307,513 0.5
280,000 Nomura Securities Co., Ltd. (10)...... 5,550,706 5,470,148 0.5
105,000 Rohm Co. Ltd. (9)..................... 5,830,910 6,939,931 0.6
450,000 Tokio Marine & Fire Insurance Co.,
Ltd. (14)............................. 5,357,596 5,997,809 0.5
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 45,485,973 49,487,265 4.2
- -----------------------------------------------------------------------------------------------------------------------
MEXICO 633,200 +Grupo Carso, S.A. de C.V.
(ADR) (a) (15)++.................... 5,523,580 8,864,800 0.7
240,000 Kimberly-Clark de Mexico, S.A. de C.V.
(40).................................. 4,080,359 4,379,215 0.4
110,000 Panamerican Beverages, Inc. (Class A)
(4)................................... 4,307,032 4,922,500 0.4
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 13,910,971 18,166,515 1.5
- -----------------------------------------------------------------------------------------------------------------------
NETHERLANDS 37,400 Royal Dutch Petroleum Co. N.V. (NY
Registered Shares) (30)............... 5,189,432 5,750,250 0.5
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE NETHERLANDS 5,189,432 5,750,250 0.5
- -----------------------------------------------------------------------------------------------------------------------
PHILIPPINES 1,210,000 San Miguel Corp. (Class B) (4)........ 4,205,227 4,187,572 0.4
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE PHILIPPINES 4,205,227 4,187,572 0.4
- -----------------------------------------------------------------------------------------------------------------------
SOUTH KOREA 202,800 +Hyundai Engineering & Construction
Co., Ltd. (GDR) (b) (43)++.......... 2,642,484 2,535,000 0.2
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH KOREA 2,642,484 2,535,000 0.2
- -----------------------------------------------------------------------------------------------------------------------
SPAIN 190,000 Repsol S.A. (ADR) (a) (30)............ 6,576,931 6,602,500 0.6
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 6,576,931 6,602,500 0.6
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
38
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
SHARES VALUE (NOTE PERCENT OF NET
COUNTRIES HELD FOREIGN STOCKS+++ COST 1A) ASSETS
- -------------------------------------------------------------------------------------------------------------------------
SWEDEN 348,000 Bure Investment Aktiebolaget (44)... $ 2,991,120 $ 3,196,025 0.3%
314,300 Sparbanken Sverige AB (Class A)
(3)................................. 3,990,261 4,069,527 0.3
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 6,981,381 7,265,552 0.6
- -------------------------------------------------------------------------------------------------------------------------
SWITZERLAND 4,800 ABB AG (42)......................... 5,827,716 5,939,568 0.5
8,000 Sandoz AG (Registered) (38)......... 6,945,256 9,151,079 0.8
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWITZERLAND 12,772,972 15,090,647 1.3
- -------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 1,000,000 General Electric Co. PLC (9)........ 5,538,019 5,380,452 0.5
400,000 Imperial Chemical Industries PLC
(16)................................ 5,689,540 4,882,003 0.4
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE UNITED
KINGDOM 11,227,559 10,262,455 0.9
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 213,949,085 226,206,196 19.4
- -------------------------------------------------------------------------------------------------------------------------
FACE AMOUNT* FOREIGN BONDS+++
- -------------------------------------------------------------------------------------------------------------------------
GERMANY DM 20,000,000 Bundes Obligation, 5.875% due
5/15/2000 (12)...................... 13,475,992 13,455,621 1.1
8,000,000 Bundes Republik Deutschland, 7.125%
due 12/20/2002 (12)................. 5,555,845 5,560,552 0.5
------------ ------------ ---
19,031,837 19,016,173 1.6
- -------------------------------------------------------------------------------------------------------------------------
ITALY Buoni Poliennali del Tesoro (Italian
Government Bonds) (12):
Lit 20,000,000,000 9.50% due 2/01/1999................. 12,790,250 13,415,622 1.1
20,000,000,000 9.50% due 2/01/2001................. 12,622,194 13,484,848 1.2
------------ ------------ ---
25,412,444 26,900,470 2.3
- -------------------------------------------------------------------------------------------------------------------------
SPAIN Government of Spain (12):
Esp 600,000,000 7.40% due 7/30/1999................. 4,647,087 4,649,274 0.4
600,000,000 8.40% due 4/30/2001................. 4,674,531 4,742,212 0.4
------------ ------------ ---
9,321,618 9,391,486 0.8
- -------------------------------------------------------------------------------------------------------------------------
SWEDEN Government of Sweden (12):
Skr 28,000,000 11% due 1/21/1999................... 4,591,659 4,641,795 0.4
27,000,000 10.25% due 5/05/2000................ 4,416,496 4,490,650 0.4
------------ ------------ ---
9,008,155 9,132,445 0.8
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN BONDS 62,774,054 64,440,574 5.5
- -------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT US$ 16,000,000 US Treasury Bonds, 6.875% due
OBLIGATIONS 8/15/2025......................... 15,642,500 15,837,440 1.4
US Treasury Notes:
50,000,000 5.75% due 10/31/1997................ 49,820,312 49,875,000 4.2
107,500,000 5% due 1/31/1998.................... 105,797,969 105,819,775 9.1
------------ ------------ ---
155,618,281 155,694,775 13.3
- -------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT OBLIGATIONS 171,260,781 171,532,215 14.7
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
39
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1996 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
FACE VALUE (NOTE PERCENT OF
AMOUNT SHORT-TERM SECURITIES COST 1A) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER** $ 18,506,000 Associates Corp. of North America,
5.56% due 7/01/1996.................... $ 18,500,284 $ 18,500,284 1.6%
30,000,000 Delaware Funding Corp., 5.37% due
7/15/1996.............................. 29,928,400 29,928,400 2.5
30,000,000 Gannett Co., Inc., 5.32% due 7/11/1996 29,946,800 29,946,800 2.6
15,000,000 Preferred Receivable Funding Corp.,
5.32% due 7/01/1996.................... 14,995,567 14,995,567 1.3
- ----------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 93,371,051 93,371,051 8.0
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS...................... $1,086,371,89 1,156,425,323 99.2
------------
------------
9,062,142 0.8
OTHER ASSETS LESS LIABILITIES..........
------------ ------
$1,165,487,465 100.0%
NET ASSETS.............................
------------
------------ ------
------
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
* Denominated in US dollars unless otherwise indicated.
** 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 Receipts (ADR).
(b) Global Depositary Receipts (GDR).
(c) 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.
(d) Created as a result of the merger of Kymmene Corporation and Repola Ltd.
+ Non-income producing security.
++ Restricted securities as to resale. The value of the Portfolio's investment
in restricted securities was approximately $11,400,000, representing 1.0% of
net assets.
<TABLE>
<S> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
VALUE (NOTE
ISSUE ACQUISITION DATE COST 1A)
- ------------------------------------------------------------------------------------------------------------------
Grupo Carso, S.A. de C.V. (ADR)............................... 11/27/1991 $ 5,523,580 $ 8,864,800
Hyundai Engineering & Construction Co., Ltd. (GDR)............ 3/19/1996 2,642,484 2,535,000
- ------------------------------------------------------------------------------------------------------------------
TOTAL $ 8,166,064 $ 11,399,800
----------- ------------
----------- ------------
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
+++ Corresponding industry groups for foreign stocks and bonds.
(1) Appliances
(2) Auto-Parts
(3) Banking
(4) Beverages
(5) Chemicals
(6) Communications Equipment
(7) Containers
(8) Electrical Equipment
(9) Electronics
(10) Financial Services
(11) Energy-Related
(12) Government (Bonds)
(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) Automotive
(35) Containers
(36) Leisure & Entertainment
(37) Photography
(38) Pharmaceuticals
(39) Mining
(40) Paper & Forest Products
(41) Machinery & Equipment
(42) Capital Goods
(43) Engineering & Construction
(44) Investment Management
See Notes to Financial Statements.
40
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
SHARES VALUE (NOTE PERCENT OF NET
INDUSTRIES HELD STOCKS COST 1A) ASSETS
- -----------------------------------------------------------------------------------------------------------------------
ALUMINUM 8,000 Alcan Aluminium, Ltd.................. $ 190,310 $ 244,000 1.0%
3,900 +Alumax, Inc.......................... 128,552 118,463 0.5
2,400 Aluminum Co. of America............... 125,210 137,700 0.6
------------ ------------ ---
444,072 500,163 2.1
- -----------------------------------------------------------------------------------------------------------------------
CHEMICALS 2,300 Air Products & Chemicals, Inc......... 131,549 132,825 0.6
56,000 Asahi Chemical Industry Co., Ltd...... 412,516 399,781 1.7
1,000 BASF AG............................... 243,405 285,996 1.2
3,300 Dow Chemical Co....................... 227,401 250,800 1.1
4,000 du Pont (E.I.) de Nemours & Co........ 227,270 316,500 1.3
------------ ------------ ---
1,242,141 1,385,902 5.9
- -----------------------------------------------------------------------------------------------------------------------
DIVERSIFIED 10,000 Asahi Glass Co., Ltd.................. 120,000 119,591 0.5
RESOURCES 12,500 Canadian Pacific, Ltd................. 211,450 275,000 1.2
COMPANIES 5,700 Coastal Corp.......................... 163,537 237,975 1.0
16,000 Cyprus Amax Minerals Co............... 448,817 362,000 1.6
20,400 Norcen Energy Resources Ltd........... 334,743 357,882 1.5
11,500 Occidental Petroleum Corp............. 237,877 284,625 1.2
21,600 RGC Ltd............................... 83,263 104,505 0.4
------------ ------------ ---
1,599,687 1,741,578 7.4
- -----------------------------------------------------------------------------------------------------------------------
GOLD 10,000 +Amax Gold, Inc....................... 62,953 55,000 0.2
9,700 Ashanti Goldfields Co. Ltd. (GDR)**... 237,979 190,363 0.8
12,500 Cambior, Inc.......................... 170,092 165,269 0.7
88,000 +Delta Gold N.L....................... 172,875 224,996 1.0
15,500 Driefontein Consolidated Ltd.......... 239,913 207,717 0.9
42,000 +Great Central Mines N.L.............. 133,480 114,984 0.5
22,000 Newcrest Mining Ltd................... 94,671 88,268 0.4
10,513 Newmont Mining Corp................... 447,210 519,079 2.2
22,500 Placer Dome Inc....................... 544,234 537,188 2.3
13,100 Prime Resources Group, Inc............ 128,069 96,916 0.4
37,000 Santa Fe Pacific Gold Corp............ 489,411 522,625 2.2
10,000 +TVX Gold Inc......................... 81,425 72,500 0.3
------------ ------------ ---
2,802,312 2,794,905 11.9
- -----------------------------------------------------------------------------------------------------------------------
METALS & MINING 5,800 ASARCO Inc............................ 155,180 160,225 0.7
89,000 +Centaur Mining and Exploration
Ltd................................... 129,853 121,828 0.5
14,100 Falconbridge Ltd. (Installment
Receipts) (d)......................... 114,136 113,610 0.5
3,600 Inco Ltd.............................. 119,083 116,100 0.5
26,200 Industrias Penoles, S.A. de C.V....... 117,370 120,209 0.5
238,000 M.I.M. Holdings Ltd................... 487,323 307,065 1.3
7,000 +Minsur S.A........................... 55,784 62,684 0.3
54,000 Mitsubishi Materials Corp............. 273,415 293,810 1.2
22,000 Nippon Light Metal Co., Ltd........... 130,910 124,922 0.5
17,000 Noranda Inc........................... 317,713 348,044 1.5
19,000 Outokumpu OY.......................... 347,398 319,307 1.4
5,400 PT Tambang Timah (GDR)** (a).......... 66,782 98,010 0.4
45,000 Pasminco Ltd.......................... 54,109 63,369 0.3
3,600 Phelps Dodge Corp..................... 238,088 224,550 0.9
61,000 QNI Ltd............................... 122,703 136,288 0.6
32,600 RTZ Corp. PLC (The)................... 423,998 482,927 2.0
3,100 Rio Algom Ltd......................... 60,087 60,174 0.3
205,000 Savage Resources Ltd.................. 154,791 187,077 0.8
20,500 Savage Resources Ltd. (Warrants) (b) 2,720 5,241 0.0
26,000 Sumitomo Metal Mining Co., Ltd........ 216,870 225,251 1.0
19,500 Trelleborg 'B' Fria................... 254,451 243,677 1.0
80,600 WMC Ltd............................... 467,844 577,013 2.4
------------ ------------ ---
4,310,608 4,391,381 18.6
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
41
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of June 30, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
SHARES VALUE (NOTE PERCENT OF NET
INDUSTRIES HELD STOCKS COST 1A) ASSETS
- -----------------------------------------------------------------------------------------------------------------------
OIL & GAS PRODUCERS 11,100 Apache Corp........................... $ 297,017 $ 364,913 1.5%
2,300 +Belco Oil & Gas Corp................. 43,700 81,650 0.3
23,000 +Chauvco Resources Ltd................ 271,708 185,321 0.8
7,600 Enron Oil & Gas Co.................... 162,603 211,850 0.9
12,300 +Enserch Exploration, Inc............. 122,971 132,225 0.6
45,700 Enterprise Oil PLC.................... 294,330 326,430 1.4
48,800 LASMO PLC............................. 132,676 132,609 0.6
5,000 Louisiana Land and Exploration Co.
(The)................................. 194,446 288,125 1.2
15,000 Mitchell Energy & Development Corp.
(Class B)............................. 262,459 285,000 1.2
12,000 +Oryx Energy Co....................... 199,885 195,000 0.8
57,000 Ranger Oil Ltd........................ 385,100 420,375 1.8
5,800 Sonat, Inc............................ 184,082 261,000 1.1
7,000 Vastar Resources, Inc................. 191,363 261,625 1.1
------------ ------------ ---
2,742,340 3,146,123 13.3
- -----------------------------------------------------------------------------------------------------------------------
OIL-INTEGRATED 3,900 Amoco Corp............................ 214,784 282,263 1.2
4,200 British Petroleum Co. PLC (ADR)*...... 320,502 448,875 1.9
1,200 Mobil Corp............................ 123,118 134,550 0.6
1,200 OMV AG................................ 128,441 121,042 0.5
14,600 Petro-Canada (Installment Receipts)
(e)................................... 68,851 91,250 0.4
6,900 Repsol, S.A........................... 199,089 240,115 1.0
9,800 Saga Petroleum A.S.................... 128,923 144,189 0.6
10,600 Societe Nationale Elf Aquitaine (ADR)* 382,621 389,550 1.6
7,200 Total, S.A. (Class B)................. 443,124 534,297 2.3
11,000 Unocal Corp........................... 310,752 371,250 1.6
13,000 YPF, S.A. (ADR)*...................... 321,087 292,500 1.2
------------ ------------ ---
2,641,292 3,049,881 12.9
- -----------------------------------------------------------------------------------------------------------------------
OIL SERVICE 6,700 Coflexip Stena Offshore, Inc.
(ADR)*................................ 138,682 116,413 0.5
5,000 IHC Caland N.V........................ 112,286 246,190 1.0
3,200 Schlumberger Ltd...................... 206,483 269,600 1.1
------------ ------------ ---
457,451 632,203 2.6
- -----------------------------------------------------------------------------------------------------------------------
PAPER & PULP 14,400 Aracruz Celulose S.A. (ADR)*.......... 115,506 136,800 0.6
17,400 Avenor Inc............................ 346,730 281,673 1.2
8,100 Empresa Nacional de Celulosas, S.A. 119,536 115,154 0.5
6,700 Georgia-Pacific Corp.................. 513,239 475,700 2.0
5,000 International Paper Co................ 167,987 184,375 0.8
2,716 Kimberly-Clark Corp................... 68,869 209,811 0.9
30,000 Metsa Serla OY 'B'.................... 262,339 213,302 0.9
8,600 Mo Och Domsjo AB Co................... 184,768 220,114 0.9
19,000 Slocan Forest Products Ltd............ 193,171 176,751 0.7
4,620 +UPM-Kymmene Corp. (c)................ 82,074 96,057 0.4
8,100 Weyerhaeuser Co....................... 342,704 344,250 1.5
4,000 Willamette Industries, Inc............ 167,500 237,000 1.0
------------ ------------ ---
2,564,423 2,690,987 11.4
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
42
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of June 30, 1996 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
SHARES VALUE (NOTE PERCENT OF
INDUSTRIES HELD STOCKS COST 1A) NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------
PLANTATIONS 73,000 Golden Hope Plantations BHD........... $ 131,880 $ 113,569 0.5%
70,000 Kuala Lumpur Kepong BHD............... 111,705 176,824 0.7
------------ ------------ ------
243,585 290,393 1.2
- ---------------------------------------------------------------------------------------------------------------------
REFINING 22,500 Total Petroleum (North America), Ltd. 331,454 219,375 0.9
- ---------------------------------------------------------------------------------------------------------------------
STEEL 41,000 British Steel PLC..................... 107,778 104,092 0.4
69,000 +Kobe Steel Ltd....................... 200,421 198,421 0.8
6,900 Koninklijke Nederlandsche Hoogovens en
Staalfabrienken N.V................... 275,496 255,615 1.1
144,000 Nippon Steel Corp..................... 490,800 494,285 2.1
167,000 Sumitomo Metal Industries, Ltd........ 525,324 512,251 2.2
------------ ------------ ------
1,599,819 1,564,664 6.6
- ---------------------------------------------------------------------------------------------------------------------
WOOD 8,600 Louisiana-Pacific Corp................ 218,816 190,275 0.8
9,800 Riverside Forest Products Ltd......... 129,258 127,417 0.5
------------ ------------ ------
348,074 317,692 1.3
- ---------------------------------------------------------------------------------------------------------------------
TOTAL STOCKS 21,327,258 22,725,247 96.1
- ---------------------------------------------------------------------------------------------------------------------
FACE AMOUNT SHORT-TERM SECURITIES
- ---------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER*** $ 557,000 General Electric Capital Corp., 5.56%
due 7/01/1996......................... 556,742 556,742 2.4
- ---------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & 500,000 Federal Home Loan Mortgage Corp.,
AGENCY 5.28% due 8/12/1996................. 496,700 496,700 2.1
OBLIGATIONS***
- ---------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 1,053,442 1,053,442 4.5
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS..................... $ 22,380,700 23,778,689 100.6
------------
------------
(140,628) (0.6)
LIABILITIES IN EXCESS OF OTHER
ASSETS................................
------------ ------
$ 23,638,061 100.0%
NET ASSETS............................
------------
------------ ------
------
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
* American Depositary Receipt (ADR).
** Global Depositary Receipt (GDR).
*** 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 the purchase by the Portfolio.
(a) Restricted securities as to resale. The value of the Portfolio's investment
in restricted securities was approximately $98,000, representing 0.4% of
net assets.
<TABLE>
<S> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
VALUE (NOTE
ISSUE ACQUISITION DATES COST 1A)
- ------------------------------------------------------------------------------------------------------------------
PT Tambang Timah........................ 10/6/95-11/22/95 $ 66,782 $ 98,010
- ------------------------------------------------------------------------------------------------------------------
TOTAL $ 66,782 $ 98,010
----------- -----------
----------- -----------
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
(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) Created as a result of the merger of Kymmene Corporation and Repola Ltd.
(d) Receipts evidence payment by the Fund of 34% of the purchase price common
stock of Falconbridge Ltd. The Fund is obligated to pay the remaining 66%,
approximately $196,235, over the next year.
(e) Receipts evidence payment by the Fund of 42% of the purchase price common
stock of Petro-Canada. The Fund is obligated to pay the remaining 52%,
approximately $90,902 over the next year.
See Notes to Financial Statements.
43
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Assets and Liabilities as of June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at value* (Note 1a).................................... $ 96,601,506 $ 270,592,484 $ 223,287,794
Cash................................................................ 303 13,484 981
Foreign cash (Note 1f).............................................. -- 45,099 332,581
Receivable for securities sold...................................... 1,374,411 6,263,923 5,195,317
Interest receivable................................................. 629,919 -- 1,204,553
Dividends receivable................................................ 67,614 339,654 298,157
Receivable for capital shares sold.................................. 1,133 35,949 97,820
Receivable for forward foreign exchange contracts (Note 1e)......... -- 93,577 199,612
Receivable for loaned securities (Note 7)........................... -- -- --
Prepaid registration fees and other assets (Note 1d)................ 4,248 -- 2,773
------------- ------------- -------------
Total assets........................................................ 98,679,134 277,384,170 230,619,588
------------- ------------- -------------
LIABILITIES:
Payable for securities purchased.................................... 1,112,137 5,773,862 4,206,720
Payable for capital shares redeemed................................. 110,913 657,640 339,340
Payable for forward foreign exchange contracts (Note 1e)............ -- 98,386 321,873
Payable to investment adviser (Note 2).............................. 24,802 68,459 57,501
Payable for dividends to shareholders (Note 1g)..................... -- -- --
Accrued expenses and other liabilities.............................. 29,130 90,579 92,806
------------- ------------- -------------
Total liabilities................................................... 1,276,982 6,688,926 5,018,240
------------- ------------- -------------
NET ASSETS.......................................................... $ 97,402,152 $ 270,695,244 $ 225,601,348
------------- ------------- -------------
------------- ------------- -------------
NET ASSETS CONSIST OF:
Common Stock, $0.10 par value+...................................... $ 666,480 $ 1,266,865 $ 1,468,368
Paid-in capital in excess of par.................................... 83,915,925 241,859,251 205,803,386
Undistributed (accumulated) investment income (loss)--net........... 1,808,873 3,230,963 (902,264)
Undistributed (accumulated) realized capital gains (losses) on
investments and foreign currency transactions--net (Note 5).......... 4,443,622 5,341,368 3,194,704
Unrealized appreciation (depreciation) on investments and foreign
currency transactions--net........................................... 6,567,252 18,996,797 16,037,154
------------- ------------- -------------
NET ASSETS.......................................................... $ 97,402,152 $ 270,695,244 $ 225,601,348
------------- ------------- -------------
------------- ------------- -------------
Capital shares outstanding.......................................... 6,664,799 12,668,651 14,683,682
------------- ------------- -------------
------------- ------------- -------------
Net asset value, offering and redemption price per share............ $ 14.61 $ 21.37 $ 15.36
------------- ------------- -------------
------------- ------------- -------------
*Identified cost..................................................... $ 90,034,254 $ 251,591,729 $ 207,245,807
------------- ------------- -------------
------------- ------------- -------------
+Authorized shares................................................... 100,000,000 100,000,000 100,000,000
------------- ------------- -------------
------------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
44
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
INTERMEDIATE LONG TERM
GOVERNMENT CORPORATE MULTIPLE NATURAL
GROWTH STOCK HIGH YIELD BOND BOND MONEY RESERVE STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------
$ 221,865,824 $ 99,787,125 $ 220,029,098 $ 116,492,252 $ 552,231,853 $1,156,425,323 $ 23,778,689
212 458 488 2,574 1,175 618 --
-- -- -- -- -- 618,622 10,774
-- -- -- -- 464,108 27,370,115 --
-- 1,955,563 3,755,522 1,950,178 2,214,902 4,891,942 --
224,401 -- -- -- -- 1,304,365 63,992
99,615 133,928 -- 75,106 869,014 -- --
-- -- -- -- -- 538,284 --
-- -- 2,411 -- -- -- --
6,800 4,941 11,120 5,387 7,294 46,960 885
- ------------- ------------- ------------- ------------- -------------- -------------- -------------
222,196,852 101,882,015 223,798,639 118,525,497 555,788,346 1,191,196,229 23,854,340
- ------------- ------------- ------------- ------------- -------------- -------------- -------------
1,087,552 36,996 -- -- -- 23,695,864 --
292,975 49,984 208,768 6,180 429,094 1,048,989 177,316
-- -- -- -- -- 340,413 --
54,561 26,229 55,794 29,550 139,652 295,176 5,871
-- -- -- -- 701 -- --
44,570 36,324 66,106 35,870 161,371 328,322 33,092
- ------------- ------------- ------------- ------------- -------------- -------------- -------------
1,479,658 149,533 330,668 71,600 730,818 25,708,764 216,279
- ------------- ------------- ------------- ------------- -------------- -------------- -------------
$ 220,717,194 $ 101,732,482 $ 223,467,971 $ 118,453,897 $ 555,057,528 $1,165,487,465 $ 23,638,061
- ------------- ------------- ------------- ------------- -------------- -------------- -------------
- ------------- ------------- ------------- ------------- -------------- -------------- -------------
$ 856,822 $ 1,137,659 $ 2,068,797 $ 1,042,375 $ 55,532,159 $ 7,307,284 $ 270,088
173,426,522 107,121,343 230,467,202 119,386,610 499,789,427 1,052,836,078 32,496,015
1,199,325 786,029 1,199,216 628,848 -- 20,324,293 282,196
10,119,414 (2,649,984) (10,152,733) (2,136,315) -- 14,970,478 (10,807,809)
35,115,111 (4,662,565) (114,511) (467,621) (264,058) 70,049,332 1,397,571
- ------------- ------------- ------------- ------------- -------------- -------------- -------------
$ 220,717,194 $ 101,732,482 $ 223,467,971 $ 118,453,897 $ 555,057,528 $1,165,487,465 $ 23,638,061
- ------------- ------------- ------------- ------------- -------------- -------------- -------------
- ------------- ------------- ------------- ------------- -------------- -------------- -------------
8,568,217 11,376,595 20,687,971 10,423,748 555,321,585 73,072,844 2,700,882
- ------------- ------------- ------------- ------------- -------------- -------------- -------------
- ------------- ------------- ------------- ------------- -------------- -------------- -------------
$ 25.76 $ 8.94 $ 10.80 $ 11.36 $ 1.00 $ 15.95 $ 8.75
- ------------- ------------- ------------- ------------- -------------- -------------- -------------
- ------------- ------------- ------------- ------------- -------------- -------------- -------------
$ 186,750,713 $ 104,449,690 $ 220,143,609 $ 116,959,873 $ 552,495,911 $1,086,371,894 $ 22,380,700
- ------------- ------------- ------------- ------------- -------------- -------------- -------------
- ------------- ------------- ------------- ------------- -------------- -------------- -------------
100,000,000 100,000,000 100,000,000 100,000,000 2,000,000,000 300,000,000 100,000,000
- ------------- ------------- ------------- ------------- -------------- -------------- -------------
- ------------- ------------- ------------- ------------- -------------- -------------- -------------
</TABLE>
45
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Operations for the Six Months Ended June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME (NOTES 1B & 1C):
Interest and discount earned*....................................... $ 1,573,409 $ 1,870,708 $ 2,821,005
Dividends*.......................................................... 422,798 1,897,346 1,197,029
Other income........................................................ -- -- --
------------- ------------- -------------
Total income........................................................ 1,996,207 3,768,054 4,018,034
------------- ------------- -------------
EXPENSES:
Investment advisory fees (Note 2)................................... 160,883 432,389 367,252
Custodian fees...................................................... 11,891 33,122 49,589
Accounting services (Note 2)........................................ 3,927 24,388 23,982
Professional fees................................................... 5,109 7,124 7,055
Printing and shareholder reports.................................... 123 3,994 4,373
Transfer agent fees (Note 2)........................................ 3,195 2,466 2,977
Pricing services.................................................... 365 21 4,087
Directors' fees and expenses........................................ 622 1,065 1,003
Registration fees (Note 1d)......................................... 5 681 10
Other............................................................... 1,214 3,949 2,371
------------- ------------- -------------
Total expenses before reimbursement................................. 187,334 509,199 462,699
Reimbursement of expenses (Note 2).................................. -- -- --
------------- ------------- -------------
Expenses after reimbursement........................................ 187,334 509,199 462,699
------------- ------------- -------------
Investment income--net.............................................. 1,808,873 3,258,855 3,555,335
------------- ------------- -------------
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS & FOREIGN CURRENCY
TRANSACTIONS--NET (NOTES 1C, 1E, 1F & 3):
Realized gain (loss) on investments--net............................ 4,443,637 5,392,952 3,139,066
Realized gain (loss) on foreign currency transactions--net. -- (51,563) 3,465,184
Change in unrealized appreciation/depreciation on
investments--net..................................................... (3,890,350) 6,012,655 2,584,180
Change in unrealized appreciation/depreciation on foreign currency
transactions......................................................... -- (3,587) (3,915,756)
------------- ------------- -------------
Total realized and unrealized gain (loss) on investments and foreign
currency transactions--net........................................... 553,287 11,350,457 5,272,674
------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..... $ 2,362,160 $ 14,609,312 $ 8,828,009
------------- ------------- -------------
------------- ------------- -------------
*Net of withholding tax.............................................. $ 405 $ 56,901 $ 102,562
------------- ------------- -------------
------------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
INTERMEDIATE LONG TERM
GOVERNMENT CORPORATE MULTIPLE NATURAL
GROWTH STOCK HIGH YIELD BOND BOND MONEY RESERVE STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- -------------------------------------------------------------------------------------------------------
$ 334,389 $ 5,430,570 $ 8,320,996 $ 4,368,985 $ 15,429,737 $ 15,879,510 $ 48,083
1,243,091 58,725 -- -- -- 6,536,475 292,757
-- -- 24,386 22,344 -- 86,448 --
- ------------- ------------- ------------- ------------- ------------- ------------- -------------
1,577,480 5,489,295 8,345,382 4,391,329 15,429,737 22,502,433 340,840
- ------------- ------------- ------------- ------------- ------------- ------------- -------------
329,875 177,005 378,302 198,326 921,439 1,919,463 38,330
12,790 12,799 22,398 16,909 16,413 83,890 12,975
17,721 2,656 15,422 7,856 53,261 108,065 3,018
5,172 5,052 9,996 5,709 21,230 21,584 2,640
2,409 401 -- 57 7,329 18,571 410
2,244 2,677 3,452 3,028 2,759 2,505 2,818
573 3,909 1,038 3,109 -- 2,363 1,581
715 550 1,442 714 -- 4,845 178
4,091 91 13 6 -- 49 25
2,656 1,120 2,447 1,378 -- 11,082 619
- ------------- ------------- ------------- ------------- ------------- ------------- -------------
378,246 206,260 434,510 237,092 1,022,431 2,172,417 62,594
-- -- -- -- -- -- (4,317)
- ------------- ------------- ------------- ------------- ------------- ------------- -------------
378,246 206,260 434,510 237,092 1,022,431 2,172,417 58,277
- ------------- ------------- ------------- ------------- ------------- ------------- -------------
1,199,234 5,283,035 7,910,872 4,154,237 14,407,306 20,330,016 282,563
- ------------- ------------- ------------- ------------- ------------- ------------- -------------
10,215,325 854,166 (1,409,492) 704,802 25,389 15,701,191 706,863
-- -- -- -- -- (730,646) (4,057)
8,023,103 (1,273,454) (11,405,376) (7,572,935) (504,974) 16,984,905 764,418
-- -- -- -- -- (2,760) (902)
- ------------- ------------- ------------- ------------- ------------- ------------- -------------
18,238,428 (419,288) (12,814,868) (6,868,133) (479,585) 31,952,690 1,466,322
- ------------- ------------- ------------- ------------- ------------- ------------- -------------
$ 19,437,662 $ 4,863,747 $ (4,903,996) $ (2,713,896) $ 13,927,721 $ 52,282,706 $ 1,748,885
- ------------- ------------- ------------- ------------- ------------- ------------- -------------
- ------------- ------------- ------------- ------------- ------------- ------------- -------------
$ 16,343 -- -- -- -- $ 380,632 $ 27,766
- ------------- ------------- ------------- ------------- ------------- ------------- -------------
- ------------- ------------- ------------- ------------- ------------- ------------- -------------
</TABLE>
47
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C>
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: 1996 1995 1996 1995
- -----------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income--net.............................. $ 1,808,873 $ 3,855,679 $ 3,258,855 $ 4,310,132
Realized gain (loss) on investments and foreign
currency transactions--net........................... 4,443,637 1,979,502 5,341,389 36,802,837
Change in unrealized appreciation/depreciation on
investments--net..................................... (3,890,350) 10,823,009 6,012,655 1,642,669
Change in unrealized appreciation/depreciation on
foreign currency transactions--net................... -- -- (3,587) (941)
------------- ------------- ------------- -------------
Net increase in net assets resulting from
operations........................................... 2,362,160 16,658,190 14,609,312 42,754,697
------------- ------------- ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1G):
Investment income--net.............................. (1,945,845) (3,730,461) (2,287,745) (3,382,544)
Realized gain on investments--net................... (1,979,516) (2,637,146) (36,850,217) (14,631,128)
------------- ------------- ------------- -------------
Net decrease in net assets resulting from dividends
and distributions to shareholders.................... (3,925,361) (6,367,607) (39,137,962) (18,013,672)
------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS (NOTE 4):
Net increase (decrease) in net assets derived from
capital share transactions........................... 1,784,676 10,996,845 42,267,000 21,568,591
------------- ------------- ------------- -------------
NET ASSETS:
Total increase (decrease) in net assets............. 221,475 21,287,428 17,738,350 46,309,616
Beginning of period................................. 97,180,677 75,893,249 252,956,894 206,647,278
------------- ------------- ------------- -------------
End of period*...................................... $ 97,402,152 $ 97,180,677 $ 270,695,244 $ 252,956,894
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
*Undistributed (accumulated) investment income
(loss)-- net....................................... $ 1,808,873 $ 1,945,845 $ 3,230,963 $ 2,259,853
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
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,
1996 1995 1996 1995 1996 1995
- ----------------------------------------------------------------------------------------
$ 3,555,335 $ 7,504,068 $ 1,199,234 $ 1,128,152 $ 5,283,035 $ 9,814,780
6,604,250 (4,123,221) 10,215,325 4,620,788 854,166 706,980
2,584,180 13,582,800 8,023,103 35,345,568 (1,273,454) 4,364,959
(3,915,756) 3,657,038 -- -- -- --
- ------------- ------------- ------------- ------------- ------------- -------------
8,828,009 20,620,685 19,437,662 41,094,508 4,863,747 14,886,719
- ------------- ------------- ------------- ------------- ------------- -------------
(5,458,261) (8,032,457) (765,756) (1,291,070) (5,429,588) (9,775,052)
(1,312,483) (3,043,742) (4,499,465) (6,299,419) -- --
- ------------- ------------- ------------- ------------- ------------- -------------
(6,770,744) (11,076,199) (5,265,221) (7,590,489) (5,429,588) (9,775,052)
- ------------- ------------- ------------- ------------- ------------- -------------
10,861,344 (20,354,990) 22,392,321 48,946,799 (5,079,825) 19,845,461
- ------------- ------------- ------------- ------------- ------------- -------------
12,918,609 (10,810,504) 36,564,762 82,450,818 (5,645,666) 24,957,128
212,682,739 223,493,243 184,152,432 101,701,614 107,378,148 82,421,020
- ------------- ------------- ------------- ------------- ------------- -------------
$ 225,601,348 $ 212,682,739 $ 220,717,194 $ 184,152,432 $ 101,732,482 $ 107,378,148
- ------------- ------------- ------------- ------------- ------------- -------------
- ------------- ------------- ------------- ------------- ------------- -------------
$ (902,264) $ 1,000,662 $ 1,199,325 $ 765,847 $ 786,029 $ 932,582
- ------------- ------------- ------------- ------------- ------------- -------------
- ------------- ------------- ------------- ------------- ------------- -------------
</TABLE>
49
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C>
INTERMEDIATE GOVERNMENT LONG TERM CORPORATE
BOND PORTFOLIO BOND 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: 1996 1995 1996 1995
- -----------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income--net.............................. $ 7,910,872 $ 16,310,570 $ 4,154,237 $ 8,599,710
Realized gain (loss) on investments and foreign
currency transactions--net........................... (1,409,492) 791,779 704,802 2,060,856
Change in unrealized appreciation/depreciation on
investments--net..................................... (11,405,376) 22,085,928 (7,572,935) 11,337,819
Change in unrealized appreciation/depreciation on
foreign currency transactions--net................... -- -- -- --
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting from
operations........................................... (4,903,996) 39,188,277 (2,713,896) 21,998,385
------------- ------------- ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1G):
Investment income--net.............................. (7,980,377) (16,342,303) (4,185,434) (8,570,923)
Realized gain on investments--net................... -- -- -- --
------------- ------------- ------------- -------------
Net decrease in net assets resulting from dividends
and distributions to shareholders.................... (7,980,377) (16,342,303) (4,185,434) (8,570,923)
------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS (NOTE 4):
Net increase (decrease) in net assets derived from
capital share transactions........................... (2,987,664) (2,116,693) 320,343 (272,791)
------------- ------------- ------------- -------------
NET ASSETS:
Total increase (decrease) in net assets............. (15,872,037) 20,729,281 (6,578,987) 13,154,671
Beginning of period................................. 239,340,008 218,610,727 125,032,884 111,878,213
------------- ------------- ------------- -------------
End of period*...................................... $ 223,467,971 $ 239,340,008 $ 118,453,897 $ 125,032,884
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
*Undistributed investment income--net................ $ 1,199,216 $ 1,268,721 $ 628,848 $ 660,045
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
MONEY RESERVE MULTIPLE STRATEGY NATURAL RESOURCES
PORTFOLIO PORTFOLIO 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,
1996 1995 1996 1995 1996 1995
- ------------------------------------------------------------------------------------------
$ 14,407,306 $ 31,760,188 $ 20,330,016 $ 38,707,984 $ 282,563 $ 484,231
25,389 271,802 14,970,545 117,255,473 702,806 767,873
(504,974) 916,942 16,984,905 25,713,410 764,418 1,550,026
-- -- (2,760) (20,714) (902) 440
- ------------- ------------- -------------- -------------- ------------- -------------
13,927,721 32,948,932 52,282,706 181,656,153 1,748,885 2,802,570
- ------------- ------------- -------------- -------------- ------------- -------------
(14,407,306) (31,760,188) (21,720,112) (32,928,344) (209,150) (474,128)
(25,389) (271,802) (113,303,778) (72,889,967) -- --
- ------------- ------------- -------------- -------------- ------------- -------------
(14,432,695) (32,031,990) (135,023,890) (105,818,311) (209,150) (474,128)
- ------------- ------------- -------------- -------------- ------------- -------------
(12,876,429) (16,470,480) 78,872,113 11,435,787 1,063,589 (2,748,349)
- ------------- ------------- -------------- -------------- ------------- -------------
(13,381,403) (15,553,538) (3,869,071) 87,273,629 2,603,324 (419,907)
568,438,931 583,992,469 1,169,356,536 1,082,082,907 21,034,737 21,454,644
- ------------- ------------- -------------- -------------- ------------- -------------
$ 555,057,528 $ 568,438,931 $1,165,487,465 $1,169,356,536 $ 23,638,061 $ 21,034,737
- ------------- ------------- -------------- -------------- ------------- -------------
- ------------- ------------- -------------- -------------- ------------- -------------
-- -- $ 20,324,293 $ 21,714,389 $ 282,196 $ 208,783
- ------------- ------------- -------------- -------------- ------------- -------------
- ------------- ------------- -------------- -------------- ------------- -------------
</TABLE>
51
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
BALANCED PORTFOLIO
----------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, ------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 1996 1995 1994 1993 1992
- ---------------------------------------------------------------------------------------------------------------------
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.................. $ 14.86 $ 13.27 $ 14.62 $ 13.70 $ 13.29
-------------- --------- --------- --------- ---------
Investment income--net................................ .27 .60 .61 .50 .47
Realized and unrealized gain (loss) on investments and
foreign currency transactions--net....................... .08 2.07 (1.21) 1.35 .38
-------------- --------- --------- --------- ---------
Total from investment operations...................... .35 2.67 (.60) 1.85 .85
-------------- --------- --------- --------- ---------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income--net................................ (.30) (.62) (.53) (.75) (.26)
Realized gain on investments--net..................... (.30) (.46) (.22) (.18) (.18)
-------------- --------- --------- --------- ---------
Total dividends and distributions..................... (.60) (1.08) (.75) (.93) (.44)
-------------- --------- --------- --------- ---------
Net asset value, end of period........................ $ 14.61 $ 14.86 $ 13.27 $ 14.62 $ 13.70
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
TOTAL INVESTMENT RETURN:**
Based on net asset value per share.................... 2.45%++ 21.59% (4.28%) 14.31% 6.67%
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of reimbursement........................ .38%* .38% .40% .43% .48%
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
Expenses.............................................. .38%* .38% .40% .43% .48%
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
Investment income--net................................ 3.69%* 4.47% 4.28% 3.72% 4.40%
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands).............. $ 97,402 $ 97,181 $ 75,893 $ 88,018 $ 56,080
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
Portfolio turnover.................................... 109.47% 32.92% 46.94% 25.38% 33.15%
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
Average commission rate paid++........................ $ .0615 -- -- -- --
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
</TABLE>
---------------------
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the period.
++ Aggregate total investment return.
++ For fiscal years beginning on or after September 1, 1995, the Portfolios are
required to disclose its average commission rate per share for purchases and
sales of equity securities.
See Notes to Financial Statements.
52
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CAPITAL STOCK PORTFOLIO GLOBAL STRATEGY PORTFOLIO
- ---------------------------------------------------------- ----------------------------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, ------------------------------------------ JUNE 30, ------------------------------------------
1996+ 1995 1994 1993 1992 1996+ 1995+ 1994 1993 1992
- ----------------------------------------------------------------------------------------------------------------------
$ 23.88 $ 21.64 $ 25.73 $ 23.22 $ 23.39 $ 15.25 $ 14.54 $ 15.42 $ 13.23 $ 13.16
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
.26 .41 .29 .33 .39 .24 .52 .47 .36 .39
.93 3.70 (1.50) 3.41 .16 .35 .94 (.71) 2.61 (.01)
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
1.19 4.11 (1.21) 3.74 .55 .59 1.46 (.24) 2.97 .38
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
(.22) (.34) (.28) (.59) (.20) (.39) (.55) (.41) (.60) (.17)
(3.48) (1.53) (2.60) (.64) (.52) (.09) (.20) (.23) (.18) (.14)
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
(3.70) (1.87) (2.88) (1.23) (.72) (.48) (.75) (.64) (.78) (.31)
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
$ 21.37 $ 23.88 $ 21.64 $ 25.73 $ 23.22 $ 15.36 $ 15.25 $ 14.54 $ 15.42 $ 13.23
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
5.80%++ 20.73% (5.12%) 17.01% 2.47% 4.02%++ 10.44% (1.62%) 23.73% 3.00%
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
.39%* .41% .39% .38% .41% .42%* .44% .48% .45% .50%
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
.39%* .41% .39% .38% .41% .42%* .44% .48% .46% .54%
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
2.48%* 1.98% 1.32% 1.43% 1.89% 3.23%* 3.59% 3.22% 3.27% 3.84%
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
$ 270,695 $ 252,957 $ 206,647 $ 223,971 $ 202,417 $ 225,601 $ 212,683 $ 223,493 $ 182,672 $ 52,599
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
37.20% 130.54% 71.19% 100.12% 74.89% 77.06% 26.81% 27.31% 30.53% 43.56%
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
$ .0343 -- -- -- -- $ .0304 -- -- -- --
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
</TABLE>
53
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
GROWTH STOCK PORTFOLIO
----------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, ------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 1996 1995 1994 1993 1992
- -----------------------------------------------------------------------------------------------------------------
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.............. $ 24.06 $ 19.20 $ 24.65 $ 23.98 $ 23.31
-------------- --------- --------- --------- ---------
Investment income--net............................ .14 .15 .31 .32 .26
Realized and unrealized gain (loss) on investments
and foreign currency transactions--net............... 2.25 6.13 (1.81) 1.63 .53
-------------- --------- --------- --------- ---------
Total from investment operations.................. 2.39 6.28 (1.50) 1.95 .79
-------------- --------- --------- --------- ---------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income--net............................ (.10) (.23) (.30) (.41) (.12)
Realized gain on investments--net................. (.59) (1.19) (3.65) (.87) --
-------------- --------- --------- --------- ---------
Total dividends and distributions................. (.69) (1.42) (3.95) (1.28) (.12)
-------------- --------- --------- --------- ---------
Net asset value, end of period.................... $ 25.76 $ 24.06 $ 19.20 $ 24.65 $ 23.98
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
TOTAL INVESTMENT RETURN:**
Based on net asset value per share................ 10.20%++ 35.35% (6.93%) 8.63% 3.40%
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of reimbursement.................... .38%* .38% .40% .38% .42%
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
Expenses.......................................... .38%* .38% .40% .38% .42%
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
Investment income--net............................ 1.19%* .82% 1.53% 1.35% 1.32%
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands).......... $ 220,717 $ 184,152 $ 101,702 $ 122,836 $ 139,062
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
Portfolio turnover................................ 32.86% 87.66% 102.96% 160.29% 87.25%
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
Average commission rate paid++.................... $ .0623 -- -- -- --
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
</TABLE>
---------------------
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the period.
++ Aggregate total investment return.
++ For fiscal years beginning on or after September 1, 1995, the Portfolios are
required to disclose its average commission rate per share for purchases and
sales of equity securities.
See Notes to Financial Statements.
54
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C>
HIGH YIELD PORTFOLIO
- ----------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, ------------------------------------------
1996+ 1995+ 1994 1993 1992
- ----------------------------------------------------------
$ 8.99 $ 8.53 $ 9.68 $ 9.10 $ 8.44
- -------------- --------- --------- --------- ---------
.44 .93 1.00 .94 1.03
(.04) .46 (1.17) .62 .64
- -------------- --------- --------- --------- ---------
.40 1.39 (.17) 1.56 1.67
- -------------- --------- --------- --------- ---------
(.45) (.93) (.98) (.98) (1.01)
-- -- -- -- --
- -------------- --------- --------- --------- ---------
(.45) (.93) (.98) (.98) (1.01)
- -------------- --------- --------- --------- ---------
$ 8.94 $ 8.99 $ 8.53 $ 9.68 $ 9.10
- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- ---------
4.53%++ 17.12% (1.88%) 18.11% 20.63%
- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- ---------
.38%* .38% .41% .43% .44%
- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- ---------
.38%* .38% .41% .43% .44%
- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- ---------
9.80%* 10.25% 10.88% 10.17% 11.45%
- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- ---------
$ 101,732 $ 107,378 $ 82,421 $ 94,739 $ 68,034
- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- ---------
24.95% 63.39% 63.43% 73.01% 83.95%
- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- ---------
-- -- -- -- --
- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- ---------
</TABLE>
55
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
INTERMEDIATE GOVERNMENT PORTFOLIO
----------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, ------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 1996+ 1995+ 1994+ 1993 1992
- -----------------------------------------------------------------------------------------------------------------
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.............. $ 11.41 $ 10.32 $ 12.02 $ 11.75 $ 11.79
-------------- --------- --------- --------- ---------
Investment income--net............................ .38 .78 .75 .83 .83
Realized and unrealized gain (loss) on investments
and foreign currency transactions--net............... (.61) 1.10 (1.30) .50 (.04)
-------------- --------- --------- --------- ---------
Total from investment operations.................. (.23) 1.88 (.55) 1.33 .79
-------------- --------- --------- --------- ---------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income--net............................ (.38) (.79) (.75) (.84) (.83)
Realized gain on investments--net................. -- -- (.39) (.22) --
In excess of realized gain on investments--net.... -- -- (.01) -- --
-------------- --------- --------- --------- ---------
Total dividends and distributions................. (.38) (.79) (1.15) (1.06) (.83)
-------------- --------- --------- --------- ---------
Net asset value, end of period.................... $ 10.80 $ 11.41 $ 10.32 $ 12.02 $ 11.75
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
TOTAL INVESTMENT RETURN:**
Based on net asset value per share................ (2.03%)++ 18.87% (4.78%) 11.20% 7.03%
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
RATIOS TO AVERAGE NET ASSETS:
Expenses.......................................... .38%* .38% .37% .36% .40%
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
Investment income--net............................ 6.86%* 7.22% 6.89% 6.42% 7.03%
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
Investment income--net, and realized gain on
investments--net..................................... -- -- -- -- --
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands).......... $ 223,468 $ 239,340 $ 218,611 $ 284,495 $ 269,254
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
Portfolio turnover................................ 11.61% 57.38% 140.55% 113.61% 80.54%
-------------- --------- --------- --------- ---------
-------------- --------- --------- --------- ---------
</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>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
LONG TERM CORPORATE BOND PORTFOLIO MONEY RESERVE PORTFOLIO
- ---------------------------------------------------------- ----------------------------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31, MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, ------------------------------------------ JUNE 30, ------------------------------------------
1996+ 1995+ 1994+ 1993 1992 1996 1995 1994 1993 1992
- ----------------------------------------------------------------------------------------------------------------------
$ 12.02 $ 10.72 $ 12.59 $ 12.07 $ 12.06 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
.40 .83 .81 .83 .90 .03 .06 .04 .03 .04
(.66) 1.30 (1.42) .68 .02 -- -- -- -- --
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
(.26) 2.13 (.61) 1.51 .92 .03 .06 .04 .03 .04
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
(.40) (.83) (.82) (.83) (.91) (.03) (.06) (.04) (.03) (.04)
-- -- (.44) (.16) -- -- -- -- -- --
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
(.40) (.83) (1.26) (.99) (.91) (.03) (.06) (.04) (.03) (.04)
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
$ 11.36 $ 12.02 $ 10.72 $ 12.59 $ 12.07 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
(2.18%)++ 20.66% (5.14%) 13.01% 8.05% 2.19%* 5.81% 4.04% 3.08% 3.77%
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
.39%* .40% .39% .38% .43% .36%* .35% .36% .36% .39%
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
6.87%* 7.32% 7.16% 6.65% 7.51% -- -- -- -- --
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
-- -- -- -- -- 5.14%* 5.67% 4.00% 3.03% 3.77%
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
$ 118,454 $ 125,033 $ 111,878 $ 139,321 $ 126,864 $ 555,058 $ 568,439 $ 583,992 $ 546,710 $ 647,190
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
46.62% 110.49% 134.53% 110.53% 93.10% -- -- -- -- --
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- --------- -------------- --------- --------- --------- ---------
</TABLE>
57
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
MULTIPLE STRATEGY PORTFOLIO
------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 1996+ 1995+ 1994+ 1993 1992
- ------------------------------------------------------------------------------------------------------------------
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....... $ 17.24 $ 16.22 $ 19.84 $ 18.70 $ 18.32
-------------- ----------- ----------- ----------- -----------
Investment income--net..................... .28 .56 .50 .54 .61
Realized and unrealized gain (loss) on
investments and foreign currency
transactions--net............................. .42 2.03 (1.39) 2.30 .17
-------------- ----------- ----------- ----------- -----------
Total from investment operations........... .70 2.59 (.89) 2.84 .78
-------------- ----------- ----------- ----------- -----------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income--net..................... (.32) (.48) (.57) (.88) (.32)
Realized gain on investments--net.......... (1.67) (1.09) (2.16) (.82) (.08)
-------------- ----------- ----------- ----------- -----------
Total dividends and distributions.......... (1.99) (1.57) (2.73) (1.70) (.40)
-------------- ----------- ----------- ----------- -----------
Net asset value, end of period............. $ 15.95 $ 17.24 $ 16.22 $ 19.84 $ 18.70
-------------- ----------- ----------- ----------- -----------
-------------- ----------- ----------- ----------- -----------
TOTAL INVESTMENT RETURN:**
Based on net asset value per share......... 4.55%++ 17.55% (5.05%) 16.66% 4.35%
-------------- ----------- ----------- ----------- -----------
-------------- ----------- ----------- ----------- -----------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of reimbursement............. .37%* .38% .38% .36% .40%
-------------- ----------- ----------- ----------- -----------
-------------- ----------- ----------- ----------- -----------
Expenses................................... .37%* .38% .38% .36% .40%
-------------- ----------- ----------- ----------- -----------
-------------- ----------- ----------- ----------- -----------
Investment income--net..................... 3.48%* 3.44% 2.97% 2.91% 3.26%
-------------- ----------- ----------- ----------- -----------
-------------- ----------- ----------- ----------- -----------
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands)... $ 1,165,487 $ 1,169,357 $ 1,082,083 $ 1,237,336 $ 1,137,022
-------------- ----------- ----------- ----------- -----------
-------------- ----------- ----------- ----------- -----------
Portfolio turnover......................... 59.14% 140.83% 68.12% 91.08% 67.71%
-------------- ----------- ----------- ----------- -----------
-------------- ----------- ----------- ----------- -----------
Average commission rate paid++............. $ .0368 -- -- -- --
-------------- ----------- ----------- ----------- -----------
-------------- ----------- ----------- ----------- -----------
</TABLE>
---------------------
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the period.
++ Aggregate total investment return.
++ For fiscal years beginning on or after September 1, 1995, the Portfolios are
required to disclose its average commission rate per share for purchases and
sales of equity securities.
See Notes to Financial Statements.
58
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C>
NATURAL RESOURCES PORTFOLIO
- ----------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, ------------------------------------------
1996+ 1995 1994 1993 1992
- ----------------------------------------------------------
$ 8.17 $ 7.43 $ 7.53 $ 7.01 $ 7.04
- -------------- --------- --------- --------- ---------
.10 .17 .17 .13 .21
.56 .73 (.10) .66 (.12)
- -------------- --------- --------- --------- ---------
.66 .90 .07 .79 .09
- -------------- --------- --------- --------- ---------
(.08) (.16) (.17) (.27) (.12)
-- -- -- -- --
- -------------- --------- --------- --------- ---------
(.08) (.16) (.17) (.27) (.12)
- -------------- --------- --------- --------- ---------
$ 8.75 $ 8.17 $ 7.43 $ 7.53 $ 7.01
- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- ---------
8.16%++ 12.22% .88% 11.65% 1.35%
- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- ---------
.50%* .47% .50% .50% .50%
- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- ---------
.54%* .47% .59% .59% .82%
- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- ---------
2.42%* 1.99% 2.23% 2.00% 2.84%
- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- ---------
$ 23,638 $ 21,035 $ 21,455 $ 18,437 $ 7,987
- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- ---------
15.99% 38.50% 48.16% 65.26% 32.14%
- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- ---------
$ .0218 -- -- -- --
- -------------- --------- --------- --------- ---------
- -------------- --------- --------- --------- ---------
</TABLE>
59
<PAGE>
- --------------------------------------------------------------------------------
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 last available bid price prior to the time of
valuation. 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 written are valued at the last sale price in the case of exchange-traded
options or, in the case of options traded in the over-the-counter market, the
last asked price. Options purchased are valued at the last sale price in the
case of exchange-traded options or, in the case of options traded in the
over-the-counter market, the last bid price. 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 Portfolios 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.
60
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
(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.
o 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.
o 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.
o Options -- Certain Portolios 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.
o Financial futures contracts -- Multiple Strategy and Natural Resources
Portfolios may purchase or sell interest rate futures contracts and options on
such futures contracts for the purpose of hedging the market risk on existing
securities or the intended purchase of securities. Futures contracts are
contracts for delayed delivery of securities at a specific future date and at a
specific price or yield. Upon entering into a contract, the Portfolio deposits
and maintains as collateral such initial margin as required by the exchange on
which the transaction is effected. Pursuant to the contract, the Portfolio
agrees to receive from or pay to the broker an amount of cash equal to the daily
fluctuation in the value of the contract. Such receipts or payments are known as
variation margin and are recorded by the Portfolio as unrealized gains or
losses. When the contract is closed, the Portfolio records a realized gain or
loss equal to the difference between the value of the contract at the time it
was opened and the value at the time it was closed.
(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.
61
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
(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 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 Portfolios' 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, MLAM 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, MLAM, Merrill Lynch Life Agency, Inc. and Monarch
Life Insurance Co. ("Monarch") entered into an agreement which provided that
Monarch will reimburse the Fund's 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. For the six months
ended June 30, 1996, the Natural Resources Portfolio was reimbursed in the
amount of $4,317 pursuant to this agreement.
Merrill Lynch, Pierce, Fenner & Smith Inc. ("MLPF&S"), a subsidiary of ML & Co.,
earned commissions on the execution of portfolio security transactions
aggregating $480 in the Balanced Portfolio, $19,798 in the Capital Stock
Portfolio, $12,086 in the Global Strategy Portfolio, $7,200 in the Growth Stock
Portfolio, $1,250 in the High Yield Portfolio, $62,584 in the Multiple Strategy
Portfolio, and $1,146 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, 1996, Merrill Lynch Security Pricing
Service, an affiliate of MLPF&S, was paid by Balanced Portfolio $163; Global
Strategy Portfolio $63; High Yield Portfolio $2,048; Intermediate Government
Portfolio $1,680; Long-Term Corporate Bond Portfolio $798; and Multiple Strategy
Portfolio $38 for security price quotations to compute the net asset value of
the Portfolios.
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.
62
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
3. INVESTMENTS:
Purchases and sales of investments, excluding short-term securities for the six
months ended June 30, 1996, were as follows:
<TABLE>
<S> <C> <C> <C> <C> <C>
CAPITAL GLOBAL GROWTH HIGH
BALANCED STOCK STRATEGY STOCK YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------------------------------------------------------
Total Purchases......................... $ 98,379,352 $ 172,547,052 $ 213,793,297 $ 90,370,370 $ 23,929,401
------------ ------------- ------------- ------------- ------------
------------ ------------- ------------- ------------- ------------
Total Sales............................. $ 87,659,230 $ 74,153,238 $ 133,070,884 $ 63,537,964 $ 27,450,322
------------ ------------- ------------- ------------- ------------
------------ ------------- ------------- ------------- ------------
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
INTERMEDIATE LONG TERM
GOVERNMENT CORPORATE MULTIPLE NATURAL
BOND BOND STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------
Total Purchases........................................... $ 26,033,906 $ 51,523,617 $ 978,953,876 $ 5,137,520
------------ ------------ ------------- -----------
------------ ------------ ------------- -----------
Total Sales............................................... $ 25,352,444 $ 52,532,228 $ 496,476,833 $ 3,501,396
------------ ------------ ------------- -----------
------------ ------------ ------------- -----------
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
As of June 30, 1996, unrealized appreciation/depreciation for Federal income tax
purposes were as follows:
<TABLE>
<S> <C> <C> <C> <C> <C>
CAPITAL GLOBAL GROWTH HIGH
BALANCED STOCK STRATEGY STOCK YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------
Appreciated securities.............. $ 7,355,845 $ 23,106,606 $ 19,052,869 $ 39,605,584 $ 2,741,003
Depreciated securities.............. (788,593) (4,105,851) (3,010,882) (4,490,473) (7,403,568)
------------- ------------- ------------- -------------- -------------
Net unrealized appreciation
(depreciation)...................... $ 6,567,252 $ 19,000,755 $ 16,041,987 $ 35,115,111 $ (4,662,565)
------------- ------------- ------------- -------------- -------------
------------- ------------- ------------- -------------- -------------
Cost for Federal income tax
purposes............................ $ 90,034,254 $ 251,591,729 $ 207,245,807 $ 186,750,713 $ 104,449,690
------------- ------------- ------------- -------------- -------------
------------- ------------- ------------- -------------- -------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C>
INTERMEDIATE LONG TERM
GOVERNMENT CORPORATE MONEY MULTIPLE NATURAL
BOND BOND RESERVE STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------------------------------------------
Appreciated securities............ $ 3,392,176 $ 1,324,415 $ 2,057 $ 81,921,020 $ 2,444,274
Depreciated securities............ (3,506,687) (1,792,036) (266,115) (11,867,591) (1,046,285)
------------- ------------- ------------- -------------- -------------
------------- ------------- ------------- -------------- -------------
Net unrealized appreciation
(depreciation).................... $ (114,511) $ (467,621) $ (264,058) $ 70,053,429 $ 1,397,989
------------- ------------- ------------- -------------- -------------
------------- ------------- ------------- -------------- -------------
Cost for Federal income tax
purposes.......................... $ 220,143,609 $ 116,959,873 $ 552,495,911 $1,086,371,894 $ 22,380,700
------------- ------------- ------------- -------------- -------------
------------- ------------- ------------- -------------- -------------
</TABLE>
63
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
Net realized and unrealized gains (losses) as of June 30, 1996 were as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
BALANCED CAPITAL STOCK GLOBAL STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------------------
REALIZED REALIZED UNREALIZED REALIZED UNREALIZED
GAINS UNREALIZED GAINS GAINS GAINS GAINS
(LOSSES) GAINS (LOSSES) (LOSSES) (LOSSES) (LOSSES)
- ----------------------------------------------------------------------------------------------------------------------
Long-term securities.................... $ 4,444,123 $ 6,567,252 $ 5,393,011 $ 19,000,755 $ 3,139,524 $ 16,041,987
Short-term securities................... (486) -- (59) -- (458) --
Forward Foreign exchange contracts...... -- -- -- -- 4,304,625 --
Foreign currency transactions........... -- -- (51,563) (3,958) (839,441) (4,833)
------------------------------------------------------------------------------
Total................................... $ 4,443,637 $ 6,567,252 $ 5,341,389 $ 18,996,797 $ 6,604,250 $ 16,037,154
------------------------------------------------------------------------------
------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
GROWTH STOCK HIGH YIELD
PORTFOLIO PORTFOLIO
----------- ------------
REALIZED
GAINS UNREALIZED REALIZED UNREALIZED
(LOSSES) GAINS GAINS LOSSES
- ----------------------------------------
Long-term securities....................$ 10,217,242 $ 35,115,111 $ 853,952 $ (4,662,565)
Short-term securities................... (1,917 -- 214 --
Forward Foreign exchange contracts...... -- -- -- --
Foreign currency transactions........... -- -- -- --
------------------------ ------ ------------
Total...................................$ 10,215,325 $ 35,115,111 $ 854,166 $ (4,662,565)
------------------------ ------ ------------
------------------------ ------ ------------
</TABLE>
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares were as follows:
<TABLE>
<S> <C> <C> <C> <C>
BALANCED CAPITAL STOCK
PORTFOLIO PORTFOLIO
----------------------------------------------------
FOR THE SIX MONTHS ENDED DOLLAR DOLLAR
JUNE 30, 1996 SHARES AMOUNT SHARES AMOUNT
- --------------------------------------------------------------------------------------------
Shares sold............................. 475,878 $ 6,881,837 921,647 $ 19,282,406
Shares issued to shareholders in
reinvestment of dividends and
distributions........................... 274,693 3,925,361 1,929,880 39,137,962
----------------------------------------------------
Total issued............................ 750,571 10,807,198 2,851,527 58,420,368
Shares redeemed......................... (624,847) (9,022,522) (774,143) (16,153,368)
----------------------------------------------------
Net increase (decrease)................. 125,724 $ 1,784,676 2,077,384 $ 42,267,000
----------------------------------------------------
----------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
GLOBAL STRATEGY GROWTH STOCK
PORTFOLIO PORTFOLIO
---------------- ------------------ -
FOR THE SIX MONTHS ENDED DOLLAR DOLLAR
JUNE 30, 1996 SHARES AMOUNT SHARES AMOUNT
- -------------------------------------------------------------------------------------------
Shares sold............................. 1,333,686 $ 20,049,435 2,254,887 $ 55,454,531
Shares issued to shareholders in
reinvestment of dividends and
distributions........................... 457,482 6,770,744 224,434 5,265,221
---------------------------------------------------
Total issued............................ 1,791,168 26,820,179 2,479,321 60,719,752
Shares redeemed......................... (1,055,389) (15,958,835) (1,566,224) (38,327,431)
---------------------------------------------------
Net increase (decrease)................. 735,779 $ 10,861,344 913,097 $ 22,392,321
---------------------------------------------------
---------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
BALANCED CAPITAL STOCK
PORTFOLIO PORTFOLIO
----------------------------------------------------
FOR THE YEAR ENDED DOLLAR DOLLAR
DECEMBER 31, 1995 SHARES AMOUNT SHARES AMOUNT
- --------------------------------------------------------------------------------------------
Shares sold............................. 1,291,948 $ 18,030,554 2,407,839 $ 51,660,671
Shares issued to shareholders in
reinvestment of dividends and
distributions........................... 494,385 6,367,607 337,836 6,916,386
----------------------------------------------------
Total issued............................ 1,786,333 24,398,161 2,745,675 58,577,057
Shares redeemed......................... (965,851) (13,401,316) (1,704,354) (37,008,466)
----------------------------------------------------
Net increase (decrease)................. 820,482 $ 10,996,845 1,041,321 $ 21,568,591
----------------------------------------------------
----------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
GLOBAL STRATEGY GROWTH STOCK
PORTFOLIO PORTFOLIO
----------------- ------------------------
FOR THE YEAR ENDED DOLLAR DOLLAR
DECEMBER 31, 1995 SHARES AMOUNT SHARES AMOUNT
- -------------------------------------------------------------------------------------------
Shares sold............................. 1,806,490 $ 26,674,612 5,020,010 $105,384,779
Shares issued to shareholders in
reinvestment of dividends and
distributions........................... 776,360 11,076,199 426,119 7,590,489
---------------------------------------------------
Total issued............................ 2,582,850 37,750,811 5,446,129 112,975,268
Shares redeemed......................... (4,006,374) (58,105,801) (3,086,712) (64,028,469)
---------------------------------------------------
Net increase (decrease)................. (1,423,524) $(20,354,990) 2,359,417 $ 48,946,799
---------------------------------------------------
---------------------------------------------------
</TABLE>
64
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
INTERMEDIATE LONG TERM MULTIPLE STRATEGY NATURAL RESOURCES
GOVERNMENT BOND CORPORATE BOND MONEY RESERVE PORTFOLIO PORTFOLIO
PORTFOLIO PORTFOLIO PORTFOLIO -------------------- ----------------------
- -------------------- -------------------- -------------------- REALIZED UNREALIZED REALIZED UNREALIZED
REALIZED UNREALIZED REALIZED UNREALIZED REALIZED UNREALIZED GAINS GAINS GAINS GAINS
LOSSES LOSSES GAINS LOSSES GAINS LOSSES (LOSSES) (LOSSES) (LOSSES) (LOSSES)
- ---------------------------------------------------------------------------------------------------------------------------
$(1,409,492) $(114,511) $ 704,802 $(467,621) -- -- $15,704,069 $70,053,429 $ 706,874 $1,397,989
-- -- -- -- $ 25,389 $(264,058) (2,878) -- (11) --
-- -- -- -- -- -- 197,871 -- -- --
-- -- -- -- -- -- (928,517) (4,097) (4,057) (418)
- ----------- ---------- --------- ----------- --------- ---------- ----------- ----------- --------- ----------
$(1,409,492) $(114,511) $ 704,802 $ (467,621) $ 25,389 $(264,058) $14,970,545 $70,049,332 $ 702,806 $1,397,571
- ----------- ---------- --------- ----------- --------- ---------- ----------- ----------- --------- ----------
- ----------- ---------- --------- ----------- --------- ---------- ----------- ----------- --------- ----------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
INTERMEDIATE LONG TERM
HIGH YIELD GOVERNMENT BOND CORPORATE BOND MONEY RESERVE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------------------------------------
DOLLAR DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------------------------------------------------------------------
2,833,274 $ 25,596,074 702,771 $ 7,828,803 430,564 $ 5,001,483 101,933,874 $101,933,874
604,005 5,429,588 723,839 7,980,377 360,982 4,185,434 14,431,945 14,431,945
- ------------------------------------------------------------------------------------------------------------
3,437,279 31,025,662 1,426,610 15,809,180 791,546 9,186,917 116,365,819 116,365,819
(3,998,624) (36,105,487) (1,715,135) (18,796,844) (770,192) (8,866,574) (129,242,248) (129,242,248)
- -------------------------------------------------------------------------------------------------------------
(561,345) $(5,079,825) (288,525) $(2,987,664) 21,354 $ 320,343 (12,876,429) $(12,876,429)
- -------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
MULTIPLE STRATEGY NATURAL RESOURCES
PORTFOLIO PORTFOLIO
----------------- ----------------------
DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT
- --------------------------------------------------
395,213 $ 6,152,745 1,191,977 $ 10,327,120
8,825,091 135,023,890 25,569 209,150
- --------------------------------------------------
9,220,304 141,176,635 1,217,546 10,536,270
(3,983,595 (62,304,522 (1,092,724 (9,472,681)
- --------------------------------------------------
5,236,709 $ 78,872,113 124,822 $ 1,063,589
- --------------------------------------------------
- --------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
INTERMEDIATE LONG TERM
HIGH YIELD GOVERNMENT BOND CORPORATE BOND MONEY RESERVE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------
DOLLAR DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------------------------
8,479,805 $ 75,386,693 1,820,237 $ 19,784,758 1,179,723 $ 13,430,499 211,919,729 $211,919,729
1,107,700 9,775,052 1,510,971 16,342,302 759,176 8,570,923 32,032,115 32,032,115
- ----------------------------------------------------------------------------------------------------------------
9,587,505 85,161,745 3,331,208 36,127,060 1,938,899 22,001,422 243,951,844 243,951,844
(7,315,179) (65,316,284) (3,546,978) (38,243,753) (1,968,331) (22,274,213) (260,422,324) (260,422,324)
- ----------------------------------------------------------------------------------------------------------------
2,272,326 $ 19,845,461 (215,770) $(2,116,693) (29,432) $(272,791) (16,470,480) $(16,470,480)
- ----------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
MULTIPLE STRATEGY NATURAL RESOURCES
PORTFOLIO PORTFOLIO
------------------- ----------------------------
DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------------
979,588 $ 15,902,035 3,592,635 $ 27,917,420
7,012,948 105,818,311 61,559 474,128
- ------------------------------------------------------
7,992,536 121,720,346 3,654,194 28,391,548
(6,852,014) (110,284,559) (3,966,476) (31,139,897)
- ------------------------------------------------------
1,140,522 $ 11,435,787 (312,282) $ (2,748,349)
- ------------------------------------------------------
- ------------------------------------------------------
</TABLE>
65
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Concluded)
- --------------------------------------------------------------------------------
5. CAPITAL LOSS CARRYFORWARD:
At December 31, 1995, the Fund had capital loss carryforwards of approximately
$3,503,000 in the High Yield Portfolio, of which $3,154,000 expires in 1998, and
$349,000 expires in 1999; $8,604,000 in the Intermediate Government Bond
Portfolio, of which $7,516,000 expires in 2002 and $1,088,000 expires in 2003;
$2,841,000 in the Long Term Corporate Bond Portfolio, all of which expires in
2002; $11,511,000 in the Natural Resources Portfolio, of which $7,809,000
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, 1996, each of the Capital Stock Portfolio, Global Strategy
Portfolio, and the Multiple Strategy Portfolio had entered into forward foreign
exchange contracts under which it agreed to purchase various foreign currencies
with values of approximately $1,025,000, $1,541,000 and $4,838,000,
respectively; each of the Capital Stock Portfolio, the Global Strategy Portfolio
and the Multiple Strategy Portfolio had entered into forward foreign exchange
contracts under which it agreed to sell various foreign currencies with values
of approximately $1,281,000, $2,411,000, and $5,041,000, respectively.
7. LOANED SECURITIES:
At June 30, 1996, the Intermediate Government Bond Portfolio held US Treasury
Notes having an aggregate value of approximately $10,912,000 as collateral for
portfolio securities loaned having a market value of approximately $10,616,000.
8. SUBSEQUENT EVENTS:
On July 9, 1996, the Board of Directors declared dividends and distributions per
share payable on July 9, 1996 to shareholders of record as of July 8, 1996 as
follows:
<TABLE>
<S> <C>
ORDINARY
PORTFOLIO INCOME
- ------------------------------------------------------------------------------------------------------------------
Balanced............................................................................................... $ .269784
Capital Stock.......................................................................................... .257552
Growth Stock........................................................................................... .142210
Multiple Strategy...................................................................................... .278500
Natural Resources...................................................................................... .085955
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
66
<PAGE>
- --------------------------------------------------------------------------------
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
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
THOMAS R. ROBINSON-Vice President
JACQUELINE ROGERS-Vice President
ALDONA SCHWARTZ-Vice President
WILLIAM WILDE-Vice President
GERALD M. RICHARD-Treasurer
IRA P. SHAPIRO-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
67
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<PAGE>
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<PAGE>
This report is authorized for distribution only to Policyowners of certain
variable life insurance policies which are funded by shares of Merrill Lynch
Series Fund, Inc. 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. Statements and other information herein are as dated and are
subject to change.
59828-6/96
