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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1995
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DEAR SHAREHOLDER:
We are pleased to submit this annual report for Merrill Lynch Series Fund, Inc.,
in which we summarize the investment performance of each Portfolio and outline
our view of the investment environment. Performance information for each
Portfolio in Merrill Lynch Series Fund, Inc., excluding the Money Reserves
Portfolio, can be found in the graphs and tables on pages 8-14 of this report to
shareholders.
THE ENVIRONMENT
As 1995 drew to a close, the pace of US economic activity apparently slowed.
There was strong evidence of a slowing economy by mid-year, a trend that was
quickly reversed as gross domestic product growth rebounded to a 4.2% pace
during the third calendar quarter of 1995. However, recent economic releases
suggest that this rate of expansion has not been sustained.
A number of key measures of economic growth indicate evidence of slowing
momentum. Retail sales for November were soft, a trend that continued throughout
the all-important holiday season, reflecting ongoing caution on the part of
debt-burdened consumers. At the same time, there has been an increase in initial
unemployment claims, along with weak job and income growth. As labor costs
continue to decelerate and commodity price pressures remain subdued,
inflationary pressures continue to be well under control.
These developments led the Federal Reserve Board to ease its monetary policy
slightly at the December 19, 1995 Federal Open Market Committee meeting.
However, the Clinton Administration and Congress have yet to reach an agreement
in their current Federal budget deliberations. While the probable direction of
economic activity will continue to be the primary focus of investors in the
weeks ahead, a credible plan for reducing the Federal budget deficit will also
be an important factor in the investment outlook.
BALANCED PORTFOLIO
The maintenance of a significant commitment in US Government obligations with a
duration in excess of six years during most of 1995 was a positive contributor
to overall portfolio return. On the other hand, we maintained our US equity
position at a level well below the maximum allowable 50%, as outlined in the
Portfolio's prospectus, for most of the year. Given the exceptionally attractive
returns on US stocks, the lower level of equity participation and the
Portfolio's cash position provided a negative influence on overall Portfolio
performance.
As of December 31, 1995, the asset allocation for Balanced Portfolio was: US
bonds, 45% of net assets; US stocks, 34%; and cash reserves, 21%. The US bond
position was unchanged at year-end relative to its position during most of 1995.
The maintenance of an average duration in excess of six years reflected an
optimistic assessment of prospects for US bonds during 1995. We believe that the
bond market rally, which commenced late in 1994, could be extended in 1996. Even
if the Federal Reserve Board undertakes a further easing of monetary policy, US
economic growth is unlikely to accelerate dramatically. In such an environment,
US inflation is likely to remain at historically low levels.
We increased the Portfolio's cash reserve position and reduced its equity
weighting during the last two months of 1995. This reduction of equity
representation reflected a restructuring of holdings and a cautious view of the
US equity market following the strong gains during much of 1995. The Portfolio
currently has a significant weighting in areas which are expected to do well in
a sluggish economic environment, including consumer staples, credit-sensitive
and energy holdings. However, a possible further easing of monetary policy led
us to maintain holdings in "early cycle" equities in the consumer cyclical and
basic industry sectors. We also maintain representation in capital spending
through selected technology equities which appear reasonably valued, as well as
the aerospace industry. Our current intention is to recommit the cash to US
equities in the months ahead as opportunities present themselves.
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1995 (Continued)
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CAPITAL STOCK PORTFOLIO
The maintenance of a significant cash position during much of 1995 was a major
contributor to holding down the return of the Portfolio, given the large
differential between the returns on money market instruments and US equities
during the year. Similarly, foreign equities as a group provided returns which
were significantly less than those of US equities in 1995. In the US equity
sector, strong gains from selected technology, healthcare and financial services
stocks were positive contributors to overall performance.
As of December 31, 1995, Capital Stock Portfolio's asset allocation was: US
equities, 43% of net assets; foreign equities, 12%; and cash reserves, 45%. We
significantly increased the cash reserve portion of the Portfolio during the
last two months of 1995. This increase reflected a restructuring of the
Portfolio as well as a cautious view of the US equity market following the
strong gains during much of 1995. In restructuring the Portfolio, we reduced the
weighting in technology-related equities. Positions were limited to those which
appeared to lack the valuation excesses of the group as a whole. In the capital
spending group, we also maintained commitments in the aerospace industry. In an
environment of sluggish economic growth, we retained significant positions in
the consumer staples area, most notably through investments in healthcare
equities, as well as credit-sensitive and energy-related companies.
We expect the Federal Reserve Board to react to a sluggish US economy by
undertaking additional monetary easing in the coming months. On this basis, we
feel it is appropriate to retain commitments in "early cycle" equities which
could appreciate in the expectation that lower short-term interest rates will
lead to somewhat stronger economic activity. Equities which have this potential
include consumer cyclical and basic industry investments. On balance, we are
comfortable with the large cash position over the near term. Our intention is to
recommit the cash to equities in the months ahead as opportunities present
themselves. In addition to expanding the position in US equities, we are looking
for opportunities in selected foreign equities which offer superior potential to
that of the US equity market as a whole.
GLOBAL STRATEGY PORTFOLIO
The primary positive contributor to the overall Portfolio return was the US
equity sector, since the US stock market was among the highest-returning equity
markets in 1995. With the exception of Switzerland, the returns of other equity
markets represented in the Portfolio lagged those of the United States. Although
attractive on a historic basis, returns on the Portfolio's US and foreign bonds
were below that of US equities. The Portfolio's large cash position was also a
major factor in holding down returns during 1995.
As of December 31, 1995, Global Strategy Portfolio's asset allocation was:
foreign equities, 22%; US equities, 17%; US bonds, 19%; foreign bonds, 5%; and
cash reserves, 37%. The positions in Deutschemark- and lira-denominated bonds
were liquidated in late 1995, leaving foreign bond positions in the United
Kingdom and Canada. On the other hand, we maintained our position in US bonds.
In our opinion, the potential exists for a further interest rate decline in the
United States during 1996, reflecting a historically low rate of inflation.
The cash reserve position as of December 31, 1995 reflects a significant
increase during the last two months of 1995 and resulted from the reduction of
foreign equity positions. Evidence of slowing economic growth in Europe and the
emerging economies, particularly those of Asia, resulted in a less-optimistic
assessment of prospects for these markets. Our remaining positions in these
markets reflect a highly selective approach. We retained a significant
commitment to Japanese equities, since we believed that an improving economic
and financial background could lead to favorable relative performance for the
Japanese stock market in the coming months. We reduced our commitment in US
equities in response to our cautious outlook. In the remaining US equity
holdings, we retained significant commitments in areas which we expected to
perform well in a sluggish economic environment, including consumer staples,
financial services and energy. Our current intention is to recommit the cash
primarily to US and foreign equities as opportunities present themselves in
coming months.
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1995 (Continued)
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GROWTH STOCK PORTFOLIO
For the 12 months ended December 31, 1995, the total return of Growth Stock
Portfolio was +35.35% compared to total returns of the unmanaged Lipper Variable
Insurance Growth Funds Average of +32.47% and +37.54% for the Standard & Poor's
500 Index (S&P 500). The best stock price performance in Growth Stock Portfolio
was achieved in the pharmaceuticals, information processing and beverages
industry sectors in 1995. The most significant factor to account for the
underperformance relative to the S&P 500 was the significant underweighting of
the financial services sector in the Portfolio during the last three calendar
quarters of 1995. The financial services sector, in particular bank issues,
significantly outperformed every other sector of the S&P 500 in 1995. We had
reduced significantly the Portfolio's weighting in the financial services sector
in the first quarter of 1995 in response to our concerns about the potential
rise in consumer credit losses as the US economy slowed and household debt
burdens rose. Consumer loan delinquencies are approaching record rates as debt
service ratios have risen substantially. The stock valuation ratios of banks
have risen to the high end of their historic relative valuation ranges.
The majority of Growth Stock Portfolio's investments continue to be in large
capitalization global growth companies in the consumer nondurable goods and
services sectors of the S&P 500. The two most significant industry weightings,
pharmaceuticals and beverages, represented 23% of year-end 1995 net assets. The
ten largest industry positions totaled 56% of year-end 1995 net assets.
Consumer debt leverage is likely to restrain the rate of growth of spending in
1996 on motor vehicles, housing and household durable goods relative to
nondurables and services. We anticipate that the most rapid rates of growth in
consumer spending will be in the areas of healthcare, technology products and
services such as multimedia computer systems and entertainment.
The Portfolio's investment objective is to produce long-term capital growth by
concentrating in a diversified group of growth companies, which we have
identified as having the potential to produce above-average rates of growth in
earnings and relatively superior returns on investment. Long-term growth in
earnings may be derived from unique products or services, market share gains in
consolidating industries, and global market expansion and/or restructuring.
Growth Stock Portfolio had 7.5% of net assets at year-end 1995 in short-term
cash equivalents. We plan to continue with a relatively modest cash reserve in a
range of 5%-10% of net assets.
HIGH YIELD PORTFOLIO
For the fiscal year ended December 31, 1995, the total return of the Portfolio
was +17.12%, while the total return for the unmanaged Merrill Lynch High Yield
Master Index was +19.91%. Over the past year, the Portfolio's high exposure to
the communications/media sector made a positive contribution to total return,
while the Portfolio's investments in specialty retail, restaurant and consumer
durable industries negatively impacted the Portfolio's performance.
The high-yield bond rally of 1995 was largely in response to interest rate
declines and was supported by economic growth during the first half of the year,
resulting in many credits producing healthy year-over-year operating
comparisons. The air transportation industry (Delta Air Lines Inc., United Air
Lines Inc., USAir Inc.) outperformed all other high-yield industry groups with a
return of +33.8%. Other above-average performers included: homebuilders, +28.2%;
cable TV, +26%; telecommunications, +24.7%; electric utilities, +23%; and
broadcasting, +22%. The weak relative performers were: retailers, -0.7%;
restaurants, +7.2%; and consumer durables, +10.81%. Companies in these
industries struggled with weak earnings and a number of defaults. Because of its
greater sensitivity to overall interest rates, the higher-quality BB-rated
sector of the high-yield market outperformed securities rated B or lower.
In addition to benefiting from falling interest rates, the high-yield market was
supported by strong cash inflows ($8.4 billion). New-issue volume stood at $47
billion, the second-highest ever recorded. Approximately 70% of total offerings
ranked senior or senior secured. Credit quality held steady. Default
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1995 (Continued)
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rates rose from 1.4% in 1994 to 2.8% in 1995. The average annual default rate
since 1978 has been 3.1%; 1995 represents normalization after two years of
strikingly low rates, in our opinion.
The best-performing industries in the Portfolio were transportation and
communications. Cyclical weakness dampened prices of steel, restaurant and
specialty retail holdings. Strong performance in our gaming holdings was more
than offset by the surprise Chapter 11 filing of Harrah's Jazz Company. We are
pursuing recovery vigorously. We have attempted to stay fully invested in order
to seek to reap the benefits of expected rising bond prices.
While maintaining approximately a market weighting in terms of credit quality
sector representation, we have increased our investments in consumer products,
energy and conglomerates. Industry groups that we have overweighted because of
above-average value included broadcasting, publishing and communications, which
accounted for 14.7% of net assets. This broad category includes broadcast and
cable television operations in the United States and Great Britain, paging
services, as well as two telephone companies in Argentina. These relatively
young industries are building and expanding the underlying infrastructure of
their businesses. They also have the potential to post above-average growth for
several years to come, and few have any liquidity concerns until after 1997
because of deferred pay debt structures. The rise in the number of these
developmental companies has increased the technological risks facing the market,
however. Other major industries included: conglomerates, 10% of net assets;
energy, 8%; and consumer products, 7%. The Portfolio's average life stood at 7
years, 2 months by December 31, 1995.
At year-end 1995, the Portfolio was structured in a way that we believe will
enhance returns over the new year. As modest economic growth and relatively
stable interest rates seem the most likely environment, at least over the next
six months, corporate profits may become the determining factor for high-yield
bond prices. Therefore, industry and company selection seem likely to dominate
investment performance to an even greater degree than in 1995.
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
The bond market experienced one of its strongest rallies in several years as the
domestic economy showed a significant deceleration from the pace of 1994. The
data released during the year reinforced the perception that the economy has
achieved a soft landing, which is to say that the rapid growth in the fourth
quarter of 1994 was slowed without a corresponding increase in inflationary
pressures. Yields dropped through the first six months of the year and then
began to rise slightly in July, with the expectation that lower interest rates
would begin to become overly stimulative to the economy. However, inflation has
remained contained with the absence of any significant price pressures. The
Federal Reserve Board began to ease short-term interest rates in July and cut
them again in December. Real wage growth, the key factor that determines the
economy's core rate of inflation, has been particularly subdued.
During the periods when the bond market rallied, from January through June, we
extended the Portfolio's average maturity from 6.42 years to 7.22 years, which
enabled us to capture the comparatively larger price increases which occurred in
the longer end of the yield curve. We shortened the Portfolio's average maturity
to 6.94 years in July, where it remained for the balance of the year. We
increased the percentage of Treasury securities from 47% of net assets to 57%,
as we traded out of the Government agency issues because of the narrow yield
spread between the two sectors.
LONG TERM CORPORATE BOND PORTFOLIO
The bond market experienced one of its strongest rallies in several years as the
domestic economy showed a significant deceleration from the pace of 1994. The
data released during the year reinforced the perception that the economy has
achieved a soft landing, which is to say that the rapid growth in the fourth
quarter of 1994 was slowed without a corresponding increase in inflationary
pressures. Yields dropped through the first six months of the year and then
began to rise slightly in July with the
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1995 (Continued)
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expectation that lower interest rates would begin to become overly stimulative
to the economy. However, inflation has remained contained with the absence of
any significant price pressures. The Federal Reserve Board began to ease
short-term interest rates in July and cut them again in December. Real wage
growth, the key factor that determines the economy's core rate of inflation, has
been particularly subdued.
During the periods when the bond market rallied from January through June, we
extended the Portfolio's average maturity from 9.9 years to 11.8 years, which
enabled us to capture the comparatively larger price increases which occurred in
the longer end of the yield curve. We shortened the average portfolio maturity
to 11.2 years in July, where it remained for the balance of the year. We reduced
the percentage of Treasury securities from 17% of net assets to 12% as we traded
into corporate issues to improve the total return. During the summer, when the
market sold off, we built up our cash position, which protected us from the
adverse effects of lower bond prices. We invested in industrial issues which did
well and avoided those utilities which performed poorly.
MONEY RESERVE PORTFOLIO
For the six-month period ended December 31, 1995, the Money Reserve Portfolio's
net annualized yield was 5.69%*. The Portfolio's 7-day yield as of December 31,
1995 was 5.45% (excluding gains and losses) and 5.71% (including gains and
losses). The average portfolio maturity was 79 days at December 31, 1995
compared to 75 days at June 30, 1995.
The Portfolio's composition at the end of December and as of our last report is
detailed below:
<TABLE>
<CAPTION>
ISSUE 12/31/95 6/30/95
<S> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
Certificates of Deposit -- European......................................................... 1.1% 2.3%
Certificates of Deposit -- Yankee........................................................... -- 1.1
Commercial Paper............................................................................ 40.9 42.0
Corporate Notes............................................................................. 7.7 3.8
Master Notes................................................................................ 3.7 3.1
Medium-Term Notes........................................................................... 4.4 0.9
Repurchase Agreements....................................................................... -- 1.0
US Government Agency & Instrumentality Obligations -- Discount.............................. 3.2 7.3
US Government Agency & Instrumentality Obligations -- Non-Discount.......................... 40.1 38.0
Other Assets Less Liabilities............................................................... (1.1) 0.5
----- -----
Total....................................................................................... 100.0% 100.0%
===== =====
</TABLE>
MULTIPLE STRATEGY PORTFOLIO
The US equity sector, particularly the commitments in selected technology,
financial services and healthcare stocks, was a positive contributor to overall
performance while most foreign equities provided returns that were significantly
below those of the US market. US and foreign bonds also provided returns below
US equities. However, the major factor in holding down the overall return was
the cash position, given the large differential between the returns on US money
market instruments and the US stock market during 1995.
As of December 31, 1995, the asset allocation of Multiple Strategy Portfolio
was: US equities, 27%; foreign equities, 6%; dollar-denominated government and
corporate bonds, 14%; and cash reserves, 53%. In the bond sector, we liquidated
commitments in Deutschemark- and lira-denominated bonds as well as commitments
in Danish kroner bonds established in prior months. These sales reflected our
belief that a rally in the US dollar versus these currencies could offset any
yield pick-up over dollar-
- ---------------
* Based on a constant investment throughout the period, with dividends
compounded daily, and reflecting a net return to the investor after all
expenses.
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1995 (Continued)
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denominated bonds. On the other hand, we did not significantly change the US
bond commitment. We expect the decline in intermediate-term and longer-term US
interest rates, which commenced in late 1994, to continue during 1996.
We significantly increased the cash reserve position of the Portfolio during the
last two months of 1995, reflecting a restructuring and reduction of the
commitments in US and foreign equities. We became increasingly cautious toward
the US equity market following the strong gains during much of 1995. In the
remaining US equity holdings, we retained commitments in the consumer staples
area as well as credit-sensitive and energy areas, which we expect to do well in
an environment of sluggish economic growth. In the expectation of additional
monetary easing by the Federal Reserve Board, we retained commitments in "early
cycle" equities in the consumer cyclical and basic industry sectors. We reduced
our position in technology equities and maintained representation in the
aerospace industry. On balance, we are not uncomfortable with the large cash
position over the near term. Our intention is to recommit the cash primarily to
US and foreign equities in the months ahead as opportunities present themselves.
NATURAL RESOURCES PORTFOLIO
The environment for investments in the natural resource sector was mixed during
the 12-month period ended December 31, 1995. Returns from resource-related
stocks generally lagged the returns of the broad stock market averages during
the period, primarily in response to concerns about future economic growth
prospects worldwide. In the United States, economic growth remained strong
through the third quarter of 1995. However, recent signs of weakness in the
manufacturing sector, and an increase in inventory levels in some cyclical
industries, have led some investors to conclude that the United States is in the
late stages of the economic cycle, increasing the risk of an economic slowdown
in the near future. In many European economies, growth has been solid but below
expectations, and thus disappointing to many analysts and investors. This has
resulted in a number of downgrades to economic growth estimates for 1996. The
uncertainty about future economic growth, particularly in the industrialized
countries, shifted investor focus away from the commodity cyclical industries.
Investors feared that any slowdown in economic activity could significantly
reduce the demand for many basic materials, and have a negative impact on the
earnings prospects for companies involved in these industries. Commodity prices
were also mixed during the period. Energy prices, including oil and natural gas,
were flat to slightly higher over the period. Conversely, industrial commodity
prices, including steels, papers, chemicals and base metals, generally weakened
as the year progressed, as lower demand led to increased inventories.
Portfolio returns were enhanced by our large exposure to energy-related stocks,
which benefited from improved underlying commodity prices. Cold weather in the
United States, combined with historically low storage levels and a decline in
natural gas drilling over the past year, pushed natural gas prices sharply
higher in the fourth quarter of 1995. Oil prices staged a strong rebound as
investors were relieved that the Organization of Petroleum Exporting Countries
decided at its November meeting to maintain its current production quotas
instead of raising production ceilings in a battle for market share. Portfolio
returns also benefited from our exposure to the base metals industry. Tightening
supply/demand fundamentals and attractive valuations attracted investor interest
in this sector. Portfolio returns were generally hurt by our overweighted
position in the paper and forest products sector. Share prices of paper
companies fell sharply in the second half of the year, as rising inventories in
many paper grades led to underlying commodity price weakness.
During the year, there was little change in our investment strategy. We
continued to increase the Portfolio's exposure to the base metals sector, where
we believe significant structural changes are occurring, particularly in terms
of the outlook for demand. These secular changes should help keep consumption
growth of base metals above the growth rates experienced over the past two
decades, and could have the effect of extending the current cycle for metals
demand. In addition, we added to our exposure in the gold sector where the
fundamentals of the gold market are improving as physical demand continues to
exceed new mine supply. We also maintained a large position in the energy
sector, including both integrated oil companies and natural gas-oriented
exploration and production companies.
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1995 (Concluded)
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Despite recent skepticism in the global equity markets toward natural
resource-related stocks, we remain positive on the outlook for investing in this
sector. We continue to expect global economic growth to improve, led by robust
growth in the developing Asian economies and the trend toward lower interest
rates in Europe and Japan. This should help keep the demand for basic resources
strong, and should have positive implications for the earnings of many
resource-related companies. Conversely, if economic activity slows, governments
may begin to adopt stimulative policies which could potentially trigger new
inflationary pressures.
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 June
semi-annual report to shareholders.
Sincerely,
[SIG]
Terry K. Glenn
President
February 15, 1996
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1995
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AVERAGE ANNUAL TOTAL RETURNS
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<TABLE>
<CAPTION>
YEAR FIVE YEARS TEN YEARS SINCE
ENDED ENDED ENDED INCEPTION
12/31/95 12/31/95 12/31/95 TO 12/31/95
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO +21.59% +11.41% -- + 11.02% +
- ------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO +20.73% +12.13% + 12.06% --
- ------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO +10.44% +10.22% -- + 9.61% ++
- ------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +35.35% +15.51% + 10.53% --
- ------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO +17.12% +17.67% -- + 11.23% +++
- ------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO +18.87% + 9.26% + 8.93% --
- ------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO +20.66% +10.34% + 9.65% --
- ------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO +17.55% +11.35% + 11.30% --
- ------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO +12.22% + 5.43% -- + 0.03% ++++
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Balanced Portfolio commenced operations on 5/2/88.
++ Global Strategy Portfolio commenced operations on 7/1/87.
+++ High Yield Portfolio commenced operations on 5/1/86.
++++ Natural Resources Portfolio commenced operations on 7/1/87.
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT AVERAGE ANNUAL TOTAL RETURNS*
FOR VARIABLE LIFE INSURANCE POLICIES
(EXCEPT FOR ESTATE INVESTOR I AND II)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR FIVE YEARS TEN YEARS SINCE
ENDED ENDED ENDED INCEPTION
12/31/95 12/31/95 12/31/95 TO 12/31/95
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO +11.50% + 9.04% -- + 9.18% +
- ------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO +10.64% + 9.80% + 10.40% --
- ------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO + 0.45% + 7.83% -- + 7.82% ++
- ------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +25.13% +13.26% + 8.54% --
- ------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO + 7.07% +15.50% -- + 9.56% +++
- ------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 8.80% + 6.82% + 7.28% --
- ------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO +10.58% + 7.93% + 8.02% --
- ------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO + 7.49% + 9.00% + 9.69% --
- ------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO + 2.21% + 2.91% -- -2.27% ++++
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
* Returns assume the separate account had been in existence and a contract
had been in force during the periods shown. They reflect separate account
mortality and expense risk charge at an annual rate of 0.90% and a deferred
contract load of 9%. They do not reflect quarterly cost of insurance.
Returns would be lower if they reflected the deduction for cost of
insurance, which can vary by age, sex, and rating class of the insured, and
by each contract's net amount at risk. Some contract owners have lower
mortality and expense risk charges and/or lower deferred contract loads
than those reflected above. Average annual rates of return for those
contract owners would, therefore, be higher than the returns shown above.
Some contract owners pay administrative fees that could have the effect of
reducing the returns shown above. All charges and fees are described in the
product prospectuses. See those prospectuses for more complete information.
+ The Balanced Portfolio commenced operations on 5/2/88.
++ The Global Strategy Portfolio commenced operations on 7/1/87.
+++ The High Yield Portfolio commenced operations on 5/1/86.
++++ 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.
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1995
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT AVERAGE ANNUAL TOTAL RETURNS*
FOR ESTATE INVESTOR I AND II
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR FIVE YEARS TEN YEARS SINCE
ENDED ENDED ENDED INCEPTION
12/31/95 12/31/95 12/31/95 TO 12/31/95
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO +20.50% +10.41% -- +10.11% +
- ------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO +19.64% +11.12% + 10.99% --
- ------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO + 9.45% + 9.23% -- + 8.64% ++
- ------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +34.13% +14.47% + 9.22% --
- ------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO +16.07% +16.61% -- +10.26% +++
- ------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO +17.80% + 8.27% + 7.96% --
- ------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO +19.58% + 9.34% + 8.68% --
- ------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO +16.49% +10.34% + 10.29% --
- ------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO +11.21% + 4.48% -- - 8.70% ++++
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
* Returns assume the separate account had been in existence and a contract
had been in force during the periods shown. They reflect the separate
account mortality and expense risks charge at an annual rate of 0.90%.
Returns do not reflect contract loading or quarterly cost of insurance,
which varies by age, sex and underwriting class of the insured and the
contract's net amount at risk. Returns would be lower if these two charges
were reflected. Refer to the product prospectus which contains a more
complete description of all charges and fees.
When contract loading is reflected, the returns for One Year, Five Years,
Ten Years, and Since Inception, respectively, would be: Balanced Portfolio,
-39.75%, -3.88%, (N/A), 0.52%; Capital Stock Portfolio, -40.18%, -3.26%,
3.55%, (N/A); Global Strategy, -45.27%, -4.91%, (N/A), 0.13%; Growth Stock
Portfolio, -32.93%, -0.35%, 1.91%, (N/A); High Yield Portfolio, -41.96%,
1.51%, (N/A), 2.63%; Intermediate Government Bond Portfolio, -41.10%,
-5.74%, 0.73%, (N/A); Long Term Corporate Bond Portfolio, -40.21%, -4.81%,
1.40%, (N/A); Multiple Strategy Portfolio, -41.75%, -3.94%, 2.90%, (N/A);
Natural Resources Portfolio, -44.39%, -9.05%, (N/A), -8.63%.
+ The Balanced Portfolio commenced operations on 5/2/88.
++ The Global Strategy Portfolio commenced operations on 7/1/87.
+++ The High Yield Portfolio commenced operations on 5/1/86.
++++ 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> 10
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment
- --------------------------------------------------------------------------------
BALANCED PORTFOLIO
<TABLE>
<CAPTION>
MEASUREMENT PERIOD BALANCED S&P 500 WEIGHTED
(FISCAL YEAR COVERED) PORTFOLIO*+ INDEX++ INDEX+++
<S> <C> <C> <C>
5/02/88** 10000 10000 10000
12/88 10590 10882 10615
12/89 12788 14331 12554
12/90 12988 13876 13129
12/91 15710 18102 15436
12/92 16757 19481 16426
12/93 19155 21446 17758
12/94 18335 21726 17889
12/95 22293 29881 21619
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
** Commencement of Operations.
+ Balanced Portfolio invests in a balanced portfolio of fixed-income and
equity securities.
++ This unmanaged broad-based index is comprised of common stocks.
+++ This unmanaged index, which is an equally weighted blend of the Three-Month
US Treasury Bill Index, the Merrill Lynch B0A0 Bond Index, and the Standard
& Poor's 500 Index, is comprised of US Treasury Bills maturing in up to 3
months, investment-grade bonds, and common stocks.
Past performance is not predictive of future performance.
CAPITAL STOCK PORTFOLIO
<TABLE>
<CAPTION>
MEASUREMENT PERIOD CAPITAL STOCK S&P 500
(FISCAL YEAR COVERED) PORTFOLIO*+ INDEX++
<S> <C> <C>
12/85 10000 10000
12/86 12193 11875
12/87 11871 12497
12/88 13450 14607
12/89 17512 19236
12/90 17619 18626
12/91 22737 24297
12/92 23299 26149
12/93 27263 28787
12/94 25868 29162
12/95 31230 40109
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
+ Capital Stock Portfolio generally invests in equity securities which are
considered to be of good or improving quality or which are thought to be
undervalued based on criteria such as historical price/book value ratios and
price/earnings ratios.
++ This unmanaged broad-based index is comprised of common stocks.
Past performance is not predictive of future performance.
10
<PAGE> 11
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (continued)
- --------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
GLOBAL
MEASUREMENT PERIOD STRATEGY M.S.C.I. WEIGHTED
(FISCAL YEAR COVERED) PORTFOLIO*+ WORLD INDEX++ INDEX+++
<S> <C> <C> <C>
7/01/87** 10000 10000 10000
12/87 9550 8957 10589
12/88 10744 11043 11568
12/89 12652 12877 12667
12/90 13412 10686 13395
12/91 15760 12640 15294
12/92 16233 11980 15357
12/93 20085 14676 17394
12/94 19759 15420 18551
12/95 21822 18615 21644
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
** Commencement of Operations.
+ Global Strategy Portfolio invests primarily in the securities of issuers
located in the United States, Canada, Western Europe and the Far East.
++ This unmanaged market capitalization-weighted index, calculated by Morgan
Stanley Capital International, is comprised of a representative sampling of
stocks of large-, medium-, and small-capitalization companies in 22
countries, including the United States.
+++ This unmanaged index, which is an equally weighted blend of the M.S.C.I.
World Index, the Salomon Brothers World Government Bond Index, and the
Salomon Brothers World Money Market Index, is comprised of a representative
sampling of stocks of large-, medium-, and small-capitalization companies in
22 countries, and government bonds and money market securities in the major
markets, including the United States.
Past performance is not predictive of future performance.
GROWTH STOCK PORTFOLIO
<TABLE>
<CAPTION>
MEASUREMENT PERIOD GROWTH STOCK
(FISCAL YEAR COVERED) PORTFOLIO*+ S&P 500 INDEX++
<S> <C> <C>
12/85 10000 10000
12/86 11831 11875
12/87 10942 12497
12/88 12269 14607
12/89 15115 19236
12/90 13240 18626
12/91 19238 24297
12/92 19893 26149
12/93 21610 28787
12/94 20113 29162
12/95 27222 40109
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
+ Growth Stock Portfolio invests in a diversified portfolio of securities,
primarily common stocks, of aggressive growth companies.
++ This unmanaged broad-based index is comprised of common stocks.
Past performance is not predictive of future performance.
11
<PAGE> 12
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (continued)
- --------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO
<TABLE>
<CAPTION>
FIRST BOSTON
MEASUREMENT PERIOD HIGH YIELD HIGH YIELD
(FISCAL YEAR COVERED) PORTFOLIO*+ INDEX++
<S> <C> <C>
5/01/86** 10000 10000
12/86 10810 10133
12/87 11316 10796
12/88 12960 12269
12/89 13619 12316
12/90 12417 11530
12/91 17106 16575
12/92 20636 19336
12/93 24374 22992
12/94 23915 22769
12/95 28009 26726
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
** Commencement of Operations.
+ High Yield Portfolio invests principally in fixed-income securities,
including corporate bonds and notes, convertible securities and preferred
stocks, which are rated in the lower rating categories of the established
rating services (Baa or lower by Moody's and BBB or lower by S&P), or in
unrated securities of comparable quality.
++ This unmanaged market-weighted index of high-yield debt securities is
comprised of 423 securities rated BBB or lower.
Past performance is not predictive of future performance.
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
<TABLE>
<CAPTION>
INTERMEDIATE
GOVERNMENT
MEASUREMENT PERIOD BOND PORT- MERRILL LYNCH
(FISCAL YEAR COVERED) FOLIO*+ G402 INDEX++
<S> <C> <C>
12/85 10000 10000
12/86 11381 11863
12/87 11551 11775
12/88 12216 12627
12/89 13860 14673
12/90 15105 15888
12/91 17457 18670
12/92 18683 20115
12/93 20777 22680
12/94 19783 21401
12/95 23516 26325
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
+ Intermediate Government Bond Portfolio invests only in securities issued or
guaranteed by the US Government and its agencies with a maximum maturity not
to exceed 15 years.
++ This unmanaged index is comprised of intermediate-term US Government bond and
US Treasury securities maturing in 7 years-10 years.
Past performance is not predictive of future performance.
12
<PAGE> 13
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (continued)
- --------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO
<TABLE>
<CAPTION>
LONG TERM
CORPORATE
MEASUREMENT PERIOD BOND PORT- MERRILL LYNCH
(FISCAL YEAR COVERED) FOLIO*+ C0A0 INDEX++
<S> <C> <C>
12/85 10000 10000
12/86 11558 11630
12/87 11558 11844
12/88 12506 13000
12/89 14251 14836
12/90 15388 15929
12/91 17982 18834
12/92 19429 20552
12/93 21956 23107
12/94 20826 22335
12/95 25131 27146
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
+ Long Term Corporate Bond Portfolio invests at least 80% of the value of its
assets in straight debt securities which have a rating within the three
highest grades as determined by Standard & Poor's (AAA, AA or A) or Moody's
Investors Service (Aaa, Aa or A).
++ This unmanaged index is comprised of all corporate bonds rated BBB3 or
higher, of all maturities.
Past performance is not predictive of future performance.
MULTIPLE STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
MULTIPLE
MEASUREMENT PERIOD STRATEGY WEIGHTED
(FISCAL YEAR COVERED) PORTFOLIO*+ S&P 500 INDEX++ INDEX+++
<S> <C> <C> <C>
12/85 10000 10000 10000
12/86 12060 11875 11720
12/87 12010 12497 12150
12/88 13391 14607 13645
12/89 16245 19236 16772
12/90 17042 18626 17218
12/91 21467 24297 21209
12/92 22401 26149 22832
12/93 26133 28787 25247
12/94 24812 29162 25825
12/95 29167 40109 33126
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
+ Multiple Strategy Portfolio, which uses a fully managed investment policy,
invests in equity, intermediate- and long-term debt and money market
securities.
++ This unmanaged broad-based index is comprised of common stocks.
+++ This unmanaged index, which is an equally weighted blend of the S&P 500
Index and the Merrill Lynch B0A0 Index, is comprised of common stocks as
well as investment-grade bonds.
Past performance is not predictive of future performance.
13
<PAGE> 14
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (concluded)
- --------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO
<TABLE>
<CAPTION>
NATURAL LIPPER NATURAL
MEASUREMENT PERIOD RESOURCES S&P INDUS- CONSUMER RESOURCES
(FISCAL YEAR COVERED) PORTFOLIO*+ TRIALS INDEX++ PRICE INDEX+++ AVERAGE+++
<S> <C> <C> <C> <C>
7/01/87** 10000 10000 10000 10000
12/87 7460 8208 10170 7935
12/88 6552 9524 10617 8703
12/89 8206 12323 11053 11603
12/90 7698 12209 11727 10689
12/91 7827 15977 12091 10957
12/92 7933 16902 12477 11244
12/93 8857 18438 12789 13843
12/94 8935 19139 13130 13384
12/95 10027 25767 13558 15901
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
** Commencement of Operations.
+ Natural Resources Portfolio invests primarily in a portfolio of equity
securities (e.g., common stocks and securities convertible into common
stocks) of domestic and foreign companies with substantial natural resource
assets.
++ This unmanaged index measures the pattern of movements of the common stocks
of 400 large industrial companies and their weighting by capitalization.
+++ This unmanaged index is the most widely used index of price changes over
time and is designed to measure changes in the typical market basket of
purchases by urban consumers.
++++ This unmanaged index is comprised of all US mutual funds classified as
natural resource-related funds.
Past performance is not predictive of future performance.
14
<PAGE> 15
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of December 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT
VALUE (NOTE OF NET
FACE AMOUNT US GOVERNMENT OBLIGATIONS COST 1A) ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
US TREASURY NOTES US Treasury Notes:
$ 8,200,000 6.25% due 2/15/2003.................... $ 8,397,250 $ 8,554,896 8.8%
4,400,000 5.75% due 8/15/2003.................... 4,418,578 4,452,932 4.6
11,000,000 7.25% due 8/15/2004.................... 11,107,500 12,232,330 12.6
9,000,000 7.875% due 11/15/2004.................. 9,011,250 10,417,500 10.7
7,500,000 6.50% due 8/15/2005.................... 7,500,063 7,989,825 8.2
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT OBLIGATIONS 40,434,641 43,647,483 44.9
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES
INDUSTRY HELD COMMON STOCKS
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
AEROSPACE 10,000 Boeing Co. (The) ...................... 732,539 783,750 0.8
19,000 United Technologies Corp. ............. 913,577 1,802,625 1.9
------------ ------------ ------
1,646,116 2,586,375 2.7
- ----------------------------------------------------------------------------------------------------------------------------
ALUMINUM 15,000 Aluminum Co. of America................ 863,124 793,125 0.8
- ----------------------------------------------------------------------------------------------------------------------------
APPLIANCES 15,000 Whirlpool Corp. ....................... 868,387 798,750 0.8
- ----------------------------------------------------------------------------------------------------------------------------
AUTO & TRUCK 40,000 Ford Motor Co. ........................ 1,073,776 1,160,000 1.2
- ----------------------------------------------------------------------------------------------------------------------------
BANKING 20,000 Bank of New York, Inc. (The)........... 945,166 975,000 1.0
- ----------------------------------------------------------------------------------------------------------------------------
CHEMICALS 26,250 Eastman Chemical Co. .................. 1,101,188 1,643,906 1.7
- ----------------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 20,000 General Motors Corp. (Class E) ........ 1,029,407 1,040,000 1.1
- ----------------------------------------------------------------------------------------------------------------------------
ELECTRONIC INSTRUMENTS 26,800 Corning Inc. .......................... 739,900 857,600 0.9
12,000 Texas Instruments Inc. ................ 720,840 621,000 0.6
------------ ------------ ------
1,460,740 1,478,600 1.5
- ----------------------------------------------------------------------------------------------------------------------------
ENERGY-RELATED 7,000 +California Energy Co., Inc. .......... 127,777 136,500 0.1
- ----------------------------------------------------------------------------------------------------------------------------
ENVIRONMENTAL CONTROL 78,256 Wheelabrator Technologies Inc. ........ 1,276,578 1,310,788 1.4
- ----------------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 34,000 Stanley Works Co. ..................... 1,340,289 1,751,000 1.8
- ----------------------------------------------------------------------------------------------------------------------------
HEALTHCARE 65,000 +Humana Inc. .......................... 516,047 1,779,375 1.8
- ----------------------------------------------------------------------------------------------------------------------------
INSURANCE 15,000 Aetna Life & Casualty Co. ............. 1,116,315 1,038,750 1.1
25,000 Allstate Corp. ........................ 1,023,305 1,028,125 1.0
17,200 National Re Corp. ..................... 557,741 653,600 0.7
------------ ------------ ------
2,697,361 2,720,475 2.8
- ----------------------------------------------------------------------------------------------------------------------------
NATURAL GAS 14,100 Enron Corp. ........................... 533,018 537,562 0.6
- ----------------------------------------------------------------------------------------------------------------------------
OIL SERVICES 69,500 Dresser Industries, Inc. .............. 1,346,534 1,694,062 1.7
- ----------------------------------------------------------------------------------------------------------------------------
PETROLEUM 12,000 Pennzoil Co. .......................... 474,355 507,000 0.5
- ----------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 25,000 Abbott Laboratories.................... 777,352 1,043,750 1.1
33,000 Merck & Co., Inc. ..................... 1,092,980 2,169,750 2.2
------------ ------------ ------
1,870,332 3,213,500 3.3
- ----------------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 36,000 Eastman Kodak Co. ..................... 1,491,356 2,412,000 2.5
- ----------------------------------------------------------------------------------------------------------------------------
RETAIL 18,000 Sears, Roebuck & Co. .................. 717,557 702,000 0.7
- ----------------------------------------------------------------------------------------------------------------------------
SCIENTIFIC INSTRUMENTS 40,000 Fisher Scientific International,
Inc. ................................. 1,234,274 1,335,000 1.4
- ----------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 35,700 AT&T Corp. ............................ 1,522,784 2,311,575 2.4
27,600 Bell Atlantic Corp. ................... 1,351,417 1,845,750 1.9
------------ ------------ ------
2,874,201 4,157,325 4.3
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS 25,487,583 32,732,343 33.7
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
15
<PAGE> 16
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of December 31, 1995 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT
VALUE (NOTE OF NET
FACE AMOUNT SHORT-TERM SECURITIES COST 1A) ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMMERCIAL PAPER* $ 3,291,000 General Electric Capital Corp., 5.90%
due 1/02/1996......................... $ 3,288,843 $ 3,288,843 3.4%
- ----------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & Federal National Mortgage Association:
AGENCY OBLIGATIONS* 6,000,000 5.62% due 1/16/1996.................... 5,983,140 5,983,140 6.2
6,000,000 5.59% due 1/18/1996.................... 5,981,367 5,981,367 6.1
3,000,000 5.44% due 1/23/1996.................... 2,988,667 2,988,667 3.1
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 18,242,017 18,242,017 18.8
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS...................... $ 84,164,241 94,621,843 97.4
===========
OTHER ASSETS LESS LIABILITIES.......... 2,558,834 2.6
------------ ------
NET ASSETS............................. $ 97,180,677 100.0%
=========== =====
- ----------------------------------------------------------------------------------------------------------------------------
</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.
+ Non-income producing security.
See Notes to Financial Statements.
16
<PAGE> 17
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of December 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRY HELD US STOCKS & WARRANTS COST (NOTE 1A) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
AEROSPACE 75,000 Boeing Co. (The)................... $ 4,766,122 $ 5,878,125 2.3%
75,000 United Technologies Corp. ......... 5,999,109 7,115,625 2.8
------------- ------------- --------
10,765,231 12,993,750 5.1
- --------------------------------------------------------------------------------------------------------------------------
ALUMINUM 75,000 Aluminum Co. of America............ 4,158,046 3,965,625 1.6
- --------------------------------------------------------------------------------------------------------------------------
APPLIANCES 45,000 Whirlpool Corp. ................... 2,453,031 2,396,250 0.9
- --------------------------------------------------------------------------------------------------------------------------
AUTO & TRUCK 170,000 Ford Motor Co. .................... 5,047,712 4,930,000 1.9
- --------------------------------------------------------------------------------------------------------------------------
BANKING 145,000 Bank of New York, Inc. ............ 4,614,783 7,068,750 2.8
15,000 Bank of New York,
Inc. (Warrants) (a)............... 168,750 541,875 0.2
------------- ------------- --------
4,783,533 7,610,625 3.0
- --------------------------------------------------------------------------------------------------------------------------
CHEMICALS 40,000 Eastman Chemical Co. .............. 2,449,403 2,505,000 1.0
- --------------------------------------------------------------------------------------------------------------------------
COMMUNICATION 25,600 +ADC Telecommunications Inc. ...... 767,813 928,000 0.4
EQUIPMENT
- --------------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 145,000 General Motors Corp. (Class E)..... 6,051,177 7,540,000 3.0
- --------------------------------------------------------------------------------------------------------------------------
ELECTRONIC INSTRUMENTS 102,400 Corning Inc. ...................... 2,827,119 3,276,800 1.3
50,000 Texas Instruments Inc. ............ 3,513,717 2,587,500 1.0
------------- ------------- --------
6,340,836 5,864,300 2.3
- --------------------------------------------------------------------------------------------------------------------------
ENVIRONMENTAL CONTROL 300,000 Wheelabrator Technologies Inc. .... 4,242,288 5,025,000 2.0
- --------------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 46,200 Stanley Works Co. ................. 2,294,682 2,379,300 0.9
- --------------------------------------------------------------------------------------------------------------------------
HEALTHCARE 165,000 +Humana Inc. ...................... 3,434,418 4,516,875 1.8
- --------------------------------------------------------------------------------------------------------------------------
INSURANCE 80,000 Aetna Life & Casualty Co. ......... 4,664,235 5,540,000 2.2
95,000 Allstate Corp. .................... 3,091,710 3,906,875 1.5
40,000 National Re Corp. ................. 1,156,735 1,520,000 0.6
------------- ------------- --------
8,912,680 10,966,875 4.3
- --------------------------------------------------------------------------------------------------------------------------
NATURAL GAS 33,800 Enron Corp. ....................... 1,277,730 1,288,625 0.5
- --------------------------------------------------------------------------------------------------------------------------
OIL SERVICES 120,000 Dresser Industries, Inc. .......... 2,812,419 2,925,000 1.2
- --------------------------------------------------------------------------------------------------------------------------
PETROLEUM 48,000 Pennzoil Co. ...................... 1,897,297 2,028,000 0.8
- --------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 120,000 Abbott Laboratories................ 4,913,838 5,010,000 2.0
100,000 Merck & Co., Inc. ................. 6,022,360 6,575,000 2.6
------------- ------------- --------
10,936,198 11,585,000 4.6
- --------------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 100,000 Eastman Kodak Co. ................. 5,518,202 6,700,000 2.7
- --------------------------------------------------------------------------------------------------------------------------
RETAIL 150,000 Sears, Roebuck & Co. .............. 5,440,572 5,850,000 2.3
- --------------------------------------------------------------------------------------------------------------------------
SCIENTIFIC INSTRUMENTS 62,900 Fisher Scientific International,
Inc. ............................. 2,057,297 2,099,288 0.8
- --------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 90,000 AT&T Corp. ........................ 5,917,533 5,827,500 2.3
- --------------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS & WARRANTS 97,558,098 109,925,013 43.4
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
COUNTRY FOREIGN STOCKS+
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
<CAPTION>
CANADA 45,000 Magna International, Inc. (Class A)
(ADR)*(2)......................... 1,785,816 1,946,250 0.8
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
TOTAL INVESTMENTS IN CANADA 1,785,816 1,946,250 0.8
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
17
<PAGE> 18
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of December 31, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRY HELD FOREIGN STOCKS+ (CONCLUDED) COST (NOTE 1A) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
HONG KONG 3,000,000 Hong Kong Telecommunications, Ltd.
(ADR)* (21)....................... $ 5,306,140 $ 5,354,371 2.1%
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN HONG KONG 5,306,140 5,354,371 2.1
- --------------------------------------------------------------------------------------------------------------------------
INDONESIA 1,600 PT Indonesian Satellite Corp.
(ADR)* (21)....................... 57,496 58,400 0.0
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 57,496 58,400 0.0
- --------------------------------------------------------------------------------------------------------------------------
JAPAN 100,000 Canon, Inc. (38)................... 1,834,920 1,811,313 0.7
200,000 +Nomura Securities Co.,
Ltd. (10)......................... 3,929,508 4,358,776 1.7
150,000 Tokio Marine & Fire Insurance
Co. (13).......................... 1,786,071 1,961,449 0.8
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 7,550,499 8,131,538 3.2
- --------------------------------------------------------------------------------------------------------------------------
MEXICO 150,000 +Grupo Carso, S.A. de C.V.
(ADR)* (15)++..................... 1,923,125 1,518,750 0.6
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 1,923,125 1,518,750 0.6
- --------------------------------------------------------------------------------------------------------------------------
NETHERLANDS 35,000 Royal Dutch Petroleum Co. N.V.
(ADR)* (16)....................... 4,677,014 4,939,375 2.0
150,000 Singer Co. N.V. (1)................ 4,380,891 4,181,250 1.7
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
NETHERLANDS 9,057,905 9,120,625 3.7
- --------------------------------------------------------------------------------------------------------------------------
SPAIN 40,000 Repsol S.A. (ADR)* (31)............ 1,316,132 1,315,000 0.5
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 1,316,132 1,315,000 0.5
- --------------------------------------------------------------------------------------------------------------------------
SWITZERLAND 3,500 Sandoz AG (37)..................... 3,038,594 3,211,958 1.3
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWITZERLAND 3,038,594 3,211,958 1.3
- --------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 30,035,707 30,656,892 12.2
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SHORT-TERM SECURITIES
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMMERCIAL $ 10,000,000 Commerzbank US Finance Inc.,
PAPER** 5.77% due 1/11/1996............... 9,979,164 9,979,164 4.0
10,000,000 Corporate Asset Funding Co. Inc.,
5.60% due 2/02/1996............... 9,945,556 9,945,556 3.9
11,916,000 General Electric Capital Corp.,
5.90% due 1/02/1996............... 11,908,188 11,908,188 4.7
10,000,000 Goldman Sachs Group L.P.,
5.75% due 1/03/1996............... 9,992,014 9,992,014 4.0
12,000,000 Morgan Stanley Group, Inc.,
5.65% due 1/24/1996............... 11,951,033 11,951,033 4.7
13,000,000 National Fleet Funding Corp.,
5.76% due 1/30/1996............... 12,933,440 12,933,440 5.1
12,000,000 Preferred Receivable Funding Corp.,
5.90% due 1/18/1996............... 11,960,667 11,960,667 4.7
13,000,000 Riverwoods Funding Corp., 5.85% due
1/17/1996......................... 12,959,863 12,959,863 5.1
12,000,000 Xerox Corp., 5.75% due
1/26/1996......................... 11,946,333 11,946,333 4.7
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
18
<PAGE> 19
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of December 31, 1995 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT
FACE VALUE OF NET
AMOUNT SHORT-TERM SECURITIES (CONCLUDED) COST (NOTE 1A) ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
US GOVERNMENT & AGENCY $ 10,000,000 Federal Home Loan Mortgage Corp.,
OBLIGATIONS** 5.66% due 1/16/1996.............. $ 9,971,700 $ 9,971,700 4.0%
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 113,547,958 113,547,958 44.9
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS................. $ 241,141,763 254,129,863 100.5
=============
LIABILITIES IN EXCESS OF OTHER
ASSETS........................... (1,172,969) (0.5)
------------- ------
NET ASSETS........................ $ 252,956,894 100.0%
============= =====
- ----------------------------------------------------------------------------------------------------------------------------
(a) Warrants entitle the Portfolio to purchase a predetermined number of shares of common stock. The purchase
price and number of shares are subject to adjustment under certain conditions until the expiration date.
* American Depositary Receipts (ADR).
** 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.
++ Restricted securities as to resale. The value of the Portfolio's investment in restricted securities was
approximately $1,519,000, representing 0.6% of net assets.
----------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
ACQUISITION VALUE
ISSUE DATES COST (NOTE 1A)
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Grupo Carso, S.A. de C.V. (ADR)............................. 1/16/1995-1/31/1995 $ 1,923,125 $ 1,518,750
---------------------------------------------------------------------------------------------------------------
TOTAL $ 1,923,125 $ 1,518,750
========== ==========
---------------------------------------------------------------------------------------------------------------
+ Corresponding industry groups for foreign stocks:
</TABLE>
(1) Appliances
(2) Auto-Parts
(3) Banking
(4) Beverages
(5) Chemicals
(6) Communications Equipment
(7) Computers
(8) Electrical Equipment
(9) Electronics
(10) Financial Services
(11) Furniture
(12) Industrial Components
(13) Insurance
(14) Media/Publishing
(15) Multi-Industry
(16) Oil-Integrated
(17) Real Estate
(18) Retail
(19) Semiconductors
(20) Soap
(21) Telecommunications
(22) Utilities-Communications
(23) Utilities-Electric
(24) Utilities-Water
(25) Food Processing
(26) Metals
(27) Advertising
(28) Tobacco
(29) Industrials
(30) Containers
(31) Petroleum
(32) Railroads
(33) Automotive
(34) Leisure & Entertainment
(35) Office Equipment
(36) Industrial Services
(37) Pharmaceuticals
(38) Photography
(39) Commercial Design
See Notes to Financial Statements.
19
<PAGE> 20
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE (NOTE PERCENT OF
INDUSTRY HELD US STOCKS COST 1A) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
AEROSPACE 10,000 Boeing Co. (The)...................... $ 732,539 $ 783,750 0.4%
16,600 United Technologies Corp. ............ 1,005,542 1,574,925 0.7
------------- ------------- ----------
1,738,081 2,358,675 1.1
- ----------------------------------------------------------------------------------------------------------------------------
ALUMINUM 15,000 Aluminum Co. of America............... 863,124 793,125 0.4
- ----------------------------------------------------------------------------------------------------------------------------
APPLIANCES 18,000 Whirlpool Corp. ...................... 1,042,065 958,500 0.4
- ----------------------------------------------------------------------------------------------------------------------------
AUTO & TRUCK 60,000 Ford Motor Co. ....................... 1,610,668 1,740,000 0.8
- ----------------------------------------------------------------------------------------------------------------------------
BANKING 20,000 Bank of New York, Inc. ............... 945,166 975,000 0.5
- ----------------------------------------------------------------------------------------------------------------------------
CHEMICALS 28,750 Eastman Chemical Co. ................. 1,275,464 1,800,469 0.8
- ----------------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 17,000 General Motors Corp. (Class E)........ 874,993 884,000 0.4
- ----------------------------------------------------------------------------------------------------------------------------
ELECTRONIC INSTRUMENTS 31,300 Corning Inc. ......................... 864,229 1,001,600 0.5
12,000 Texas Instruments Inc. ............... 720,840 621,000 0.3
------------- ------------- ----------
1,585,069 1,622,600 0.8
- ----------------------------------------------------------------------------------------------------------------------------
ENERGY-RELATED 6,500 +California Energy Co., Inc. ......... 111,703 126,750 0.1
- ----------------------------------------------------------------------------------------------------------------------------
ENVIRONMENTAL CONTROL 115,000 Wheelabrator Technologies Inc. ....... 2,095,840 1,926,250 0.9
- ----------------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 44,500 Stanley Works Co. .................... 1,821,901 2,291,750 1.1
- ----------------------------------------------------------------------------------------------------------------------------
HEALTHCARE 60,000 +Humana Inc. ......................... 1,424,460 1,642,500 0.8
- ----------------------------------------------------------------------------------------------------------------------------
INSURANCE 12,000 Aetna Life & Casualty Co. ............ 893,052 831,000 0.4
20,000 Allstate Corp. ....................... 818,644 822,500 0.4
17,200 National Re Corp. .................... 557,741 653,600 0.3
------------- ------------- ----------
2,269,437 2,307,100 1.1
- ----------------------------------------------------------------------------------------------------------------------------
NATURAL GAS 11,300 Enron Corp. .......................... 427,171 430,812 0.2
- ----------------------------------------------------------------------------------------------------------------------------
OIL SERVICES 68,000 Dresser Industries, Inc. ............. 1,425,430 1,657,500 0.8
17,000 Schlumberger Ltd., Inc. .............. 1,023,053 1,177,250 0.5
------------- ------------- ----------
2,448,483 2,834,750 1.3
- ----------------------------------------------------------------------------------------------------------------------------
PETROLEUM 19,000 Pennzoil Co. ......................... 751,432 802,750 0.4
- ----------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 39,000 Abbott Laboratories................... 1,106,235 1,628,250 0.8
42,000 Merck & Co., Inc. .................... 1,449,465 2,761,500 1.3
------------- ------------- ----------
2,555,700 4,389,750 2.1
- ----------------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 24,000 Eastman Kodak Co. .................... 1,086,485 1,608,000 0.8
- ----------------------------------------------------------------------------------------------------------------------------
RETAIL 18,000 Sears, Roebuck & Co. ................. 717,557 702,000 0.3
- ----------------------------------------------------------------------------------------------------------------------------
SCIENTIFIC INSTRUMENTS 40,000 Fisher Scientific International,
Inc. ................................ 1,234,274 1,335,000 0.6
- ----------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 32,000 AT&T Corp. ........................... 1,689,860 2,072,000 1.0
33,000 Bell Atlantic Corp. .................. 1,773,280 2,206,875 1.0
------------- ------------- ----------
3,463,140 4,278,875 2.0
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS 30,342,213 35,808,656 16.9
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
COUNTRY FOREIGN STOCKS++
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ARGENTINA 55,285 Banco de Galicia y Buenos Aires S.A.
(ADR)* (4)........................... 920,890 1,133,342 0.5
44,850 Banco Frances del Rio de la Plata S.A.
(ADR)* (5)........................... 1,010,936 1,205,344 0.6
50,000 Yacimientos Petroliferos Fiscales S.A.
(Sponsored) (ADR)* (29).............. 1,172,941 1,081,250 0.5
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ARGENTINA 3,104,767 3,419,936 1.6
- ----------------------------------------------------------------------------------------------------------------------------
CANADA 59,000 Canadian Pacific Ltd. (25)............ 948,380 1,069,375 0.5
25,000 Northern Telecommunications
Ltd. (35)............................ 619,973 1,075,000 0.5
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 1,568,353 2,144,375 1.0
- ----------------------------------------------------------------------------------------------------------------------------
GERMANY 3,800 Mannesmann AG (20).................... 791,059 1,212,337 0.6
4,400 Preussag S.A. (25).................... 1,073,571 1,232,553 0.6
2,500 Siemens AG (13)....................... 1,056,555 1,370,940 0.6
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 2,921,185 3,815,830 1.8
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
20
<PAGE> 21
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE (NOTE PERCENT OF
COUNTRY HELD FOREIGN STOCKS++ COST 1A) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
HONG KONG 700,000 +Hong Kong Telecommunications,
Ltd. (35)............................ $ 1,248,721 $ 1,249,353 0.6%
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN HONG KONG 1,248,721 1,249,353 0.6
- ----------------------------------------------------------------------------------------------------------------------------
INDONESIA 33,450 PT Indonesian Satellite Corp.
(ADR)* (35).......................... 1,293,001 1,220,925 0.6
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 1,293,001 1,220,925 0.6
- ----------------------------------------------------------------------------------------------------------------------------
ITALY 370,000 Danieli & Co. (20).................... 1,361,249 1,003,785 0.5
200,000 Societa Finanziara Telefonica S.p.A.
(STET) (35).......................... 606,877 566,561 0.3
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 1,968,126 1,570,346 0.8
- ----------------------------------------------------------------------------------------------------------------------------
JAPAN 56,000 Canon, Inc. (13)...................... 756,641 1,014,336 0.5
77,000 Dai Nippon Printing Co., Ltd. (31).... 1,140,324 1,305,211 0.6
160,000 Hitachi Cable, Ltd. (13).............. 1,075,162 1,132,894 0.5
25,000 Ito-Yokado Co., Ltd. (33)............. 1,063,360 1,540,101 0.7
143,000 Kamigumi Co. (38)..................... 1,611,230 1,372,656 0.6
105,000 Maeda Corp. (6)....................... 1,059,809 1,027,218 0.5
170,000 Mitsubishi Electric Corp. (12)........ 1,080,460 1,223,460 0.6
180,000 Mitsubishi Heavy Industries,
Ltd. (13)............................ 1,018,102 1,434,909 0.7
90,000 Mitsubishi Trust & Banking
Corp. (5)............................ 1,513,607 1,499,419 0.7
60,000 +Nomura Securities Co., Ltd. (43)..... 1,239,679 1,307,633 0.6
139,000 Okumura Corp. (6)..................... 1,141,245 1,265,595 0.6
21,000 Rohm Company Ltd. (13)................ 1,081,959 1,185,878 0.6
20,000 SMC Corporation (20).................. 1,181,123 1,447,114 0.7
55,000 Sanwa Bank, Ltd. (5).................. 1,116,889 1,118,752 0.5
115,000 Sumitomo Corp. (38)................... 977,016 1,169,605 0.5
120,000 Tokio Marine and Fire Insurance Co.,
Ltd. (19)............................ 1,536,571 1,569,159 0.7
200,000 Toray Industries, Ltd. (36)........... 1,413,536 1,317,319 0.6
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 20,006,713 21,931,259 10.2
- ----------------------------------------------------------------------------------------------------------------------------
NETHERLANDS 10,400 Royal Dutch Petroleum Co., N.V.
(ADR)* (29).......................... 1,142,821 1,467,700 0.7
50,000 Singer Co. N.V. (44).................. 1,339,345 1,393,750 0.6
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE NETHERLANDS 2,482,166 2,861,450 1.3
- ----------------------------------------------------------------------------------------------------------------------------
PHILIPPINES 16,000 Philippine Long Distance Telephone Co.
(ADR)* (35).......................... 1,135,073 866,000 0.4
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE PHILIPPINES 1,135,073 866,000 0.4
- ----------------------------------------------------------------------------------------------------------------------------
SPAIN 36,000 Repsol S.A. (ADR)* (29)............... 935,136 1,183,500 0.6
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 935,136 1,183,500 0.6
- ----------------------------------------------------------------------------------------------------------------------------
SWITZERLAND 1,050 BBC Brown Boveri & Cie (24)........... 611,386 1,222,734 0.6
1,000 Sandoz AG (Registered) (30)........... 868,170 917,702 0.4
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWITZERLAND 1,479,556 2,140,436 1.0
- ----------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 74,000 GKN PLC (8)........................... 621,161 894,781 0.4
230,000 General Electric PLC (13)............. 1,035,268 1,267,371 0.6
88,000 Imperial Chemical Industries
PLC (28)............................. 1,137,770 1,041,526 0.5
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE UNITED KINGDOM 2,794,199 3,203,678 1.5
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 40,936,996 45,607,088 21.4
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
21
<PAGE> 22
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT
OF
FACE VALUE NET
COUNTRY AMOUNT** FOREIGN BONDS++ COST (NOTE 1A) ASSETS
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CANADA C$ 5,900,000 Government of Canada,
7.25% due 6/01/2003 (16)............. $ 4,749,162 $ 4,403,165 2.1%
- --------------------------------------------------------------------------------------------------------------------------
UNITED UK Treasury Gilt (16):
KINGDOM L 2,900,000 7.25% due 3/30/1998............... 4,477,495 4,584,376 2.1
350,000 9.75% due 8/27/2002............... 697,240 617,291 0.3
1,000,000 8% due 6/10/2003.................. 1,668,701 1,622,535 0.8
------------- ------------- ------
6,843,436 6,824,202 3.2
- --------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN BONDS 11,592,598 11,227,367 5.3
- --------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY OBLIGATIONS
- --------------------------------------------------------------------------------------------------------------------------
GOVERNMENT $ 64,465 Government National Mortgage
NATIONAL Association, 9% due
MORTGAGE 8/15/2016 (a)........................ 63,840 68,826 0.0
ASSOCIATION
- --------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT US Treasury Notes:
OBLIGATIONS 8,800,000 5.75% due 8/15/2003............... 8,851,937 8,905,864 4.2
7,200,000 7.25% due 8/15/2004............... 7,215,187 8,006,616 3.8
16,000,000 7.875% due 11/15/2004............. 15,993,125 18,520,000 8.7
4,500,000 6.50% due 8/15/2005............... 4,484,609 4,793,895 2.2
------------- ------------- ------
36,544,858 40,226,375 18.9
- --------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY
OBLIGATIONS 36,608,698 40,295,201 18.9
- --------------------------------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES
- --------------------------------------------------------------------------------------------------------------------------
COMMERCIAL 9,000,000 Ciesco L.P., 5.70% due 1/19/1996...... 8,971,500 8,971,500 4.2
PAPER*** 8,000,000 du Pont (E.I.) de Nemours & Co, 5.71%
due 1/05/1996........................ 7,992,387 7,992,387 3.8
10,734,000 General Electric Capital Corp., 5.90%
due 1/02/1996........................ 10,728,722 10,728,722 5.0
6,000,000 National Fleet Funding Corp., 5.75%
due 2/01/1996........................ 5,968,375 5,968,375 2.8
============= ============= =====
33,660,984 33,660,984 15.8
- --------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT 4,000,000 Federal Home Loan Bank, 5.63% due
& AGENCY 1/16/1996............................. 3,989,366 3,989,366 1.9
OBLIGATIONS*** 9,000,000 Federal Home Loan Mortgage Corp.,
5.45% due 1/12/1996.................. 8,982,288 8,982,288 4.2
Federal National Mortgage Association:
8,000,000 5.65% due 1/11/1996............... 7,984,933 7,984,933 3.8
18,000,000 5.64% due 1/29/1996............... 17,915,400 17,915,400 8.4
============= ============= =====
38,871,987 38,871,987 18.3
- --------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 72,532,971 72,532,971 34.1
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS..................... $ 192,013,476 205,471,283 96.6
=============
UNREALIZED APPRECIATION ON FORWARD
FOREIGN EXCHANGE CONTRACTS+++......... 3,911,706 1.8
OTHER ASSETS LESS LIABILITIES......... 3,299,750 1.6
------------- ------
NET ASSETS............................ $ 212,682,739 100.0%
============= =====
- --------------------------------------------------------------------------------------------------------------------------
* American Depositary Receipts (ADR).
** Denominated in US dollars unless otherwise indicated.
*** Commercial Paper and certain US Government & Agency Obligations are traded on a discount basis; the interest
rates shown are the discount rates paid at the time of purchase by the Portfolio.
(a) Mortgage-backed bonds; original face amounts and related costs are reduced by principal payment pass-throughs.
+ Non-income producing security.
</TABLE>
22
<PAGE> 23
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1995 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S>
++ Corresponding industry groups for foreign stocks and bonds:
</TABLE>
(1) Apparel
(2) Automobile
(3) Automotive & Equipment
(4) Banking
(5) Banking-International
(6) Building & Construction
(7) Building Materials
(8) Business Services
(9) Capital Goods
(10) Cement
(11) Chemicals
(12) Electrical Equipment
(13) Electronics
(14) Food & Beverage
(15) Food
(16) Government (Bonds)
(17) Glass
(18) Industrials
(19) Insurance
(20) Machinery
(21) Machinery and Equipment
(22) Metal Fabricating
(23) Miscellaneous
(24) Miscellaneous-Capital Goods
(25) Multi-Industry
(26) Natural Gas
(27) Oil & Gas Producers
(28) Oil-Integrated
(29) Petroleum
(30) Pharmaceutical
(31) Printing & Publishing
(32) Real Estate
(33) Retail
(34) Shipping
(35) Telecommunications
(36) Textiles
(37) Toys
(38) Trading
(39) Trucking
(40) Utilities
(41) Utilities-Electric
(42) Utilities-Water
(43) Financial Services
(44) Appliances
<TABLE>
<C> <S>
+++ Forward foreign exchange contracts as of December 31, 1995 were as follows:
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------
<C> <S> <C> <C>
UNREALIZED
FOREIGN EXPIRATION APPRECIATION
CURRENCY SOLD DATE (NOTE 1E)
--------------------------------------------------------------------
Y 1,947,120,000 January 1996 $3,911,706
--------------------------------------------------------------------
TOTAL (US
COMMITMENT -- $22,810,684) $3,911,706
============
--------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
23
<PAGE> 24
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of December 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT
SHARES VALUE (NOTE OF NET
INDUSTRY HELD STOCKS COST 1A) ASSETS
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ADVERTISING 70,000 Interpublic Group of Companies,
Inc. ........................... $ 2,454,905 $ 3,036,250 1.6%
- ---------------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE 40,000 Ek Chor China Motorcycle Co.,
Ltd. ........................... 894,381 465,000 0.2
- ---------------------------------------------------------------------------------------------------------------------------
BANKING 10,000 State Street Boston Corp. ....... 397,500 450,000 0.2
- ---------------------------------------------------------------------------------------------------------------------------
BEVERAGES 75,000 Coca-Cola Co. ................... 3,964,500 5,568,750 3.0
100,000 PepsiCo., Inc. .................. 4,056,159 5,587,500 3.0
------------- ------------- ------
8,020,659 11,156,250 6.0
- ---------------------------------------------------------------------------------------------------------------------------
CHEMICAL PRODUCERS 100,000 Duracell International, Inc. .... 4,386,878 5,175,000 2.8
20,000 Great Lakes Chemical Corp. ...... 1,523,285 1,440,000 0.8
------------- ------------- ------
5,910,163 6,615,000 3.6
- ---------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS 20,000 +Nextel Communications, Inc.
(Class A)....................... 905,000 295,000 0.2
- ---------------------------------------------------------------------------------------------------------------------------
COMPUTERS 110,000 +Compaq Computer Corp. .......... 4,255,954 5,280,000 2.9
- ---------------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS & 150,000 +CUC International, Inc. ........ 4,129,012 5,118,750 2.8
SERVICES
- ---------------------------------------------------------------------------------------------------------------------------
COSMETICS 100,000 Gillette Co., (The).............. 3,832,420 5,212,500 2.8
10,000 International Flavors &
Fragrances,
Inc. ........................... 485,470 480,000 0.3
------------- ------------- ------
4,317,890 5,692,500 3.1
- ---------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 10,000 Emerson Electric Co. ............ 658,040 817,500 0.4
- ---------------------------------------------------------------------------------------------------------------------------
ELECTRONICS 90,000 General Electric Co. PLC......... 6,133,315 6,480,000 3.5
30,000 Intel Corp. ..................... 1,940,000 1,702,500 0.9
------------- ------------- ------
8,073,315 8,182,500 4.4
- ---------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 20,000 Walt Disney Co................... 1,141,200 1,180,000 0.6
100,000 +Viacom, Inc. ................... 5,086,797 4,587,500 2.5
------------- ------------- ------
6,227,997 5,767,500 3.1
- ---------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 110,000 +Travelers Corp.................. 4,919,118 6,916,250 3.8
- ---------------------------------------------------------------------------------------------------------------------------
FOOD 10,000 Wrigley (Wm.) Jr. Company
(Class B)....................... 426,440 525,000 0.3
- ---------------------------------------------------------------------------------------------------------------------------
FOOD MERCHANDISING 20,000 Albertson's Inc. ................ 615,126 657,500 0.4
- ---------------------------------------------------------------------------------------------------------------------------
HOTELS 25,000 Marriott International, Inc. .... 925,240 956,250 0.5
- ---------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 5,000 Colgate-Palmolive Co. ........... 322,638 351,250 0.2
70,000 Procter & Gamble Co. ............ 4,589,963 5,810,000 3.2
------------- ------------- ------
4,912,601 6,161,250 3.4
- ---------------------------------------------------------------------------------------------------------------------------
INFORMATION 85,000 First Data Corp. ................ 3,422,542 5,684,375 3.1
PROCESSING 25,000..... General Motors Corp. (Class E)... 1,141,500 1,300,000 0.7
75,000 +Primark Corp. .................. 2,034,375 2,250,000 1.2
------------- ------------- ------
6,598,417 9,234,375 5.0
- ---------------------------------------------------------------------------------------------------------------------------
INSURANCE 70,000 American International Group,
Inc. ........................... 5,142,862 6,475,000 3.5
- ---------------------------------------------------------------------------------------------------------------------------
LEISURE 70,000 PolyGram N.V. (ADR)*............. 3,041,535 3,675,000 2.0
- ---------------------------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 80,000 Johnson & Johnson................ 5,807,519 6,850,000 3.7
- ---------------------------------------------------------------------------------------------------------------------------
NATURAL ENERGY 100,000 Enron Corp. ..................... 3,806,500 3,812,500 2.1
- ---------------------------------------------------------------------------------------------------------------------------
OIL SERVICES 10,000 Schlumberger Ltd. ............... 599,370 692,500 0.4
- ---------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICAL 100,000 +Amgen, Inc. .................... 3,090,992 5,925,000 3.2
100,000 Merck & Co., Inc. ............... 5,232,300 6,575,000 3.6
100,000 Pfizer, Inc. .................... 3,622,776 6,300,000 3.4
165,000 +Pharmacia & Upjohn Inc. ........ 4,902,245 6,393,750 3.5
110,000 Schering-Plough Corp. ........... 5,723,607 6,022,500 3.3
------------- ------------- ------
22,571,920 31,216,250 17.0
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
24
<PAGE> 25
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of December 31, 1995 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT
SHARES VALUE (NOTE OF NET
INDUSTRY HELD STOCKS COST 1A) ASSETS
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PHOTOGRAPHY 90,000 Eastman Kodak Co. ............... $ 4,948,935 $ 6,030,000 3.3%
- ---------------------------------------------------------------------------------------------------------------------------
POLLUTION CONTROL 35,000 WMX Technologies, Inc. .......... 1,034,554 1,045,625 0.6
- ---------------------------------------------------------------------------------------------------------------------------
RESTAURANTS 10,000 McDonald's Corp. ................ 335,600 451,250 0.2
- ---------------------------------------------------------------------------------------------------------------------------
RETAIL-SPECIALTY 200,000 +Staples Inc. ................... 3,565,188 4,875,000 2.6
150,000 +Toys 'R' Us, Inc. .............. 3,794,885 3,262,500 1.8
------------- ------------- ------
7,360,073 8,137,500 4.4
- ---------------------------------------------------------------------------------------------------------------------------
RETAIL-STORES 100,000 Wal-Mart Stores, Inc. ........... 2,271,630 2,237,500 1.2
- ---------------------------------------------------------------------------------------------------------------------------
SOFTWARE-COMPUTER 70,000 Computer Associates
International, Inc. ............ 4,380,213 3,981,250 2.2
60,000 +Microsoft Corp. ................ 5,479,912 5,265,000 2.9
------------- ------------- ------
9,860,125 9,246,250 5.1
- ---------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 250,000 MCI Communications Corp. ........ 6,276,035 6,531,250 3.5
- ---------------------------------------------------------------------------------------------------------------------------
TOYS 170,000 Mattel, Inc. .................... 3,912,180 5,227,500 2.8
- ---------------------------------------------------------------------------------------------------------------------------
TRAVEL AND LODGING 45,000 Carnival Corp. (Class A)......... 1,005,771 1,096,875 0.6
- ---------------------------------------------------------------------------------------------------------------------------
UTILITIES-ELECTRIC 40,000 +AES China Generating Co.
Ltd. ........................... 643,500 300,000 0.2
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL STOCKS 143,259,867 170,351,875 92.5
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE AMOUNT SHORT-TERM SECURITIES
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMMERCIAL PAPER** $ 6,774,000 Associates Corp. of North
America,
6% due 1/02/1996................ 6,769,484 6,769,484 3.7
5,000,000 Corporate Asset Funding Co. Inc.,
5.60% due 1/29/1996............. 4,975,889 4,975,889 2.7
4,646,000 Riverwoods Funding Corp.,
5.77% due 1/10/1996............. 4,637,064 4,637,064 2.5
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 16,382,437 16,382,437 8.9
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS................ $ 159,642,304 186,734,312 101.4
=============
LIABILITIES IN EXCESS OF OTHER
ASSETS.......................... (2,581,880) (1.4)
------------- ------
NET ASSETS....................... $ 184,152,432 100.0%
============= =====
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
* American Depositary Receipts (ADR).
** 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.
See Notes to Financial Statements.
25
<PAGE> 26
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S VALUE
INDUSTRY RATINGS RATINGS FACE AMOUNT ISSUE COST (NOTE 1A)
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
- ------------------------------------------------------------------------------------------------------------------------------
AEROSPACE-1.0% B B3 $ 1,000,000 +Howmet Corp., 10% due
12/01/2003.................... $ 1,000,000 $ 1,050,000
- ------------------------------------------------------------------------------------------------------------------------------
AIRLINES-0.6% BB- B1 750,000 USAir, Inc., 10.375% due
3/01/2013..................... 750,000 697,500
- ------------------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE PARTS-0.9% B+ Ba3 1,000,000 Walbro Corp., 9.875% due
7/15/2005..................... 996,500 997,500
- ------------------------------------------------------------------------------------------------------------------------------
BROADCASTING & BB- B3 2,000,000 ACT III Broadcasting Inc.,
PUBLISHING-4.1% 10.25% due 12/15/2005......... 2,000,000 2,042,500
B Caa 2,000,000 NWCG Holding Corp., 13.947%**
due 6/15/1999................. 1,253,922 1,380,000
B+ B3 1,000,000 Sinclair Broadcast Group Inc.,
10% due 12/15/2003............ 935,000 1,020,000
------------- -------------
4,188,922 4,442,500
- ------------------------------------------------------------------------------------------------------------------------------
BROADCASTING/ CCC+ Caa 75,790 American Telecasting, Inc.,
CABLE-5.0% 17.631%** due 6/15/2004....... 37,829 52,106
BB- B2 1,850,000 +Bell Cablemedia PLC, 11.875%**
due 9/15/2005................. 1,074,316 1,160,875
B- B3 2,000,000 Diamond Cable Communications
PLC, 11.75%** due
12/15/2005.................... 1,134,986 1,175,000
BB+ Ba3 1,000,000 Videotron Holdings PLC, 10.625%
due 2/15/2005................. 1,023,750 1,072,500
B+ B3 3,000,000 Videotron Holdings PLC,
11.034%** due 8/15/2005....... 1,824,016 1,860,000
------------- -------------
5,094,897 5,320,481
- ------------------------------------------------------------------------------------------------------------------------------
BUILDING B+ B3 1,500,000 Pacific Lumber Co., 10.50% due
MATERIALS-1.3% 3/01/2003..................... 1,450,313 1,421,250
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL GOODS-1.3% B- B3 1,500,000 International Wire Group, Inc.,
11.75% due 6/01/2005.......... 1,486,875 1,425,000
- ------------------------------------------------------------------------------------------------------------------------------
CHEMICALS-1.2% B+ Ba3 1,717,000 G-I Holdings Inc., 11.15%** due
10/01/1998.................... 1,272,747 1,330,675
- ------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS- CCC+ B3 2,000,000 Nextel Communications, Inc.,
5.6% 14.085%** due 8/15/2004....... 1,093,849 1,085,000
B- B3 1,000,000 Panamsat L.P., 12.301%** due
8/01/2003..................... 709,424 820,000
BB- B2 1,000,000 Rogers Communications Inc.,
10.875% due 4/15/2004......... 1,007,500 1,045,000
BB- B1 1,000,000 Telecom Argentina S.A., 8.375%
due 10/18/2000................ 825,000 947,500
BB- B1 2,000,000 Telefonica de Argentina S.A.,
11.875% due 11/01/2004........ 1,978,830 2,070,000
------------- -------------
5,614,603 5,967,500
- ------------------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES-1.0% CCC+ B3 1,000,000 ComputerVision Corp., 11.375%
due 8/15/1999................. 937,500 1,040,000
- ------------------------------------------------------------------------------------------------------------------------------
CONGLOMERATES- BB- B3 2,000,000 Coltec Industries Inc., 10.25%
10.0% due 4/01/2002................. 2,060,000 2,055,000
CCC+ B3 1,000,000 Interlake Corp., 12.125% due
3/01/2002..................... 941,625 950,000
B+ B2 1,000,000 J.B. Poindexter & Co., Inc.,
12.50% due 5/15/2004.......... 955,000 802,500
B+ B3 950,000 Jordan Industries Inc., 10.375%
due 8/01/2003................. 950,000 845,500
</TABLE>
26
<PAGE> 27
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S VALUE
INDUSTRY RATINGS RATINGS FACE AMOUNT ISSUE COST (NOTE 1A)
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS (CONTINUED)
- ------------------------------------------------------------------------------------------------------------------------------
CONGLOMERATES NR* NR* $ 1,000,000 MacAndrew & Forbes Group, Inc.,
(CONCLUDED) 13% due 3/01/1999............. $ 995,000 $ 1,010,000
B+ B3 1,000,000 Sequa Corp., 9.375% due
12/15/2003.................... 1,030,938 930,000
BB- B1 2,000,000 Sherritt Gordon, Ltd., 9.75%
due
4/01/2003..................... 1,946,250 2,130,000
NR* NR* 2,000,000 +Walter Industries Inc., 12.19%
due 3/15/2000................. 2,030,000 2,022,500
------------- -------------
10,908,813 10,745,500
- ------------------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS-7.2% B NR* 1,500,000 Coleman Holdings, Inc.,
11.981%** due 5/27/1998....... 1,012,500 1,215,000
B+ Ba3 500,000 Coty Inc., 10.25% due
5/01/2005..................... 500,000 530,000
NR* B2 1,000,000 Herff Jones Inc., 11% due
8/15/2005..................... 1,000,000 1,062,500
B+ Ba2 1,900,000 International Semi-Tech
Microelectronics, Inc.,
12.792%** due 8/15/2003....... 1,037,507 997,500
B- Caa 1,000,000 Polymer Group Inc., 12.25% due
7/15/2002..................... 1,000,000 1,030,000
B B2 1,000,000 Revlon Consumer Products Corp.,
9.375% due 4/01/2001.......... 872,167 1,012,500
B- B3 2,000,000 Samsonite Corp., 11.125% due
7/15/2005..................... 1,935,625 1,920,000
------------- -------------
7,357,799 7,767,500
- ------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED-0.9% B B1 1,000,000 Foamex Capital Corp., 11.25%
due 10/01/2002................ 989,063 1,000,000
- ------------------------------------------------------------------------------------------------------------------------------
ENERGY-7.7% BB- Ba3 500,000 California Energy Company,
Inc., 9.875% due 6/30/2003.... 500,000 525,000
B+ B1 2,000,000 Clark R & M Holdings, Inc.,
11.016%** due 2/15/2000....... 1,286,314 1,330,000
BB B1 850,000 Gulf Canada Resources, Ltd., 9%
due 8/15/1999................. 789,281 896,750
NR* B3 460,000 Tesoro Petroleum Corp., 12.75%
due 3/15/2001................. 417,835 473,800
B- Caa 1,700,000 Transamerica Refining Corp.,
19.571%** due 2/15/2002....... 1,107,561 1,028,500
BB+ B2 1,000,000 TransTexas Gas Corp., 11.50%
due 6/15/2002................. 1,000,000 1,032,500
B+ B1 2,000,000 Vintage Petroleum Inc., 9% due
12/15/2005.................... 1,994,560 2,017,500
BB- B1 1,000,000 Yacimientos Petroliferos
Fiscales S.A., 8% due
2/15/2004..................... 710,000 940,000
------------- -------------
7,805,551 8,244,050
- ------------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT-1.7% B- Caa 2,000,000 Marvel Holdings Inc., 9.125%
due 2/15/1998................. 1,797,500 1,840,000
- ------------------------------------------------------------------------------------------------------------------------------
FINANCIAL BB- B1 1,500,000 Reliance Group Holdings Inc.,
SERVICES-1.4% 9.75% due 11/15/2003.......... 1,449,375 1,545,000
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
27
<PAGE> 28
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S VALUE
INDUSTRY RATINGS RATINGS FACE AMOUNT ISSUE COST (NOTE 1A)
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS (CONTINUED)
- ------------------------------------------------------------------------------------------------------------------------------
FOOD & CCC+ Caa $ 1,000,000 Del Monte Corp., 10% due
BEVERAGE-3.3% 5/01/2003..................... $ 976,250 $ 905,000
B- B2 1,000,000 Envirodyne Industries Inc.,
10.25% due 12/01/2001......... 1,018,750 735,000
B B3 2,000,000 Specialty Foods Corp., 11.125%
due 10/01/2002................ 1,990,000 1,940,000
------------- -------------
3,985,000 3,580,000
- ------------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BB- B1 1,500,000 Republic of Argentina, 8.375%
OBLIGATIONS-1.2% due 12/20/2003................ 1,128,750 1,263,750
- ------------------------------------------------------------------------------------------------------------------------------
GAMING-3.9% BB B1 1,000,000 Bally's Park Place Funding
Corp., 9.25% due 3/15/2004.... 920,000 1,017,500
D NR* 635,000 Goldriver Hotel & Casino Corp.,
13.375% due 8/31/1999......... 790,072 298,450
B+ B2 1,000,000 Greate Bay Properties Inc.,
10.875% due 1/15/2004......... 845,000 877,500
D Caa 2,000,000 Harrah's Jazz Company, 14.25%
due 11/15/2001................ 1,971,250 550,000
B- B3 750,000 Pioneer Finance Corp., 13.50%
due 12/01/1998................ 792,187 585,000
B B2 750,000 Showboat Inc., 13% due
8/01/2009..................... 727,500 843,750
------------- -------------
6,046,009 4,172,200
- ------------------------------------------------------------------------------------------------------------------------------
HOTELS-2.8% BB- Ba3 2,000,000 +HMC Acquisition Properties, 9%
due 12/15/2007................ 2,000,000 2,025,000
BB- B1 1,000,000 John Q. Hammons Hotel, Inc.,
8.875% due 2/15/2004.......... 887,500 990,000
------------- -------------
2,887,500 3,015,000
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL B- Caa 629,000 Southeastern Public Service
SERVICES-0.6% Co., 11.875% due 2/01/1998.... 470,807 633,718
- ------------------------------------------------------------------------------------------------------------------------------
METAL & MINING-2.1% B- B2 1,000,000 Kaiser Aluminum Corp., 12.75%
due 2/01/2003................. 1,045,000 1,095,000
B- B3 1,750,000 Maxxam Group, Inc., 12.25%**
due 8/01/2003................. 1,285,831 1,198,750
------------- -------------
2,330,831 2,293,750
- ------------------------------------------------------------------------------------------------------------------------------
PACKAGING-3.6% CCC+ Ca 2,000,000 Anchor Glass Container Co.,
9.875% due 12/15/2008......... 1,736,875 1,180,000
B+ B2 1,500,000 Owens-Illinois, Inc., 9.95% due
10/15/2004.................... 1,488,750 1,593,750
B B2 1,000,000 Portola Packaging Inc., 10.75%
due 10/01/2005................ 1,000,000 1,035,000
------------- -------------
4,225,625 3,808,750
- ------------------------------------------------------------------------------------------------------------------------------
PAPER-4.0% B B2 1,000,000 Fort Howard Corp., 9% due
2/01/2006..................... 930,000 980,000
B+ B2 1,000,000 Repap New Brunswick, Inc.,
10.625% due 4/15/2005......... 1,008,750 980,000
B+ B1 1,000,000 Repap Wisconsin Finance, Inc.,
9.25% due 2/01/2002........... 900,000 950,000
B B1 750,000 Riverwood International, Corp.,
11.25% due 6/15/2002.......... 750,000 813,750
B+ B1 500,000 S.D. Warren Co., 12% due
12/15/2004.................... 500,000 551,250
------------- -------------
4,088,750 4,275,000
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
28
<PAGE> 29
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S VALUE
INDUSTRY RATINGS RATINGS FACE AMOUNT ISSUE COST (NOTE 1A)
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS (CONCLUDED)
- ------------------------------------------------------------------------------------------------------------------------------
RESTAURANTS-0.7% CCC+ Caa $ 1,000,000 Flagstar Corp., 11.375% due
9/15/2003..................... $ 935,000 $ 710,000
- ------------------------------------------------------------------------------------------------------------------------------
RETAIL SPECIALITY D Caa 1,000,000 Bradlees, Inc., 11% due
- -0.7% 8/01/2002..................... 1,023,750 250,000
NR* NR* 484,000 +Cumberland Farms, Inc., 10.50%
due 10/01/2003................ 473,715 445,280
------------- -------------
1,497,465 695,280
- ------------------------------------------------------------------------------------------------------------------------------
STEEL-2.6% B B1 1,000,000 Gulf States Steel Acquisition
Corp., 13.50% due 4/15/2003
(e)........................... 989,000 882,500
B+ B1 1,000,000 WCI Steel Inc., 10.50% due
3/01/2002..................... 995,000 972,500
B B2 1,000,000 Weirton Steel Corp., 10.75% due
6/01/2005..................... 925,000 942,500
------------- -------------
2,909,000 2,797,500
- ------------------------------------------------------------------------------------------------------------------------------
SUPERMARKETS-0.9% B- B3 1,137,000 Grand Union Co., 12% due
9/01/2004..................... 1,096,842 983,505
- ------------------------------------------------------------------------------------------------------------------------------
TEXTILES-3.3% B+ B2 1,000,000 Decorative Home Accents, Inc.,
13% due 6/30/2002 (f)......... 992,336 990,000
BB- Ba3 1,000,000 Tultex Corp., 10.625% due
3/15/2005..................... 1,007,500 1,017,500
B+ B3 1,500,000 Westpoint Stevens Industries,
Inc., 9.375% due 12/15/2005... 1,465,000 1,481,250
------------- -------------
3,464,836 3,488,750
- ------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION-3.9% BB- Ba2 1,200,000 Mexican Maritime
Transportation, S.A. de C.V.,
9.25% due 5/15/2003........... 978,000 1,056,000
B- B3 2,000,000 Transtar Holdings L.P.,
11.065%** due 12/15/2003...... 1,329,850 1,320,000
B+ Ba3 1,750,000 Viking Star Shipping Co.,
9.625% due 7/15/2003.......... 1,735,000 1,793,750
------------- -------------
4,042,850 4,169,750
- ------------------------------------------------------------------------------------------------------------------------------
UTILITIES-6.3% B+ B1 980,000 Beaver Valley Funding Co., 9%
due 6/01/2017................. 924,875 826,610
B+ Ba3 1,000,000 CTC Mansfield Funding, Inc.,
11.125% due 9/30/2016......... 1,076,250 1,064,600
NR* NR* 1,000,000 Gas Argentino S.A., 7.25% due
12/07/1998.................... 884,050 905,000
BB- B1 1,000,000 Metrogas, Inc., 12% due
8/15/2000..................... 983,750 1,012,500
Midland Cogeneration Venture
L.P.
BB Ba3 865,832 10.33% due 7/23/2002....... 896,677 913,096
B- B2 1,000,000 13.25% due 7/23/2006....... 1,108,750 1,050,330
BBB- NR* 1,000,000 +Trans Gas de Occidente S.A.,
9.79% due 11/01/2010.......... 1,000,000 990,000
------------- -------------
6,874,352 6,762,136
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS-90.8% 99,084,075 97,483,545
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES COMMON STOCKS,
HELD RIGHTS & WARRANTS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
BROADCASTING/ 5,000 American Telecasting, Inc.
CABLE-0.0% (Warrants) (b)................ 4,776 31,250
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
29
<PAGE> 30
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
INDUSTRY SHARES HELD ISSUE COST (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS, RIGHTS & WARRANTS
(CONCLUDED)
- ------------------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES-0.0% 30,351 Anacomp, Inc. (Warrants) (b)... $ 40,000 $ 950
- ------------------------------------------------------------------------------------------------------------------------------
ENERGY-0.1% 29,058 Transamerica Refining Corp.
(Warrants) (b)................ 67,742 72,645
- ------------------------------------------------------------------------------------------------------------------------------
FOOD & BEVERAGE-0.2% 18,488 FoodBrands America, Inc. (d)... 1,061,305 212,612
- ------------------------------------------------------------------------------------------------------------------------------
GAMING-0.1% 10,000 Goldriver Hotel & Casino Corp.
(Class B) (c)(d).............. 65,657 10,000
1,000 +Goldriver Hotel & Casino
Liquidating Trust............. 24,040 8,564
2,000 Trump Taj Mahal Holding Corp.
(Class A) (d)................. 1,000 36,000
------------- -------------
90,697 54,564
- ------------------------------------------------------------------------------------------------------------------------------
HOTELS-0.0% 804 Buckhead America Corp. (d)..... 4,321 4,824
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL 1,036 Thermadyne Industries, Inc.
SERVICES-0.0% (Warrants) (b)................ 15,022 18,777
- ------------------------------------------------------------------------------------------------------------------------------
STEEL-0.0% 1,000 Gulf States Steel Acquisition
Corp. (Warrants) (b).......... 11,000 250
- ------------------------------------------------------------------------------------------------------------------------------
SUPERMARKETS-0.1% 17,674 Grand Union Co. (d)............ 1,000,000 130,346
- ------------------------------------------------------------------------------------------------------------------------------
TEXTILES-0.0% 1,000 +Decorative Home Accents, Inc.
(Class F) (d)................. 7,664 10,000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS, RIGHTS
& WARRANTS-0.5% 2,302,527 536,218
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
PREFERRED STOCKS
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
BROADCASTING & 9,928 K-III Communications Corp.
PUBLISHING-0.9% (a)........................... 1,005,190 982,918
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS-0.9% 1,005,190 982,918
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SHORT-TERM SECURITIES
- ------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL $ 2,000,000 Ciesco L.P., 5.75% due
PAPER***-2.5% 1/09/1996..................... 1,996,486 1,996,486
769,000 General Electric Capital Corp.,
5.90% due 1/02/1996........... 768,496 768,496
------------- -------------
2,764,982 2,764,982
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
30
<PAGE> 31
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1995 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE
AMOUNT ISSUE COST (NOTE 1A)
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES (CONCLUDED)
- ------------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & $ 2,660,000 Federal Home Loan Bank, 5.52%
AGENCY due 2/01/1996................. $ 2,646,133 $ 2,646,133
OBLIGATIONS***-2.5%
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM
SECURITIES-5.0% 5,411,115 5,411,115
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-97.2%........ $ 107,802,907 104,413,796
=============
OTHER ASSETS LESS
LIABILITIES-2.8%.............. 2,964,352
-------------
NET ASSETS-100.0%.............. $ 107,378,148
=============
- ------------------------------------------------------------------------------------------------------------------------------
</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 and certain US Government & Agency Obligations are traded
on a discount basis; the interest rates shown are the discount rates paid at
the time of purchase by the Portfolio.
(a) 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.
+ Restricted securities as to resale. The value of the Portfolio's investment
in restricted securities was approximately $7,712,000, representing 7.2% of
<TABLE>
<CAPTION>
net assets.
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
VALUE
ISSUE ACQUISITION DATES COST (NOTE 1A)
----------------------------------------------------------------------------------------------------------------
Bell Cablemedia PLC, 11.875% due 9/15/2005................ 9/13/1995 $1,074,316 $1,160,875
Cumberland Farms, Inc., 10.50% due 10/01/2003............. 2/18/1994 473,715 445,280
Decorative Home Accents, Inc., (Class F).................. 10/26/1995 7,664 10,000
Goldriver Hotel & Casino Liquidating Trust................ 8/31/1992 24,040 8,564
HMC Acquisition Properties, 9% due 12/15/2007............. 12/15/1995-12/18/1995.. 2,000,000 2,025,000
Howmet Corp., 10% due 12/01/2003.......................... 11/22/1995 1,000,000 1,050,000
Trans Gas de Occidente S.A., 9.79% due 11/01/2010......... 11/02/1995 1,000,000 990,000
Walter Industries Inc., 12.19% due 3/15/2000.............. 10/20/1995 2,030,000 2,022,500
----------------------------------------------------------------------------------------------------------------
TOTAL $7,609,735 $7,712,219
========== ==========
----------------------------------------------------------------------------------------------------------------
</TABLE>
(e) Each $1,000 face amount contains one warrant of Gulf States Steel
Acquisition Corp.
(f) Each $1,000 face amount contains one share of Class F common stock of
Decorative Home Accents, Inc.
Ratings of issues shown have not been audited by Deloitte & Touche LLP.
See Notes to Financial Statements.
31
<PAGE> 32
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of December 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE
AMOUNT ISSUE COST (NOTE 1A)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY OBLIGATIONS
- ---------------------------------------------------------------------------------------------------------------------------
FEDERAL FARM CREDIT $ 5,000,000 Federal Farm Credit Bank, 8.65% due 10/01/1999.... $ 5,113,650 $ 5,521,100
BANK-2.3%
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL FARM CREDIT BANK 5,113,650 5,521,100
- ---------------------------------------------------------------------------------------------------------------------------
FEDERAL HOME Federal Home Loan Mortgage Corporation:
LOAN MORTGAGE 6,000,000 6.55% due 1/04/2000............................... 6,102,840 6,213,720
CORPORATION-4.9% 5,000,000 7.90% due 9/19/2001............................... 5,000,000 5,535,950
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION 11,102,840 11,749,670
- ---------------------------------------------------------------------------------------------------------------------------
FEDERAL NATIONAL Federal National Mortgage Association:
MORTGAGE 7,000,000 8.35% due 11/10/1999.............................. 7,650,000 7,673,750
ASSOCIATION-16.2% 10,000,000 7.85% due 9/10/2004............................... 9,824,469 10,635,900
9,000,000 7.65% due 3/10/2005............................... 8,990,156 10,080,000
10,000,000 6.35% due 6/10/2005............................... 10,000,000 10,332,800
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION 36,464,625 38,722,450
- ---------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED 686,236 Federal National Mortgage Association,
SECURITIES-0.3% 9% due 1/01/2002 (a)............................. 662,218 722,477
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES 662,218 722,477
- ---------------------------------------------------------------------------------------------------------------------------
PRIVATE EXPORT Private Export Funding Corporation:
FUNDING 7,000,000 8.35% due 1/31/2001............................... 7,083,590 7,811,370
CORPORATION-8.2% 10,000,000 8.75% due 6/30/2003............................... 10,410,681 11,744,300
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL PRIVATE EXPORT FUNDING CORPORATION 17,494,271 19,555,670
- ---------------------------------------------------------------------------------------------------------------------------
STUDENT LOAN Student Loan Marketing Association,
MARKETING 13,000,000 7.50% due 3/08/2000............................... 13,176,719 13,926,250
ASSOCIATION-5.8%
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL STUDENT LOAN MARKETING ASSOCIATION 13,176,719 13,926,250
- ---------------------------------------------------------------------------------------------------------------------------
US TREASURY US Treasury Notes:
NOTES-56.8% 5,000,000 8.875% due 11/15/1997............................. 5,160,938 5,321,850
13,000,000 8.875% due 2/15/1999.............................. 14,712,344 14,332,500
6,000,000 7.50% due 10/31/1999.............................. 6,376,680 6,441,540
10,000,000 8.75% due 8/15/2000............................... 11,795,312 11,357,800
10,000,000 6.375% due 8/15/2002.............................. 10,000,417 10,485,900
20,000,000 7.25% due 5/15/2004............................... 20,214,531 22,200,000
5,000,000 7.875% due 11/15/2004............................. 5,246,875 5,787,500
21,500,000 6.50% due 5/15/2005............................... 21,097,070 22,874,065
16,000,000 12% due 5/15/2005................................. 22,772,500 23,329,920
10,000,000 10.75% due 8/15/2005.............................. 13,385,937 13,739,100
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL US TREASURY NOTES 130,762,604 135,870,175
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY
OBLIGATIONS-94.5% 214,776,927 226,067,792
- ---------------------------------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES
- ---------------------------------------------------------------------------------------------------------------------------
REPURCHASE 9,332,000 Morgan Stanley Group Inc., purchased on 12/29/1995
AGREEMENT*-3.9% to yield 5.87% to 1/02/1996...................... 9,332,000 9,332,000
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES-3.9% 9,332,000 9,332,000
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-98.4%........................... $ 224,108,927 235,399,792
=============
OTHER ASSETS LESS LIABILITIES-1.6%................ 3,940,216
-------------
NET ASSETS-100.0%................................. $ 239,340,008
=============
- ---------------------------------------------------------------------------------------------------------------------------
</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.
32
<PAGE> 33
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of December 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE (NOTE
RATINGS RATINGS AMOUNT ISSUE COST 1A)
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT OBLIGATIONS
- ----------------------------------------------------------------------------------------------------------------------------
US TREASURY NOTES US Treasury Notes & Bonds:
& BONDS-12.4% AAA Aaa $2,000,000 7.25% due 2/15/1998......... $ 1,994,440 $ 2,079,680
AAA Aaa 1,500,000 5.50% due 4/15/2000......... 1,418,906 1,512,420
AAA Aaa 500,000 5.875% due 6/30/2000........ 500,405 510,155
NR* Aaa 1,000,000 8% due 5/15/2001............ 1,112,656 1,119,370
AAA Aaa 1,000,000 7.875% due 11/15/2004....... 1,149,688 1,157,500
AAA Aaa 4,000,000 6.50% due 5/15/2005......... 3,869,375 4,255,640
AAA Aaa 500,000 5.875% due 11/15/2005....... 508,125 511,250
AAA Aaa 1,000,000 8% due 11/15/2021........... 1,010,937 1,251,250
AAA Aaa 2,500,000 7.625% due 2/15/2025........ 2,976,641 3,057,025
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT
OBLIGATIONS-12.4% 14,541,173 15,454,290
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
INDUSTRY CORPORATE BONDS & NOTES
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
BANKING-10.1% A+ Aa2 2,000,000 ABN AMRO Bank, 7.25% due
5/31/2005...................... 2,043,620 2,147,160
A A2 1,000,000 BankAmerica Corp., 7.125% due
5/12/2005...................... 985,500 1,058,670
A+ A2 2,000,000 Citicorp., 8.80% due
2/01/2000...................... 2,000,000 2,064,700
A- A3 2,000,000 Mellon Bank Corp., 6.875% due
3/01/2003...................... 1,822,480 2,074,240
NationsBank Corp.:
A A2 2,000,000 7.50% due 2/15/1997......... 1,998,280 2,041,240
A- A3 2,000,000 7.75% due 8/15/2015......... 2,000,000 2,190,700
A+ A1 1,000,000 Norwest Corp., 6.625% due
3/15/2003...................... 1,003,060 1,025,750
------------- -------------
11,852,940 12,602,460
- ----------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- Chrysler Financial Corp.:
CAPTIVE-5.1% A- A3 1,000,000 7.13% due 9/30/1996......... 985,130 1,010,680
A- A3 2,000,000 10.95% due 8/01/2017........ 2,202,640 2,244,160
BBB+ A3 2,000,000 General Motors Acceptance Corp.,
7.125% due 5/11/1998........... 2,022,560 2,065,060
BBB+ A3 1,000,000 General Motors Corp., 7.40% due
9/01/2025...................... 991,940 1,066,920
------------- -------------
6,202,270 6,386,820
- ----------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- A+ A1 2,000,000 American General Finance Corp.,
CONSUMER-8.3% 7.70% due 11/15/1997............ 1,977,660 2,070,680
Associates Corp. of North
America:
AA- Aa3 2,300,000 5.25% due 9/01/1998......... 2,230,057 2,279,760
AA- Aa3 1,000,000 7.25% due 9/01/1999......... 987,620 1,047,740
A A2 2,000,000 Beneficial Corp., 5.41% due
10/14/1997..................... 2,000,000 1,990,918
A+ Aa3 2,000,000 CIT Group Holdings, Inc., 5.787%
due 2/28/1997.................. 1,998,680 2,004,060
A+ A2 1,000,000 Transamerica Financial Corp.,
6.80% due 3/15/1999............ 999,730 1,030,810
------------- -------------
10,193,747 10,423,968
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
33
<PAGE> 34
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of December 31, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE (NOTE
INDUSTRY RATINGS RATINGS AMOUNT ISSUE COST 1A)
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES (CONTINUED)
- ----------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- A A2 $1,000,000 Dean Witter, Discover & Co.,
OTHER-7.9% 6.50% due 11/01/2005........... $ 988,450 $ 1,010,400
AAA Aaa 1,000,000 General Electric Capital Corp.,
8.125% due 5/15/2012........... 1,018,330 1,167,910
A+ A1 3,500,000 Morgan Stanley Group, Inc., 7%
due 10/01/2013................. 3,021,480 3,535,770
A- A3 3,000,000 Smith Barney Holdings, Inc.,
6.50% due 10/15/2002........... 2,987,520 3,052,170
A+ A2 1,000,000 Travelers Group, Inc., 7.875%
due 5/15/2025.................. 999,420 1,119,450
------------- -------------
9,015,200 9,885,700
- ----------------------------------------------------------------------------------------------------------------------------
FOREIGN+-10.3% AA- A1 1,000,000 AEGON, N.V., 8% due
8/15/2006(2)................... 990,870 1,132,160
BBB+ A3 1,000,000 ++Bangkok Bank Public Company
Ltd., 7.25% due 9/15/2005(5)... 990,920 1,037,590
A+ A2 2,000,000 CRA Finance Ltd., 6.50% due
12/01/2003(1).................. 2,006,950 2,027,640
A+ A1 2,000,000 ++Petroliam Nasional BHD, 6.875%
due 7/01/2003(6)............... 1,977,680 2,074,540
A+ A2 1,000,000 Pohang Iron & Steel Co. Ltd.,
7.375% due 5/15/2005(4)........ 1,018,160 1,062,390
Province of Quebec (Canada)(3):
A+ A2 1,000,000 8.80% due 4/15/2003......... 1,129,480 1,145,010
A+ A2 1,500,000 13% due 10/01/2013.......... 1,959,060 1,828,950
AA A1 1,000,000 Republic of Italy, 6.875% due
9/27/2023(3)................... 972,070 976,550
A A2 1,500,000 Western Mining Corp. Holdings
Ltd., 7.25% due
11/15/2013(1).................. 1,519,575 1,585,365
------------- -------------
12,564,765 12,870,195
- ----------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- A- A2 1,500,000 American Home Products Corp.,
CONSUMER-13.1% 7.90% due 2/15/2005 1,497,075 1,687,110
A+ A1 3,500,000 Bass America, Inc., 8.125% due
3/31/2002...................... 3,532,070 3,898,090
Grand Metropolitan Investment Corp:
A+ A2 1,000,000 6.50% due 9/15/1999......... 1,000,000 1,022,710
A+ A2 1,000,000 8.625% due 8/15/2001........ 1,047,750 1,127,530
A+ A1 2,000,000 JC Penney Co., Inc., 6.875% due
10/15/2015..................... 1,979,420 2,057,800
AAA Aaa 2,000,000 Johnson & Johnson Co., 8.72% due
11/01/2024..................... 2,019,140 2,325,460
A A2 1,000,000 Philip Morris Companies, Inc.,
7.25% due 1/15/2003............ 1,006,880 1,056,600
BBB- Baa3 2,000,000 RJR Nabisco, Inc., 8.75% due
8/15/2005...................... 1,931,540 2,048,620
A A2 1,000,000 Weyerhaeuser Co., 7.95% due
3/15/2025...................... 989,040 1,162,360
------------- -------------
15,002,915 16,386,280
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
34
<PAGE> 35
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of December 31, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE (NOTE
INDUSTRY RATINGS RATINGS AMOUNT ISSUE COST 1A)
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES (CONCLUDED)
- ----------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- AA- A1 $2,000,000 BP America Inc., 10% due
ENERGY-3.6% 7/01/2018...................... $ 2,156,880 $ 2,266,160
Texaco Capital Inc.:
A+ A1 1,000,000 6.875% due 7/15/1999........ 998,060 1,033,390
A+ A1 1,000,000 8.625% due 11/15/2031....... 1,045,390 1,258,850
------------- -------------
4,200,330 4,558,400
- ----------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- A A3 500,000 Alco Standard Corp., 6.75% due
OTHER-12.1% 12/01/2025..................... 492,400 495,126
BBB Baa2 1,000,000 Applied Materials, Inc., 8% due
9/01/2004...................... 992,690 1,109,440
AA- Aa2 2,000,000 Archer-Daniels-Midland Co.,
8.125% due 6/01/2012........... 2,181,250 2,298,800
A A1 1,000,000 ++Electronic Data Systems, Inc.,
6.85% due 5/15/2000............ 999,210 1,038,750
BBB Baa2 2,500,000 Federal Express Corp., 9.65% due
6/15/2012...................... 2,758,750 3,085,325
AA Aa2 1,000,000 Kaiser Foundation Hospital,
9.55% due 7/15/2005............ 1,124,850 1,236,340
BBB+ A3 1,000,000 Philips Electronics N.V., 7.75%
due 5/15/2025.................. 996,610 1,110,990
BBB- Baa3 4,000,000 Tele-Communications Inc., 9.80%
due 2/01/2012.................. 4,201,240 4,796,680
------------- -------------
13,747,000 15,171,451
- ----------------------------------------------------------------------------------------------------------------------------
SUPRANATIONAL-3.5% AAA Aaa 1,500,000 Asian Development Bank, 10.75%
due 6/01/1997.................. 1,580,525 1,603,935
AAA Aaa 2,000,000 International Bank for
Reconstruction & Development,
12.375% due 10/15/2002......... 2,432,280 2,726,860
------------- -------------
4,012,805 4,330,795
- ----------------------------------------------------------------------------------------------------------------------------
TRANSPORT Southwest Airlines, Inc.:
SERVICES-2.7% A- Baa1 2,000,000 9.40% due 7/01/2001......... 2,407,120 2,300,100
A- Baa1 1,000,000 7.875% due 9/01/2007........ 998,750 1,089,000
------------- -------------
3,405,870 3,389,100
- ----------------------------------------------------------------------------------------------------------------------------
UTILITIES- AA Aa3 1,000,000 AT&T Corp., 8.35% due
COMMUNICATIONS-1.8% 1/15/2025...................... 982,270 1,143,950
AAA Aaa 1,000,000 BellSouth Corp.
Telecommunications, 7% due
10/01/2025..................... 990,680 1,062,860
------------- -------------
1,972,950 2,206,810
- ----------------------------------------------------------------------------------------------------------------------------
UTILITIES-GAS-2.2% AA- A1 2,500,000 Consolidated Natural Gas Co.,
8.75% due 6/01/1999............ 2,575,440 2,726,450
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS &
NOTES-80.7% 94,746,232 100,938,429
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
35
<PAGE> 36
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of December 31, 1995 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE (NOTE
AMOUNT ISSUE COST 1A)
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS
- ----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL $2,000,000 General Electric Capital Corp.,
PAPER**-1.6% 5.90% due 1/03/1996............ $ 1,998,361 $ 1,998,361
- ----------------------------------------------------------------------------------------------------------------------------
REPURCHASE 4,475,000 Morgan Stanley Group, Inc.,
AGREEMENT***-3.6% purchased on 12/29/95 to yield
5.87% to 1/02/1996............. 4,475,000 4,475,000
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM
INVESTMENTS-5.2% 6,473,361 6,473,361
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-98.3%......... $ 115,760,766 122,866,080
=============
OTHER ASSETS LESS
LIABILITIES-1.7%................ 2,166,804
-------------
NET ASSETS-100.0%............... $ 125,032,884
=============
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Not Rated.
** 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.
+ Corresponding industry groups for foreign bonds:
(1) Industrial Mining.
(2) Insurance.
(3) Government Entity.
(4) Iron/Steel.
(5) Banking.
(6) Industrial-Energy.
++ Restricted securities are to resale. The value of the Portfolio's
investment in restricted securities was approximately $4,151,000,
representing 3.3% net assets.
----------------------------------------------------------------------------
<TABLE>
<CAPTION>
ISSUE ACQUISITION DATE COST VALUE (NOTE 1A)
<S> <C> <C> <C>
----------------------------------------------------------------------------------------------------------------------------
Bangkok Bank Public Company Ltd., 7.25% due 9/15/2005............ 9/27/1995 $ 990,920 $ 1,037,590
Electronic Data Systems, Inc., 6.85% due 5/15/2000............... 5/26/1995 999,210 1,038,750
Petroliam Nasional BHD, 6.875% due 7/01/2003..................... 7/28/1995 1,977,680 2,074,540
----------------------------------------------------------------------------------------------------------------------------
$ 3,967,810 $ 4,150,880
========== ==========
----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Ratings of issues shown have not been audited by Deloitte & Touche LLP.
See Notes to Financial Statements.
36
<PAGE> 37
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of December 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTEREST MATURITY VALUE
FACE AMOUNT ISSUE RATE* DATE (NOTE 1A)
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
CERTIFICATE OF $ 6,000,000 Abbey National Treasury Services PLC........ 6.54% 4/09/96 $ 6,012,675
DEPOSIT-EUROPEAN-1.1%
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATE OF DEPOSIT-EUROPEAN
(COST-$6,000,159) 6,012,675
- ---------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER- 16,000,000 Abbey National N.A. Corp. .................. 5.44 5/30/96 15,634,160
40.9% 6,590,000 Allomon Funding Corp. ...................... 6.00 1/19/96 6,566,935
15,000,000 American Express Credit Corp. .............. 5.62 4/11/96 14,762,533
3,132,000 Asset Securitization Cooperative Corp. ..... 5.70 2/02/96 3,114,644
4,500,000 Beta Finance Inc. .......................... 5.65 2/23/96 4,460,240
1,907,000 CSW Credit, Inc. ........................... 5.75 1/18/96 1,900,876
25,000,000 CXC Inc. ................................... 5.66 2/23/96 24,779,111
10,748,000 Ford Motor Credit Co. ...................... 5.62 3/27/96 10,601,857
10,000,000 General Electric Capital Corp............... 5.59 4/22/96 9,824,944
24,000,000 General Motors Acceptance Corp. ............ 5.80 2/01/96 23,868,533
7,000,000 Goldman Sachs Group, L.P. .................. 5.60 4/12/96 6,888,117
13,000,000 International Nederlanden (US) Funding
Corp. ...................................... 5.65 2/23/96 12,885,138
7,228,000 Korea Development Bank ..................... 5.68 2/20/96 7,167,558
5,924,000 McKenna Triangle National Corp. ............ 5.74 1/16/96 5,906,880
5,000,000 Oesterreichische Kontrollbank
Aktiengesellschaft ......................... 5.59 3/27/96 4,932,014
17,000,000 Sandoz Corp. ............................... 5.65 2/21/96 16,855,160
2,310,000 Svenska Handelsbanken, Inc. ................ 5.75 2/01/96 2,297,565
2,000,000 Svenska Handelsbanken, Inc.................. 5.68 2/16/96 1,984,429
8,000,000 Sweden, Kingdom of ......................... 5.68 2/20/96 7,933,102
19,000,000 Sweden, Kingdom of ......................... 5.60 3/11/96 18,788,097
10,000,000 Transamerica Finance Corp................... 5.73 2/01/96 9,945,883
13,000,000 Transamerica Finance Corp................... 5.68 2/23/96 12,885,138
1,028,000 Windmill Funding Corp. ..................... 5.77 1/17/96 1,024,864
5,133,000 Windmill Funding Corp. ..................... 5.70 1/19/96 5,115,693
2,157,000 Windmill Funding Corp. ..................... 5.75 1/26/96 2,147,303
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (COST-$232,249,313) 232,270,774
- ---------------------------------------------------------------------------------------------------------------------------
CORPORATE 16,000,000 Beta Finance Inc.+.......................... 5.88 9/16/96 16,000,000
NOTES-7.7% 5,000,000 Beta Finance Inc.+.......................... 5.825 9/25/96 5,000,000
3,000,000 SMM Trust 1995-K+........................... 5.833 6/14/96 3,000,000
20,000,000 SMM Trust 1995-Q+........................... 5.938 1/08/97 19,998,072
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE NOTES (COST-$43,997,709) 43,998,072
- ---------------------------------------------------------------------------------------------------------------------------
MASTER NOTES-3.7% 8,000,000 Goldman Sachs Group, L.P.+ ................. 5.89 2/14/96 8,000,000
10,000,000 Goldman Sachs Group, L.P.+ ................. 5.82 8/09/96 10,000,000
3,000,000 Toyota Motor Credit Corp.+ ................. 5.847 9/13/96 2,998,559
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL MASTER NOTES (COST-$20,998,559) 20,998,559
- ---------------------------------------------------------------------------------------------------------------------------
MEDIUM-TERM 5,000,000 Abbey National Treasury Services PLC........ 6.45 5/15/96 5,015,500
NOTES-4.4% 5,000,000 Bear Stearns Companies, Inc. ............... 6.083 5/24/96 5,003,639
10,000,000 CIT Group Holdings, Inc., The .............. 5.81 9/12/96 9,993,850
5,000,000 General Electric Capital Corp............... 7.625 7/30/96 5,058,950
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL MEDIUM-TERM NOTES (COST-$25,046,634) 25,071,939
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
37
<PAGE> 38
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of December 31, 1995 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTEREST MATURITY VALUE
FACE AMOUNT ISSUE RATE* DATE (NOTE 1A)
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT, $ 940,000 Federal Home Loan Bank...................... 6.09 % 3/08/96 $ 930,221
AGENCY & 9,550,000 Federal National Mortgage Association....... 5.34 4/05/96 9,412,735
INSTRUMENTALITY 5,000,000 Federal National Mortgage Association....... 5.11 10/30/96 4,784,950
OBLIGATIONS- 3,000,000 US Treasury Bills........................... 6.59 2/08/96 2,981,772
DISCOUNT-3.2%
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT, AGENCY & INSTRUMENTALITY
OBLIGATIONS-DISCOUNT (COST-$18,100,353) 18,109,678
- ---------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT, 10,000,000 Federal Farm Credit Bank+................... 5.88 11/25/97 9,996,001
AGENCY & 6,000,000 Federal Home Loan Bank+..................... 6.21 6/17/96 6,000,000
INSTRUMENTALITY 2,000,000 Federal Home Loan Bank+..................... 6.21 6/21/96 2,000,000
OBLIGATIONS- 8,000,000 Federal Home Loan Bank+..................... 5.15 9/12/96 7,997,017
NON-DISCOUNT-40.1% 3,000,000 Federal Home Loan Bank...................... 5.983 12/01/97 3,000,936
4,000,000 Federal Home Loan Bank+..................... 6.20 10/11/00 4,000,000
20,000,000 Federal National Mortgage Association+...... 5.15 2/07/96 20,000,000
21,000,000 Federal National Mortgage Association....... 6.86 2/28/96 21,039,375
10,000,000 Federal National Mortgage Association+...... 5.15 5/10/96 9,998,246
8,000,000 Federal National Mortgage Association+...... 6.08 5/13/96 8,000,000
5,000,000 Federal National Mortgage Association+...... 6.08 5/24/96 5,000,000
25,000,000 Federal National Mortgage Association+...... 5.593 10/11/96 25,000,000
4,400,000 Federal National Mortgage Association....... 6.18 11/04/96 4,391,200
15,000,000 Federal National Mortgage Association+...... 5.27 2/21/97 15,000,000
8,000,000 Federal National Mortgage Association+...... 6.20 5/19/97 8,000,000
8,000,000 Federal National Mortgage Association+...... 6.25 5/14/98 8,000,000
15,000,000 Student Loan Marketing Association+......... 5.23 5/14/96 15,004,307
6,000,000 Student Loan Marketing Association.......... 5.97 10/04/96 5,998,200
5,000,000 Student Loan Marketing Association+......... 5.41 1/14/97 5,000,000
10,000,000 Student Loan Marketing Association+......... 5.45 1/23/97 10,009,259
1,000,000 US Treasury Notes........................... 4.25 12/31/95 999,939
1,500,000 US Treasury Notes........................... 4.00 1/31/96 1,497,717
500,000 US Treasury Notes........................... 5.875 5/31/96 501,250
5,000,000 US Treasury Notes........................... 6.875 2/28/97 5,092,185
3,300,000 US Treasury Notes........................... 6.125 5/31/97 3,339,188
3,000,000 US Treasury Notes........................... 6.00 8/31/97 3,036,093
2,300,000 US Treasury Notes........................... 5.625 10/31/97 2,316,530
9,000,000 US Treasury Notes........................... 5.375 11/30/97 9,025,308
8,750,000 US Treasury Notes........................... 5.25 12/31/97 8,759,564
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT, AGENCY & INSTRUMENTALITY
OBLIGATIONS-NON-DISCOUNT (COST-$227,830,369) 228,002,315
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(COST-$574,223,096)-101.1%.................. 574,464,012
LIABILITIES IN EXCESS OF OTHER
ASSETS-(1.1)%............................... (6,025,081)
------------
NET ASSETS-100.0%........................... $568,438,931
=============
- ---------------------------------------------------------------------------------------------------------------------------
</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 dates 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 December 31, 1995.
+ Variable Rate Notes.
See Notes to Financial Statements.
38
<PAGE> 39
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRY HELD US STOCKS & WARRANTS COST (NOTE 1A) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
AEROSPACE 260,000 Boeing Co. (The)................ $ 16,742,836 $ 20,377,500 1.7%
225,000 United Technologies Corp. ...... 18,033,674 21,346,875 1.8
-------------- -------------- --------
34,776,510 41,724,375 3.5
- ------------------------------------------------------------------------------------------------------------------------
ALUMINUM 275,000 Aluminum Co. of America......... 15,471,164 14,540,625 1.3
- ------------------------------------------------------------------------------------------------------------------------
APPLIANCES 100,000 Whirlpool Corp. ................ 5,451,101 5,325,000 0.5
- ------------------------------------------------------------------------------------------------------------------------
AUTO & TRUCK 560,000 Ford Motor Co. ................. 16,660,018 16,240,000 1.4
- ------------------------------------------------------------------------------------------------------------------------
BANKING 450,000 Bank of New York, Inc. ......... 13,748,785 21,937,500 1.9
65,000 Bank of New York, Inc.
(Warrants) (b)................. 581,250 2,348,125 0.2
-------------- -------------- --------
14,330,035 24,285,625 2.1
- ------------------------------------------------------------------------------------------------------------------------
CHEMICALS 120,000 Eastman Chemical Co. ........... 7,419,729 7,515,000 0.6
- ------------------------------------------------------------------------------------------------------------------------
COMMUNICATION 75,000 +ADC Telecommunications Inc. ... 1,327,146 2,718,750 0.2
EQUIPMENT
- ------------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 430,000 General Motors Corp. (Class
E)............................. 17,666,287 22,360,000 1.9
- ------------------------------------------------------------------------------------------------------------------------
ELECTRONIC 255,800 Corning Inc. ................... 7,062,483 8,185,600 0.7
INSTRUMENTS 130,000 Texas Instruments Inc. ......... 9,340,387 6,727,500 0.6
-------------- -------------- --------
16,402,870 14,913,100 1.3
- ------------------------------------------------------------------------------------------------------------------------
ENVIRONMENTAL CONTROL 900,000 Wheelabrator Technologies
Inc. .......................... 12,685,898 15,075,000 1.3
- ------------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 113,600 Stanley Works Co. .............. 5,642,265 5,850,400 0.5
- ------------------------------------------------------------------------------------------------------------------------
HEALTHCARE 500,000 +Humana Inc. ................... 10,126,461 13,687,500 1.2
- ------------------------------------------------------------------------------------------------------------------------
INSURANCE 240,000 Aetna Life & Casualty Co. ...... 14,142,864 16,620,000 1.4
290,000 Allstate Corp. ................. 9,530,478 11,926,250 1.0
136,000 National Re Corp. .............. 3,925,962 5,168,000 0.4
-------------- -------------- --------
27,599,304 33,714,250 2.8
- ------------------------------------------------------------------------------------------------------------------------
NATURAL GAS 93,100 Enron Corp. .................... 3,519,437 3,549,437 0.3
- ------------------------------------------------------------------------------------------------------------------------
OIL SERVICES 350,000 Dresser Industries, Inc. ....... 8,202,997 8,531,250 0.7
- ------------------------------------------------------------------------------------------------------------------------
PETROLEUM 125,000 Pennzoil Co. ................... 4,942,988 5,281,250 0.5
- ------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 280,000 Abbott Laboratories............. 11,465,549 11,690,000 1.0
200,000 Merck & Co., Inc. .............. 12,022,994 13,150,000 1.2
-------------- -------------- --------
23,488,543 24,840,000 2.2
- ------------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 300,000 Eastman Kodak Co. .............. 16,545,792 20,100,000 1.7
- ------------------------------------------------------------------------------------------------------------------------
RETAIL 300,000 Sears, Roebuck & Co. ........... 10,450,028 11,700,000 1.0
- ------------------------------------------------------------------------------------------------------------------------
SCIENTIFIC INSTRUMENTS 142,500 Fisher Scientific International,
Inc ........................... 4,660,834 4,755,937 0.4
- ------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 200,000 AT&T Corp. ..................... 13,137,910 12,950,000 1.1
- ------------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS & WARRANTS 270,507,317 309,657,499 26.5
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
COUNTRY FOREIGN STOCKS++++
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
<CAPTION>
<S> <C> <C> <C> <C> <C>
CANADA 135,000 Magna International Inc. (2).... 5,358,058 5,838,750 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 5,358,058 5,838,750 0.5
- ------------------------------------------------------------------------------------------------------------------------
CHILE 71,600 Cristalerias de Chile S.A.
(ADR) (a)(7)................... 1,514,450 1,593,100 0.1
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CHILE 1,514,450 1,593,100 0.1
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
39
<PAGE> 40
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRY HELD FOREIGN STOCKS++++ COST (NOTE 1A) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
HONG KONG 3,000,000 +Hong Kong Telecommunications,
Ltd. (26)...................... $ 5,306,140 $ 5,354,371 0.5%
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN HONG KONG 5,306,140 5,354,371 0.5
- ------------------------------------------------------------------------------------------------------------------------
INDONESIA 4,400 PT Indonesian Satellite Corp.
(ADR) (a)(26).................. 141,020 160,600 0.0
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 141,020 160,600 0.0
- ------------------------------------------------------------------------------------------------------------------------
JAPAN 300,000 Canon, Inc. (37)................ 5,504,760 5,433,940 0.5
600,000 +Nomura Securities Co.,
Ltd. (10)...................... 11,802,137 13,076,327 1.1
450,000 Tokio Marine & Fire Insurance
Co. (14)....................... 5,357,596 5,884,347 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 22,664,493 24,394,614 2.1
- ------------------------------------------------------------------------------------------------------------------------
MEXICO 633,200 +Grupo Carso, S.A. de C.V.
(ADR) (a)(15)++................ 5,523,580 6,411,150 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 5,523,580 6,411,150 0.5
- ------------------------------------------------------------------------------------------------------------------------
NETHERLANDS 80,000 Royal Dutch Petroleum Co. N.V.
(ADR) (a)(16).................. 10,689,870 11,290,000 1.0
450,000 Singer Co. N.V. (1)............. 12,592,274 12,543,750 1.1
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
NETHERLANDS 23,282,144 23,833,750 2.1
- ------------------------------------------------------------------------------------------------------------------------
SPAIN 130,000 Repsol S.A. (ADR) (a)(30)....... 4,277,429 4,273,750 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 4,277,429 4,273,750 0.4
- ------------------------------------------------------------------------------------------------------------------------
SWITZERLAND 8,000 Sandoz AG (Registered) (38)..... 6,945,256 7,341,618 0.6
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWITZERLAND 6,945,256 7,341,618 0.6
- ------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 75,012,570 79,201,703 6.8
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE US & FOREIGN GOVERNMENT & AGENCY
AMOUNT* OBLIGATIONS
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FOREIGN GOVERNMENT $ 5,000,000 Republic of Italy, 8.75% due
OBLIGATIONS 2/08/2001...................... 5,373,050 5,582,820 0.5
- ------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT AGENCY 10,000,000 Federal Home Loan Mortgage
OBLIGATIONS Corp., 6.30% due 5/15/2008..... 9,210,937 9,826,562 0.8
Federal National Mortgage
Association:
10,000,000 7.85% due 9/10/2004......... 9,985,937 10,635,900 0.9
29,628,729 6.50% due 12/15/2010........ 29,573,175 29,813,908 2.6
13,877,931 8% due 10/01/2024........... 13,251,256 14,372,263 1.2
-------------- -------------- --------
62,021,305 64,648,633 5.5
- ------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT US Treasury Notes:
OBLIGATIONS 40,000,000 7.875% due 8/15/2001........ 39,230,800 44,674,800 3.8
6,000,000 7.50% due 11/15/2001........ 6,023,437 6,608,460 0.6
25,000,000 6.25% due 2/15/2003......... 25,710,937 26,082,000 2.2
15,000,000 US Treasury STRIPS+++, 6.35%**
due 5/15/2000.................. 11,418,575 11,910,600 1.0
-------------- -------------- --------
82,383,749 89,275,860 7.6
- ------------------------------------------------------------------------------------------------------------------------
TOTAL US & FOREIGN
GOVERNMENT &
AGENCY OBLIGATIONS 149,778,104 159,507,313 13.6
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
40
<PAGE> 41
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
AMOUNT* SHORT-TERM SECURITIES COST (NOTE 1A) NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
<CAPTION>
<S> <C> <C> <C> <C> <C>
COMMERCIAL $ 50,000,000 ANZ (Delaware), Inc., 5.70% due
PAPER*** 1/19/1996...................... $ 49,841,667 $ 49,841,667 4.3%
44,458,000 Associates Corp. of North
America, 6% due 1/02/1996...... 44,435,771 44,435,771 3.8
Corporate Asset Funding Co.
Inc.:
45,000,000 5.75% due 1/05/1996......... 44,956,875 44,956,875 3.8
15,000,000 5.60% due 2/02/1996......... 14,920,667 14,920,667 1.3
General Motors Acceptance Corp.:
10,000,000 5.72% due 1/19/1996......... 9,968,222 9,968,222 0.9
25,000,000 5.77% due 1/22/1996......... 24,907,840 24,907,840 2.1
50,000,000 Goldman Sachs Group L.P., 5.75%
due 1/12/1996.................. 49,896,181 49,896,181 4.3
15,000,000 Kimberly-Clark Corp., 5.60% due
1/30/1996...................... 14,927,667 14,927,667 1.3
30,000,000 Morgan (J.P.) & Company, Inc.,
5.63% due 2/02/1996............ 29,840,483 29,840,483 2.6
40,000,000 Morgan Stanley Group,
Incorporated, 5.65% due
1/24/1996...................... 39,843,056 39,843,056 3.4
National Fleet Funding Corp.:
15,000,000 5.77% due 1/17/1996......... 14,956,725 14,956,725 1.3
45,000,000 5.77% due 2/02/1996......... 44,754,775 44,754,775 3.8
40,000,000 PHH Corp., 5.78% due
1/10/1996...................... 39,929,356 39,929,356 3.4
30,000,000 Preferred Receivable Funding
Corp., 5.80% due 1/24/1996..... 29,879,167 29,879,167 2.6
31,500,000 Raytheon Company, 5.73% due
1/08/1996...................... 31,454,876 31,454,876 2.7
45,000,000 Riverwoods Funding Corp., 5.77%
due 1/10/1996.................. 44,920,663 44,920,663 3.8
45,000,000 Transamerica Finance Corp.,
5.73% due 1/25/1996............ 44,813,775 44,813,775 3.8
25,000,000 Westpac Banking Corporation,
5.82% due 1/11/1996............ 24,951,500 24,951,500 2.1
25,000,000 Xerox Corp., 5.75% due
1/26/1996...................... 24,892,188 24,892,188 2.1
- ------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 624,091,454 624,091,454 53.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS............... $1,119,389,445 1,172,457,969 100.3
==============
LIABILITIES IN EXCESS OF OTHER
ASSETS.......................... (3,101,433) (0.3)
-------------- --------
NET ASSETS...................... $1,169,356,536 100.0%
============== ========
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Denominated in US dollars unless otherwise indicated.
** Represents a zero coupon 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
discount rates paid at the time of purchase by the Portfolio.
(a) American Depositary Receipts (ADR).
(b) Warrants entitle the Portfolio to purchase a predetermined number of shares
of Common Stock. The purchase price and number of shares are subject to
adjustment under certain conditions until the expiration date.
+ Non-income producing security.
41
<PAGE> 42
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1995 (Concluded)
- --------------------------------------------------------------------------------
++ Restricted securities as to resale. The value of the Portfolio's investment
in restricted securities was approximately $6,411,000, representing 0.5% of
net assets.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
VALUE
ISSUE ACQUISITION DATE COST (NOTE 1A)
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Grupo Carso, S.A. de C.V. (ADR)..................................... 11/27/1991 $5,523,580 $6,411,150
- -----------------------------------------------------------------------------------------------------------------------
TOTAL $5,523,580 $6,411,150
========== ==========
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
+++ STRIPS--Separate Trading of Registered Interest and Principal of
Securities.
++++ Corresponding industry groups for foreign stocks and bonds.
(1) Appliances
(2) Auto Parts
(3) Banking
(4) Beverages
(5) Chemicals
(6) Communication Equipment
(7) Containers
(8) Electrical Equipment
(9) Electronics
(10) Financial Services
(11) Energy-Related
(12) Government Entities
(13) Industrial Components
(14) Insurance
(15) Multi-Industry
(16) Oil-Integrated
(17) Real Estate
(18) Retail
(19) Semiconductors
(20) Soap
(21) Tools
(22) Utilities-Communications
(23) Utilities-Electric
(24) Utilities-Water
(25) Media-Publishing
(26) Telecommunications
(27) Food Processing
(28) Metals
(29) Advertising
(30) Petroleum
(31) Computers
(32) Tobacco
(33) Railroads
(34) Automotive
(35) Containers
(36) Leisure & Entertainment
(37) Photography
(38) Pharmaceuticals
See Notes to Financial Statements.
42
<PAGE> 43
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of December 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRY HELD STOCKS COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C>
ALUMINUM 6,000 Alcan Aluminium, Ltd. ................. $ 125,670 $ 186,750 0.9%
2,400 Aluminum Co. of America................ 125,210 126,900 0.6
10,800 Comalco Ltd. .......................... 38,884 57,903 0.3
------------ ------------ -----------
289,764 371,553 1.8
- -----------------------------------------------------------------------------------------------------------------------------
CHEMICALS 50,000 Asahi Chemical Industry Co., Ltd. ..... 368,524 382,604 1.8
3,300 Dow Chemical Co. ...................... 227,401 232,238 1.1
3,700 du Pont (E.I.) de Nemours & Co......... 180,684 258,538 1.3
------------ ------------ -----------
776,609 873,380 4.2
- -----------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED RESOURCES 13,500 Canadian Pacific, Ltd. ................ 213,480 244,688 1.2
COMPANIES 8,100 Coastal Corp. ......................... 229,504 301,725 1.4
13,000 Cyprus Amax Minerals Co. .............. 366,857 339,625 1.6
3,333 Freeport-McMoRan Inc................... 80,935 123,321 0.6
2,400 Magma Copper Co. ...................... 39,060 66,900 0.3
20,400 Norcen Energy Resources Ltd. .......... 334,743 306,531 1.5
11,500 Occidental Petroleum Corp. ............ 237,877 245,813 1.2
25,500 RGC Ltd. .............................. 98,847 127,044 0.6
------------ ------------ -----------
1,601,303 1,755,647 8.4
- -----------------------------------------------------------------------------------------------------------------------------
GOLD 50,210 +Acacia Resources Ltd. ................ 86,202 90,354 0.4
10,000 +Amax Gold, Inc. ...................... 62,953 72,500 0.3
96,800 +Delta Gold N.L........................ 187,358 234,656 1.1
9,000 Driefontein Consolidated Ltd. ......... 137,395 114,213 0.6
30,000 +Newcrest Mining Ltd. ................. 127,314 126,263 0.5
10,513 Newmont Mining Corp. .................. 447,210 475,713 2.3
19,000 Placer Dome Inc. ...................... 445,989 458,375 2.2
43,000 Santa Fe Pacific Gold Corp. ........... 582,630 521,375 2.5
------------ ------------ -----------
2,077,051 2,093,449 9.9
- -----------------------------------------------------------------------------------------------------------------------------
METALS & MINING 7,000 ASARCO Inc. ........................... 188,753 224,000 1.1
8,922 CRA Ltd. .............................. 106,677 130,963 0.6
15,400 Falconbridge Ltd. (Installment
Receipts) (b)......................... 124,459 134,043 0.6
1,375 Freeport-McMoRan Copper & Gold Inc.
(Class A)............................. 31,861 38,500 0.2
7,034 Freeport-McMoRan Copper & Gold Inc. ... 151,325 197,831 1.0
188,000 M.I.M. Holdings Ltd. .................. 417,352 260,022 1.2
54,000 +Mitsubishi Materials Corp. ........... 273,415 279,833 1.3
22,000 Nippon Light Metal Co., Ltd. .......... 130,910 126,153 0.6
14,000 Noranda Inc. .......................... 258,833 288,610 1.4
19,000 Outokumpu OY........................... 347,398 302,053 1.5
5,400 +PT Tambang Timah (GDR)**(a)........... 66,782 62,802 0.3
3,500 Phelps Dodge Corp. .................... 199,622 217,875 1.0
61,000 QNI Ltd. .............................. 122,703 128,821 0.6
30,000 The RTZ Corp. PLC...................... 385,579 435,858 2.1
175,000 +Savage Resources Ltd. ................ 132,811 121,021 0.6
33,000 Sumitomo Metal Mining Co., Ltd. ....... 275,497 296,629 1.4
19,500 Trelleborg 'B' Fria.................... 254,451 210,386 1.0
69,800 WMC Ltd. .............................. 398,407 448,444 2.1
------------ ------------ -----------
3,866,835 3,903,844 18.6
- -----------------------------------------------------------------------------------------------------------------------------
OIL & GAS PRODUCERS 90,100 +Ampolex Ltd........................... 280,111 196,975 0.9
5,500 Anadarko Petroleum Corp. .............. 268,607 297,688 1.4
9,500 Apache Corp. .......................... 253,921 280,250 1.3
23,000 +Chauvco Resources Ltd. ............... 271,708 206,516 1.0
10,200 Enron Oil & Gas Co. ................... 218,353 244,800 1.2
45,700 Enterprise Oil PLC..................... 294,330 280,905 1.3
5,000 Louisiana Land and Exploration
Co. (The)............................. 194,446 214,375 1.0
</TABLE>
43
<PAGE> 44
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of December 31, 1995 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE (NOTE PERCENT OF
INDUSTRY HELD STOCKS (CONCLUDED) COST 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
OIL & GAS PRODUCERS 15,000 Mitchell Energy & Development Corp.
(CONCLUDED) (Class B)............................. $ 262,459 $ 281,250 1.4%
12,000 +Oryx Energy Co. ...................... 199,885 160,500 0.8
57,000 Ranger Oil Ltd. ....................... 385,100 356,250 1.7
9,000 Sonat Inc. ............................ 286,305 320,625 1.5
1,900 Triton Energy Corp. ................... 63,563 109,012 0.5
8,200 Vastar Resources, Inc. ................ 224,963 260,350 1.2
------------ ------------ -----------
3,203,751 3,209,496 15.2
- -----------------------------------------------------------------------------------------------------------------------------
OIL-INTEGRATED 3,900 Amoco Corp............................. 214,784 280,312 1.3
4,200 British Petroleum Co. PLC (ADR)*....... 320,502 428,925 2.0
800 Mobil Corp. ........................... 77,890 89,600 0.4
1,200 OMV AG................................. 128,441 104,384 0.5
14,600 Petro-Canada (Installment Receipts).... 68,851 83,950 0.4
6,900 Repsol, S.A. .......................... 199,089 226,206 1.1
6,400 +Societe Nationale Elf Aquitaine (ADR)*... 227,337 235,200 1.1
6,200 +Total, S.A. (Class B)................. 377,052 418,885 2.0
14,500 Unocal Corp. .......................... 409,628 422,312 2.0
13,000 YPF, S.A. (ADR)*....................... 321,087 281,125 1.4
------------ ------------ -----------
2,344,661 2,570,899 12.2
- -----------------------------------------------------------------------------------------------------------------------------
OIL SERVICE 4,100 +Coflexip Stena Offshore, Inc.
(ADR)*................................ 88,150 76,875 0.4
9,100 IHC Caland N.V......................... 204,733 306,837 1.4
5,200 Schlumberger Ltd. ..................... 331,634 360,100 1.7
------------ ------------ -----------
624,517 743,812 3.5
- -----------------------------------------------------------------------------------------------------------------------------
PAPER & PULP 14,400 Aracruz Celulose S.A. (ADR)*........... 115,506 111,600 0.5
17,400 Avenor Inc. ........................... 346,730 298,120 1.4
6,700 Georgia-Pacific Corp. ................. 513,239 459,787 2.2
7,000 International Paper Co. ............... 235,182 265,125 1.3
2,716 Kimberly-Clark Corp. .................. 68,869 224,749 1.1
6,000 Metsa Serla OY 'B'..................... 262,339 185,241 0.9
6,600 Mo Och Domsjo AB Co. .................. 278,259 281,843 1.3
9,600 Weyerhaeuser Co. ...................... 401,338 415,200 1.9
4,000 Willamette Industries, Inc. ........... 167,500 224,000 1.1
------------ ------------ -----------
2,388,962 2,465,665 11.7
- -----------------------------------------------------------------------------------------------------------------------------
PLANTATIONS 59,000 Golden Hope Plantations BHD............ 109,022 98,546 0.4
38,000 Kuala Lumpur Kepong BHD................ 77,755 120,504 0.6
------------ ------------ -----------
186,777 219,050 1.0
- -----------------------------------------------------------------------------------------------------------------------------
REFINING 22,500 Total Petroleum (North America),
Ltd. ................................. 331,454 219,375 1.1
- -----------------------------------------------------------------------------------------------------------------------------
STEEL 6,300 +Koninklijke Nederlansche Hoogovens en
Staalfabrienken N.V. ................. 252,640 211,246 1.0
103,000 Nippon Steel Corp. .................... 351,861 353,177 1.7
123,000 +Sumitomo Metal Industries, Ltd. ...... 389,809 372,908 1.8
------------ ------------ -----------
994,310 937,331 4.5
- -----------------------------------------------------------------------------------------------------------------------------
WOOD 10,600 Louisiana-Pacific Corp. ............... 300,986 257,050 1.2
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL STOCKS 18,986,980 19,620,551 93.3
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
44
<PAGE> 45
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of December 31, 1995 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE (NOTE PERCENT OF
AMOUNT SHORT-TERM SECURITIES COST 1A) NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
US GOVERNMENT & AGENCY $ 305,000 Federal Home Loan Bank, 5.66% due
1/18/1996............................. $ 304,041 $ 304,041 1.4%
OBLIGATIONS*** 1,161,000 Federal Home Loan Mortgage Corp., 5.75%
due 1/02/1996......................... 1,160,258 1,160,258 5.5
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 1,464,299 1,464,299 6.9
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS...................... $ 20,451,279 21,084,850 100.2
===========
LIABILITIES IN EXCESS OF OTHER
ASSETS................................ (50,113) (0.2)
------------ ---------
NET ASSETS............................. $ 21,034,737 100.0%
=========== =========
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
* American Depositary Receipts (ADR).
** Global Depositary Receipts (GDR).
*** 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 $63,000, representing 0.3% of net
assets.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
VALUE
ISSUE ACQUISITION DATES COST (NOTE 1A)
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
PT Tambang Timah (GDR)........................................ 10/6/95 - 11/22/95 $66,782 $62,802
- ---------------------------------------------------------------------------------------------------------------------
TOTAL $66,782 $62,802
======== ========
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
45
<PAGE> 46
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Assets and Liabilities as of December 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at value* (Note 1a)........................................ $ 94,621,843 $ 254,129,863 $ 205,471,283
Cash.................................................................... 224,144 31,700 68,483
Foreign cash (Note 1f).................................................. -- -- 31,590
Interest receivable..................................................... 843,467 -- 779,040
Receivable for securities sold.......................................... 1,811,685 150,632 261,530
Receivable for capital shares sold...................................... 212,587 501,790 2,532,919
Dividends receivable.................................................... 60,506 212,471 201,706
Receivable for loaned securities (Note 7)............................... -- -- --
Unrealized appreciation on forward foreign exchange contracts (Note
1e)................................................................... -- -- 3,911,706
Prepaid registration fees and other assets (Note 1d).................... 4,248 10,118 8,317
------------ ------------- -------------
Total assets.......................................................... 97,778,480 255,036,574 213,266,574
------------ ------------- -------------
LIABILITIES:
Payable for securities purchased........................................ 533,018 1,277,731 427,171
Payable for capital shares redeemed..................................... 16,974 681,505 41,447
Payable to investment adviser (Note 2).................................. 25,133 65,784 53,852
Accrued expenses and other liabilities.................................. 22,678 54,660 61,365
------------ ------------- -------------
Total liabilities..................................................... 597,803 2,079,680 583,835
------------ ------------- -------------
NET ASSETS.............................................................. $ 97,180,677 $ 252,956,894 $ 212,682,739
=========== ============= =============
NET ASSETS CONSIST OF:
Common Stock, $0.10 par value+.......................................... $ 653,908 $ 1,059,127 $ 1,394,790
Paid-in capital in excess of par........................................ 82,143,820 199,799,989 195,015,620
Undistributed investment income -- net.................................. 1,945,845 2,259,853 1,000,662
Undistributed (accumulated) realized capital gains (losses) on
investments and foreign currency transactions -- net (Note 5)......... 1,979,502 36,850,196 (2,097,063)
Unrealized appreciation (depreciation) on investments and foreign
currency transactions -- net.......................................... 10,457,602 12,987,729 17,368,730
------------ ------------- -------------
NET ASSETS.............................................................. $ 97,180,677 $ 252,956,894 $ 212,682,739
=========== ============= =============
Capital shares outstanding.............................................. 6,539,075 10,591,267 13,947,903
=========== ============= =============
Net asset value, offering and redemption price per share................ $ 14.86 $ 23.88 $ 15.25
=========== ============= =============
*Identified cost........................................................ $ 84,164,241 $ 241,141,763 $ 192,013,476
=========== ============= =============
+Authorized shares...................................................... 100,000,000 100,000,000 100,000,000
=========== ============= =============
</TABLE>
See Notes to Financial Statements.
46
<PAGE> 47
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GROWTH HIGH GOVERNMENT CORPORATE MONEY MULTIPLE NATURAL
STOCK YIELD BOND BOND RESERVE STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------------
$186,734,312 $104,413,796 $235,399,792 $122,866,080 $ 574,464,012 $1,172,457,969 $21,084,850
82 17,181 832 1,200 26,063 80,267 3,413
-- -- -- -- -- -- 419
-- 2,055,051 4,072,147 2,146,821 2,954,460 2,725,168 --
-- -- -- -- 10,012,109 509,031 116,579
179,706 1,404,502 150,588 202,192 -- 115,037 14,735
169,823 -- -- -- -- 604,768 26,318
-- -- 3,941 574 -- -- --
-- -- -- -- -- -- --
6,801 4,941 10,973 5,687 7,342 46,960 885
------------ ------------ ------------ ------------ -------------- -------------- -----------
187,090,724 107,895,471 239,638,273 125,222,554 587,463,986 1,176,539,200 21,247,199
------------ ------------ ------------ ------------ -------------- -------------- -----------
2,271,630 -- -- -- 18,765,612 3,519,437 76,002
590,036 460,433 194,772 133,800 -- 3,153,791 117,789
47,906 26,966 62,334 32,386 151,170 305,844 6,028
28,720 29,924 41,159 23,484 108,273 203,592 12,643
------------ ------------ ------------ ------------ -------------- -------------- -----------
2,938,292 517,323 298,265 189,670 19,025,055 7,182,664 212,462
------------ ------------ ------------ ------------ -------------- -------------- -----------
$184,152,432 $107,378,148 $239,340,008 $125,032,884 $ 568,438,931 $1,169,356,536 $21,034,737
============= ============= ============= ============= ============== ============== ===========
$ 765,512 $ 1,193,794 $ 2,097,650 $ 1,040,239 $ 56,819,802 $ 6,783,614 $ 257,606
151,125,510 112,145,033 233,426,013 119,068,403 511,378,213 974,487,635 31,444,908
765,847 932,582 1,268,721 660,045 -- 21,714,389 208,783
4,403,555 (3,504,150) (8,743,241) (2,841,117) -- 113,303,711 (11,510,615)
27,092,008 (3,389,111) 11,290,865 7,105,314 240,916 53,067,187 634,055
------------ ------------ ------------ ------------ -------------- -------------- -----------
$184,152,432 $107,378,148 $239,340,008 $125,032,884 $ 568,438,931 $1,169,356,536 $21,034,737
============= ============= ============= ============= ============== ============== ===========
7,655,120 11,937,940 20,976,496 10,402,394 568,198,015 67,836,135 2,576,060
============= ============= ============= ============= ============== ============== ===========
$ 24.06 $ 8.99 $ 11.41 $ 12.02 $ 1.00 $ 17.24 $ 8.17
============= ============= ============= ============= ============== ============== ===========
$159,642,304 $107,802,907 $224,108,927 $115,760,766 $ 574,223,096 $1,119,389,445 $20,451,279
============= ============= ============= ============= ============== ============== ===========
100,000,000 100,000,000 100,000,000 100,000,000 2,000,000,000 300,000,000 100,000,000
============= ============= ============= ============= ============== ============== ===========
</TABLE>
47
<PAGE> 48
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Operations for the Year Ended December 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME (NOTES 1B & 1C):
Interest and discount earned*......................................... $ 3,188,164 $ 1,699,063 $ 5,606,948
Dividends*............................................................ 997,331 3,493,084 2,809,565
Other income.......................................................... -- 7,582 --
----------- ----------- -----------
Total income.......................................................... 4,185,495 5,199,729 8,416,513
----------- ----------- -----------
EXPENSES:
Investment advisory fees (Note 2)..................................... 285,553 747,388 691,473
Custodian fees........................................................ 12,750 56,650 138,692
Accounting services (Note 2).......................................... 10,085 44,428 41,602
Professional fees..................................................... 7,408 12,657 13,123
Printing and shareholder reports...................................... 5,593 8,662 12,316
Transfer agent fees (Note 2).......................................... 5,010 5,010 5,010
Pricing services...................................................... 374 2,535 6,540
Directors' fees and expenses.......................................... 856 2,041 2,185
Registration fees (Note 1d)........................................... 995 2,251 --
Other................................................................. 1,192 7,975 1,504
----------- ----------- -----------
Total expenses........................................................ 329,816 889,597 912,445
----------- ----------- -----------
Investment income -- net.............................................. 3,855,679 4,310,132 7,504,068
----------- ----------- -----------
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS & FOREIGN CURRENCY
TRANSACTIONS -- NET (NOTES 1C, 1E, 1F & 3):
Realized gain (loss) on investments -- net............................ 1,979,502 36,850,212 (2,097,019)
Realized gain (loss) on foreign currency transactions -- net.......... -- (47,375) (2,026,202)
Change in unrealized appreciation/depreciation on
investments -- net.................................................. 10,823,009 1,642,669 13,582,800
Change in unrealized appreciation/depreciation on foreign currency
transactions -- net................................................. -- (941) 3,657,038
----------- ----------- -----------
Total realized and unrealized gain on investments and foreign currency
transactions -- net................................................. 12,802,511 38,444,565 13,116,617
----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................. $16,658,190 $42,754,697 $20,620,685
=========== =========== ===========
*Net of withholding tax............................................... $ -- $ 97,258 $ 240,084
=========== =========== ===========
</TABLE>
See Notes to Financial Statements.
48
<PAGE> 49
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GROWTH HIGH GOVERNMENT CORPORATE MONEY MULTIPLE NATURAL
STOCK YIELD BOND BOND RESERVE STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$ 311,462 $ 9,932,375 $16,838,602 $ 8,927,728 $33,763,422 $ 32,123,120 $ 127,569
1,338,117 101,126 -- -- -- 10,803,309 469,816
-- 146,995 338,153 137,514 -- 81,088 --
----------- ----------- ----------- ----------- ----------- ------------ ----------
1,649,579 10,180,496 17,176,755 9,065,242 33,763,422 43,007,517 597,385
----------- ----------- ----------- ----------- ----------- ------------ ----------
453,314 314,393 749,536 388,836 1,870,186 3,721,295 80,401
13,017 16,712 30,707 24,341 31,303 198,862 24,907
29,623 10,672 43,992 23,656 9,763 230,341 --
8,510 7,721 14,080 9,011 44,135 52,027 --
5,485 5,563 14,161 7,349 28,961 55,732 1,256
4,593 5,011 5,009 5,010 5,010 5,010 --
270 4,445 1,077 2,776 -- 5,540 5,663
1,115 840 2,164 1,143 5,256 9,947 415
4,565 11 28 15 73 140 --
935 348 5,431 3,395 8,547 20,639 512
----------- ----------- ----------- ----------- ----------- ------------ ----------
521,427 365,716 866,185 465,532 2,003,234 4,299,533 113,154
----------- ----------- ----------- ----------- ----------- ------------ ----------
1,128,152 9,814,780 16,310,570 8,599,710 31,760,188 38,707,984 484,231
----------- ----------- ----------- ----------- ----------- ------------ ----------
4,620,788 706,980 791,779 2,060,856 271,802 113,605,660 769,515
-- -- -- -- -- 3,649,813 (1,642)
35,345,568 4,364,959 22,085,928 11,337,819 916,942 25,713,410 1,550,026
-- -- -- -- -- (20,714) 440
----------- ----------- ----------- ----------- ----------- ------------ ----------
39,966,356 5,071,939 22,877,707 13,398,675 1,188,744 142,948,169 2,318,339
----------- ----------- ----------- ----------- ----------- ------------ ----------
$41,094,508 $14,886,719 $39,188,277 $21,998,385 $32,948,932 $181,656,153 $2,802,570
=========== =========== =========== =========== =========== ============ ==========
$ 3,651 $ -- $ -- $ -- $ -- $ 345,324 $ 34,894
=========== =========== =========== =========== =========== ============ ==========
</TABLE>
49
<PAGE> 50
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO
------------------------------ --------------------------------
FOR THE YEAR FOR THE YEAR
ENDED DECEMBER 31, ENDED DECEMBER 31,
------------------------------ --------------------------------
INCREASE (DECREASE) IN NET ASSETS: 1995 1994 1995 1994
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net............................ $ 3,855,679 $ 3,495,455 $ 4,310,132 $ 2,850,892
Realized gain (loss) on investments and foreign
currency transactions -- net...................... 1,979,502 2,638,524 36,802,837 14,627,590
Change in unrealized appreciation/depreciation on
investments....................................... 10,823,009 (9,897,682) 1,642,669 (29,422,358)
Change in unrealized appreciation/depreciation on
foreign currency transactions..................... -- -- (941) 1,038
------------ ------------ ------------- -------------
Net increase (decrease) in net assets resulting from
operations........................................ 16,658,190 (3,763,703) 42,754,697 (11,942,838)
------------ ------------ ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO SHAREHOLDERS
(NOTE 1G):
Investment income -- net............................ (3,730,461) (3,126,480) (3,382,544) (2,631,150)
Realized gain on investments -- net................. (2,637,146) (1,294,833) (14,631,128) (22,655,649)
------------ ------------ ------------- -------------
Net decrease in net assets resulting from dividends
and distributions to shareholders................. (6,367,607) (4,421,313) (18,013,672) (25,286,799)
------------ ------------ ------------- -------------
CAPITAL SHARE TRANSACTIONS (NOTE 4):
Net increase (decrease) in net assets derived from
capital share transactions........................ 10,996,845 (3,940,079) 21,568,591 19,906,036
------------ ------------ ------------- -------------
NET ASSETS:
Total increase (decrease) in net assets............. 21,287,428 (12,125,095) 46,309,616 (17,323,601)
Beginning of year................................... 75,893,249 88,018,344 206,647,278 223,970,879
------------ ------------ ------------- -------------
End of year*........................................ $ 97,180,677 $ 75,893,249 $ 252,956,894 $ 206,647,278
=========== =========== ============= =============
*Undistributed investment income -- net (Note 1h)... $ 1,945,845 $ 1,820,627 $ 2,259,853 $ 1,452,601
=========== =========== ============= =============
</TABLE>
See Notes to Financial Statements.
50
<PAGE> 51
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL STRATEGY PORTFOLIO GROWTH STOCK PORTFOLIO HIGH YIELD PORTFOLIO
------------------------------- ------------------------------- ------------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED DECEMBER 31, ENDED DECEMBER 31, ENDED DECEMBER 31,
------------------------------- ------------------------------- ------------------------------
1995 1994 1995 1994 1995 1994
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 7,504,068 $ 6,790,200 $ 1,128,152 $ 1,604,226 $ 9,814,780 $ 8,884,353
(4,123,221) 2,882,617 4,620,788 6,082,192 706,980 (221,579)
13,582,800 (14,859,909) 35,345,568 (16,062,225) 4,364,959 (9,621,977)
3,657,038 267,487 -- -- -- --
------------- ------------- ------------- ------------- ------------- ------------
20,620,685 (4,919,605) 41,094,508 (8,375,807) 14,886,719 (959,203)
------------- ------------- ------------- ------------- ------------- ------------
(8,032,457) (5,377,946) (1,291,070) (1,529,012) (9,775,052) (8,745,213)
(3,043,742) (2,701,303) (6,299,419) (18,174,826) -- --
------------- ------------- ------------- ------------- ------------- ------------
(11,076,199) (8,079,249) (7,590,489) (19,703,838) (9,775,052) (8,745,213)
------------- ------------- ------------- ------------- ------------- ------------
(20,354,990) 53,820,053 48,946,799 6,944,971 19,845,461 (2,613,948)
------------- ------------- ------------- ------------- ------------- ------------
(10,810,504) 40,821,199 82,450,818 (21,134,674) 24,957,128 (12,318,364)
223,493,243 182,672,044 101,701,614 122,836,288 82,421,020 94,739,384
------------- ------------- ------------- ------------- ------------- ------------
$ 212,682,739 $ 223,493,243 $ 184,152,432 $ 101,701,614 $ 107,378,148 $ 82,421,020
============= ============= ============= ============= ============= ===========
$ 1,000,662 $ 3,473,834 $ 765,847 $ 928,765 $ 932,582 $ 838,476
============= ============= ============= ============= ============= ===========
</TABLE>
51
<PAGE> 52
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT LONG TERM CORPORATE BOND
BOND PORTFOLIO PORTFOLIO
-------------------------------- --------------------------------
FOR THE YEAR FOR THE YEAR
ENDED DECEMBER 31, ENDED DECEMBER 31,
-------------------------------- --------------------------------
INCREASE (DECREASE) IN NET ASSETS: 1995 1994 1995 1994
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net.......................... $ 16,310,570 $ 16,728,923 $ 8,599,710 $ 8,794,942
Realized gain (loss) on investments and foreign
currency transactions -- net.................... 791,779 (9,210,294) 2,060,856 (4,901,953)
Change in unrealized appreciation/depreciation on
investments..................................... 22,085,928 (20,469,569) 11,337,819 (10,846,549)
Change in unrealized appreciation/depreciation on
foreign currency transactions................... -- -- -- --
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from operations................................. 39,188,277 (12,950,940) 21,998,385 (6,953,560)
------------- ------------- ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO SHAREHOLDERS
(NOTE 1G):
Investment income -- net.......................... (16,342,303) (16,934,443) (8,570,923) (8,923,319)
Realized gain on investments -- net............... -- (9,062,228) -- (4,821,218)
In excess of realized gain in
investments -- net.............................. -- (324,731) -- --
------------- ------------- ------------- -------------
Net decrease in net assets resulting from
dividends and distributions to shareholders..... (16,342,303) (26,321,402) (8,570,923) (13,744,537)
------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS (NOTE 4):
Net increase (decrease) in net assets derived from
capital share transactions...................... (2,116,693) (26,611,957) (272,791) (6,744,452)
------------- ------------- ------------- -------------
NET ASSETS:
Total increase (decrease) in net assets........... 20,729,281 (65,884,299) 13,154,671 (27,442,549)
Beginning of year................................. 218,610,727 284,495,026 111,878,213 139,320,762
------------- ------------- ------------- -------------
End of year*...................................... $ 239,340,008 $ 218,610,727 $ 125,032,884 $ 111,878,213
============= ============= ============= =============
*Undistributed investment income -- net........... $ 1,268,721 $ 1,300,454 $ 660,045 $ 631,258
============= ============= ============= =============
</TABLE>
See Notes to Financial Statements.
52
<PAGE> 53
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY RESERVE PORTFOLIO MULTIPLE STRATEGY PORTFOLIO NATURAL RESOURCES PORTFOLIO
----------------------------------- ------------------------------------- ---------------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED DECEMBER 31, ENDED DECEMBER 31, ENDED DECEMBER 31,
----------------------------------- ------------------------------------- ---------------------------------
1995 1994 1995 1994 1995 1994
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 31,760,188 $ 22,412,034 $ 38,707,984 $ 34,291,112 $ 484,231 $ 477,313
271,802 1,825 117,255,473 67,745,547 767,873 (165,775)
916,942 (687,566) 25,713,410 (163,387,087) 1,550,026 (494,368)
-- -- (20,714) 106,729 440 45
-------------- -------------- --------------- --------------- ------------- -------------
32,948,932 21,726,293 181,656,153 (61,243,699) 2,802,570 (182,785)
-------------- -------------- --------------- --------------- ------------- -------------
(31,760,188) (22,412,034) (32,928,344) (36,928,856) (474,128) (444,638)
(271,802) (1,825) (72,889,967) (134,514,526) -- --
-- -- -- -- -- --
-------------- -------------- --------------- --------------- ------------- -------------
(32,031,990) (22,413,859) (105,818,311) (171,443,382) (474,128) (444,638)
-------------- -------------- --------------- --------------- ------------- -------------
(16,470,480) 37,969,893 11,435,787 77,433,705 (2,748,349) 3,645,242
-------------- -------------- --------------- --------------- ------------- -------------
(15,553,538) 37,282,327 87,273,629 (155,253,376) (419,907) 3,017,819
583,992,469 546,710,142 1,082,082,907 1,237,336,283 21,454,644 18,436,825
-------------- -------------- --------------- --------------- ------------- -------------
$ 568,438,931 $ 583,992,469 $1,169,356,536 $1,082,082,907 $ 21,034,737 $ 21,454,644
============== ============== =============== =============== ============= ============
$ -- $ -- $ 21,714,389 $ 13,610,733 $ 208,783 $ 203,891
============== ============== =============== =============== ============= ============
</TABLE>
53
<PAGE> 54
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED PORTFOLIO
----------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
----------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 1995 1994 1993 1992 1991
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS HAVE BEEN
DERIVED FROM INFORMATION PROVIDED IN THE FINANCIAL
STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of year...................... $ 13.27 $ 14.62 $ 13.70 $ 13.29 $ 11.78
-------- -------- -------- -------- --------
Investment income -- net................................ .60 .61 .50 .47 .60
Realized and unrealized gain (loss) on investments
and foreign currency transactions -- net.............. 2.07 (1.21) 1.35 .38 1.77
-------- -------- -------- -------- --------
Total from investment operations........................ 2.67 (.60) 1.85 .85 2.37
-------- -------- -------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income -- net................................ (.62) (.53) (.75) (.26) (.68)
Realized gain on investments -- net..................... (.46) (.22) (.18) (.18) (.18)
-------- -------- -------- -------- --------
Total dividends and distributions....................... (1.08) (.75) (.93) (.44) (.86)
-------- -------- -------- -------- --------
Net asset value, end of year............................ $ 14.86 $ 13.27 $ 14.62 $ 13.70 $ 13.29
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:*
Based on net asset value per share...................... 21.59% (4.28%) 14.31% 6.67% 20.95%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of reimbursement.......................... .38% .40% .43% .48% .50%
======== ======== ======== ======== ========
Expenses................................................ .38% .40% .43% .48% .50%
======== ======== ======== ======== ========
Investment income -- net................................ 4.47% 4.28% 3.72% 4.40% 4.91%
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands).................. $ 97,181 $ 75,893 $ 88,018 $ 56,080 $ 38,128
======== ======== ======== ======== ========
Portfolio turnover...................................... 32.92% 46.94% 25.38% 33.15% 58.77%
======== ======== ======== ======== ========
</TABLE>
- ------------
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the year.
See Notes to Financial Statements.
54
<PAGE> 55
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL STOCK PORTFOLIO
-----------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
-----------------------------------------------------------------
1995 1994 1993 1992 1991
-----------------------------------------------------------------
<S> <C> <C> <C> <C>
$ 21.64 $ 25.73 $ 23.22 $ 23.39 $ 19.65
--------- --------- --------- --------- ---------
.41 .29 .33 .39 .45
3.70 (1.50) 3.41 .16 4.97
--------- --------- --------- --------- ---------
4.11 (1.21) 3.74 .55 5.42
--------- --------- --------- --------- ---------
(.34) (.28) (.59) (.20) (.54)
(1.53) (2.60) (.64) (.52) (1.14)
--------- --------- --------- --------- ---------
(1.87) (2.88) (1.23) (.72) (1.68)
--------- --------- --------- --------- ---------
$ 23.88 $ 21.64 $ 25.73 $ 23.22 $ 23.39
========= ========= ========= ========= =========
20.73% (5.12%) 17.01% 2.47% 29.05%
========= ========= ========= ========= =========
.41% .39% .38% .41% .40%
========= ========= ========= ========= =========
.41% .39% .38% .41% .40%
========= ========= ========= ========= =========
1.98% 1.32% 1.43% 1.89% 2.27%
========= ========= ========= ========= =========
$ 252,957 $ 206,647 $ 223,971 $ 202,417 $ 177,604
========= ========= ========= ========= =========
130.54% 71.19% 100.12% 74.89% 63.90%
========= ========= ========= ========= =========
</TABLE>
<TABLE>
<CAPTION>
GLOBAL STRATEGY PORTFOLIO
----------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
----------------------------------------------------------------
1995+ 1994 1993 1992 1991
----------------------------------------------------------------
<S> <C> <C> <C> <C>
$ 14.54 $ 15.42 $ 13.23 $ 13.16 $ 12.00
--------- --------- --------- -------- --------
.52 .47 .36 .39 .41
.94 (.71) 2.61 (.01) 1.60
--------- --------- --------- -------- --------
1.46 (.24) 2.97 .38 2.01
--------- --------- --------- -------- --------
(.55) (.41) (.60) (.17) (.85)
(.20) (.23) (.18) (.14) --
--------- --------- --------- -------- --------
(.75) (.64) (.78) (.31) (.85)
--------- --------- --------- -------- --------
$ 15.25 $ 14.54 $ 15.42 $ 13.23 $ 13.16
========= ========= ========= ======== ========
10.44% (1.62%) 23.73% 3.00% 17.50%
========= ========= ========= ======== ========
.44% .48% .45% .50% .50%
========= ========= ========= ======== ========
.44% .48% .46% .54% .60%
========= ========= ========= ======== ========
3.59% 3.22% 3.27% 3.84% 3.86%
========= ========= ========= ======== ========
$ 212,683 $ 223,493 $ 182,672 $ 52,599 $ 29,893
========= ========= ========= ======== ========
26.81% 27.31% 30.53% 43.56% 93.85%
========= ========= ========= ======== ========
</TABLE>
55
<PAGE> 56
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH STOCK PORTFOLIO
---------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
---------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 1995 1994 1993 1992 1991
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS HAVE BEEN
DERIVED FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of year................ $ 19.20 $ 24.65 $ 23.98 $ 23.31 $ 16.28
--------- --------- --------- --------- ---------
Investment income -- net.......................... .15 .31 .32 .26 .25
Realized and unrealized gain (loss) on investments
and foreign currency transactions -- net........ 6.13 (1.81) 1.63 .53 7.06
--------- --------- --------- --------- ---------
Total from investment operations.................. 6.28 (1.50) 1.95 .79 7.31
--------- --------- --------- --------- ---------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income -- net.......................... (.23) (.30) (.41) (.12) (.28)
Realized gain on investments -- net............... (1.19) (3.65) (.87) -- --
--------- --------- --------- --------- ---------
Total dividends and distributions................. (1.42) (3.95) (1.28) (.12) (.28)
--------- --------- --------- --------- ---------
Net asset value, end of year...................... $ 24.06 $ 19.20 $ 24.65 $ 23.98 $ 23.31
========= ========= ========= ========= =========
TOTAL INVESTMENT RETURN:*
Based on net asset value per share................ 35.35% (6.93%) 8.63% 3.40% 45.31%
========= ========= ========= ========= =========
RATIOS TO AVERAGE NET ASSETS:
Expenses.......................................... .38% .40% .38% .42% .42%
========= ========= ========= ========= =========
Investment income -- net.......................... .82% 1.53% 1.35% 1.32% 1.56%
========= ========= ========= ========= =========
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)............ $ 184,152 $ 101,702 $ 122,836 $ 139,062 $ 113,715
========= ========= ========= ========= =========
Portfolio turnover................................ 87.66% 102.96% 160.29% 87.25% 60.48%
========= ========= ========= ========= =========
</TABLE>
- ------------
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the year.
See Notes to Financial Statements.
56
<PAGE> 57
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD PORTFOLIO
-----------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
-----------------------------------------------------------------
1995+ 1994 1993 1992 1991
<C> <C> <C> <C> <C> <S>
-----------------------------------------------------------------
$ 8.53 $ 9.68 $ 9.10 $ 8.44 $ 6.98
--------- -------- -------- -------- --------
.93 1.00 .94 1.03 1.02
.46 (1.17) .62 .64 1.47
--------- -------- -------- -------- --------
1.39 (.17) 1.56 1.67 2.49
--------- -------- -------- -------- --------
(.93) (.98) (.98) (1.01) (1.03)
-- -- -- -- --
--------- -------- -------- -------- --------
(.93) (.98) (.98) (1.01) (1.03)
--------- -------- -------- -------- --------
$ 8.99 $ 8.53 $ 9.68 $ 9.10 $ 8.44
========= ======== ======== ======== ========
17.12% (1.88%) 18.11% 20.63% 37.77%
========= ======== ======== ======== ========
.38% .41% .43% .44% .46%
========= ======== ======== ======== ========
10.25% 10.88% 10.17% 11.45% 12.74%
========= ======== ======== ======== ========
$ 107,378 $ 82,421 $ 94,739 $ 68,034 $ 51,072
========= ======== ======== ======== ========
63.39% 63.43% 73.01% 83.95% 76.34%
========= ======== ======== ======== ========
</TABLE>
57
<PAGE> 58
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT PORTFOLIO
---------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
---------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 1995+ 1994+ 1993 1992 1991
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
THE FOLLOWING PER SHARE DATA AND RATIOS
HAVE BEEN DERIVED FROM INFORMATION
PROVIDED IN THE FINANCIAL STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of year...... $ 10.32 $ 12.02 $ 11.75 $ 11.79 $ 11.04
--------- --------- --------- --------- ---------
Investment income -- net................ .78 .75 .83 .83 .86
Realized and unrealized gain (loss) on
investments and foreign currency
transactions -- net................... 1.10 (1.30) .50 (.04) .76
--------- --------- --------- --------- ---------
Total from investment operations........ 1.88 (.55) 1.33 .79 1.62
--------- --------- --------- --------- ---------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income -- net................ (.79) (.75) (.84) (.83) (.87)
Realized gain on investments -- net..... -- (.39) (.22) -- --
In excess of realized gain on
investments -- net.................... -- (.01) -- -- --
--------- --------- --------- --------- ---------
Total dividends and distributions....... (.79) (1.15) (1.06) (.83) (.87)
--------- --------- --------- --------- ---------
Net asset value, end of year............ $ 11.41 $ 10.32 $ 12.02 $ 11.75 $ 11.79
========= ========= ========= ========= =========
TOTAL INVESTMENT RETURN:*
Based on net asset value per share...... 18.87% (4.78%) 11.20% 7.03% 15.57%
========= ========= ========= ========= =========
RATIOS TO AVERAGE NET ASSETS:
Expenses................................ .38% .37% .36% .40% .39%
========= ========= ========= ========= =========
Investment income -- net................ 7.22% 6.89% 6.42% 7.03% 7.82%
========= ========= ========= ========= =========
Investment income -- net, and realized
gain on investments -- net............ -- -- -- -- --
========= ========= ========= ========= =========
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands)............................ $ 239,340 $ 218,611 $ 284,495 $ 269,254 $ 261,434
========= ========= ========= ========= =========
Portfolio turnover...................... 57.38% 140.55% 113.61% 80.54% 138.41%
========= ========= ========= ========= =========
</TABLE>
- ------------
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the year.
See Notes to Financial Statements.
58
<PAGE> 59
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LONG TERM CORPORATE BOND PORTFOLIO
-----------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
-----------------------------------------------------------------
1995+ 1994+ 1993 1992 1991
------------------------------------------------------------------
<S> <C> <C> <C> <C>
$ 10.72 $ 12.59 $ 12.07 $ 12.06 $ 11.21
--------- --------- --------- --------- ---------
.83 .81 .83 .90 .96
1.30 (1.42) .68 .02 .85
--------- --------- --------- --------- ---------
2.13 (.61) 1.51 .92 1.81
--------- --------- --------- --------- ---------
(.83) (.82) (.83) (.91) (.96)
-- (.44) (.16) -- --
-- -- -- -- --
--------- --------- --------- --------- ---------
(.83) (1.26) (.99) (.91) (.96)
--------- --------- --------- --------- ---------
$ 12.02 $ 10.72 $ 12.59 $ 12.07 $ 12.06
========= ========= ========= ========= =========
20.66% (5.13%) 13.01% 8.05% 17.01%
========= ========= ========= ========= =========
.40% .39% .38% .43% .42%
========= ========= ========= ========= =========
7.32% 7.16% 6.65% 7.51% 8.35%
========= ========= ========= ========= =========
-- -- -- -- --
========= ========= ========= ========= =========
$ 125,033 $ 111,878 $ 139,321 $ 126,864 $ 128,396
========= ========= ========= ========= =========
110.49% 134.53% 110.53% 93.10% 123.58%
========= ========= ========= ========= =========
</TABLE>
<TABLE>
<CAPTION>
MONEY RESERVE PORTFOLIO
----------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
----------------------------------------------------------------
1995 1994 1993 1992 1991
----------------------------------------------------------------
<C> <C> <C> <C> <C>
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- --------- ---------
.06 .04 .03 .04 .06
-- -- -- -- --
--------- --------- --------- --------- ---------
.06 .04 .03 .04 .06
--------- --------- --------- --------- ---------
(.06) (.04) (.03) (.04) (.06)
-- -- -- -- --
-- -- -- -- --
--------- --------- --------- --------- ---------
(.06) (.04) (.03) (.04) (.06)
--------- --------- --------- --------- ---------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========= ========= ========= ========= =========
5.81% 4.04% 3.08% 3.77% 6.11%
========= ========= ========= ========= =========
.35% .36% .36% .39% .38%
========= ========= ========= ========= =========
-- -- -- -- --
========= ========= ========= ========= =========
5.67% 4.00% 3.03% 3.77% 5.97%
========= ========= ========= ========= =========
$ 568,439 $ 583,992 $ 546,710 $ 647,190 $ 798,020
========= ========= ========= ========= =========
-- -- -- -- --
========= ========= ========= ========= =========
</TABLE>
59
<PAGE> 60
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTIPLE STRATEGY PORTFOLIO
---------------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
---------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 1995+ 1994+ 1993 1992 1991
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
THE FOLLOWING PER SHARE DATA AND RATIOS HAVE
BEEN DERIVED FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of year............. $ 16.22 $ 19.84 $ 18.70 $ 18.32 $ 15.45
----------- ----------- ----------- ----------- -----------
Investment income -- net....................... .56 .50 .54 .61 .72
Realized and unrealized gain (loss) on
investments and foreign currency
transactions -- net.......................... 2.03 (1.39) 2.30 .17 3.13
----------- ----------- ----------- ----------- -----------
Total from investment operations............... 2.59 (.89) 2.84 .78 3.85
----------- ----------- ----------- ----------- -----------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income -- net....................... (.48) (.57) (.88) (.32) (.98)
Realized gain on investments -- net............ (1.09) (2.16) (.82) (.08) --
----------- ----------- ----------- ----------- -----------
Total dividends and distributions.............. (1.57) (2.73) (1.70) (.40) (.98)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year................... $ 17.24 $ 16.22 $ 19.84 $ 18.70 $ 18.32
========== ========== ========== ========== ==========
TOTAL INVESTMENT RETURN:*
Based on net asset value per share............. 17.55% (5.05%) 16.66% 4.35% 25.97%
========== ========== ========== ========== ==========
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of reimbursement................. .38% .38% .36% .40% .39%
========== ========== ========== ========== ==========
Expenses....................................... .38% .38% .36% .40% .39%
========== ========== ========== ========== ==========
Investment income -- net....................... 3.44% 2.97% 2.91% 3.26% 4.17%
========== ========== ========== ========== ==========
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)......... $ 1,169,357 $ 1,082,083 $ 1,237,336 $ 1,137,022 $ 1,152,395
========== ========== ========== ========== ==========
Portfolio turnover............................. 140.83% 68.12% 91.08% 67.71% 95.48%
========== ========== ========== ========== ==========
</TABLE>
- ------------
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the year.
See Notes to Financial Statements.
60
<PAGE> 61
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NATURAL RESOURCES PORTFOLIO
-----------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
-----------------------------------------------------------
1995 1994 1993 1992 1991
-----------------------------------------------------------
<S> <C> <C> <C> <C>
$ 7.43 $ 7.53 $ 7.01 $ 7.04 $ 7.18
------- ------- ------- ------- -------
.17 .17 .13 .21 .27
.73 (.10) .66 (.12) (.14)
------- ------- ------- ------- -------
.90 .07 .79 .09 .13
------- ------- ------- ------- -------
(.16) (.17) (.27) (.12) (.27)
-- -- -- -- --
------- ------- ------- ------- -------
(.16) (.17) (.27) (.12) (.27)
------- ------- ------- ------- -------
$ 8.17 $ 7.43 $ 7.53 $ 7.01 $ 7.04
======= ======= ======= ======= =======
12.22% .88% 11.65% 1.35% 1.67%
======= ======= ======= ======= =======
.47% .50% .50% .50% .50%
======= ======= ======= ======= =======
.47% .59% .59% .82% .74%
======= ======= ======= ======= =======
1.99% 2.23% 2.00% 2.84% 3.12%
======= ======= ======= ======= =======
$21,035 $21,455 $18,437 $ 7,987 $ 8,030
======= ======= ======= ======= =======
38.50% 48.16% 65.26% 32.14% 30.20%
======= ======= ======= ======= =======
</TABLE>
61
<PAGE> 62
- --------------------------------------------------------------------------------
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. The Fund offers its shares
to Merrill Lynch Life Insurance Company, ML Life Insurance Company of New York
(indirect wholly-owned subsidiaries of Merrill Lynch & Co., Inc. ("ML & Co.")
and Monarch Life Insurance Company (an insurance company not affiliated with ML
& Co.) separate accounts to fund benefits under certain variable life insurance
contracts. The following is a summary of significant accounting policies
followed by the Fund.
(a) Valuation of investments -- Money Reserve and Multiple Strategy Portfolios:
Investments maturing more than sixty days after the valuation date are valued at
the most recent bid price or yield equivalent as obtained from dealers that make
markets in such securities. When such securities are valued with sixty days or
less to maturity, the difference between the valuation existing on the
sixty-first day before maturity and maturity value is amortized on a
straight-line basis to maturity. Investments maturing within sixty days from
their date of acquisition are valued at amortized cost, which approximates
market value. For the purpose of valuation, the maturity of a variable rate
certificate of deposit is deemed to be the next coupon date on which the
interest rate is to be adjusted.
Balanced, Capital Stock, Global Strategy, Growth Stock, High Yield, Intermediate
Government Bond, Long Term Corporate Bond, Multiple Strategy and Natural
Resources Portfolios: Portfolio securities which are traded on stock exchanges
are valued at the last sale price as of the close of business on the day the
securities are being valued or, lacking any sales, at the closing bid price.
Securities other than money market securities traded in the over-the-counter
market are valued at the bid or yield equivalent as obtained from one or more
dealers that make markets in the securities. Portfolio securities which are
traded both in the over-the-counter market and on a stock exchange are valued
according to the broadest and most representative market, and it is expected
that for debt securities this ordinarily will be the over-the-counter market.
Short-term securities are valued at amortized cost, which approximates market
value.
Options 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.
(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 portfolios against
adverse movements in the equity, debt and currency markets. Losses may arise due
to changes in the value of the contract or if the counterparty does not perform
under the contract.
62
<PAGE> 63
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
- - Foreign currency options and futures -- Certain Portfolios may purchase or
sell listed or over-the-counter foreign currency options, foreign currency
futures and related options on foreign currency futures as a short or long hedge
against possible variations in foreign exchange rates. Such transactions may be
effected with respect to hedges on non-US dollar denominated securities owned by
the Portfolio, sold by the Portfolio but not yet delivered, or committed or
anticipated to be purchased by the Portfolio.
- - Forward foreign exchange contracts -- Global Strategy, Multiple Strategy and
Natural Resources Portfolios are authorized to enter into forward foreign
exchange contracts as a hedge against either specific transactions or portfolio
positions. Such contracts are not entered on the Portfolio's records. However,
the effect on operations is recorded from the date the Portfolio enters into
such contracts. Premium or discount is amortized over the life of the contracts.
- - Options -- Certain Portfolios are authorized to write and purchase call and
put options. When a Portfolio writes an option, an amount equal to the premium
received by the Portfolio is reflected as an asset and an equivalent liability.
The amount of the liability is subsequently marked to market to reflect the
current market value of the option written. When a security is purchased or sold
through an exercise of an option, the related premium paid (or received) is
added to (or deducted from) the basis of the security acquired or deducted from
(or added to) the proceeds of the security sold. When an option expires (or the
Portfolio enters into a closing transaction), the Portfolio realizes a gain or
loss on the option to the extent of the premiums received or paid (or gain or
loss to the extent the cost of the closing transaction exceeds the premium paid
or received).
Written and purchased options are non-income producing investments.
- - 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.
(g) Dividends and distributions -- Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates.
(h) Reclassifications -- Generally accepted accounting principles require that
certain components of net assets be reclassified to reflect permanent
differences between financial reporting and tax purposes. These
reclassifications have no effect on net assets or net asset value per share.
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
63
<PAGE> 64
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
aggregate average daily value of the ten combined Portfolio's net assets at the
following annual rates: 0.50% of the Fund's average daily net assets not
exceeding $250 million, 0.45% of the next $50 million, 0.40% of the next $100
million, 0.35% of the next $400 million, and 0.30% of average daily net assets
in excess of $800 million.
The Investment Advisory Agreement obligates MLAM to reimburse the Fund, if in
any year the aggregate ordinary operating expenses of any Portfolio exceed the
most restrictive expense limitations then in effect under any state securities
law or the regulations thereunder. Under the most restrictive state regulations
presently in effect, 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.
Merrill Lynch, Pierce, Fenner & Smith Inc. ("MLPF&S"), a subsidiary of ML & Co.,
earned commissions on the execution of portfolio security transactions
aggregating $3,685 in the Balanced Portfolio, $52,307 in the Capital Stock
Portfolio, $43,271 in the Global Strategy Portfolio, $21,300 in the Growth Stock
Portfolio, $625 in the High Yield Portfolio, $100,566 in the Multiple Strategy
Portfolio, and $924 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 year ended December 31, 1995, Merrill Lynch Security Pricing Service,
an affiliate of MLPF&S, was paid by Intermediate Government Bond Portfolio
$1,832; Growth Stock Portfolio $75; Balanced Portfolio $470; High Yield
Portfolio $4,159; and Long-Term Corporate Bond Portfolio $4,335 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.
3. INVESTMENTS:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 1995 were as follows:
<TABLE>
<CAPTION>
INTERMEDIATE
CAPITAL GLOBAL GROWTH HIGH GOVERNMENT
BALANCED STOCK STRATEGY STOCK YIELD BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------
Total Purchases........ $ 25,390,712 $ 251,255,646 $ 51,176,154 $ 151,487,690 $ 78,179,420 $124,613,641
=========== ============ ============ ============ =========== ============
Total Sales............ $ 33,840,350 $ 338,195,016 $ 145,031,433 $ 114,566,023 $ 55,052,347 $126,371,050
=========== ============ ============ ============ =========== ============
<CAPTION>
LONG TERM
CORPORATE MULTIPLE NATURAL
BOND STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- -----------------------
Total Purchases........ $125,501,729 $1,233,364,788 $ 8,452,750
============ ============== ===========
Total Sales............ $121,811,083 $1,737,655,335 $11,568,605
============ ============== ===========
</TABLE>
In the Capital Stock Portfolio, transactions in call options written for the
year ended December 31, 1995 were as follows:
64
<PAGE> 65
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES
CALL OPTIONS WRITTEN COVERED PREMIUMS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Outstanding call options, beginning of year............................................. 10,000 $12,096
Options written......................................................................... 81,500 104,669
Options terminated in closing purchase transactions..................................... (48,000) (52,435)
Options exercised....................................................................... (43,500) (64,330)
--------- --------
Outstanding call options, end of year................................................... -- $ --
========= ========
</TABLE>
In the Multiple Strategy Portfolio, transactions in call options written for the
year ended December 31, 1995 were as follows:
<TABLE>
<CAPTION>
NUMBER OF
SHARES
CALL OPTIONS WRITTEN COVERED PREMIUMS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Outstanding call options, beginning of year............................................. 65,000 $ 77,475
Options written......................................................................... 268,000 483,048
Options terminated in closing purchase transactions..................................... (138,000) (152,628)
Options exercised....................................................................... (175,000) (378,036)
Options expired......................................................................... (20,000) (29,859)
--------- ---------
Outstanding call options, end of year................................................... -- $ --
========= =========
</TABLE>
As of December 31, 1995, unrealized appreciation/depreciation for Federal income
tax purposes were as follows:
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Appreciated securities........................................................... $ 10,790,201 $ 15,000,019 $ 15,738,957
Depreciated securities........................................................... (332,599) (2,011,919) (2,281,150)
=========== ============ ============
Net unrealized appreciation (depreciation)....................................... $ 10,457,602 $ 12,988,100 $ 13,457,807
=========== ============ ============
Cost for Federal income tax purposes............................................. $ 84,164,241 $ 241,141,763 $ 192,013,476
=========== ============ ============
</TABLE>
<TABLE>
<CAPTION>
GROWTH HIGH
STOCK YIELD
PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Appreciated securities........................................................... $ 30,385,020 $ 3,785,673
Depreciated securities........................................................... (3,388,824) (7,172,627)
============ ============
Net unrealized appreciation (depreciation)....................................... $ 26,996,196 $ (3,386,954)
============ ============
Cost for Federal income tax purposes............................................. $ 159,738,116 $ 107,800,749
============ ============
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GOVERNMENT CORPORATE MONEY
BOND BOND RESERVE
PORTFOLIO PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Appreciated securities......................................................... $ 12,108,221 $ 7,351,526 $ 258,229
Depreciated securities......................................................... (817,356) (246,212) (17,313)
============ ============ ============
Net unrealized appreciation.................................................... $ 11,290,865 $ 7,105,314 $ 240,916
============ ============ ============
Cost for Federal income tax purposes........................................... $224,108,927 $115,760,766 $574,223,096
============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
MULTIPLE NATURAL
STRATEGY RESOURCES
PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Appreciated securities......................................................... $ 57,469,002 $ 1,754,903
Depreciated securities......................................................... (4,400,478) (1,121,332)
============== ===========
Net unrealized appreciation.................................................... $ 53,068,524 $ 633,571
============== ===========
Cost for Federal income tax purposes........................................... $1,119,389,445 $20,451,279
============== ===========
</TABLE>
65
<PAGE> 66
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
Net realized and unrealized gains (losses) as of December 31, 1995 were as
follows:
<TABLE>
<CAPTION>
CAPITAL STOCK GLOBAL STRATEGY
BALANCED PORTFOLIO PORTFOLIO
PORTFOLIO ------------------------- -------------------------
------------------------ REALIZED UNREALIZED REALIZED UNREALIZED
REALIZED UNREALIZED GAINS GAINS GAINS GAINS
GAINS GAINS (LOSSES) (LOSSES) (LOSSES) (LOSSES)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Long-term securities......... $1,979,500 $10,457,602 $36,815,279 $12,988,100 $(2,097,000) $13,457,807
Short-term securities........ 2 -- (387) -- (19) --
Options...................... -- -- 35,320 -- -- --
Forward foreign exchange
contracts................... -- -- -- -- (2,565,755) 3,911,706
Foreign currency
transactions................ -- -- (47,375) (371) 539,553 (783)
---------- ----------- ----------- ----------- ----------- -----------
Total........................ $1,979,502 $10,457,602 $36,802,837 $12,987,729 $(4,123,221) $17,368,730
========== =========== =========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
GROWTH STOCK
PORTFOLIO HIGH YIELD
------------------------- PORTFOLIO
REALIZED ----------------------
GAINS UNREALIZED REALIZED UNREALIZED
(LOSSES) GAINS GAINS LOSSES
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Long-term securities.........$ 4,620,804 $27,092,008 $706,740 $(3,389,111)
Short-term securities........ (16) -- 240 --
Options...................... -- -- -- --
Forward foreign exchange
contracts................... -- -- -- --
Foreign currency
transactions................ -- -- -- --
----------- ----------- -------- -----------
Total........................$ 4,620,788 $27,092,008 $706,980 $(3,389,111)
========== =========== ======== ===========
</TABLE>
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares were as follows:
<TABLE>
<CAPTION>
CAPITAL STOCK GLOBAL STRATEGY
BALANCED PORTFOLIO PORTFOLIO PORTFOLIO
------------------------ ------------------------- -------------------------
FOR THE YEAR ENDED DOLLAR DOLLAR DOLLAR
DECEMBER 31, 1995 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------- ---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold...................................... 1,291,948 $ 18,030,554 2,407,839 $ 51,660,671 1,806,490 $ 26,674,612
Shares issued to shareholders in reinvestment of
dividends and distributions..................... 494,385 6,367,607 337,836 6,916,386 776,360 11,076,199
--------- ------------ ---------- ------------ ---------- ------------
Total issued..................................... 1,786,333 24,398,161 2,745,675 58,577,057 2,582,850 37,750,811
Shares redeemed.................................. (965,851) (13,401,316) (1,704,354) (37,008,466) (4,006,374) (58,105,801)
--------- ------------ ---------- ------------ ---------- ------------
Net increase (decrease).......................... 820,482 $ 10,996,845 1,041,321 $ 21,568,591 (1,423,524) $(20,354,990)
========= ============ ========== ============ ========== ============
</TABLE>
<TABLE>
<CAPTION>
GROWTH STOCK PORTFOLIO
-------------------------
FOR THE YEAR ENDED DOLLAR
DECEMBER 31, 1995 SHARES AMOUNT
- ----------------------------------------------------------------------------
<S> <C> <C>
Shares sold...................................... 5,020,010 $105,384,779
Shares issued to shareholders in reinvestment of
dividends and distributions..................... 426,119 7,590,489
---------- ------------
Total issued..................................... 5,446,129 112,975,268
Shares redeemed.................................. (3,086,712) (64,028,469)
---------- ------------
Net increase (decrease).......................... 2,359,417 $ 48,946,799
========== ============
</TABLE>
<TABLE>
<CAPTION>
FOR THE YEAR ENDED DOLLAR DOLLAR
DECEMBER 31, 1994 SHARES AMOUNT SHARES AMOUNT SHARES
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Shares sold...................................... 796,517 $ 10,927,406 3,132,708 $ 70,162,822 5,777,347
Shares issued to shareholders in reinvestment of
dividends and distributions..................... 321,722 4,421,313 1,116,160 25,286,799 541,326
----------- ------------- ----------- ------------- -----------
Total issued..................................... 1,118,239 15,348,719 4,248,868 95,449,621 6,318,673
Shares redeemed.................................. (1,418,737) (19,288,798) (3,403,477) (75,543,585) (2,796,991)
----------- ------------- ----------- ------------- -----------
Net increase (decrease).......................... (300,498) $ (3,940,079) 845,391 $ 19,906,036 3,521,682
========== ============ ========== ============ ==========
</TABLE>
<TABLE>
<CAPTION>
FOR THE YEAR ENDED DOLLAR DOLLAR
DECEMBER 31, 1994 AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Shares sold...................................... $ 87,535,692 3,016,630 $ 57,816,537
Shares issued to shareholders in reinvestment of
dividends and distributions..................... 8,079,249 967,756 19,703,838
------------- ----------- -------------
Total issued..................................... 95,614,941 3,984,386 77,520,375
Shares redeemed.................................. (41,794,888) (3,671,567) (70,575,404)
------------- ----------- -------------
Net increase (decrease).......................... $ 53,820,053 312,819 $ 6,944,971
============ ========== ============
</TABLE>
66
<PAGE> 67
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GOVERNMENT CORPORATE MONEY RESERVE
BOND PORTFOLIO BOND PORTFOLIO PORTFOLIO
------------------------ ------------------------- -----------------------
REALIZED UNREALIZED REALIZED UNREALIZED REALIZED UNREALIZED
GAINS GAINS GAINS GAINS GAINS GAINS
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$791,779 $11,290,865 $2,060,856 $7,105,314 -- --
-- -- -- -- $271,802 $240,916
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-------- ----------- ---------- ---------- -------- ---------
$791,779 $11,290,865 $2,060,856 $7,105,314 $271,802 $240,916
======== =========== ========== ========== ========= =========
</TABLE>
<TABLE>
<CAPTION>
MULTIPLE STRATEGY NATURAL RESOURCES
PORTFOLIO PORTFOLIO
--------------------------- -----------------------
REALIZED UNREALIZED REALIZED
GAINS GAINS GAINS UNREALIZED
(LOSSES) (LOSSES) (LOSSES) GAINS
-------------------------------------------------------
<S> <C> <C> <C>
$113,461,770 $53,068,524 $769,577 $633,571
(4,716) -- (62) --
148,606 -- -- --
-- -- -- --
3,649,813 (1,337) (1,642) 484
----------- ----------- -------- ---------
$117,255,473 $53,067,187 $767,873 $634,055
============ =========== ========= =========
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE
GOVERNMENT BOND LONG TERM CORPORATE
HIGH YIELD PORTFOLIO PORTFOLIO BOND PORTFOLIO
--------------------------- --------------------------- ---------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
8,479,805 $ 75,386,693 1,820,237 $ 19,784,758 1,179,723 $ 13,430,499
1,107,700 9,775,052 1,510,971 16,342,302 759,176 8,570,923
---------- ------------ ---------- ------------ ---------- ------------
9,587,505 85,161,745 3,331,208 36,127,060 1,938,899 22,001,422
(7,315,179) (65,316,284) (3,546,978) (38,243,753) (1,968,331) (22,274,213)
---------- ------------ ---------- ------------ ---------- ------------
2,272,326 $ 19,845,461 (215,770) $ (2,116,693) (29,432) $ (272,791)
========= =========== ========= =========== ========= ===========
</TABLE>
<TABLE>
<CAPTION>
MULTIPLE STRATEGY NATURAL RESOURCES
MONEY RESERVE PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------- ---------------------------- ---------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
211,919,729 $ 211,919,729 979,588 $ 15,902,035 3,592,635 $ 27,917,420
32,032,115 32,032,115 7,012,948 105,818,311 61,559 474,128
------------ ------------- ---------- ------------- ---------- ------------
243,951,844 243,951,844 7,992,536 121,720,346 3,654,194 28,391,548
(260,422,324) (260,422,324) (6,852,014) (110,284,559) (3,966,476) (31,139,897)
------------ ------------- ---------- ------------- ---------- ------------
(16,470,480) $ (16,470,480) 1,140,522 $ 11,435,787 (312,282) $ (2,748,349)
============ ============ ========= ============ ========= ===========
</TABLE>
<TABLE>
<CAPTION>
DOLLAR DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
6,957,804 $62,994,131 1,145,062 $ 12,193,233 617,781 $ 7,030,745 268,477,395 $268,477,395
965,110 8,745,213 2,387,827 26,321,402 1,196,731 13,744,537 22,352,889 22,352,889
---------- ----------- ---------- ------------ ---------- ----------- ------------ ------------
7,922,914 71,739,344 3,532,889 38,514,635 1,814,512 20,775,282 290,830,284 290,830,284
(8,047,084) (74,353,292) (6,015,949) (65,126,592) (2,448,292) (27,519,734) (252,860,391) (252,860,391)
---------- ----------- ---------- ------------ ---------- ----------- ------------ ------------
(124,170) $(2,613,948) (2,483,060) $ (26,611,957) (633,780) $(6,744,452) 37,969,893 $ 37,969,893
========== =========== ========== ============ ========== =========== ============ ============
</TABLE>
<TABLE>
<CAPTION>
DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT
----------------------------------------------------------
<S> <C> <C> <C>
1,343,178 $ 22,804,677 3,662,455 $28,114,107
10,026,362 171,443,382 60,496 444,638
---------- ------------ ---------- -----------
11,369,540 194,248,059 3,722,951 28,558,745
(7,035,582) (116,814,354) (3,282,644) (24,913,503)
---------- ------------ ---------- -----------
4,333,958 $ 77,433,705 440,307 $ 3,645,242
========== ============ ========== ===========
</TABLE>
67
<PAGE> 68
- --------------------------------------------------------------------------------
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 December 31, 1995, the Natural Resources Portfolio had entered into foreign
exchange contracts under which it agreed to purchase various foreign currencies
with values of approximately $75,500. The Capital Stock Portfolio, the Global
Strategy Portfolio and the Multiple Strategy Portfolio had entered into foreign
exchange contracts under which it agreed to sell various foreign currencies with
values of approximately $149,800, $129,200, and $506,400, respectively.
7. LOANED SECURITIES:
At December 31, 1995, the Intermediate Government Bond Portfolio held US
Treasury Notes having an aggregate value of approximately $23,578,000 as
collateral for portfolio securities loaned having a market value of
approximately $23,045,000; the Long Term Corporate Bond Portfolio held US
Treasury Notes having an aggregate value of approximately $1,824,000 as
collateral for portfolio securities loaned having a market value of
approximately $1,766,000.
8. SUBSEQUENT EVENT:
On January 2, 1996, the Board of Directors declared dividends and distributions
per share payable on January 2, 1996 to shareholders of record as of December
29, 1995 as follows:
<TABLE>
<CAPTION>
NET INVESTMENT REALIZED
INCOME CAPITAL GAINS
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
PORTFOLIO
Balanced Portfolio............................................................... $.297572 $ .302721
Capital Stock Portfolio.......................................................... .216003 3.479302
Global Strategy Portfolio........................................................ .391332 .094099
Growth Stock Portfolio........................................................... .100032 .587772
Multiple Strategy Portfolio...................................................... .320185 1.670257
Natural Resources Portfolio...................................................... .081190 --
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
68
<PAGE> 69
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Independent Auditors' Report
- --------------------------------------------------------------------------------
The Board of Directors and Shareholders,
Merrill Lynch Series Fund, Inc.:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of the Balanced, Capital Stock, Global Strategy,
Growth Stock, High Yield, Intermediate Government Bond, Long Term Corporate
Bond, Money Reserve, Multiple Strategy, and Natural Resources Portfolios of
Merrill Lynch Series Fund, Inc. as of December 31, 1995, the related statements
of operations for the year then ended, and changes in net assets for each of the
years in the two-year period then ended, and the financial highlights for each
of the years in the five-year period then ended. These financial statements and
the financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and the
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and the financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned at December
31, 1995 by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial positions of the Balanced,
Capital Stock, Global Strategy, Growth Stock, High Yield, Intermediate
Government Bond, Long Term Corporate Bond, Money Reserve, Multiple Strategy, and
Natural Resources Portfolios of Merrill Lynch Series Fund, Inc. as of December
31, 1995, the results of their operations, the changes in their net assets, and
the financial highlights for the respective stated periods in conformity with
generally accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
February 15, 1996
69
<PAGE> 70
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Directors and Officers
- --------------------------------------------------------------------------------
TERRY K. GLENN-President and Director
JACK B. SUNDERLAND-Director
STEPHEN B. SWENSRUD-Director
J. THOMAS TOUCHTON-Director
N. JOHN HEWITT-Senior Vice President
ALEX BOUZAKIS-Vice President
DONALD C. BURKE-Vice President
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
MICHAEL J. HENNEWINKEL-Secretary
PRINCIPAL OFFICE OF THE FUND
Box 9011
Princeton, New Jersey 08453-9011
CUSTODIAN
The Bank of New York
90 Washington Street
New York, New York 10286
TRANSFER AGENT
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, Florida 32246-6484
(800) 637-3863
70
<PAGE> 71
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.
59828-12/95
