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MERRILL LYNCH SERIES FUND, INC.
- -----------------------------------------
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
US TREASURY SECURITIES, SERIES A, B, C, D, E,
F, G, H, I, J, AND K
1996 ANNUAL REPORT
DECEMBER 31, 1996
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1996
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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 views on the investment environment. Performance information for each
Portfolio in Merrill Lynch Series Fund, Inc., excluding the Money Reserves
Portfolio, can be found in the graphs and tables on pages 8-15 of this report to
shareholders.
BALANCED PORTFOLIO
As of December 31, 1996, the asset allocation of Balanced Portfolio was: US
bonds, 54% of net assets; US equities, 42%; and cash reserves, 4%.
During much of the fiscal year ended December 31, 1996, the Portfolio's cash
position was a relatively small portion of assets. Consequently, cash reserves
held down the return to a much lesser extent than was the case in 1995. The US
equity commitments in sectors such as technology, financial services and
consumer staples continued to have a positive impact on overall returns. The
maintenance of US equities at close to the 50% maximum allowable level (as
described in the prospectus) for much of 1996 proved a positive influence on
performance. Returns on US bonds were well below those of US equities, so that
the fixed-income representation held down the overall return.
In the United States, we became more cautious as the stock market advanced
during the latter part of 1996. Our concern was that US equities could be
vulnerable to earnings disappointments during 1997. Given this outlook, we
accepted profits in a number of positions which had performed exceptionally well
and no longer seemed to offer above-average appreciation potential. Equities
which were liquidated on this basis included Microsoft Corp., Procter & Gamble
Co. and The Coca-Cola Company.
In order to seek to further reduce risk, we established positions in several
areas which appeared unexploited. These sectors included electric utilities
through an investment in Edison International Inc., and real estate through
Prentiss Properties Trust. After the cutback in the US equity position, the
largest proportion of US equity assets remained allocated to areas that we
believe are likely to benefit from strength in capital spending in the United
States and abroad. These commitments included companies involved in technology,
such as International Business Machines Corp., and companies in defense and
aerospace, as exemplified by Northrop Grumman Corporation.
We enlarged our position in US bonds during the second half of 1996. Initially
the position comprised long duration securities. We reduced the average duration
to approximately five years in late 1996 as the market rallied. We expect bond
yields to remain in a relatively narrow range in 1997 in response to a stable
rate of moderate economic growth in the United States.
CAPITAL STOCK PORTFOLIO
As was the case in 1995, US equities were a positive net contributor to overall
Portfolio returns during the fiscal year ended December 31, 1996. Particularly
strong returns were exhibited by the technology, financial services and consumer
staple commitments, which were well represented in the Portfolio. While the
overall return on foreign equities lagged that of the United States by a
significant margin, the decision to underweight Japan and overweight a number of
markets in the Americas and Europe reduced the negative impact of the foreign
equity representation during the year. The Portfolio's cash position, which was
relatively small during much of 1996, held down the Portfolio's total return to
a much lesser extent than was the case in 1995.
As of December 31, 1996, the asset allocation for Capital Stock Portfolio was:
foreign equities, 20% of net assets; US equities, 77%; and cash reserves, 3%.
In the United States, we became more cautious as the stock market advanced
during the latter part of 1996. Our concern was that US equities could be
vulnerable to earnings disappointments during 1997. In reducing US equities, we
accepted profits in a number of positions which had performed exceptionally well
and no longer seemed to offer above-average appreciation potential. Equities
which were liquidated on this basis included Microsoft Corp., Procter & Gamble
Co. and The Coca-Cola Company.
In order to seek to further reduce risk, we established positions in several
areas which appeared unexploited. These sectors included electric utilities
through an investment in Edison International,
1
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1996 (Continued)
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Inc., and real estate through Prentiss Properties Trust. After the cutback in
the US equity position, the largest proportion of US equity assets remained
allocated to areas that we believe are likely to benefit from strength in
capital spending in the United States and abroad. These commitments included
companies involved in technology, such as International Business Machines Corp.,
and companies in defense and aerospace, as exemplified by Northrop Grumman
Corporation.
In the foreign equity sector, new positions were concentrated in Europe. The
majority were in the United Kingdom and included British Steel PLC, Glaxo
Wellcome PLC, Grand Metropolitan PLC, Boots Company PLC, National Westminster
PLC, and Vodafone Group PLC. Other new commitments included SGS Thompson
Microelectronics NV in France, and Color Line ASA in Norway. Significant
positions were maintained in Latin America and Canada, given the comparatively
favorable outlook for these economies and markets. The commitment in Japanese
equities remained at the reduced levels achieved earlier in 1996.
GLOBAL STRATEGY PORTFOLIO
As was the case in 1995, US equities were a positive net contributor to overall
Fund returns during the fiscal year ended December 31, 1996. Particularly strong
returns were exhibited by the technology, financial services and consumer staple
commitments, which were well represented in the Portfolio. While the overall
return on foreign equities lagged that of the United States by a significant
margin, the decision to underweight Japan and overweight a number of markets in
the Americas and Europe reduced the negative impact of the foreign equity
representation during the year. Similarly, while bond returns were also well
below those of US equities, a number of markets represented in the Portfolio
during much of the year, including Canada, the United Kingdom and Sweden, made a
positive contribution to performance. The cash position, which was relatively
small during much of 1996, held down the Portfolio's total return to a much
lesser extent than was the case in 1995.
As of December 31, 1996, the asset allocation for Global Strategy Portfolio was:
foreign equities, 49% of net assets; US equities, 30%; foreign bonds, 12%; US
bonds, 7%; and cash reserves, 2%.
The major change in the equity sector during the second half of 1996 involved
shifting assets from US equities and foreign bonds into foreign equities. We
increased the representation in foreign equities markets by expanding existing
commitments. New positions were concentrated in Europe. The majority were in the
UK market and included British Steel PLC, Glaxo Wellcome PLC, Grand Metropolitan
PLC, Boots Company PLC, National Westminster PLC, and Vodafone Group PLC. Other
new commitments included SGS Thomson Microelectronics NV in France and Color
Line ASA in Norway. Significant positions were maintained in Latin America and
Canada, given the comparatively favorable outlook for these economies and
markets. The commitment in Japanese equities remained at the reduced levels
achieved earlier in 1996.
In the United States, we became more cautious as the stock market advanced
strongly during the latter part of 1996. We were concerned that US equities
could be vulnerable to earnings disappointments during 1997. In reducing US
equities, we accepted profits in a number of positions which had performed
exceptionally well and no longer seemed to offer above-average appreciation
potential. Equities liquidated on this basis included Microsoft Corp., Procter &
Gamble Co. and The Coca-Cola Company.
We restored positions in the United States and Canadian bond markets during the
second half of 1996. The positions initially were of long duration, which was
reduced during late 1996 through the sale of the long-term Canadian bonds and
the purchase of additional US Treasury obligations of intermediate maturities.
In Europe, we reduced the commitment to higher-yielding markets through the sale
of Spanish bonds, and reduced a portion of the commitment in Sweden in favor of
positions in Denmark and the United Kingdom.
GROWTH STOCK PORTFOLIO
Growth Stock Portfolio's total return for the year ended December 31, 1996 was
+19.57%. Companies that contributed significantly to the Portfolio's return in
the second half of 1996 included The Travelers Group, Inc., The Gillette Co.,
State Street Boston Corp., SmithKline Beecham PLC (ADR) and Travelers/Aetna
Property Casualty Corp. (Class A). We continued to maintain a relatively low
cash reserve level, with cash equivalents equal to 5.8% of net assets at fiscal
year-end.
2
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1996 (Continued)
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Our investment strategy did not change during the year ended December 31, 1996.
Over 50% of net assets are invested in large-capitalization global growth
companies in the consumer non-durable goods and services and the commercial
services industries. The pharmaceutical industry, at 13.3% of net assets,
continued to be the most important industry sector. We continued to increase our
representation in financial services companies, with the combination of stock
holdings in the banking, financial services and insurance sectors equal to 23%
of net assets at year-end. Cyclical growth companies, particularly those in the
retailing and technology equipment industries, were de-emphasized. The top ten
industries were equal to 63.7% of net assets, and the top ten equity holdings
were equal to 32.7% of net assets, at the end of the year.
HIGH YIELD PORTFOLIO
The high-yield debt market continued its upward momentum through December,
outperforming US Treasury securities and high-grade bonds for the month, the
last quarter and the year. Yield spreads versus Treasury securities remained
compressed, causing high-yield bonds to sell at record high levels relative to
the historical norm. An exception to the general narrowing of spreads was the
CCC-rated category, which widened 113 basis points (1.13%) for the year. This is
an indication that, despite a very low incidence of defaults during 1996, credit
problems adversely impacted the performance of the lowest credit quality
securities.
The high-yield market benefited from positive corporate and refinancing events,
a benign credit environment -- the default rate was only 0.58% versus the
historic average of 1.97% -- and a vibrant equity market. Continuous cash
inflows helped absorb record new issuance ($78 billion) and led to less
differentiation among yields, credits and risk. The tendency in 1996 was to take
on more risk to outperform.
For the fiscal year ended December 31, 1996, the Fund's total return was
+12.32%, while the total return for the unmanaged Merrill Lynch High Yield
Master Bond Index was +11.06%. Our performance over the course of the year was
aided by a modest overweighting in bonds rated below BB. Lower-quality issues in
the aggregate outperformed, benefiting Fund returns. Announced mergers,
acquisitions and refinancings also impacted returns positively. The benefiting
sectors included communications, paper and utilities. Among those credits
affected were PanAmSat L.P., NWCG Holding Corp., Repap Enterprises and Beaver
Valley Funding Corp., which are all portfolio holdings. Results were impacted
negatively by higher cash balances and high exposure to the cable and
broadcasting industry, which underperformed all other sectors and the Index.
Given the relatively full valuation of the high-yield market, particularly among
securities in the lower-quality end of the spectrum, we intend to remain
cautious. Our strategy seeks to reduce risk through gradually upgrading quality
to B+ and retaining lower-yielding credits such as Bell Cablemedia PLC and NWCG
Holding which are likely to be called or tendered within 18 months. Among
B+-rated investments made during the six-month period ended December 31, 1996
were Foodmaker, Inc., Advanced Micro Devices, Inc., Olympus Communications L.P.,
WCI Steel, Inc., and Vanguard Cellular Systems, Inc.
At December 31, 1996, our cash position was 12.6% of net assets. Major
industries in the Portfolio included: broadcasting/cable, 7.9% of net assets;
communications, 8.7%; energy, 5.3%; and consumer products, 5.9%.
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
The acceleration of job creation, which became evident in February, adversely
impacted interest rates throughout the first half of the year. Job growth
averaged 233,000 jobs per month for the first six months of 1996 compared with
an average monthly gain of only 144,000 during the same period in 1995. Combined
with surprising strength in the wage and salary index, this caused concern that
the favorable inflation climate might be drawing to a close. The rise in bond
prices, which occurred in 1995, began to reverse in the first quarter of 1996.
Bond prices fluctuated during the spring and summer months in a swirl of
speculation about the course of inflation. This volatility was caused by the
release of economic data which seemed inconclusive with regard to future
economic growth prospects. Bond prices remained steady until the Federal Reserve
Board's decision in late September not to raise short-term interest rates. This
was interpreted by investors as a sign that the economy was slowing enough in
the third quarter so that inflation would not be a problem. Bond prices began to
3
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1996 (Continued)
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rise as the third-quarter data was released. However, Federal Reserve Board
Chairman Alan Greenspan's comment that there was an "irrational exuberance" in
US financial markets sent a shudder through the investment system, because it
implied that the levels of both stock and bond prices were not consistent with
the economic data. Within two weeks after his remarks, the stock market dropped
over 200 points and there was a corresponding increase of 20 basis points in the
bellwether US Treasury long-term bond yield.
A review of the underlying economic and political conditions that normally
influence the behavior of stock and bond prices seems to justify the optimism
that prevailed in the fall. For example, the Federal Reserve Board's monetary
policy remained unchanged during the period, contrary to widespread expectations
during the summer that there would be a tightening. This did not occur because
it became apparent that the economy was slowing on its own from the torrid pace
of the second quarter, when real gross domestic product (GDP) growth jumped to
4.7% from the 2% pace of the first quarter. Third-quarter real GDP growth
dropped back to 2.1%. Meanwhile, inflation remained subdued. In addition, the US
dollar gained in value, implying less inflation and continued foreign investment
in US securities. Stock and bond prices improved by year-end, but without the
enthusiasm that had characterized the fall.
We extended the duration of the portfolio very modestly during the year ended
December 31, 1996, because of the strength of the market. We reduced cash, and
made several trades which lengthened the maturity of several issues. We believe
this strategy enhanced the Portfolio's overall performance. Looking ahead, we
believe that markets have a way of self-correcting. Although inflation remains
at a low level, we believe that the current level of bond prices fully reflects
the positive factors which characterized the economy in the last quarter.
Without significant additional good news, we believe that the bond market is in
a trading range which justifies a conservative strategy.
LONG TERM CORPORATE BOND PORTFOLIO
The acceleration of job creation, which became evident in February, adversely
impacted interest rates throughout the first half of the year. Job growth
averaged 233,000 jobs per month in the first six months of 1996, compared with
an average monthly gain of only 144,000 in the same period in 1995. Combined
with surprising strength in the wage and salary index, these data caused concern
that the favorable inflation climate might be drawing to a close. The rise in
bond prices which occurred in 1995 began to reverse in the first quarter of
1996. Bond prices fluctuated during the spring and summer months in a swirl of
speculation about the course of inflation. This volatility was caused by the
release of economic data which seemed inconclusive with regard to future growth
prospects. Bond prices remained volatile until the Federal Reserve Board's
decision in late September not to raise short-term interest rates. This was
interpreted by investors as a sign that the economy was slowing down enough on
its own in the third quarter so that inflation would not be a problem. Bond
prices began to rise as the third quarter data were released. However, Federal
Reserve Board Chairman Alan Greenspan touched a nerve on December 5 when he
suggested that there was an "irrational exuberance" in US financial markets.
This comment sent a shudder through the investment system, because of its
implication that the levels of both stock and bond prices were not consistent
with the economic data. Within two weeks after his remarks, the stock market
dropped over 200 points and there was a corresponding increase of 20 basis
points in the bellwether Treasury long bond yield.
Yet a review of the underlying economic and political conditions that normally
influence the behavior of stock and bond prices seems to justify the investor
optimism that prevailed in the fall. For example, the Federal Reserve Board's
monetary policy remained unchanged during the period, contrary to widespread
expectations during the summer that there would be a tightening. This did not
occur because it became apparent that the economy was slowing on its own from
the torrid pace of the second quarter, when real GDP growth jumped to 4.7% from
the 2% pace of the first quarter. Third-quarter GDP growth dropped back to 2.1%.
Meanwhile, inflation remained subdued. In addition, the US dollar gained in
value, implying less inflation and continued foreign investment in US
securities. Stock and bond prices improved by year-end, but without the
enthusiasm that had characterized the fall.
From February through the middle of the summer, we moved the Portfolio into an
ever-increasing conservative position by shortening the average life from 11
years to 9.5 years. We accomplished this by increasing the percentage of
Treasury issues held by the Fund and by trading down the yield curve, which
reduced maturity. In the fall, we began to purchase more industrial and utility
issues and
4
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1996 (Continued)
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a selection of trust preferreds offering an attractive yield, which benefited
the Portfolio's overall performance.
MONEY RESERVE PORTFOLIO
For the six-month period ended December 31, 1996, the Money Reserve Portfolio's
net annualized yield was 5.23%.* The Portfolio's 7-day yield as of December 31,
1996 was 5.24%*. The average portfolio maturity was 72 days at December 31,
1996, compared to 56 days at June 30, 1996.
The Fund's composition at the end of December and as of our last report is
detailed below:
<TABLE>
<CAPTION>
ISSUE 12/31/96 6/30/96
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
Bank Notes...................................................................................... 1.1% --
Certificates of Deposit......................................................................... 1.7 --
Certificates of Deposit -- European............................................................. -- 1.8%
Commercial Paper................................................................................ 49.7 51.1
Corporate Notes................................................................................. 7.5 8.5
Master Notes.................................................................................... 3.4 5.4
Medium-Term Notes............................................................................... 1.8 2.7
US Government Agency & Instrumentality Obligations -- Discount.................................. -- 0.4
US Government Agency & Instrumentality Obligations -- Non-Discount.............................. 34.9 29.6
Repurchase Agreements........................................................................... 0.3 --
Other Assets Less Liabilities/Liabilities in Excess of Other Assets............................. (0.4) 0.5
----- -----
Total........................................................................................... 100.0% 100.0%
----- -----
----- -----
</TABLE>
MULTIPLE STRATEGY PORTFOLIO
As was the case in 1995, US equities were a positive net contributor to overall
Fund returns during the fiscal year ended December 31, 1996. Particularly strong
returns were exhibited by the technology, financial services and consumer staple
commitments, which were well represented in the Portfolio. While the overall
return on foreign equities lagged that of the United States by a significant
margin, the decision to underweight Japan and overweight a number of markets in
the Americas and Europe reduced the negative impact of the foreign equity
representation during the year. Similarly, while bond returns were also well
below those of US equities, a number of markets represented in the Portfolio
during much of the year, including Canada, the United Kingdom and Sweden, made a
positive contribution to performance. The cash position, which was relatively
small during much of 1996, held down the Portfolio's total return to a much
lesser extent than was the case in 1995.
As of December 31, 1996, the asset allocation for Multiple Strategy Portfolio
was: foreign equities, 21% of net assets; US equities, 52%; foreign bonds, 5%;
US bonds, 21%; and cash reserves, 1%.
The major change in the equity sector during the second half of 1996 involved
shifting assets from US equities and foreign bonds into foreign equities. We
increased representation in foreign equities markets by expanding existing
commitments.
In the United States, we became more cautious as the stock market advanced
strongly during the latter part of 1996. We were concerned that US equities
could be vulnerable to earnings disappointments during 1997. In reducing US
equities, we accepted profits in a number of positions which had performed
exceptionally well and no longer seemed to offer above-average appreciation
potential. Equities which were liquidated on this basis included Microsoft
Corp., Procter & Gamble Co. and The Coca-Cola Company.
In order to seek to further reduce risk, we established positions in several
areas which appeared unexploited. These sectors included electric utilities
through Edison International Inc. and real estate through Prentiss Properties
Trust. After the cutback in the US equity position, the largest proportion of US
equity assets remained allocated to areas that we believe are likely to benefit
from strength in capital spending in the United States and abroad. These
commitments included companies involved
- ------------
* Based on a constant investment throughout the period, with dividends
compounded daily, and reflecting a net return to the investor after all
expenses.
5
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1996 (Continued)
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in technology, such as International Business Machines Corp., and companies in
defense and aerospace, as exemplified by Northrop Grumman Corporation.
In the foreign equity sector, new positions were concentrated in Europe. The
majority were in the United Kingdom and included British Steel PLC, Glaxo
Wellcome PLC, Grand Metropolitan PLC, National Westminster PLC, and Vodafone
Group PLC. Other new commitments included SGS Thomson Microelectronics NV in
France and Color Line ASA in Norway. Significant positions were maintained in
Latin America and Canada, given the comparatively favorable outlook for these
economies and markets. The commitment in Japanese equities remained at the
reduced levels achieved earlier in 1996.
We enlarged our position in US bonds and restored a commitment to Canadian bonds
during the second half of 1996. The positions initially were of long duration,
which then was reduced through the sale of the long-term Canadian bonds and the
purchase of additional US Treasury obligations of intermediate-term maturities.
In Europe, the commitment to higher-yielding markets was reduced through the
sale of Spanish bonds and a portion of the commitment in Sweden in favor of
positions in Denmark and the United Kingdom.
NATURAL RESOURCES PORTFOLIO
The environment for investments in the natural resource sector was mixed during
the 12-month period ended December 31, 1996. Returns from resource-related
stocks were generally positive. Except for energy-related stocks, share price
gains generally lagged the returns of the broad global stock market averages.
Investor sentiment toward commodity cyclical companies was cautious as investors
remained concerned about the sustainability of economic activity, particularly
in the United States. In addition, economic statistics released in Japan and
Europe suggested that the pace of any economic recovery in these markets would
remain slow. In spite of these concerns about economic activity, commodity
prices generally moved higher over the period as supply/demand fundamentals in
most commodity areas strengthened. Oil and natural gas prices soared; base metal
prices, led by copper, recovered sharply from their losses during the summer;
lumber prices remained in a firm uptrend. There were also some price increases
announced by companies in the steel and paper products areas, but it is still
uncertain if these will be accepted. Conversely, gold prices moved lower on
concerns about possible increases in the supply of gold to the marketplace.
During the year ended December 31, 1996, Portfolio returns were enhanced by our
large exposure to the energy sector, with particular emphasis on exploration and
production companies. Share prices of exploration and production companies and
oil service companies benefited from stronger-than-expected oil and natural gas
prices. Oil prices rallied sharply during the period ended December 31, 1996,
driven by strong demand and low inventories of crude oil and oil products,
particularly in the United States. These strong industry fundamentals have, thus
far, left the oil markets relatively unaffected by the recent approval of Iraqi
oil exports for humanitarian aid. The effects of this will have to be monitored
closely in the future. The price of natural gas was more volatile during the
December period. Natural gas prices retreated sharply during the summer months
because of relatively mild weather in the United States, which reduced
electricity demand for air conditioning. This reduced demand enabled natural gas
inventories to be rebuilt at a greater-than-expected pace during the summer in
preparation for this winter's heating season. However, despite this strong
rebuild, natural gas inventories are about 10% below last year's levels. As we
approach the season of peak demand, this tight inventory situation fueled a
strong rally in natural gas prices.
Portfolio returns were hurt by our exposure to gold mining stocks, which fell
sharply in response to weaker gold prices. Gold prices suffered from a number of
concerns about possible increases in the supply of gold to the marketplace,
including the potential for gold sales by the International Monetary Fund,
further selling of gold by European central banks and increased forward selling
of gold by producers. Inflationary pressures remained moderate in the world's
major economies, thereby limiting the investment demand for gold. However, we
believe that the physical demand for gold remains strong, driven by increasing
jewelry demand in the world's emerging economies. In addition, this physical
demand is expected to significantly exceed the newly mined supply of gold. This
should keep the supply/demand balance for gold tight, and could support a more
positive gold price environment, despite the supply concerns mentioned above. In
the Portfolio, investments in the gold sector focused on companies with low
production costs and strong production and reserves growth potential.
6
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1996 (Concluded)
- --------------------------------------------------------------------------------
Our exposure to the Japanese market also contributed negatively to Portfolio
returns as stocks in Japan suffered from economic, political and currency
uncertainties. We continue to believe that the Japanese economy is experiencing
a moderate economic recovery which, combined with the recent weakening of the
Japanese yen, could set the stage for an increase in corporate profitability.
Investments in Japan are focused on companies in the steel, chemical and
non-ferrous metals sectors, which should be prime beneficiaries of this improved
economic scenario.
During the year ended December 31, 1996, there were no significant geographic or
industry allocation changes made in the Portfolio. The Portfolio's largest
exposure continued to be to the energy sector at about 33% of net assets. We did
use the strength in the energy sector as an opportunity to realize profits in
several exploration and production company holdings that had reached our price
targets. The proceeds from these sales were generally invested back into the
energy sector in companies which offered better value, in our opinion. New
positions established during the year included ENI Societa per Azioni, an
Italian-based integrated oil company; and Northrock Resources Ltd., a fast-
growing Canadian-based exploration and production company. In addition, we added
several new positions in the oil service sector, including Transocean Offshore
Inc., a worldwide offshore drilling company which is experiencing sharp
increases in the prices charged for the use of their drilling rigs, and
Petroleum Geo-Services ASA, a Norwegian-based company that acquires, processes
and markets three-dimensional marine seismic data which are increasingly being
used in the exploration and development efforts of oil and gas companies.
We also maintained a significant exposure to the industrial side of our
universe, including base metals and forest products companies. Base metals
shares generally should be among the prime beneficiaries of an increase in
global economic activity. Despite the uncertainty surrounding the copper trading
losses at Sumitomo Corp., supply/demand fundamentals in the base metals
industries remain tight. This could lead to higher base metals prices if
economic growth continues to expand worldwide, as we expect. In the paper and
forest products industry, lumber prices moved sharply higher in response to
strong housing activity, particularly in the United States. In addition, there
is some evidence that paper inventories are being worked down and that order
levels are increasing in some grades, which we believe could give the industry
greater pricing flexibility going forward. Despite the risk of a near-term
slowdown in earnings momentum in some of these areas resulting from sluggish
industrial commodity prices, we remain positive on the intermediate-term outlook
for these industries. In our opinion, the emerging trend of stronger worldwide
economic growth should keep the demand for these industrial commodities on an
upward trend, and should provide support for underlying commodity prices.
Looking ahead, we continue to be optimistic about the outlook for the natural
resource sector. There continues to be uncertainty over the sustainability of
recent advances in economic growth, and much debate over the implications of
this growth for the financial markets. We remain encouraged by recent positive
economic trends, and believe we may be moving toward a period of synchronized
growth in both the industrialized and developing economies. We expect this to
keep the demand for most basic commodities on an upward trend, and to strengthen
fundamental supply/demand prospects for most natural resource-related industries
which we believe, in turn, should have positive implications for the earnings of
many resource-related companies. We remain positive on the intermediate-term
prospects for the natural resource sector and remain fairly fully invested, with
cash levels in the Portfolio at 6.3% of net assets at December 31, 1996.
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 12, 1997
7
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MERRILL LYNCH SERIES FUND, INC.
Performance Information
December 31, 1996
- --------------------------------------------------------------------------------
RECENT PERFORMANCE RESULTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
12 MONTH 6 MONTH
12/31/96 6/30/96 12/31/95 % CHANGE % CHANGE
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO $ 15.36 $ 14.61 $ 14.86 + 5.52%(1) + 5.13%
- ---------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO 23.25 21.37 23.88 +10.41(2) + 8.80
- ---------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO 16.80 15.36 15.25 +10.86(3) + 9.38
- ---------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO 27.79 25.76 24.06 +15.50 + 7.88
- ---------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO 9.15 8.94 8.99 + 1.78 + 2.35
- ---------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO 10.93 10.80 11.41 - 4.21 + 1.20
- ---------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO 11.53 11.36 12.02 - 4.08 + 1.50
- ---------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO 17.13 15.95 17.24 + 6.99(4) + 7.40
- ---------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO 9.19 8.75 8.17 +12.48 + 5.03
- ---------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO -- TOTAL RETURN + 9.76(5) + 7.14(6)
- ---------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO -- TOTAL RETURN +16.54(7) +10.15(8)
- ---------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO -- TOTAL RETURN +13.78(9) + 9.38
- ---------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO -- TOTAL RETURN +19.57 (10 + 8.50(11)
- ---------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO -- TOTAL RETURN +12.32 (12 + 7.45(13)
- ---------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO -- TOTAL
RETURN + 2.61 (14 + 4.74(15)
- ---------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO -- TOTAL RETURN + 2.77 (16 + 5.06(17)
- ---------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO -- TOTAL RETURN +14.32 (18 + 9.34(19)
- ---------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO -- TOTAL RETURN +14.72 (20 + 6.07(21)
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Percent change includes reinvestment of $0.298 per share capital gains
distributions.
(2) Percent change includes reinvestment of $2.719 per share capital gains
distributions.
(3) Percent change includes reinvestment of $0.094 per share capital gains
distributions.
(4) Percent change includes reinvestment of $1.175 per share capital gains
distributions.
(5) Percent change includes reinvestment of $0.572 per share ordinary income
dividends and $0.298 per share capital gains
distributions.
(6) Percent change includes reinvestment of $0.270 per share ordinary income
dividends.
(7) Percent change includes reinvestment of $1.234 per share ordinary income
dividends and $2.719 per share capital gains
distributions.
(8) Percent change includes reinvestment of $0.258 per share ordinary income
dividends.
(9) Percent change includes reinvestment of $0.391 per share ordinary income
dividends and $0.094 per share capital gains
distributions.
(10) Percent change includes reinvestment of $0.830 per share ordinary income
dividends.
(11) Percent change includes reinvestment of $0.142 per share ordinary income
dividends.
(12) Percent change includes reinvestment of $0.888 per share ordinary income
dividends.
(13) Percent change includes reinvestment of $0.437 per share ordinary income
dividends.
(14) Percent change includes reinvestment of $0.753 per share ordinary income
dividends.
(15) Percent change includes reinvestment of $0.372 per share ordinary income
dividends.
(16) Percent change includes reinvestment of $0.794 per share ordinary income
dividends.
(17) Percent change includes reinvestment of $0.394 per share ordinary income
dividends.
(18) Percent change includes reinvestment of $1.094 per share ordinary income
dividends and $1.175 per share capital gains
distributions.
(19) Percent change includes reinvestment of $0.279 per share ordinary income
dividends.
(20) Percent change includes reinvestment of $0.167 per share ordinary income
dividends.
(21) Percent change includes reinvestment of $0.086 per share ordinary income
dividends.
8
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Performance Information
December 31, 1996
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR FIVE YEARS TEN YEARS
ENDED ENDED ENDED SINCE INCEPTION TO
12/31/96 12/31/96 12/31/96 12/31/96
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO + 9.76% + 9.27% -- +10.88%+
- ----------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO +16.54 + 9.87 +11.56% --
- ----------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO +13.78 + 9.52 -- +10.04++
- ----------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +19.57 +11.09 +10.65 --
- ----------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO +12.32 +12.96 +11.27 --
- ----------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 2.61 + 6.69 + 7.80 --
- ----------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO + 2.77 + 7.51 + 8.37 --
- ----------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO +14.32 + 9.21 +10.70 --
- ----------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO +14.72 + 8.01 -- + 1.49+++
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Balanced Portfolio commenced operations on 5/2/88.
++ Global Strategy Portfolio commenced operations on 7/1/87.
+++ Natural Resources Portfolio commenced operations on 7/1/87.
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT AVERAGE ANNUALIZED TOTAL RETURNS*
FOR VARIABLE LIFE INSURANCE POLICIES
(EXCEPT FOR ESTATE INVESTOR I AND II)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIVE YEARS TEN YEARS
YEAR ENDED ENDED ENDED SINCE INCEPTION TO
12/31/96 12/31/96 12/31/96 12/31/96
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO -0.23% + 6.80% -- +9.16%+
- -------------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO +6.48 + 7.38 +9.84% --
- -------------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO +3.75 + 7.06 -- +8.37++
- -------------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +9.48 + 8.60 +8.59 --
- -------------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO +2.30 +10.64 +9.63 --
- -------------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO -7.32 + 4.16 +6.13 --
- -------------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO -7.16 + 5.01 +6.70 --
- -------------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO +4.28 + 6.72 +9.05 --
- -------------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO +4.68 + 5.47 -- -0.65+++
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Returns are calculated as if the contract were surrendered at the end of the
periods shown and assume the Separate Account had been in existence and a
contract had been in force during the periods shown. They reflect fund
operating expenses, a Separate Account mortality and expense risk charge
deducted daily at an annual rate at the beginning of the year of 0.90% and a
deferred contract load of 9%. They do not reflect quarterly cost of
insurance. Returns would be lower if they reflected the deduction for cost
of insurance, which can vary by age, sex, and underwriting class of the
insured, and by each contract's net amount at risk. Some contract owners
have lower mortality and expense risk charges and/or lower deferred contract
loads than those reflected above. Average annual rates of return for those
contract owners would, therefore, be higher than the returns shown above.
Some contract owners pay administrative fees that could have the effect of
reducing the returns shown above. All charges and fees are described in the
product prospectuses. See those prospectuses for more complete information.
+ The Balanced Portfolio commenced operations on 5/2/88.
++ The Global Strategy Portfolio commenced operations on 7/1/87.
+++ The Natural Resources Portfolio commenced operations on 7/1/87.
INVESTMENT RESULTS AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTMENT MAY
BE WORTH MORE OR LESS THAN ITS ORIGINAL COST. PAST PERFORMANCE ILLUSTRATED
SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE PERFORMANCE.
9
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Performance Information
December 31, 1996
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT AVERAGE ANNUALIZED TOTAL RETURNS*
FOR ESTATE INVESTOR I AND II
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR FIVE YEARS TEN YEARS
ENDED ENDED ENDED SINCE INCEPTION TO
12/31/96 12/31/96 12/31/96 12/31/96
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO + 8.77% + 8.28% -- +9.88%+
- ----------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO +15.48 + 8.88 +10.48% --
- ----------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO +12.75 + 8.53 -- +9.06++
- ----------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +18.48 +10.09 + 9.34 --
- ----------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO +11.30 +11.94 +10.29 --
- ----------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 1.68 + 5.73 + 6.84 --
- ----------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO + 1.84 + 6.54 + 7.40 --
- ----------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO +13.28 + 8.22 + 9.70 --
- ----------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO +13.68 + 7.03 -- +0.57+++
- ----------------------------------------------------------------------------------------------------------------------
</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 or Since Inception respectively would be: Capital Stock Portfolio,
-42.26%, -5.22%, 3.09%; Long Term Corporate Bond Portfolio, -49.08%, -7.25%,
0.21%; Intermediate Government Bond Portfolio, -49.16%, -7.96%, -0.32%;
Growth Stock Portfolio, -40.76%, -4.16%, 2.02%; Multiple Strategy Portfolio,
-43.36%, -5.79%, 2.35%; High Yield Portfolio, -44.35%, -2.55%, 2.90%; Global
Strategy, -43.63%, -5.52%, 1.39%; Natural Resources Portfolio, -43.16%,
-6.82%, -6.50%; Balanced Portfolio, -45.62%, -5.73%, 1.43%.
+ The Balanced Portfolio commenced operations on 5/2/88.
++ The Global Strategy Portfolio commenced operations on 7/1/87.
+++ The Natural Resources Portfolio commenced operations on 7/1/87.
INVESTMENT RESULTS AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTMENT MAY
BE WORTH MORE OR LESS THAN ITS ORIGINAL COST. PAST PERFORMANCE ILLUSTRATED
SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE PERFORMANCE.
10
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment
- --------------------------------------------------------------------------------
BALANCED PORTFOLIO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
BALANCED PORTFOLIO*+ S&P 500 INDEX++ WEIGHTED INDEX+++
<S> <C> <C> <C>
05/02/88** $10,000 $10,000 $10,000
Dec-88 $10,590 $10,882 $10,615
Dec-89 $12,788 $14,331 $12,553
Dec-90 $12,988 $13,876 $13,130
Dec-91 $15,710 $18,102 $15,438
Dec-92 $16,757 $19,481 $16,427
Dec-93 $19,155 $21,446 $17,760
Dec-94 $18,335 $21,725 $17,889
Dec-95 $22,293 $29,883 $21,625
Dec-96 $24,469 $36,750 $23,876
</TABLE>
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Portfolio compared to
growth of an investment in the S&P 500 Index and a Weighted Index. Beginning and
ending values are:
<TABLE>
<S> <C> <C>
5/02/88** 12/96
----------- ---------
Balanced Portfolio*+ $ 10,000 $ 24,469
S&P 500 Index ++ $ 10,000 $ 36,750
Weighted Index+++ $ 10,000 $ 23,876
</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
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CAPITAL STOCK PORTFOLIO*+ S&P 500 INDEX++
<S> <C> <C>
Dec-86 $10,000 $10,000
Dec-87 $9,735 $10,524
Dec-88 $11,031 $12,300
Dec-89 $14,362 $16,198
Dec-90 $14,450 $15,685
Dec-91 $18,647 $20,461
Dec-92 $19,108 $22,020
Dec-93 $22,358 $24,242
Dec-94 $21,213 $24,557
Dec-95 $25,611 $33,778
Dec-96 $29,847 $41,541
</TABLE>
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Portfolio compared to
growth of an investment in the S&P 500 Index. Beginning and ending values are:
<TABLE>
<S> <C> <C>
12/86 12/96
--------- ---------
Capital Stock Portfolio*+ $ 10,000 $ 29,847
S&P 500 Index++ $ 10,000 $ 41,541
</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.
11
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (continued)
- --------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SERIES GLOBAL STRATEGY PORTFOLIO*+ MORGAN STANLEY WORLD INDEX++ WEIGHTED INDEX+++
<S> <C> <C> <C>
07/01/87** $10,000 $10,000 $10,000
Dec-87 $9,550 $8,957 $10,589
Dec-88 $10,744 $11,043 $11,564
Dec-89 $12,652 $12,877 $12,662
Dec-90 $13,412 $10,686 $13,387
Dec-91 $15,760 $12,640 $15,284
Dec-92 $16,233 $11,980 $15,347
Dec-93 $20,085 $14,676 $17,381
Dec-94 $19,759 $15,420 $18,538
Dec-95 $21,822 $18,615 $21,622
Dec-96 $24,828 $21,124 $22,775
</TABLE>
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Portfolio compared to
growth of an investment in the MSCI, World Index and a Weighted Index. Beginning
and ending values are:
<TABLE>
<S> <C> <C>
7/01/87** 12/96
----------- ---------
Global Strategy Portfolio*+ $ 10,000 $ 24,828
MSCI World Index++ $ 10,000 $ 21,124
Weighted Index+++ $ 10,000 $ 22,775
</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
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH STOCK PORTFOLIO*+ S&P 500 INDEX++
<S> <C> <C>
Dec-86 $10,000 $10,000
Dec-87 $9,248 $10,524
Dec-88 $10,370 $12,300
Dec-89 $12,776 $16,198
Dec-90 $11,190 $15,685
Dec-91 $16,260 $20,461
Dec-92 $16,813 $22,020
Dec-93 $18,264 $24,242
Dec-94 $16,998 $24,557
Dec-95 $23,007 $33,778
Dec-96 $27,510 $41,541
</TABLE>
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Portfolio compared to
growth of an investment in the S&P 500 Index. Beginning and ending values are:
<TABLE>
<S> <C> <C>
12/86 12/96
--------- ---------
Growth Stock Portfolio*+ $ 10,000 $ 27,510
S&P 500 Index++ $ 10,000 $ 41,541
</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.
12
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (continued)
- --------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
HIGH YIELD PORTFOLIO*+ FIRST BOSTON HIGH YIELD INDEX++
<S> <C> <C>
Dec-86 $10,000 $10,000
Dec-87 $10,468 $10,854
Dec-88 $11,989 $12,108
Dec-89 $12,598 $12,154
Dec-90 $11,486 $11,379
Dec-91 $15,824 $16,357
Dec-92 $19,088 $19,082
Dec-93 $22,545 $22,691
Dec-94 $22,121 $22,471
Dec-95 $25,908 $26,376
Dec-96 $29,100 $29,652
</TABLE>
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Portfolio compared to
growth of an investment in the First Boston High Yield Index. Beginning and
ending values are:
<TABLE>
<S> <C> <C>
12/86 12/96
--------- ---------
High Yield Portfolio*+ $ 10,000 $ 29,100
First Boston High Yield Index++ $ 10,000 $ 29,652
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
+ 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 in not predictive of future performance.
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT BOND PORTFOLIO*+ ML G402 INDEX++
<S> <C> <C>
Dec-86 $10,000 $10,000
Dec-87 $10,149 $9,928
Dec-88 $10,734 $10,644
Dec-89 $12,178 $12,389
Dec-90 $13,272 $13,393
Dec-91 $15,338 $15,738
Dec-92 $16,417 $16,958
Dec-93 $18,255 $19,116
Dec-94 $17,383 $18,040
Dec-95 $20,663 $22,191
Dec-96 $21,202 $22,493
</TABLE>
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Portfolio compared to
growth of an investment in the Merrill Lynch G402 Index. Beginning and ending
values are:
<TABLE>
<S> <C> <C>
12/86 12/96
--------- ---------
Intermediate Government Bond Portfolio*+ $ 10,000 $ 21,202
Merrill Lynch G402 Index++ $ 10,000 $ 22,493
</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.
13
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (continued)
- --------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LONG TERM CORPORATE BOND PORTFOLIO*+ ML C0A0 CORPORATE MASTER INDEX++
<S> <C> <C>
Dec-86 $10,000 $10,000
Dec-87 $10,000 $10,184
Dec-88 $10,820 $11,178
Dec-89 $12,330 $12,756
Dec-90 $13,296 $13,696
Dec-91 $15,558 $16,195
Dec-92 $16,810 $17,872
Dec-93 $18,997 $19,888
Dec-94 $18,021 $19,205
Dec-95 $21,744 $23,343
Dec-96 $22,346 $24,133
</TABLE>
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Portfolio compared to
growth of an investment in the Merrill Lynch C0A0 Index. Beginning and ending
values are:
<TABLE>
<S> <C> <C>
12/86 12/96
--------- ---------
Long Term Corporate Bond Portfolio*+ $ 10,000 $ 22,346
Merrill Lynch C0A0 Index++ $ 10,000 $ 24,133
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
+ Long Term Corporate Bond Portfolio normally 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
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MULTIPLE STRATEGY PORTFOLIO*+ S&P 500 INDEX++ WEIGHTED INDEX+++
<S> <C> <C> <C>
Dec-86 $10,000 $10,000 $10,000
Dec-87 $9,959 $10,524 $10,367
Dec-88 $11,103 $12,300 $11,641
Dec-89 $13,469 $16,198 $14,307
Dec-90 $14,131 $15,685 $14,692
Dec-91 $17,801 $20,461 $18,097
Dec-92 $18,575 $22,020 $19,482
Dec-93 $21,670 $24,242 $21,543
Dec-94 $20,575 $24,557 $21,328
Dec-95 $24,186 $33,778 $27,363
Dec-96 $27,649 $41,541 $30,909
</TABLE>
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Portfolio compared to
growth of an investment in the S&P 500 Index and a Weighted Index. Beginning and
ending values are:
<TABLE>
<S> <C> <C>
12/86 12/96
--------- ---------
Multiple Strategy Portfolio*+ $ 10,000 $ 27,649
S&P 500 Index++ $ 10,000 $ 41,541
Weighted Index+++ $ 10,000 $ 30,909
</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.
14
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (concluded)
- --------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
NATURAL RESOURCES PORTFOLIO*+ S&P 500 INDUSTRIALS INDEX++ LIPPER NATURAL RESOURCES AVERAGE++++
<S> <C> <C> <C>
07/01/87** $10,000 $10,000 $10,000
Dec-87 $7,460 $8,208 $8,075
Dec-88 $6,552 $8,524 $8,639
Dec-89 $8,206 $12,328 $11,420
Dec-90 $7,698 $12,214 $10,485
Dec-91 $7,827 $15,983 $10,637
Dec-92 $7,933 $16,890 $10,838
Dec-93 $8,857 $18,425 $13,768
Dec-94 $8,935 $19,125 $13,273
Dec-95 $10,027 $25,746 $15,547
Dec-96 $11,504 $31,683 $20,583
<CAPTION>
CONSUMER PRICE INDEX+++
<S> <C>
07/01/87** $10,000
Dec-87 $10,185
Dec-88 $10,633
Dec-89 $11,127
Dec-90 $11,822
Dec-91 $12,174
Dec-92 $12,535
Dec-93 $12,678
Dec-94 $13,213
Dec-95 $13,556
Dec-96 $14,005
</TABLE>
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Portfolio compared to
growth of an investment in the S&P Industrials Index, the Consumer Price Index
and the Lipper Natural Resources Average. Beginning and ending values are:
<TABLE>
<S> <C> <C>
7/01/87** 12/96
----------- ---------
Natural Resources Portfolio*+ $ 10,000 $ 11,504
S&P 500 Industrials++ $ 10,000 $ 31,683
Consumer Price Index+++ $ 10,000 $ 14,005
Lipper Natural Resources Average++++ $ 10,000 $ 20,583
</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.
15
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
FACE AMOUNT US GOVERNMENT & AGENCY OBLIGATIONS COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY $ 2,033,567 Federal National Mortgage
OBLIGATIONS 4,428,907 Association++:
2,662,871 6% due 11/01/2000..................... $ 2,013,231 $ 2,008,783 2.0%
6% due 6/01/2001...................... 4,383,926 4,368,702 4.4
6% due 2/01/2004...................... 2,631,250 2,622,096 2.7
US Treasury Notes:
5,900,000 5% due 1/31/1998.................. 5,847,914 5,858,523 5.9
16,075,000 6.25% due 4/30/2001............... 16,247,172 16,110,204 16.3
10,000,000 7.25% due 5/15/2004............... 10,575,781 10,521,900 10.6
11,675,000 7% due 7/15/2006.................. 12,154,611 12,129,274 12.3
- ---------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY
OBLIGATIONS 53,853,885 53,619,482 54.2
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
INDUSTRIES SHARES HELD COMMON STOCKS
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 5,500 AlliedSignal Inc...................... 404,266 368,500 0.4
18,600 +Gulfstream Aerospace Corp............ 460,252 451,050 0.4
12,200 Northrop Grumman Corp................. 807,514 1,009,550 1.0
10,100 United Technologies Corp.............. 230,166 666,600 0.7
----------- ----------- -----
1,902,198 2,495,700 2.5
- ---------------------------------------------------------------------------------------------------------------------
AUTO & TRUCK 12,200 General Motors Corp................... 668,532 680,150 0.7
- ---------------------------------------------------------------------------------------------------------------------
AUTOMOBILE PARTS 27,000 +Lear Corporation..................... 904,500 921,375 0.9
- ---------------------------------------------------------------------------------------------------------------------
BANKING 27,000 Bank of New York Co., Inc............. 637,987 911,250 0.9
4,000 BankAmerica Corp...................... 409,258 399,000 0.4
9,000 Citicorp.............................. 657,240 927,000 1.0
----------- ----------- -----
1,704,485 2,237,250 2.3
- ---------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS 16,100 Oakwood Homes Corporation............. 366,804 368,288 0.4
- ---------------------------------------------------------------------------------------------------------------------
CHEMICALS 11,000 +FMC Corporation...................... 779,645 771,375 0.8
15,000 PPG Industries, Inc................... 742,927 841,875 0.8
----------- ----------- -----
1,522,572 1,613,250 1.6
- ---------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 13,300 +cisco Systems, Inc................... 596,555 846,212 0.8
24,200 First Data Corp....................... 852,153 883,300 0.9
----------- ----------- -----
1,448,708 1,729,512 1.7
- ---------------------------------------------------------------------------------------------------------------------
COMPUTERS 10,800 +Compaq Computer Corp................. 798,392 801,900 0.8
5,600 International Business Machines
Corp................................. 615,417 845,600 0.9
----------- ----------- -----
1,413,809 1,647,500 1.7
- ---------------------------------------------------------------------------------------------------------------------
DIVERSIFIED 20,000 Corning, Inc.......................... 566,137 925,000 0.9
- ---------------------------------------------------------------------------------------------------------------------
ELECTRONICS 6,500 General Electric Co................... 493,323 642,688 0.7
4,700 Linear Technology Corporation......... 192,747 205,625 0.2
----------- ----------- -----
686,070 848,313 0.9
- ---------------------------------------------------------------------------------------------------------------------
ENGINEERING & 17,900 Foster Wheeler Corp................... 753,906 664,538 0.7
CONSTRUCTION
- ---------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 26,617 +Viacom, Inc. (Class B)............... 973,828 928,268 0.9
- ---------------------------------------------------------------------------------------------------------------------
FERTILIZERS 10,000 IMC Global, Inc....................... 387,604 391,250 0.4
- ---------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 16,800 American Express Company.............. 785,795 949,200 1.0
- ---------------------------------------------------------------------------------------------------------------------
FOODS 24,000 H.J Heinz Company..................... 786,326 858,000 0.9
- ---------------------------------------------------------------------------------------------------------------------
INSURANCE 7,000 Aetna Inc............................. 520,947 560,000 0.6
15,500 Allstate Corp......................... 634,449 897,062 0.9
13,000 UNUM Corporation...................... 830,276 939,250 0.9
----------- ----------- -----
1,985,672 2,396,312 2.4
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
16
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES SHARES HELD COMMON STOCKS (CONCLUDED) COST (NOTE 1A) NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
LEISURE/TOURISM 29,000 Brunswick Corporation................. $ 717,620 $ 696,000 0.7%
5,045 TCI Pacific Communications
(Convertible Preferred).............. 477,711 457,834 0.5
----------- ----------- -----
1,195,331 1,153,834 1.2
- ---------------------------------------------------------------------------------------------------------------------
MACHINERY 15,000 +American Standard Companies, Inc..... 489,476 573,750 0.6
22,500 Deere & Co............................ 937,004 914,062 0.9
----------- ----------- -----
1,426,480 1,487,812 1.5
- ---------------------------------------------------------------------------------------------------------------------
MEDICAL 28,700 +Health Management Associates, Inc.
(Class A)............................ 648,536 645,750 0.6
- ---------------------------------------------------------------------------------------------------------------------
NATURAL GAS 8,000 El Paso Natural Gas Co................ 392,123 404,000 0.4
20,000 Enron Corp............................ 781,311 862,500 0.9
----------- ----------- -----
1,173,434 1,266,500 1.3
- ---------------------------------------------------------------------------------------------------------------------
OIL SERVICES 28,000 Dresser Industries, Inc............... 555,727 868,000 0.9
- ---------------------------------------------------------------------------------------------------------------------
PAPER 10,000 Kimberly-Clark Corp................... 768,612 952,500 1.0
- ---------------------------------------------------------------------------------------------------------------------
PETROLEUM 15,900 Pennzoil Co........................... 642,571 898,350 0.9
22,000 Unocal Corp........................... 740,427 893,750 0.9
----------- ----------- -----
1,382,998 1,792,100 1.8
- ---------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 16,000 Abbott Laboratories................... 497,301 812,000 0.8
11,000 Merck & Co., Inc...................... 336,160 871,750 0.9
----------- ----------- -----
833,461 1,683,750 1.7
- ---------------------------------------------------------------------------------------------------------------------
RAILROADS 8,500 Burlington Northern Santa Fe, Inc..... 689,026 734,187 0.7
- ---------------------------------------------------------------------------------------------------------------------
REAL ESTATE 18,800 Prentiss Properties Trust............. 384,633 470,000 0.5
INVESTMENT TRUST 28,800 Spieker Properties, Inc............... 775,777 1,036,800 1.0
----------- ----------- -----
1,160,410 1,506,800 1.5
- ---------------------------------------------------------------------------------------------------------------------
RETAIL 14,755 Rite Aid Corporation.................. 439,611 586,511 0.6
18,000 Sears, Roebuck & Co................... 717,557 830,250 0.8
31,500 +Toys 'R' Us, Inc..................... 980,055 945,000 1.0
----------- ----------- -----
2,137,223 2,361,761 2.4
- ---------------------------------------------------------------------------------------------------------------------
SCIENTIFIC INSTRUMENTS 10,000 Fisher Scientific International,
Inc.................................. 313,564 471,250 0.5
- ---------------------------------------------------------------------------------------------------------------------
SOFTWARE 20,800 +BMC Software, Inc.................... 775,641 860,600 0.8
18,375 +Oracle Corp.......................... 597,838 764,859 0.8
----------- ----------- -----
1,373,479 1,625,459 1.6
- ---------------------------------------------------------------------------------------------------------------------
STEEL 24,000 AK Steel Holding Corp................. 990,584 951,000 1.0
- ---------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 35,000 +Airtouch Communications, Inc......... 1,002,020 883,750 0.9
14,400 Bell Atlantic Corp.................... 735,756 932,400 0.9
----------- ----------- -----
1,737,776 1,816,150 1.8
- ---------------------------------------------------------------------------------------------------------------------
TOBACCO 6,000 Philip Morris Companies, Inc.......... 594,955 675,750 0.7
- ---------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 27,000 Carnival Corp. (Class A).............. 763,149 891,000 0.9
- ---------------------------------------------------------------------------------------------------------------------
UTILITIES 38,000 Edison International, Inc............. 708,073 755,250 0.8
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS 35,309,764 41,292,759 41.8
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
17
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of December 31, 1996 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
FACE AMOUNT SHORT-TERM SECURITIES COST (NOTE 1A) NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMMERCIAL PAPER* $ 466,000 General Electric Capital Corp.,
7.10% due 1/02/1997.............. $ 465,816 $ 465,816 0.5%
- ---------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY 2,740,000 Federal Home Loan Mortgage Corp.,
OBLIGATIONS* 5.42% due 1/22/1997.............. 2,730,925 2,730,925 2.7
- ---------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 3,196,741 3,196,741 3.2
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS..................... $92,360,390 98,108,982 99.2
-----------
-----------
OTHER ASSETS LESS LIABILITIES......... 743,770 0.8
----------- -----
NET ASSETS............................ $98,852,752 100.0%
----------- -----
----------- -----
- ---------------------------------------------------------------------------------------------------------------------
</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.
++ Subject to principal paydowns.
See Notes to Financial Statements.
18
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES SHARES HELD US STOCKS & WARRANTS COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
AEROSPACE & 31,000 AlliedSignal Inc.................. $ 2,278,704 $ 2,077,000 0.7%
DEFENSE 98,000 +Gulfstream Aerospace Corp........ 2,413,030 2,376,500 0.8
59,200 Northrop Grumman Corp............. 3,878,250 4,898,800 1.7
58,800 United Technologies Corp.......... 2,433,293 3,880,800 1.4
------------- ------------- -----
11,003,277 13,233,100 4.6
- -------------------------------------------------------------------------------------------------------------------
AUTO & TRUCK 70,000 General Motors Corp............... 3,724,178 3,902,500 1.3
- -------------------------------------------------------------------------------------------------------------------
AUTOMOBILE PARTS 116,000 +Lear Corporation................. 3,886,000 3,958,500 1.4
- -------------------------------------------------------------------------------------------------------------------
BANKING 156,500 Bank of New York Co., Inc......... 2,720,756 5,281,875 1.8
15,000 Bank of New York Co., Inc.
(Warrants) (a)................... 168,750 1,111,875 0.4
21,900 BankAmerica Corp.................. 2,240,704 2,184,525 0.8
45,000 Citicorp.......................... 3,282,385 4,635,000 1.6
------------- ------------- -----
8,412,595 13,213,275 4.6
- -------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS 89,600 Oakwood Homes Corporation......... 2,041,536 2,049,600 0.7
- -------------------------------------------------------------------------------------------------------------------
CHEMICALS 54,000 +FMC Corporation.................. 3,827,309 3,786,750 1.3
82,000 PPG Industries, Inc............... 4,069,924 4,602,250 1.6
------------- ------------- -----
7,897,233 8,389,000 2.9
- -------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 77,000 +cisco Systems, Inc............... 3,672,758 4,899,125 1.7
88,000 Electronic Data Systems Corp...... 3,822,060 3,806,000 1.3
103,800 First Data Corp................... 3,736,613 3,788,700 1.3
------------- ------------- -----
11,231,431 12,493,825 4.3
- -------------------------------------------------------------------------------------------------------------------
COMPUTERS 61,000 +Compaq Computer Corp............. 4,523,322 4,529,250 1.6
28,000 International Business Machines
Corp............................. 3,073,726 4,228,000 1.4
------------- ------------- -----
7,597,048 8,757,250 3.0
- -------------------------------------------------------------------------------------------------------------------
DIVERSIFIED 115,000 Corning, Inc...................... 3,208,600 5,318,750 1.8
- -------------------------------------------------------------------------------------------------------------------
ELECTRONICS 35,000 General Electric Co............... 2,697,323 3,460,625 1.2
23,500 Linear Technology Corporation..... 964,041 1,028,125 0.3
------------- ------------- -----
3,661,364 4,488,750 1.5
- -------------------------------------------------------------------------------------------------------------------
ENGINEERING & 76,700 Foster Wheeler Corp...............
CONSTRUCTION 3,176,071 2,847,487 1.0
- -------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 1,500 +Imax Corporation................. 46,397 46,125 0.0
82,484 +Viacom, Inc. (Class B)........... 3,187,878 2,876,629 1.0
------------- ------------- -----
3,234,275 2,922,754 1.0
- -------------------------------------------------------------------------------------------------------------------
FERTILIZERS 55,000 IMC Global, Inc................... 2,131,787 2,151,875 0.7
- -------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 90,500 American Express Company.......... 4,239,137 5,113,250 1.8
- -------------------------------------------------------------------------------------------------------------------
FOODS 121,000 H.J. Heinz Company................ 3,979,027 4,325,750 1.5
- -------------------------------------------------------------------------------------------------------------------
INSURANCE 34,500 Aetna Inc......................... 2,225,492 2,760,000 1.0
93,000 Allstate Corp..................... 3,037,045 5,382,375 1.9
66,000 UNUM Corporation.................. 4,211,989 4,768,500 1.6
------------- ------------- -----
9,474,526 12,910,875 4.5
- -------------------------------------------------------------------------------------------------------------------
LEISURE/TOURISM 139,000 Brunswick Corporation............. 3,439,390 3,336,000 1.2
32,697 TCI Pacific Communications
(Convertible Preferred).......... 3,317,815 2,967,253 1.0
------------- ------------- -----
6,757,205 6,303,253 2.2
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
19
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES SHARES HELD US STOCKS & WARRANTS (CONCLUDED) COST (NOTE 1A) NET ASSETS
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MACHINERY 71,000 +American Standard Companies,
Inc.............................. $ 2,353,124 $ 2,715,750 0.9%
103,000 Deere & Co........................ 4,279,435 4,184,375 1.5
------------- ------------- -----
6,632,559 6,900,125 2.4
- -------------------------------------------------------------------------------------------------------------------
MEDICAL 137,000 +Health Management Associates,
Inc. (Class A)................... 3,088,067 3,082,500 1.1
- -------------------------------------------------------------------------------------------------------------------
NATURAL GAS 46,000 El Paso Natural Gas Co............ 2,254,653 2,323,000 0.8
112,700 Enron Corp........................ 4,326,642 4,860,187 1.7
------------- ------------- -----
6,581,295 7,183,187 2.5
- -------------------------------------------------------------------------------------------------------------------
OIL SERVICES 120,000 Dresser Industries, Inc........... 2,812,419 3,720,000 1.3
34,000 Schlumberger Ltd., Inc............ 2,877,326 3,395,750 1.2
------------- ------------- -----
5,689,745 7,115,750 2.5
- -------------------------------------------------------------------------------------------------------------------
PAPER 50,000 Kimberly-Clark Corp............... 3,844,967 4,762,500 1.6
- -------------------------------------------------------------------------------------------------------------------
PETROLEUM 79,400 Pennzoil Co....................... 3,187,715 4,486,100 1.6
122,000 Unocal Corp....................... 4,101,835 4,956,250 1.7
------------- ------------- -----
7,289,550 9,442,350 3.3
- -------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 95,000 Abbott Laboratories............... 3,890,031 4,821,250 1.7
66,300 Merck & Co., Inc.................. 4,024,293 5,254,275 1.8
------------- ------------- -----
7,914,324 10,075,525 3.5
- -------------------------------------------------------------------------------------------------------------------
RAILROADS 52,000 Burlington Northern Santa Fe,
Inc.............................. 4,270,775 4,491,500 1.6
- -------------------------------------------------------------------------------------------------------------------
REAL ESTATE 97,400 Prentiss Properties Trust......... 1,996,124 2,435,000 0.8
INVESTMENT TRUST 45,800 Starwood Lodging Trust............ 1,795,042 2,524,725 0.9
------------- ------------- -----
3,791,166 4,959,725 1.7
- -------------------------------------------------------------------------------------------------------------------
RETAIL 210,000 Limited, Inc. (The)............... 4,525,822 3,858,750 1.3
111,215 Rite Aid Corporation.............. 3,563,747 4,420,796 1.5
108,000 Sears, Roebuck & Co............... 4,290,566 4,981,500 1.7
141,000 +Toys 'R' Us, Inc................. 4,381,946 4,230,000 1.5
------------- ------------- -----
16,762,081 17,491,046 6.0
- -------------------------------------------------------------------------------------------------------------------
SCIENTIFIC 75,000 Fisher Scientific International,
INSTRUMENTS Inc.............................. 2,477,538 3,534,375 1.2
- -------------------------------------------------------------------------------------------------------------------
SOFTWARE 104,600 +BMC Software, Inc................ 3,878,245 4,327,825 1.5
88,750 +Oracle Corp...................... 2,890,668 3,694,219 1.3
------------- ------------- -----
6,768,913 8,022,044 2.8
- -------------------------------------------------------------------------------------------------------------------
STEEL 91,000 AK Steel Holding Corp............. 3,755,163 3,605,875 1.2
- -------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 145,000 +Airtouch Communications, Inc..... 4,151,148 3,661,250 1.3
55,000 Bell Atlantic Corp................ 3,457,791 3,561,250 1.2
------------- ------------- -----
7,608,939 7,222,500 2.5
- -------------------------------------------------------------------------------------------------------------------
TOBACCO 24,000 Philip Morris Companies, Inc...... 2,340,784 2,703,000 0.9
- -------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 150,000 Carnival Corp. (Class A).......... 4,272,624 4,950,000 1.7
- -------------------------------------------------------------------------------------------------------------------
UTILITIES 240,100 Edison International, Inc......... 4,578,019 4,771,987 1.6
- -------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS & WARRANTS 193,321,799 222,693,783 76.9
- -------------------------------------------------------------------------------------------------------------------
<CAPTION>
COUNTRY FOREIGN STOCKS++++
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
ARGENTINA 50,000 Yacimientos Petroliferos Fiscales
S.A. (ADR)* (31)................. 1,102,030 1,262,500 0.4
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ARGENTINA 1,102,030 1,262,500 0.4
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
20
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
COUNTRY SHARES HELD FOREIGN STOCKS++++ (CONTINUED) COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
BRAZIL 1,650,000 Companhia Cervejaria Brahma S.A.
PN (Preferred) (4)............... $ 943,548 $ 902,108 0.3%
8,700,000 Petroleo Brasileiro S.A.-Petrobras
(Preferred) (16)................. 1,030,100 1,385,937 0.5
12,300 Telecomunicacoes Brasileiras
S.A.-Telebras (ADR)* (21)........ 678,698 940,950 0.3
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BRAZIL 2,652,346 3,228,995 1.1
- -------------------------------------------------------------------------------------------------------------------
CANADA 47,400 Canadian Pacific, Ltd. (15)....... 971,396 1,256,100 0.4
22,800 Magna International Inc. (Class A)
(2).............................. 922,477 1,271,100 0.4
15,500 Potash Corp. of Saskatchewan, Inc.
(41)............................. 1,075,274 1,317,500 0.5
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 2,969,147 3,844,700 1.3
- -------------------------------------------------------------------------------------------------------------------
FINLAND 27,000 Finnlines OY (22)................. 540,042 662,958 0.2
21,500 Nokia Corp. (ADR)* (6)............ 777,943 1,238,937 0.4
55,100 +UPM-Kymmene OY (b) (42).......... 1,136,242 1,137,416 0.4
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 2,454,227 3,039,311 1.0
- -------------------------------------------------------------------------------------------------------------------
FRANCE 27,000 Michelin (C.G.D.E.) S.A. (Class B)
(46)............................. 1,127,133 1,457,729 0.5
20,700 +SGS-Thomson Microelectronics N.V.
(NY Registered Shares) (19)...... 767,931 1,449,000 0.5
29,000 Scor S.A. (48).................... 1,128,335 1,020,143 0.4
77,000 Usinor-Sacilor S.A. (26).......... 1,313,544 1,120,567 0.3
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 4,336,943 5,047,439 1.7
- -------------------------------------------------------------------------------------------------------------------
GERMANY 3,000 +Henkel KGaA (5).................. 133,334 143,906 0.0
27,000 +Henkel KGaA (Preferred) (5)...... 1,147,254 1,356,581 0.5
3,000 Mannesmann AG (43)................ 1,047,357 1,300,617 0.4
6,300 +Puma AG (1)...................... 207,091 213,754 0.1
24,000 Siemens AG (9).................... 1,348,146 1,130,972 0.4
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 3,883,182 4,145,830 1.4
- -------------------------------------------------------------------------------------------------------------------
HONG KONG 64,400 HSBC Holdings PLC (3)............. 1,036,470 1,378,097 0.5
600,000 Hong Kong Telecommunications, Ltd.
(ADR)* (21)...................... 1,062,716 965,865 0.3
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN HONG KONG 2,099,186 2,343,962 0.8
- -------------------------------------------------------------------------------------------------------------------
INDONESIA 31,600 PT Indonesian Satellite Corp.
(ADR)* (21)...................... 1,274,981 865,050 0.3
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 1,274,981 865,050 0.3
- -------------------------------------------------------------------------------------------------------------------
ITALY 89,100 Danieli & Co. Officine Meccaniche
S.p.A. (43)...................... 350,452 372,656 0.1
230,000 Societa Finanziaria Telefonica
S.p.A. (STET) (21)............... 717,560 1,045,282 0.4
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 1,068,012 1,417,938 0.5
- -------------------------------------------------------------------------------------------------------------------
JAPAN 65,000 Bridgestone Corporation (46)...... 1,127,619 1,234,888 0.4
56,000 Canon, Inc. (9)................... 1,027,555 1,237,997 0.4
72,000 Eisai Co., Ltd. (37).............. 1,272,640 1,417,617 0.5
73,000 Matsushita Electric Industrial
Co., Ltd. (9).................... 1,157,435 1,191,451 0.4
160,000 Mistubishi Electric Corp. (8)..... 1,157,192 953,368 0.3
125,000 Mistubishi Heavy Industries, Ltd.
(9).............................. 1,021,115 993,092 0.4
89,000 Mitsui Soko Co., Ltd. (24)........ 789,786 581,805 0.2
70,000 Nomura Securities Co., Ltd.
(10)............................. 1,389,864 1,051,813 0.4
</TABLE>
21
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
COUNTRY SHARES HELD FOREIGN STOCKS++++ (CONCLUDED) COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
JAPAN
(CONCLUDED) 14,000 Rohm Co., Ltd. (9)................ $ 779,601 $ 918,826 0.3%
102,000 Tokio Marine & Fire Insurance Co.,
Ltd. (13)........................ 1,214,789 960,104 0.3
156,000 Toray Industries, Inc. (23)....... 1,087,555 963,212 0.4
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 12,025,151 11,504,173 4.0
- -------------------------------------------------------------------------------------------------------------------
MEXICO 80,000 +Carso Global Telecom, S.A. de
C.V. (ADR)* (21)................. 380,000 360,000 0.1
80,000 Grupo Carso, S.A. de C.V. (ADR)*
(15)............................. 981,625 830,000 0.3
1,116 Grupo Financiero Inbursa, S.A. de
C.V. (ADR)* (10)................. 22,400 18,972 0.0
48,000 Kimberly-Clark de Mexico, S.A. de
C.V. (42)........................ 816,855 948,291 0.3
22,800 Panamerican Beverages, Inc. (Class
A) (4)........................... 893,104 1,068,750 0.4
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 3,093,984 3,226,013 1.1
- -------------------------------------------------------------------------------------------------------------------
NETHERLANDS 18,000 ABN AMRO Holding N.V. (3)......... 1,008,500 1,172,190 0.4
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
NETHERLANDS 1,008,500 1,172,190 0.4
- -------------------------------------------------------------------------------------------------------------------
NORWAY 106,000 Color Line ASA (22)............... 413,416 493,475 0.2
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 413,416 493,475 0.2
- -------------------------------------------------------------------------------------------------------------------
PHILIPPINES 385,000 San Miguel Corp. (Class B) (4).... 1,338,245 1,700,685 0.6
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
PHILIPPINES 1,338,245 1,700,685 0.6
- -------------------------------------------------------------------------------------------------------------------
SOUTH KOREA 76,300 +Hyundai Engineering &
Construction Co., Ltd. (GDR)**
(40)++........................... 994,189 476,875 0.2
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH KOREA 994,189 476,875 0.2
- -------------------------------------------------------------------------------------------------------------------
SPAIN 40,000 Repsol S.A. (ADR)* (31)........... 1,316,132 1,525,000 0.5
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 1,316,132 1,525,000 0.5
- -------------------------------------------------------------------------------------------------------------------
SWEDEN 95,100 Bure Investment AB (45)........... 829,105 1,130,315 0.4
49,000 Sparbanken Sverige AB (Class A)
(3).............................. 632,647 841,233 0.3
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 1,461,752 1,971,548 0.7
- -------------------------------------------------------------------------------------------------------------------
SWITZERLAND 1,000 ABB AG (44)....................... 1,214,108 1,243,651 0.4
900 +Novartis AG (Registered Shares)
(37)............................. 781,569 1,030,550 0.4
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWITZERLAND 1,995,677 2,274,201 0.8
- -------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 108,000 Boots Company PLC (18)............ 1,023,921 1,113,218 0.4
415,000 British Steel PLC (20)............ 1,101,757 1,143,071 0.4
195,000 General Electric PLC (Ordinary)
(9).............................. 1,088,607 1,277,711 0.5
78,000 Glaxo Wellcome PLC (37)........... 1,061,058 1,265,034 0.4
159,000 Grand Metropolitan PLC (11)....... 1,097,453 1,251,279 0.4
111,000 Imperial Chemical Industries PLC
(16)............................. 1,564,470 1,459,372 0.5
101,000 National Westminster Bank PLC
(3).............................. 1,080,151 1,185,345 0.4
315,000 Vodafone Group PLC (21)........... 1,102,103 1,331,088 0.5
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE UNITED
KINGDOM 9,119,520 10,026,118 3.5
- -------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 54,606,620 59,566,003 20.5
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
22
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
FACE AMOUNT SHORT-TERM SECURITIES COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER*** $ 3,703,000 General Motors Acceptance Corp.,
7.50% due 1/02/1997.............. $ 3,701,457 $ 3,701,457 1.3%
- -------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & 3,500,000 Federal Home Loan Mortgage Corp., 3,492,623 3,492,623 1.2
AGENCY OBLIGATIONS*** 5.42% due 1/14/1997..............
- -------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES....... 7,194,080 7,194,080 2.5
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS................. $ 255,122,499 289,453,866 99.9
-------------
-------------
UNREALIZED DEPRECIATION ON FORWARD
FOREIGN EXCHANGE CONTRACTS+++.... (335,948) (0.1)
OTHER ASSETS LESS LIABILITIES..... 578,151 0.2
------------- -----
NET ASSETS........................ $ 289,696,069 100.0%
------------- -----
------------- -----
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Warrants entitle the Portfolio to purchase a predetermined number of shares
of common stock. The purchase price and number of shares are subject to
adjustment under certain conditions until the expiration date.
(b) Name changed as a result of the merger of Kymmene Corporation and Repola
Ltd.
* American Depositary Receipts (ADR).
** Global Depositary Receipts (GDR).
*** Commercial Paper 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 $477,000, representing 0.2% of
net assets.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
ACQUISITION VALUE
ISSUE DATE COST (NOTE 1A)
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Hyundai Engineering & Construction Co., Ltd. (GDR).......................... 3/19/1996 $ 994,189 $ 476,875
- -----------------------------------------------------------------------------------------------------------------
TOTAL $ 994,189 $ 476,875
--------- -----------
--------- -----------
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
+++ Forward foreign exchange contracts as of December 31, 1996 were as follows:
<TABLE>
<CAPTION>
- ------------------------------------------------
UNREALIZED
FOREIGN CURRENCY EXPIRATION APPRECIATION
SOLD DATE (DEPRECIATION)
- ------------------------------------------------
<C> <S> <C>
Chf 2,875,000 January 1997 $ 44,304
DM 7,100,000 February 1997 111,705
Frf 18,000,000 January 1997 (21,251)
L 5,700,000 January 1997 (451,018)
Y 1,330,000,000 February 1997 (19,688)
- ------------------------------------------------
TOTAL UNREALIZED DEPRECIATION ON
FORWARD FOREIGN
EXCHANGE CONTRACTS -- NET (US$
COMMITMENT -- $31,199,454) $ (335,948)
--------------
--------------
- ------------------------------------------------
</TABLE>
23
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of December 31, 1996 (Concluded)
- --------------------------------------------------------------------------------
++++ Corresponding industry groups for foreign stocks and warrants:
<TABLE>
<S> <C> <C>
(1) Footwear (17) Real Estate (33) Automotive
(2) Auto-Parts (18) Retail (34) Leisure & Entertainment
(3) Banking (19) Semiconductors (35) Office Equipment
(4) Beverages (20) Steel (36) Industrial Services
(5) Chemicals (21) Telecommunications (37) Pharmaceuticals
(6) Telecommunications & Equipment (22) Cruise Lines (38) Photography
(7) Computers (23) Textiles (39) Commercial Design
(8) Electrical Equipment (24) Warehouse & Storage (40) Engineering & Construction
(9) Electronics (25) Food Processing (41) Mining
(10) Financial Services (26) Metals (42) Paper & Forest Products
(11) Diversified (27) Advertising (43) Machinery & Equipment
(12) Industrial Components (28) Tobacco (44) Capital Goods
(13) Insurance (29) Industrials (45) Investment Management
(14) Media /Publishing (30) Containers (46) Tires & Rubber
(15) Multi-Industry (31) Petroleum (47) Merchandising
(16) Oil-Integrated (32) Railroads (48) Reinsurance
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 10,000 AlliedSignal Inc. .................... $ 735,089 $ 670,000 0.3%
31,000 +Gulfstream Aerospace Corp. .......... 765,646 751,750 0.3
17,000 Northrop Grumman Corp. ............... 1,128,898 1,406,750 0.6
17,000 United Technologies Corp. ............ 533,814 1,122,000 0.5
------------- ------------- -----------
3,163,447 3,950,500 1.7
- --------------------------------------------------------------------------------------------------------------------
AUTO & TRUCK 19,000 General Motors Corp. ................. 1,037,747 1,059,250 0.5
- --------------------------------------------------------------------------------------------------------------------
AUTOMOBILE PARTS 41,000 +Lear Corporation .................... 1,373,500 1,399,125 0.6
- --------------------------------------------------------------------------------------------------------------------
BANKING 38,000 Bank of New York Co., Inc. ........... 987,758 1,282,500 0.6
7,000 BankAmerica Corp. .................... 716,177 698,250 0.3
14,400 Citicorp ............................. 1,142,253 1,483,200 0.6
------------- ------------- -----------
2,846,188 3,463,950 1.5
- --------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS 28,700 Oakwood Homes Corporation ............ 653,908 656,513 0.3
- --------------------------------------------------------------------------------------------------------------------
CHEMICALS 19,000 +FMC Corporation ..................... 1,346,648 1,332,375 0.6
25,000 PPG Industries, Inc. ................. 1,237,314 1,403,125 0.6
------------- ------------- -----------
2,583,962 2,735,500 1.2
- --------------------------------------------------------------------------------------------------------------------
COMPUTER 22,000 +cisco Systems, Inc. ................. 1,000,847 1,399,750 0.6
SERVICES 36,000 First Data Corp. ..................... 1,289,781 1,314,000 0.6
------------- ------------- -----------
2,290,628 2,713,750 1.2
- --------------------------------------------------------------------------------------------------------------------
COMPUTERS 16,000 +Compaq Computer Corp. ............... 1,186,463 1,188,000 0.5
9,000 International Business Machines
Corp. ............................... 989,063 1,359,000 0.6
------------- ------------- -----------
2,175,526 2,547,000 1.1
- --------------------------------------------------------------------------------------------------------------------
DIVERSIFIED 36,800 Corning, Inc. ........................ 1,134,539 1,702,000 0.7
- --------------------------------------------------------------------------------------------------------------------
ELECTRONICS 11,200 General Electric Co. ................. 883,768 1,107,400 0.5
8,000 Linear Technology Corporation ........ 328,049 350,000 0.1
------------- ------------- -----------
1,211,817 1,457,400 0.6
- --------------------------------------------------------------------------------------------------------------------
ENGINEERING & 33,000 Foster Wheeler Corp. ................. 1,399,233 1,225,125 0.5
CONSTRUCTION
- --------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 2,800 +Imax Corporation .................... 86,527 86,100 0.0
36,479 +Viacom, Inc. (Class B)............... 1,338,930 1,272,205 0.6
------------- ------------- -----------
1,425,457 1,358,305 0.6
- --------------------------------------------------------------------------------------------------------------------
FERTILIZERS 17,500 IMC Global, Inc. ..................... 678,325 684,688 0.3
- --------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 28,000 American Express Company ............. 1,340,030 1,582,000 0.7
- --------------------------------------------------------------------------------------------------------------------
FOODS 40,000 H.J. Heinz Company ................... 1,310,357 1,430,000 0.6
- --------------------------------------------------------------------------------------------------------------------
INSURANCE 12,000 Aetna Inc. ........................... 904,500 960,000 0.4
24,800 Allstate Corp. ....................... 1,083,168 1,435,300 0.6
21,000 UNUM Corporation ..................... 1,340,583 1,517,250 0.7
------------- ------------- -----------
3,328,251 3,912,550 1.7
- --------------------------------------------------------------------------------------------------------------------
LEISURE/TOURISM 50,000 Brunswick Corporation ................ 1,237,238 1,200,000 0.5
14,284 TCI Pacific Communications
(Convertible Preferred) ............. 1,336,589 1,296,273 0.6
------------- ------------- -----------
2,573,827 2,496,273 1.1
- --------------------------------------------------------------------------------------------------------------------
MACHINERY 29,000 +American Standard Companies, Inc. ... 946,413 1,109,250 0.5
36,500 Deere & Co. .......................... 1,542,480 1,482,813 0.6
------------- ------------- -----------
2,488,893 2,592,063 1.1
- --------------------------------------------------------------------------------------------------------------------
MEDICAL 49,000 +Health Management Associates, Inc.
(Class A) ........................... 1,104,800 1,102,500 0.5
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
25
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS (CONCLUDED) COST (NOTE 1A) NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NATURAL GAS 14,000 El Paso Natural Gas Co. .............. $ 686,247 $ 707,000 0.3%
33,300 Enron Corp. .......................... 1,251,808 1,436,063 0.6
------------- ------------- -----------
1,938,055 2,143,063 0.9
- --------------------------------------------------------------------------------------------------------------------
OIL SERVICES 44,000 Dresser Industries, Inc. ............. 931,971 1,364,000 0.6
16,000 Schlumberger Ltd., Inc. .............. 1,111,655 1,598,000 0.7
------------- ------------- -----------
2,043,626 2,962,000 1.3
- --------------------------------------------------------------------------------------------------------------------
PAPER 17,800 Kimberly-Clark Corp. ................. 1,368,004 1,695,450 0.7
- --------------------------------------------------------------------------------------------------------------------
PETROLEUM 27,000 Pennzoil Co. ......................... 1,074,720 1,525,500 0.7
36,000 Unocal Corp. ......................... 1,210,303 1,462,500 0.6
------------- ------------- -----------
2,285,023 2,988,000 1.3
- --------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 24,000 Abbott Laboratories .................. 944,407 1,218,000 0.5
18,200 Merck & Co., Inc. .................... 653,692 1,442,350 0.6
------------- ------------- -----------
1,598,099 2,660,350 1.1
- --------------------------------------------------------------------------------------------------------------------
RAILROADS 14,000 Burlington Northern Santa Fe, Inc. ... 1,134,788 1,209,250 0.5
- --------------------------------------------------------------------------------------------------------------------
REAL ESTATE 32,700 Prentiss Properties Trust ............ 668,479 817,500 0.4
INVESTMENT 18,100 Starwood Lodging Trust ............... 709,645 997,763 0.4
------------- ------------- -----------
TRUST 1,378,124 1,815,263 0.8
- --------------------------------------------------------------------------------------------------------------------
RETAIL 23,465 Rite Aid Corporation ................. 699,121 932,734 0.4
34,000 Sears, Roebuck & Co. ................. 1,535,019 1,568,250 0.7
50,500 +Toys 'R' Us, Inc. ................... 1,572,295 1,515,000 0.6
------------- ------------- -----------
3,806,435 4,015,984 1.7
- --------------------------------------------------------------------------------------------------------------------
SCIENTIFIC 32,000 Fisher Scientific International,
INSTRUMENTS Inc. ................................ 991,105 1,508,000 0.6
- --------------------------------------------------------------------------------------------------------------------
SOFTWARE 33,800 +BMC Software, Inc. .................. 1,262,412 1,398,475 0.6
28,750 +Oracle Corp. ........................ 910,470 1,196,719 0.5
------------- ------------- -----------
2,172,882 2,595,194 1.1
- --------------------------------------------------------------------------------------------------------------------
STEEL 39,000 AK Steel Holding Corp. ............... 1,605,755 1,545,375 0.7
- --------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 55,000 +Airtouch Communications, Inc. ....... 1,574,588 1,388,750 0.6
17,000 Bell Atlantic Corp. .................. 923,440 1,100,750 0.5
------------- ------------- -----------
2,498,028 2,489,500 1.1
- --------------------------------------------------------------------------------------------------------------------
TOBACCO 9,000 Philip Morris Companies, Inc. ........ 897,742 1,013,625 0.4
- --------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 50,000 Carnival Corp. (Class A) ............. 1,413,255 1,650,000 0.7
- --------------------------------------------------------------------------------------------------------------------
UTILITIES 64,000 Edison International, Inc. ........... 1,192,546 1,272,000 0.5
- --------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS 60,443,902 69,631,546 29.9
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
COUNTRY FOREIGN STOCKS+++
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
ARGENTINA 95,539 Banco de Galicia y Buenos Aires S.A.
(ADR)* (4)........................... 1,531,620 2,304,878 1.0
90,677 Banco Frances del Rio de la Plata S.A.
(ADR)* (5)........................... 1,956,213 2,493,617 1.1
90,000 Yaciementos Petroliferos Fiscales S.A.
(ADR)* (29).......................... 2,029,393 2,272,500 1.0
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ARGENTINA 5,517,226 7,070,995 3.1
- --------------------------------------------------------------------------------------------------------------------
BRAZIL 3,500,000 Companhia Cervejaria Brahma S.A. PN
(Preferred) (14)..................... 1,997,953 1,913,562 0.8
14,600,000 Petroleo Brasileiro S.A.-Petrobras
(Preferred) (28)..................... 1,723,453 2,325,825 1.0
26,500 Telecomunicacoes Brasileiras S.A.-
Telebras (ADR)* (35)................. 1,424,602 2,027,250 0.9
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BRAZIL 5,146,008 6,266,637 2.7
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
26
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRY HELD FOREIGN STOCKS+++ (CONTINUED) COST (NOTE 1A) NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CANADA 85,000 Canadian Pacific, Ltd. (25)........... $ 1,473,190 $ 2,252,500 1.0%
45,000 Magna International Inc. (Class A)
(17)................................. 2,019,240 2,508,750 1.1
26,900 Potash Corp of Saskatchewan, Inc.
(44)................................. 1,899,766 2,286,500 1.0
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 5,392,196 7,047,750 3.1
- --------------------------------------------------------------------------------------------------------------------
FINLAND 50,000 Finnlines OY (50)..................... 923,284 1,227,700 0.5
40,700 Nokia Corp. (ADR)* (45)............... 1,422,164 2,345,337 1.0
81,000 +UPM-Kymmene OY (a)(46)............... 1,669,997 1,672,063 0.7
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 4,015,445 5,245,100 2.2
- --------------------------------------------------------------------------------------------------------------------
FRANCE 43,300 Michelin (C.G.D.E.) S.A. (Class B)
(18)................................. 1,956,423 2,337,766 1.0
42,600 +SGS-Thomson Microelectronics N.V.
(NY Registered Shares) (39).......... 1,563,091 2,982,000 1.3
51,000 Scor S.A. (51)........................ 1,987,106 1,794,044 0.8
120,000 Usinor-Sacilor S.A. (22).............. 1,909,976 1,746,338 0.7
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 7,416,596 8,860,148 3.8
- --------------------------------------------------------------------------------------------------------------------
GERMANY 4,000 +Henkel KGaA (11)..................... 177,789 191,875 0.1
36,000 +Henkel KGaA (Preferred) (11)......... 1,529,763 1,808,775 0.8
5,600 Mannesmann AG (21).................... 1,476,775 2,427,819 1.0
12,060 +Puma AG (1).......................... 396,360 409,186 0.2
40,600 Siemens AG (13)....................... 1,889,641 1,913,227 0.8
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 5,470,328 6,750,882 2.9
- --------------------------------------------------------------------------------------------------------------------
HONG KONG 112,800 HSBC Holdings PLC (4)................. 1,767,488 2,413,809 1.0
1,168,000 Hong Kong Telecommunications, Ltd.
(35)................................. 2,074,055 1,880,217 0.8
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN HONG KONG 3,841,543 4,294,026 1.8
- --------------------------------------------------------------------------------------------------------------------
INDONESIA 59,450 P.T. Indonesian Satellite Corp. (ADR)*
(35)................................. 2,169,118 1,627,444 0.7
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 2,169,118 1,627,444 0.7
- --------------------------------------------------------------------------------------------------------------------
ITALY 431,000 Danieli & C. Officine Meccaniche
S.p.A. (21).......................... 1,590,085 1,802,635 0.8
554,000 Societa Finanziara Telefonica S.p.A.
(STET) (35).......................... 1,581,727 2,517,767 1.1
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 3,171,812 4,320,402 1.9
- --------------------------------------------------------------------------------------------------------------------
JAPAN 124,000 Bridgestone Corporation (18).......... 2,149,127 2,355,786 1.0
103,000 Canon, Inc. (13)...................... 1,733,499 2,277,029 1.0
117,000 Eisai Co., Ltd. (30).................. 2,156,580 2,303,627 1.0
165,000 Maeda Corp. (6)....................... 1,668,260 1,221,114 0.5
124,000 Matsushita Electric Industrial Co.,
Ltd. (13)............................ 2,001,160 2,023,834 0.9
318,000 Mitsubishi Electric Corp. (12)........ 2,087,710 1,894,819 0.8
265,000 Mitsubishi Heavy Industries, Ltd.
(13)................................. 1,705,608 2,105,354 0.9
245,000 Mitsui-Soko Co., Ltd. (24)............ 2,105,369 1,601,598 0.7
81,000 Nomura Securities Co., Ltd. (43)...... 1,661,741 1,217,098 0.5
187,000 Okumura Corp. (6)..................... 1,557,500 1,136,857 0.5
34,000 Rohm Co. Ltd. (13).................... 1,915,392 2,231,434 1.0
187,000 Tokio Marine and Fire Insurance Co.,
Ltd. (19)............................ 2,316,039 1,760,190 0.7
343,000 Toray Industries, Inc. (36)........... 2,337,746 2,117,832 0.9
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 25,395,731 24,246,572 10.4
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
27
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRY HELD FOREIGN STOCKS+++ (CONCLUDED) COST (NOTE 1A) NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MEXICO 105,000 +Carso Global Telecom, S.A. de C.V.
(ADR)* (35).......................... $ 498,750 $ 472,500 0.2%
105,000 Grupo Carso, S.A. de C.V. (ADR)*
(25)................................. 1,670,406 1,089,375 0.5
1,465 Grupo Financiero Inbursa, S.A. de C.V.
(ADR)* (43).......................... 29,400 24,905 0.0
91,000 Kimberly-Clark de Mexico, S.A. de C.V.
(46)................................. 1,633,917 1,797,802 0.8
47,500 Panamerican Beverages, Inc. (Class A)
(14)................................. 1,944,520 2,226,562 0.9
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 5,776,993 5,611,144 2.4
- --------------------------------------------------------------------------------------------------------------------
NETHERLANDS 31,000 ABN AMRO Holding N.V. (4)............. 1,738,232 2,018,772 0.9
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE NETHERLANDS 1,738,232 2,018,772 0.9
- --------------------------------------------------------------------------------------------------------------------
NORWAY 212,000 Color Line ASA (50)................... 826,832 986,949 0.4
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 826,832 986,949 0.4
- --------------------------------------------------------------------------------------------------------------------
PHILIPPINES 533,500 San Miguel Corp. (Class B) (14)....... 1,764,310 2,356,664 1.0
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE PHILIPPINES 1,764,310 2,356,664 1.0
- --------------------------------------------------------------------------------------------------------------------
SOUTH KOREA 43,400 +Hyundai Engineering & Construction
Co., Ltd.(GDR)** (48)++.............. 565,502 271,250 0.1
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH KOREA 565,502 271,250 0.1
- --------------------------------------------------------------------------------------------------------------------
SPAIN 58,300 Repsol S.A. (ADR)* (29)............... 1,720,869 2,222,687 1.0
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 1,720,869 2,222,687 1.0
- --------------------------------------------------------------------------------------------------------------------
SWEDEN 139,600 Bure Investment AB (49)............... 1,217,290 1,659,222 0.7
94,000 Sparbanken Sverige AB (Class A) (4)... 1,208,588 1,613,793 0.7
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 2,425,878 3,273,015 1.4
- --------------------------------------------------------------------------------------------------------------------
SWITZERLAND 1,680 ABB AG (9)............................ 1,384,282 2,089,334 0.9
1,800 +Novartis AG (Registered Shares)
(30)................................. 1,748,593 2,061,099 0.9
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWITZERLAND 3,132,875 4,150,433 1.8
- --------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 183,000 Boots Company PLC (33)................ 1,734,918 1,886,285 0.8
610,000 British Steel PLC (40)................ 1,619,397 1,680,177 0.7
366,000 General Electric PLC (13)............. 1,800,848 2,398,165 1.0
134,700 Glaxo Wellcome PLC (30)............... 1,882,922 2,184,616 0.9
275,700 Grand Metropolitan PLC (34)........... 1,946,319 2,169,671 0.9
209,000 Imperial Chemical Industries PLC
(28)................................. 2,740,964 2,747,827 1.2
168,000 National Westminster Bank PLC (4)..... 1,796,776 1,971,663 0.9
538,000 Vodafone Group PLC (35)............... 1,884,137 2,273,414 1.0
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE UNITED
KINGDOM 15,406,281 17,311,818 7.4
- --------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 100,893,775 113,932,688 49.0
- --------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT*** FOREIGN BONDS+++
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
DENMARK Dkr 20,750,000 Government of Denmark, 8% due
3/15/2006 (16)....................... 3,800,226 3,876,199 1.7
- --------------------------------------------------------------------------------------------------------------------
GERMANY DM 2,750,000 Bundesrepublik Deutschland, 7.125% due
12/20/2002 (16)...................... 1,909,822 1,962,626 0.8
- --------------------------------------------------------------------------------------------------------------------
ITALY Lit 10,680,000,000 Buoni Poliennali del Tesoro (Italian
Government Bonds), 8.50% due
1/01/2004 (16)....................... 7,560,872 7,534,913 3.2
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
28
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
COUNTRY AMOUNT*** FOREIGN BONDS+++ (CONCLUDED) COST (NOTE 1A) NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SWEDEN Government of Sweden:
Skr 13,100,000 10.25% due 5/05/2000 (16)............. $ 2,240,194 $ 2,217,639 1.0%
38,700,000 8% due 8/15/2007 (16)................. 6,075,168 6,198,474 2.7
------------- ------------- -----------
8,315,362 8,416,113 3.7
- --------------------------------------------------------------------------------------------------------------------
UNITED UK Treasury Gilt:
KINGDOM L 1,000,000 7% due 11/06/2001 (16)................ 1,648,098 1,692,088 0.7
2,100,000 7.50% due 12/07/2006 (16)............. 3,533,147 3,588,189 1.5
------------- ------------- -----------
5,181,245 5,280,277 2.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN BONDS 26,767,527 27,070,128 11.6
- --------------------------------------------------------------------------------------------------------------------
US GOVERNMENT OBLIGATIONS
- --------------------------------------------------------------------------------------------------------------------
US US Treasury Notes:
GOVERNMENT US$ 1,700,000 5% due 1/31/1998...................... 1,684,992 1,688,049 0.7
OBLIGATIONS 3,500,000 5.50% due 4/15/2000................... 3,448,594 3,437,665 1.5
4,000,000 6.25% due 4/30/2001................... 4,022,188 4,008,760 1.7
7,300,000 7% due 7/15/2006...................... 7,648,080 7,584,043 3.3
- --------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT OBLIGATIONS 16,803,854 16,718,517 7.2
- --------------------------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES
- --------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER**** 4,148,000 Three Rivers Funding Corp., 5.72% due
1/21/1997............................ 4,134,819 4,134,819 1.8
- --------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 4,134,819 4,134,819 1.8
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS..................... $ 209,043,877 231,487,698 99.5
-------------
-------------
UNREALIZED DEPRECIATION ON FORWARD
FOREIGN EXCHANGE CONTRACTS*****....... (823,288) (0.3)
OTHER ASSETS LESS LIABILITIES......... 1,865,174 0.8
------------- -----------
NET ASSETS............................ $ 232,529,584 100.0%
------------- -----------
------------- -----------
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Name changed as a result of the merger of Kymmene Corporation and Repola
Ltd.
* American Depositary Receipts (ADR).
** Global Depositary Receipts (GDR).
*** Denominated in US dollars unless otherwise indicated.
**** 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.
***** Forward foreign exchange contracts as of December 31, 1996 were as
follows:
<TABLE>
<CAPTION>
- -----------------------------------------------------
UNREALIZED
APPRECIATION
FOREIGN EXPIRATION (DEPRECIATION)
CURRENCY SOLD DATES (NOTES 1C & 1E)
- -----------------------------------------------------
<S> <C> <C>
Chf 5,250,000 January 1997 $ 80,904
DM 21,180,625 February 1997 186,477
Frf 29,500,000 January 1997 (34,828)
L 12,800,000 January 1997 (1,014,393)
Y 2,800,000,000 February 1997 (41,448)
- -----------------------------------------------------
TOTAL UNREALIZED DEPRECIATION ON
FORWARD FOREIGN
EXCHANGE CONTRACTS -- NET (US$
COMMITMENT -- $68,779,740) $ (823,288)
----------------
----------------
- -----------------------------------------------------
</TABLE>
+ Non-income producing security.
29
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1996 (Concluded)
- --------------------------------------------------------------------------------
++ Restricted security as to resale. The value of the Portfolio's
investments in restricted securities was approximately $271,000,
representing 0.1% of net assets.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
ACQUISITION VALUE
ISSUE DATE COST (NOTE 1A)
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Hyundai Engineering & Construction Co., Ltd. (GDR)....................... 3/19/1996 $ 565,502 $ 271,250
- --------------------------------------------------------------------------------------------------------------
TOTAL $ 565,502 $ 271,250
--------- -----------
--------- -----------
- --------------------------------------------------------------------------------------------------------------
</TABLE>
+++ Corresponding industry groups for foreign stocks and bonds:
<TABLE>
<C> <S>
(1) Footwear
(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) Beverages
(15) Food
(16) Government (Bonds)
(17) Auto-Parts
(18) Tires & Rubber
(19) Insurance
(20) Machinery
(21) Machinery & Equipment
(22) Metals
(23) Miscellaneous
(24) Warehouse & Storage
(25) Multi-Industry
(26) Natural Gas
(27) Oil & Gas Producers
(28) Oil-Integrated
(29) Petroleum
(30) Pharmaceuticals
(31) Printing & Publishing
(32) Real Estate
(33) Retail
(34) Diversified
(35) Telecommunications
(36) Textiles
(37) Toys
(38) Travel & Lodging
(39) Semiconductors
(40) Steel
(41) Utilities-Electric
(42) Utilities-Water
(43) Financial Services
(44) Mining
(45) Telecommunications &
Equipment
(46) Paper & Forest Products
(47) Photography
(48) Engineering & Construction
(49) Investment Management
(50) Cruise Lines
(51) Reinsurance
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES SHARES HELD STOCKS COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
ADVERTISING 80,000 Interpublic Group of Companies,
Inc.............................. $ 3,083,566 $ 3,800,000 1.6%
- -------------------------------------------------------------------------------------------------------------------
BANKING 110,000 State Street Boston Corp.......... 5,460,474 7,095,000 3.0
50,000 USBANCORP, Inc.................... 2,163,334 2,243,750 0.9
25,000 Wells Fargo & Company............. 6,175,537 6,743,750 2.8
------------- ------------- -----
13,799,345 16,082,500 6.7
- -------------------------------------------------------------------------------------------------------------------
BEVERAGES 140,000 Coca-Cola Co...................... 5,451,486 7,367,500 3.1
- -------------------------------------------------------------------------------------------------------------------
COMPUTERS 5,000 +Compaq Computer Corp............. 255,300 371,250 0.1
- -------------------------------------------------------------------------------------------------------------------
COSMETICS 105,000 Gillette Co. (The)................ 4,458,301 8,163,750 3.4
10,000 International Flavors &
Fragrances, Inc.................. 485,470 450,000 0.2
------------- ------------- -----
4,943,771 8,613,750 3.6
- -------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 10,000 Emerson Electric Co............... 658,040 967,500 0.4
80,000 General Electric Co............... 5,815,364 7,910,000 3.3
------------- ------------- -----
6,473,404 8,877,500 3.7
- -------------------------------------------------------------------------------------------------------------------
ELECTRONICS 5,000 Intel Corp........................ 302,268 654,375 0.3
- -------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 110,000 +Viacom, Inc. (Class A)........... 5,426,147 3,795,000 1.6
90,000 Walt Disney Co.................... 5,447,494 6,266,250 2.6
------------- ------------- -----
10,873,641 10,061,250 4.2
- -------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 200,000 Ahmanson (H.F.) & Company......... 6,059,722 6,500,000 2.7
200,000 Federal National Mortgage
Association...................... 6,298,051 7,450,000 3.1
140,000 Travelers Group, Inc.............. 4,317,153 6,352,500 2.6
------------- ------------- -----
16,674,926 20,302,500 8.4
- -------------------------------------------------------------------------------------------------------------------
FOOD 100,000 ConAgra, Inc...................... 4,417,688 4,975,000 2.1
90,000 RJR Nabisco Holdings Corp. (Class
A)............................... 3,357,859 3,498,750 1.4
180,000 Sara Lee Corporation.............. 5,956,599 6,705,000 2.8
5,000 Wrigley (Wm.) Jr. Company (Class
B)............................... 213,220 281,250 0.1
------------- ------------- -----
13,945,366 15,460,000 6.4
- -------------------------------------------------------------------------------------------------------------------
FOOD MERCHANDISING 100,000 Albertson's Inc................... 3,960,922 3,562,500 1.5
- -------------------------------------------------------------------------------------------------------------------
HOTELS 15,000 Marriott International, Inc....... 703,815 828,750 0.3
- -------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 5,000 Colgate-Palmolive Co.............. 374,261 461,250 0.2
15,000 Kimberly-Clark Corp............... 1,139,898 1,428,750 0.6
55,000 Procter & Gamble Co............... 4,921,907 5,912,500 2.4
------------- ------------- -----
6,436,066 7,802,500 3.2
- -------------------------------------------------------------------------------------------------------------------
INFORMATION SERVICES 50,000 Electronic Data Systems Corp...... 2,844,580 2,162,500 0.9
170,000 First Data Corp................... 5,479,413 6,205,000 2.6
------------- ------------- -----
8,323,993 8,367,500 3.5
- -------------------------------------------------------------------------------------------------------------------
INSURANCE 85,000 Aetna, Inc........................ 6,070,240 6,800,000 2.8
55,000 American International Group,
Inc.............................. 5,188,058 5,953,750 2.5
175,000 Travelers/Aetna Property Casualty
Corp. (Class A).................. 4,630,910 6,190,625 2.6
------------- ------------- -----
15,889,208 18,944,375 7.9
- -------------------------------------------------------------------------------------------------------------------
LEISURE 105,000 PolyGram N.V. (ADR)*.............. 5,039,807 5,223,750 2.2
- -------------------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 20,000 +Boston Scientific Corp........... 1,113,700 1,200,000 0.5
150,000 Johnson & Johnson................. 5,582,549 7,462,500 3.1
------------- ------------- -----
6,696,249 8,662,500 3.6
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
31
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of December 31, 1996 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES SHARES HELD STOCKS (CONCLUDED) COST (NOTE 1A) NET ASSETS
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NATURAL GAS 125,000 El Paso Natural Gas Co............ $ 5,682,670 $ 6,312,500 2.6%
185,000 Enron Corp........................ 7,877,437 7,978,125 3.3
------------- ------------- -----
13,560,107 14,290,625 5.9
- -------------------------------------------------------------------------------------------------------------------
OIL SERVICES 20,000 Schlumberger Ltd., Inc............ 2,033,450 1,997,500 0.8
- -------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 130,000 +Amgen, Inc....................... 4,833,492 7,068,750 2.9
65,000 Bristol-Myers Squibb Co........... 6,197,947 7,068,750 2.9
115,000 Merck & Co., Inc.................. 6,291,279 9,113,750 3.8
105,000 Pfizer, Inc....................... 4,445,538 8,701,875 3.7
------------- ------------- -----
21,768,256 31,953,125 13.3
- -------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 15,000 Eastman Kodak Co.................. 953,578 1,203,750 0.5
- -------------------------------------------------------------------------------------------------------------------
POLLUTION CONTROL 20,000 WMX Technologies, Inc............. 591,174 652,500 0.3
- -------------------------------------------------------------------------------------------------------------------
RESTAURANTS 90,000 McDonald's Corp................... 4,089,869 4,072,500 1.7
- -------------------------------------------------------------------------------------------------------------------
RETAIL-SPECIALTY 90,000 Rite Aid Corporation.............. 3,176,287 3,577,500 1.5
5,000 +Staples Inc...................... 79,583 90,000 0.0
------------- ------------- -----
3,255,870 3,667,500 1.5
- -------------------------------------------------------------------------------------------------------------------
RETAIL-STORES 65,000 +Meyer (Fred), Inc................ 2,197,130 2,307,500 1.0
100,000 Wal-Mart Stores, Inc.............. 2,422,563 2,287,500 0.9
------------- ------------- -----
4,619,693 4,595,000 1.9
- -------------------------------------------------------------------------------------------------------------------
SOFTWARE 105,000 Computer Associates International,
Inc.............................. 5,288,873 5,223,750 2.2
10,000 +Microsoft Corp................... 459,375 826,250 0.3
45,000 +Oracle Corp.(a).................. 1,548,990 1,873,125 0.8
------------- ------------- -----
7,297,238 7,923,125 3.3
- -------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 180,000 MCI Communications Corp........... 4,627,132 5,872,500 2.4
- -------------------------------------------------------------------------------------------------------------------
TOYS 160,000 Hasbro, Inc....................... 6,115,646 6,220,000 2.6
- -------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 20,000 Carnival Corp. (Class A).......... 467,500 660,000 0.3
- -------------------------------------------------------------------------------------------------------------------
TOTAL STOCKS 192,232,646 228,090,625 94.8
- -------------------------------------------------------------------------------------------------------------------
FACE AMOUNT SHORT-TERM SECURITIES
- -------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER** $11,078,000 General Motors Acceptance Corp.,
7.50% due 1/02/1997.............. 11,073,384 11,073,384 4.6
- -------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & 3,000,000 Federal Home Loan Mortgage Corp.,
AGENCY OBLIGATIONS** 5.36% due 2/20/1997.............. 2,977,220 2,977,220 1.2
- -------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 14,050,604 14,050,604 5.8
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS................. $ 206,283,250 242,141,229 100.6
-------------
-------------
LIABILITIES IN EXCESS OF OTHER
ASSETS............................ (1,475,524) (0.6)
------------- -----
NET ASSETS........................ $ 240,665,705 100.0%
------------- -----
------------- -----
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Formerly Oracle Systems Corp.
* 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.
See Notes to Financial Statements.
32
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S
INDUSTRIES S&P RATINGS RATINGS FACE AMOUNT ISSUE COST
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
CORPORATE BONDS
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
AIRLINES-0.6% B+ B1 $ 750,000 USAir, Inc., 10.375% due 3/01/2013.. $ 750,000
- ---------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE-0.7% B B2 1,000,000 Exide Corp., 11.635%** due
12/15/2004......................... 911,315
- ---------------------------------------------------------------------------------------------------------------------
BROADCASTING & BB Ba3 1,000,000 Grupo Televisa, S.A. de C.V.,
PUBLISHING-4.7% 11.375% due 5/15/2003.............. 1,010,000
BB- B1 1,000,000 Hollinger International, Inc., 9.25%
due 2/01/2006...................... 956,250
B B3 1,000,000 MDC Communications Corp., 10.50% due
12/01/2006......................... 1,000,000
B Caa 2,000,000 NWCG Holding Corp., 13.947%** due
6/15/1999.......................... 1,432,560
B B2 1,000,000 Sinclair Broadcasting Group Inc.,
10% due 12/15/2003................. 935,000
--------------
5,333,810
- ---------------------------------------------------------------------------------------------------------------------
BROADCASTING/ CCC+ Caa 75,790 American Telecasting, Inc.,
CABLE-7.9% 17.631%** due 6/15/2004............ 44,288
CCC+ Caa 2,000,000 Australis Media Ltd., 8.45%** due
5/15/2003.......................... 1,212,729
BB- B2 1,850,000 Bell Cablemedia PLC, 11.875%** due
9/15/2005.......................... 1,206,665
BB- Ba3 2,000,000 Century Communications Corp., 9.50%
due 3/01/2005...................... 1,977,500
NR* NR* 500,000 +Globo Communicacoes Participacoes,
10.50% due 12/20/2006.............. 501,250
B B2 1,500,000 +Intermedia Capital Partners, 11.25%
due 8/01/2006...................... 1,493,750
BB+ Ba3 1,000,000 Lenfest Communications, Inc., 8.375%
due 11/01/2005..................... 931,250
B B1 1,000,000 +Olympus Communications L.P.,
10.625% due 11/15/2006............. 1,000,000
BB+ Ba3 1,000,000 Videotron Holdings PLC, 10.625% due
2/15/2005.......................... 1,023,750
--------------
9,391,182
- ---------------------------------------------------------------------------------------------------------------------
BUILDING MATERIALS-1.2% B+ B3 1,500,000 Pacific Lumber Co., 10.50% due
3/01/2003.......................... 1,450,313
- ---------------------------------------------------------------------------------------------------------------------
CAPITAL GOODS-1.3% B- B3 1,500,000 International Wire Group, Inc.,
11.75% due 6/01/2005............... 1,486,875
- ---------------------------------------------------------------------------------------------------------------------
CHEMICALS-0.6% B+ Ba3 744,000 +ISP Holdings Inc., 9.75% due
2/15/2002.......................... 744,000
- ---------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS- NR* NR* 500,000 +Comtel Brasileira Ltd., 10.75% due
8.7% 9/26/2004.......................... 500,000
B- B3 2,000,000 Millicom International Cellular
S.A., 13.116%** due 6/01/2006...... 1,153,686
CCC- B3 2,000,000 Nextel Communications, Inc.
14.085%** due 8/15/2004............ 1,242,971
B B2 1,000,000 +Paging Network, Inc., 10% due
10/15/2008......................... 1,001,250
B B3 1,000,000 PanAmSat L.P., 12.301%** due
8/01/2003.......................... 797,742
BB- B2 1,000,000 Rogers Communications Inc., 10.875%
due 4/15/2004...................... 1,007,500
BB- B1 2,000,000 Telefonica de Argentina S.A.,
11.875% due 11/01/2004............. 1,978,830
BB B1 2,000,000 TeleWest Communications PLC,
11.489%** due 10/01/2007........... 1,287,292
B+ B1 1,000,000 Vanguard Cellular Systems, Inc.,
9.375% due 4/15/2006............... 1,000,000
--------------
9,969,271
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
VALUE
INDUSTRIES (NOTE 1A)
<S> <C>
- -----------------------
<S> <C>
- -----------------------
AIRLINES-0.6% $ 783,750
- -----------------------
AUTOMOTIVE-0.7%
920,000
- -----------------------
BROADCASTING &
PUBLISHING-4.7% 1,073,750
990,000
1,030,000
1,650,000
1,015,000
--------------
5,758,750
- -----------------------
BROADCASTING/
CABLE-7.9% 31,074
1,050,000
1,484,625
2,050,000
503,125
1,543,125
966,250
1,023,750
1,100,000
--------------
9,751,949
- -----------------------
BUILDING MATERIALS-1.2%
1,522,500
- -----------------------
CAPITAL GOODS-1.3%
1,605,000
- -----------------------
CHEMICALS-0.6%
762,600
- -----------------------
COMMUNICATIONS-
8.7% 513,750
1,240,000
1,365,000
1,013,750
930,000
1,050,000
2,210,000
1,395,000
1,015,000
--------------
10,732,500
- -----------------------
</TABLE>
33
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S
INDUSTRIES S&P RATINGS RATINGS FACE AMOUNT ISSUE COST
- ---------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS (CONTINUED)
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES-2.1% BB- Ba1 $ 1,500,000 Advanced Micro Devices, Inc., 11%
due 8/01/2003,..................... $ 1,500,000
B- B3 1,000,000 Dictaphone Corp., 11.75% due
8/01/2005.......................... 968,750
--------------
2,468,750
- ---------------------------------------------------------------------------------------------------------------------
CONGLOMERATES-3.0% CCC+ B3 750,000 The Interlake Corp., 12.125% due
3/01/2002.......................... 706,000
B+ B2 1,000,000 J.B. Poindexter & Co., Inc., 12.50%
due 5/15/2004...................... 955,000
NR* NR* 1,000,000 MacAndrew & Forbes Group, Inc., 13%
due 3/01/1999...................... 995,000
B+ B3 1,000,000 Sequa Corp., 9.375% due
12/15/2003......................... 1,030,938
--------------
3,686,938
- ---------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS-5.9% B NR* 1,500,000 Coleman Holdings, Inc., 11.981%**
due 5/27/1998...................... 1,012,500
B+ Ba3 500,000 Coty Inc., 10.25% due 5/01/2005..... 500,000
B+ Ba2 1,900,000 International Semi-Tech
Microelectronics, Inc. 12.792%**
due 8/15/2003...................... 1,171,927
B- B2 683,000 Polymer Group Inc., 12.25% due
7/15/2002.......................... 683,000
B- B2 2,000,000 Samsonite Corp., 11.125% due
7/15/2005.......................... 1,935,625
B+ B1 1,400,000 Sealy Corp., 9.50% due 5/01/2003.... 1,424,500
--------------
6,727,552
- ---------------------------------------------------------------------------------------------------------------------
ENERGY-5.3% BB B2 500,000 California Energy Company, Inc.,
9.875% due 6/30/2003............... 500,000
B+ B1 1,000,000 +Parker Drilling Co., 9.75% due
11/15/2006......................... 992,150
NR* NR* 1,500,000 +Petroleo Brasileiro S.A.-Petrobras,
10% due 10/17/2006................. 1,500,000
CCC+ Caa 1,700,000 Transamerican Refining Corp.,
19.571%** due 2/15/2002............ 1,354,618
BB- B2 1,000,000 TransTexas Gas Corp., 11.50% due
6/15/2002.......................... 1,000,000
BB- B1 1,000,000 Yacimientos Petroliferos Fiscales
S.A., 8% due 2/15/2004............. 710,000
--------------
6,056,768
- ---------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT-1.1% B- B2 2,000,000 AMF Group Inc., 12.082%** due
3/15/2006.......................... 1,229,648
- ---------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES-1.3% BB- B1 1,500,000 Reliance Group Holdings Inc., 9.75%
due 11/15/2003..................... 1,449,375
- ---------------------------------------------------------------------------------------------------------------------
FOOD & BEVERAGE-4.7% B+ B1 2,000,000 Chiquita Brands International,
9.125% due 3/01/2004............... 2,001,250
NR* NR* 466,000 Cumberland Farms, Inc., 10.50% due
10/01/2003......................... 456,097
B- B3 500,000 Envirodyne Industries Inc., 10.25%
due 12/01/2001..................... 509,375
CCC+ Caa 1,000,000 Fresh Del Monte Corp., 10% due
5/01/2003.......................... 976,250
B B3 2,000,000 Specialty Foods Corp., 11.125% due
10/01/2002......................... 1,990,000
--------------
5,932,972
- ---------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BB- B1 1,500,000 Republic of Argentina, 8.375% due
OBLIGATIONS-1.1% 12/20/2003......................... 1,128,750
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
VALUE
INDUSTRIES (NOTE 1A)
- -----------------------
<S> <C>
- -----------------------
COMPUTER SERVICES-2.1%
$ 1,627,500
920,000
--------------
2,547,500
- -----------------------
CONGLOMERATES-3.0%
776,250
975,000
1,000,000
1,020,000
--------------
3,771,250
- -----------------------
CONSUMER PRODUCTS-5.9%
1,245,000
542,500
1,225,500
746,178
2,190,000
1,414,000
--------------
7,363,178
- -----------------------
ENERGY-5.3%
525,000
1,055,000
1,516,875
1,402,500
1,080,000
965,000
--------------
6,544,375
- -----------------------
ENTERTAINMENT-1.1%
1,322,500
- -----------------------
FINANCIAL SERVICES-1.3%
1,560,000
- -----------------------
FOOD & BEVERAGE-4.7%
2,020,000
445,030
478,750
955,000
1,900,000
--------------
5,798,780
- -----------------------
FOREIGN GOVERNMENT
OBLIGATIONS-1.1% 1,411,875
- -----------------------
</TABLE>
34
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S
INDUSTRIES S&P RATINGS RATINGS FACE AMOUNT ISSUE COST
- ---------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS (CONTINUED)
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
GAMING-3.9% B B3 $ 1,000,000 Greate Bay Properties, Inc., 10.875%
due 1/15/2004...................... $ 845,000
D Caa 2,000,000 Harrah's Jazz Company, 14.25% due
11/15/2001 (d)..................... 1,971,250
B+ B2 1,000,000 Hollywood Casino Corp., 12.75% due
11/01/2003......................... 928,635
BB- B1 2,000,000 Trump Atlantic City, 11.25% due
5/01/2006.......................... 1,997,500
--------------
5,742,385
- ---------------------------------------------------------------------------------------------------------------------
HEALTHCARE-1.7% B+ B1 1,000,000 Beverly Enterprises, Inc., 9% due
2/15/2006.......................... 933,750
B+ B2 1,000,000 Quest Diagnostic Inc., 10.75% due
12/15/2006......................... 1,000,000
--------------
1,933,750
- ---------------------------------------------------------------------------------------------------------------------
HOTELS-1.6% BB- Ba3 2,000,000 HMC Acquisition Properties, 9% due
12/15/2007......................... 2,000,000
- ---------------------------------------------------------------------------------------------------------------------
METAL & MINING-2.1% B- B2 1,000,000 Kaiser Aluminum & Chemical Corp.,
12.75% due 2/01/2003............... 1,045,000
B- B3 1,750,000 Maxxam Group, Inc., 12.25%** due
8/01/2003.......................... 1,449,099
--------------
2,494,099
- ---------------------------------------------------------------------------------------------------------------------
PACKAGING-2.1% B+ B2 1,500,000 Owens-Illinois, Inc., 9.95% due
10/15/2004......................... 1,488,750
B B2 1,000,000 Portola Packaging Inc., 10.75% due
10/01/2005......................... 1,000,000
--------------
2,488,750
- ---------------------------------------------------------------------------------------------------------------------
PAPER-5.2% B B3 1,000,000 Crown Paper Co., 11% due
9/01/2005.......................... 923,750
BB- Ba3 1,000,000 Doman Industries Ltd., 8.75% due
3/15/2004.......................... 919,000
B B2 1,000,000 Fort Howard Corp., 9% due
2/01/2006.......................... 930,000
B+ B3 1,000,000 Repap New Brunswick, Inc., 10.625%
due 4/15/2005...................... 1,008,750
BB- B2 1,000,000 Repap Wisconsin, Inc., 9.25% due
2/01/2002.......................... 900,000
B B3 1,000,000 Riverwood International Corp.,
10.875% due 4/01/2008.............. 973,750
B+ B1 500,000 S.D. Warren Co., 12% due
12/15/2004......................... 500,000
--------------
6,155,250
- ---------------------------------------------------------------------------------------------------------------------
REAL ESTATE-1.0% NR* NR* 2,000,000 Rockefeller Center Properties, Inc.
(Convertible), 11.04%** due
12/31/2000......................... 1,312,995
- ---------------------------------------------------------------------------------------------------------------------
RESTAURANTS-0.8% B B1 1,000,000 Foodmaker, Inc., 9.25% due
3/01/1999.......................... 1,002,500
- ---------------------------------------------------------------------------------------------------------------------
RETAIL SPECIALTY-0.1% D Caa 1,000,000 Bradlees, Inc., 11% due 8/01/2002
(d)................................ 1,023,750
- ---------------------------------------------------------------------------------------------------------------------
STEEL-0.8% B+ B2 1,000,000 +WCI Steel Inc., 10% due
12/01/2004......................... 1,000,000
- ---------------------------------------------------------------------------------------------------------------------
SUPERMARKETS-2.2% B- B3 1,137,000 Grand Union Co., 12% due
9/01/2004.......................... 1,099,324
B B2 500,000 Penn Traffic Co., 8.625% due
12/15/2003......................... 417,500
B B1 1,000,000 Ralph's Grocery Co., 10.45% due
6/15/2004.......................... 948,679
--------------
2,465,503
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
VALUE
INDUSTRIES (NOTE 1A)
- -----------------------
<S> <C>
- -----------------------
GAMING-3.9%
$ 840,000
982,500
960,000
1,980,000
--------------
4,762,500
- -----------------------
HEALTHCARE-1.7%
1,005,000
1,050,000
--------------
2,055,000
- -----------------------
HOTELS-1.6%
2,030,000
- -----------------------
METAL & MINING-2.1%
1,075,000
1,491,875
--------------
2,566,875
- -----------------------
PACKAGING-2.1%
1,590,000
1,042,500
--------------
2,632,500
- -----------------------
PAPER-5.2%
940,000
935,000
1,010,000
1,040,000
1,007,500
915,000
540,000
--------------
6,387,500
- -----------------------
REAL ESTATE-1.0%
1,235,000
- -----------------------
RESTAURANTS-0.8%
1,022,500
- -----------------------
RETAIL SPECIALTY-0.1%
105,000
- -----------------------
STEEL-0.8%
1,015,000
- -----------------------
SUPERMARKETS-2.2%
1,199,535
411,250
1,062,500
--------------
2,673,285
- -----------------------
</TABLE>
35
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S
INDUSTRIES S&P RATINGS RATINGS FACE AMOUNT ISSUE COST
- ---------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS (CONCLUDED)
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
TEXTILES-2.7% B- Caa $ 1,000,000 Decorative Home Accents, Inc., 13%
due 6/30/2002...................... $ 992,336
BB- Ba3 1,000,000 Tultex Corp., 10.625% due
3/15/2005.......................... 1,007,500
B+ B2 1,500,000 Westpoint Stevens Industries, Inc.,
9.375% due 12/15/2005.............. 1,465,000
--------------
3,464,836
- ---------------------------------------------------------------------------------------------------------------------
TRANSPORTATION-3.1% BB- B1 1,000,000 Sea Containers Ltd., 12.50% due
12/01/2004......................... 1,095,000
BB- Ba2 1,200,000 Maritima Mexicana Transportacion,
S.A. de C.V., 9.25% due
5/15/2003.......................... 978,000
B- B3 2,000,000 Transtar Holdings L.P., 11.065%**
due 12/15/2003..................... 1,468,641
--------------
3,541,641
- ---------------------------------------------------------------------------------------------------------------------
UTILITIES-4.9% B+ B1 980,000 Beaver Valley Funding Corp., 9% due
6/01/2017.......................... 924,875
B+ Ba3 1,000,000 CTC Mansfield Funding, Inc., 11.125%
due 9/30/2016...................... 1,076,250
BB- B1 1,000,000 Metrogas S.A., 12% due 8/15/2000.... 983,750
Midland Cogeneration Venture L.P.:
BB- Ba3 775,818 10.33% due 7/23/2002(e)......... 803,457
B- B2 1,000,000 13.25% due 7/23/2006............ 1,108,750
BBB- NR* 1,000,000 +Trans Gas de Occidente S.A., 9.79%
due 11/01/2010..................... 1,000,000
--------------
5,897,082
- ---------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS-82.4% 99,240,060
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES
HELD COMMON STOCKS & WARRANTS
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
BROADCASTING/ 5,000 American Telecasting, Inc.
CABLE-0.0% (Warrants) (b)..................... 4,776
- ---------------------------------------------------------------------------------------------------------------------
ENERGY-0.1% 29,058 Transamerica Refining Corp.
(Warrants) (b)..................... 67,742
- ---------------------------------------------------------------------------------------------------------------------
FOOD & BEVERAGE-0.2% 18,878 FoodBrands America, Inc. (d)........ 1,066,813
- ---------------------------------------------------------------------------------------------------------------------
GAMING-0.0% 10,000 Goldriver Hotel & Casino Corp.
(Class B) (c)(d)................... 65,657
1,000 +Goldriver Hotel & Casino Corp.,
Liquidating Trust (d).............. 24,040
--------------
89,697
- ---------------------------------------------------------------------------------------------------------------------
HOTELS-0.0% 804 Buckhead America Corp. (d).......... 4,321
- ---------------------------------------------------------------------------------------------------------------------
INDUSTRIAL 1,036 Thermadyne Industries, Inc. (d)..... 15,022
SERVICES-0.0%
- ---------------------------------------------------------------------------------------------------------------------
SUPERMARKETS-0.1% 17,674 Grand Union Co. (d)................. 1,000,000
- ---------------------------------------------------------------------------------------------------------------------
TEXTILES-0.0% 1,000 +Decorative Home Accents, Inc.
(Class F) (d)...................... 7,664
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS & WARRANTS-0.4% 2,256,035
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
PREFERRED STOCKS
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
BROADCASTING & 11,134 K-III Communications Corp. (Series
PUBLISHING-0.9% B) (a)............................. 1,125,264
- ---------------------------------------------------------------------------------------------------------------------
BROADCASTING/ 10,563 Cablevision Systems Corp. (Series M)
CABLE-0.8% (a)................................ 935,000
- ---------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS-0.8% 1,000 +Paxson Communications Corp.
(Convertible) (a).................. 945,000
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
VALUE
INDUSTRIES (NOTE 1A)
- -----------------------
<S> <C>
- -----------------------
TEXTILES-2.7%
$ 650,000
1,090,000
1,545,000
--------------
3,285,000
- -----------------------
TRANSPORTATION-3.1%
1,100,000
1,173,000
1,600,000
--------------
3,873,000
- -----------------------
UTILITIES-4.9%
935,890
1,055,000
1,097,500
826,247
1,155,330
1,035,000
--------------
6,104,967
- -----------------------
101,904,634
- -----------------------
<S> <C>
- -----------------------
BROADCASTING/
CABLE-0.0% 11,250
- -----------------------
ENERGY-0.1%
58,116
- -----------------------
FOOD & BEVERAGE-0.2% 259,572
- -----------------------
GAMING-0.0%
0
8,564
--------------
8,564
- -----------------------
HOTELS-0.0% 4,824
- -----------------------
INDUSTRIAL 27,454
SERVICES-0.0%
- -----------------------
SUPERMARKETS-0.1% 86,161
- -----------------------
TEXTILES-0.0%
5,500
- -----------------------
461,441
- -----------------------
<S> <C>
- -----------------------
BROADCASTING &
PUBLISHING-0.9% 1,118,950
- -----------------------
BROADCASTING/
CABLE-0.8% 971,796
- -----------------------
COMMUNICATIONS-0.8%
952,500
- -----------------------
</TABLE>
36
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1996 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDUSTRIES SHARES HELD ISSUE COST
- ---------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS (CONCLUDED)
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT-1.4% 1,612 Time Warner Inc. (Series M) (a)..... $ 1,611,983
- ---------------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS-3.9% 4,617,247
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE AMOUNT SHORT-TERM SECURITES
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
COMMERCIAL $ 4,037,000 General Motors Acceptance Corp.,
PAPER***-3.2% 7.50% due 1/02/1997................ 4,035,318
- ---------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY 5,000,000 Federal Home Loan Mortgage Corp.,
5.22% due 1/03/1997................ 4,997,825
OBLIGATIONS***-9.4% Federal National Mortgage
Association:
2,625,000 5.21% due 1/17/1997............. 2,618,542
4,000,000 5.50% due 1/22/1997............. 3,986,555
--------------
11,602,922
- ---------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES-12.6% 15,638,240
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-99.3%............. $ 121,751,582
--------------
--------------
OTHER ASSETS LESS
LIABILITIES-0.7%....................
NET ASSETS-100.0%...................
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
VALUE
INDUSTRIES (NOTE 1A)
- -----------------------
<S> <C>
- -----------------------
ENTERTAINMENT-1.4% $ 1,749,020
- -----------------------
4,792,266
- -----------------------
<S> <C>
- -----------------------
COMMERCIAL
PAPER***-3.2% 4,035,318
- -----------------------
US GOVERNMENT & AGENCY
4,997,825
OBLIGATIONS***-9.4%
2,618,542
3,986,555
--------------
11,602,922
- -----------------------
15,638,240
- -----------------------
122,796,581
846,814
--------------
$ 123,643,395
--------------
--------------
- -----------------------
</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.
+ Restricted securities as to resale. The value of the Portfolio's investments
in restricted securities was approximately $10,949,000, representing 8.9% of
net assets.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
VALUE (NOTE
ISSUE ACQUISITION DATE(S) COST 1A)
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Comtel Brasileira Ltd., 10.75% due 9/26/2004............................ 9/18/1996 $ 500,000 $ 513,750
Decorative Home Accents, Inc. (Class F)................................. 6/30/1995 7,664 5,500
Globo Communicacoes Participacoes, 10.50% due 12/20/2006................ 12/10/1996 501,250 503,125
Goldriver Hotel & Casino Liquidating Trust.............................. 8/31/1992 24,040 8,564
ISP Holdings Inc., 9.75% due 2/15/2002.................................. 10/21/1996 744,000 762,600
Intermedia Capital Partners, 11.25% due 8/01/2006....................... 11/08/1996-11/13/1996 1,493,750 1,543,125
Olympus Communications L.P., 10.625% due 11/15/2006..................... 11/06/1996 1,000,000 1,023,750
Paging Network, Inc., 10% due 10/15/2008................................ 11/22/1996 1,001,250 1,013,750
Parker Drilling Co., 9.75% due 11/15/2006............................... 11/05/1996 992,150 1,055,000
Paxson Communications Corp. (Convertible)............................... 12/19/1996 945,000 952,500
Petroleo Brasileiro S.A.-Petrobras, 10% due 10/17/2006.................. 11/15/1996 1,500,000 1,516,875
Trans Gas de Occidente S.A., 9.79% due 11/01/2010....................... 11/02/1995 1,000,000 1,035,000
WCI Steel Inc. 10% due 12/01/2004....................................... 11/22/1996 1,000,000 1,015,000
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL $ 10,709,104 $ 10,948,539
------------- -------------
------------- -------------
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Represents a pay-in-kind security which may pay interest/ dividends in
additional face amount/shares.
(b) Warrants entitle the Portfolio to purchase a predetermined number of shares
of common stock/face amount of bonds. The purchase price and number of
shares/face amount are subject to adjustments under certain conditions
until the expiration date.
(c) Each share contains a right which entitles the Portfolio to purchase a
predetermined number of shares of preferred stock. The purchase price and
number of shares are subject to adjustment.
(d) Non-income producing security.
(e) Subject to principal paydowns.
Ratings of issues shown have not been audited by Deloitte & Touche LLP.
See Notes to Financial Statements.
37
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
FACE AMOUNT ISSUE COST (NOTE 1A)
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
US GOVERNMENT & AGENCY OBLIGATIONS
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN $ 5,000,000 Federal Home Loan Mortgage Corporation,
MORTGAGE 7.90% due 9/19/2001 (a).............................. $ 5,000,000 $ 5,300,000
CORPORATION-2.4%
- ----------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION 5,000,000 5,300,000
- ----------------------------------------------------------------------------------------------------------------------
FEDERAL NATIONAL 5,000,000 Federal National Mortgage Association:
MORTGAGE 6,000,000 7.55% due 4/22/2002.................................. 5,226,550 5,247,650
ASSOCIATION-18.5% 7.40% due 7/01/2004.................................. 6,248,520 6,287,820
10,000,000 7.85% due 9/10/2004.............................. 9,824,469 10,234,400
9,000,000 7.65% due 3/10/2005.............................. 8,990,156 9,563,940
10,000,000 6.35% due 6/10/2005.............................. 10,000,000 9,795,300
- ----------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION 40,289,695 41,129,110
- ----------------------------------------------------------------------------------------------------------------------
MORTGAGE BACKED 524,843 Federal National Mortgage Association, 9% due
SECURITIES-0.3% 1/01/2002 (a)....................................... 506,474 547,018
- ----------------------------------------------------------------------------------------------------------------------
TOTAL MORTGAGE BACKED SECURITIES 506,474 547,018
- ----------------------------------------------------------------------------------------------------------------------
PRIVATE EXPORT 7,000,000 Private Export Funding Corporation:
FUNDING 10,000,000 8.35% due 1/31/2001.............................. 7,083,590 7,480,760
CORPORATION-8.4% 8.75% due 6/30/2003.............................. 10,410,680 11,148,600
- ----------------------------------------------------------------------------------------------------------------------
TOTAL PRIVATE EXPORT FUNDING CORPORATION 17,494,270 18,629,360
- ----------------------------------------------------------------------------------------------------------------------
STUDENT LOAN 13,000,000 Student Loan Marketing Association,
MARKETING 7.50% due 3/08/2000................................. 13,176,719 13,469,170
ASSOCIATION-6.1%
- ----------------------------------------------------------------------------------------------------------------------
TOTAL STUDENT LOAN MARKETING ASSOCIATION 13,176,719 13,469,170
- ----------------------------------------------------------------------------------------------------------------------
US TREASURY BONDS 16,000,000 US Treasury Bond, 12% due 5/15/2005.................. 22,772,500 21,724,960
& NOTES-61.2% US Treasury Notes:
15,000,000 6.375% due 8/15/2002............................. 15,006,577 15,098,400
5,500,000 6.25% due 2/15/2003.............................. 5,479,805 5,493,125
26,000,000 7.25% due 5/15/2004.............................. 26,328,906 27,356,940
5,000,000 7.875% due 11/15/2004............................ 5,246,875 5,456,250
21,500,000 6.50% due 5/15/2005.............................. 21,097,070 21,644,480
10,000,000 10.75% due 8/15/2005............................. 13,385,937 12,829,700
10,500,000 6.875% due 5/15/2006............................. 10,534,219 10,819,935
9,000,000 7% due 7/15/2006................................. 9,562,500 9,350,190
6,000,000 6.50% due 10/15/2006............................. 6,070,078 6,032,820
- ----------------------------------------------------------------------------------------------------------------------
TOTAL US TREASURY BONDS & NOTES 135,484,467 135,806,800
- ----------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY
OBLIGATIONS-96.9% 211,951,625 214,881,458
- ----------------------------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES
- ----------------------------------------------------------------------------------------------------------------------
REPURCHASE 3,659,000 UBS Securities Funding Corp., purchased on 12/31/1996
AGREEMENT*-1.6% to yield 6.75% to 1/02/1997.......................... 3,659,000 3,659,000
- ----------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES-1.6% 3,659,000 3,659,000
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-98.5%.............................. $ 215,610,625 218,540,458
-------------
-------------
OTHER ASSETS LESS LIABILITIES-1.5%................... 3,322,551
-------------
NET ASSETS-100.0%.................................... $ 221,863,009
-------------
-------------
- ----------------------------------------------------------------------------------------------------------------------
</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 Agreement is fully collateralized by US Government Obligations.
See Notes to Financial Statements.
38
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S FACE VALUE
S&P RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1A)
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
US GOVERNMENT OBLIGATIONS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
US TREASURY US Treasury Notes:
NOTES-5.6% AAA Aaa $2,000,000 7.25% due 2/15/1998.......... $ 1,994,440 $ 2,032,820
AAA Aaa 500,000 6.25% due 8/31/2000.......... 500,195 501,875
AAA Aaa 4,000,000 6.50% due 5/15/2005.......... 3,869,375 4,026,880
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT OBLIGATIONS-5.6% 6,364,010 6,561,575
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
INDUSTRIES CORPORATE BONDS & NOTES
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
ASSET BACKED AAA Aaa 2,000,000 Banc One, Credit Card Master
SECURITIES**-3.3% Trust, 7.55% due 12/15/1999..... 2,037,110 2,028,740
AAA Aaa 1,000,000 Citibank, Credit Card Master
Trust I, 5.62% due 12/10/2008... 999,610 999,060
AAA Aaa 892,492 Fifth Third Auto Grantor Trust,
6.45% due 3/15/2002............. 892,143 896,954
------------- -------------
3,928,863 3,924,754
- ------------------------------------------------------------------------------------------------------------------------------
BANKING-14.0% A- A2 1,000,000 Bank of New York Co., Inc.,
7.625% due 7/15/2002............ 1,076,500 1,039,790
A+ A1 1,000,000 BankAmerica Corp., 7.125% due
5/12/2005....................... 985,500 1,007,540
A+ A1 2,000,000 Citicorp., 8.80% due 2/01/2000... 2,000,000 2,003,900
BBB+ A3 2,000,000 First Interstate Bancorp, 9.90%
due 11/15/2001.................. 2,270,480 2,263,940
BBB+ A1 1,250,000 ++First Union Capital Corp.,
7.85% due 1/01/2027............. 1,247,825 1,247,825
BBB+ A3 1,000,000 HSBC Americas Inc., 7% due
11/01/2006...................... 991,600 987,200
AA- Aa2 2,000,000 JPM Capital Trust I, 7.54% due
1/15/2027....................... 2,000,000 1,954,580
A- A3 2,000,000 Mellon Bank Corp., 6.875% due
3/01/2003....................... 1,822,480 2,000,240
A A2 2,000,000 NationsBank Corp., 7.50% due
2/15/1997....................... 1,998,280 2,003,740
A+ A1 1,000,000 Norwest Corp., 6.625% due
3/15/2003....................... 1,003,060 982,650
BBB A1 1,000,000 Wells Fargo Capital I, 7.96% due
12/15/2026...................... 983,170 999,570
------------- -------------
16,378,895 16,490,975
- ------------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- A- A3 2,000,000 Chrysler Financial Corp., 10.95%
CAPTIVE-7.4% due 8/01/2017................... 2,202,640 2,156,080
A+ A1 2,500,000 Ford Motor Credit Co., 7% due
9/25/2001....................... 2,490,050 2,537,275
General Motors Acceptance Corp.:
A- A3 2,000,000 7.125% due 5/11/1998......... 2,022,560 2,030,440
A- A3 1,000,000 7.125% due 5/01/2003......... 994,890 1,014,290
A- A3 1,000,000 7.40% due 9/01/2025.......... 991,940 988,940
------------- -------------
8,702,080 8,727,025
- ------------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- A+ A1 2,000,000 American General Finance Corp.,
CONSUMER-8.7% 7.70% due 11/15/1997............ 1,977,660 2,026,800
Associates Corp. of North
America:
AA- Aa3 2,300,000 5.25% due 9/01/1998.......... 2,230,057 2,266,397
AA- Aa3 1,000,000 7.25% due 9/01/1999.......... 987,620 1,021,960
A+ Aa3 2,000,000 CIT Group Holdings, Inc., 5.764%
due 2/28/1997................... 1,998,680 2,000,100
BBB+ Baa1 2,000,000 Crown Cork & Seal Financial PLC,
6.75% due 12/15/2003............ 1,989,260 1,976,020
A+ A2 1,000,000 Transamerica Financial Corp.,
6.80% due 3/15/1999............. 999,730 1,010,520
------------- -------------
10,183,007 10,301,797
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
39
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S FACE VALUE
INDUSTRIES S&P RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES (CONTINUED)
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- A A2 $1,000,000 Dean Witter, Discover & Co.,
OTHER-11.0% 6.30% due 1/15/2006............. $ 995,600 $ 944,672
A+ A2 1,000,000 Equitable Companies, Inc., 9% due
12/15/2004...................... 1,104,050 1,119,700
A A2 1,000,000 Equitable Life Assurance Society
of the US, 7.70% due
12/01/2015...................... 993,160 999,580
AAA Aaa 500,000 General Electric Capital Corp.,
8.125% due 5/15/2012............ 531,640 552,750
BBB+ Baa1 3,500,000 PaineWebber Group Inc., 7.625%
due 2/15/2014................... 3,342,430 3,428,320
A- A2 3,000,000 Smith Barney Holdings, Inc.,
6.50% due 10/15/2002............ 2,987,520 2,950,260
A A1 2,000,000 Travelers Capital II, 7.75% due
12/01/2036...................... 2,003,400 1,923,120
A+ A1 1,000,000 Travelers Group, Inc., 7.875% due
5/15/2025....................... 999,420 1,044,490
------------- -------------
12,957,220 12,962,892
- ------------------------------------------------------------------------------------------------------------------------------
FOREIGN+-12.9% BBB+ A3 1,000,000 ++Bangkok Bank Public Company
Ltd., 7.25% due 9/15/2005 (4)... 990,920 977,740
AA- Aa3 2,000,000 CRA Finance Ltd., 6.50% due
12/01/2003 (1).................. 2,006,950 1,948,780
A A3 1,000,000 China Light & Power Co., Ltd.,
7.50% due 4/15/2006 (6)......... 993,630 1,008,320
AA- A1 1,000,000 Korea Development Bank, 6.625%
due 11/21/2003 (4).............. 995,280 990,000
A A1 1,000,000 Midland Bank PLC, 7.625% due
6/15/2006 (4)................... 992,340 1,035,460
A+ A1 2,000,000 ++Petroliam Nasional BHD, 6.875%
due 7/01/2003 (5)............... 1,977,680 2,002,860
Pohang Iron & Steel Co. Ltd. (3):
A+ A2 1,000,000 7.375% due 5/15/2005......... 1,018,160 1,013,710
A+ A2 1,000,000 7.125% due 11/01/2006........ 998,870 997,270
Province of Quebec (Canada) (2):
A+ A2 1,000,000 8.80% due 4/15/2003.......... 1,129,480 1,100,610
A+ A2 1,500,000 13% due 10/01/2013........... 1,959,060 1,725,075
A+ A2 1,000,000 7.125% due 2/09/2024......... 902,520 960,340
A A2 1,500,000 Western Mining Corp. Holdings
Ltd., 7.25% due 11/15/2013
(1)............................. 1,519,575 1,486,425
------------- -------------
15,484,465 15,246,590
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL-CONSUMER- A+ A1 3,500,000 Bass America, Inc., 8.125% due
9.7% 3/31/2002....................... 3,532,070 3,719,555
Grand Metropolitan Investment
Corp.:
A+ A2 1,000,000 6.50% due 9/15/1999.......... 1,000,000 1,000,580
A+ A2 1,000,000 8.625% due 8/15/2001......... 1,047,750 1,079,190
A- A3 1,000,000 IBP, Inc., 6.125% due
2/01/2006....................... 918,780 942,930
AAA Aaa 2,000,000 Johnson & Johnson, 8.72% due
11/01/2024...................... 2,019,140 2,225,360
A A2 500,000 Philip Morris Companies, Inc.,
7.25% due 1/15/2003............. 503,440 505,555
BBB- Baa3 1,000,000 RJR Nabisco, Inc., 8.75% due
8/15/2005....................... 963,120 1,004,500
A A2 1,000,000 ++Disney Enterprises, Inc., 6.85%
due 1/10/2007................... 999,320 999,290
------------- -------------
10,983,620 11,476,960
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
40
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S FACE VALUE
INDUSTRIES S&P RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES (CONCLUDED)
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- AA Aa3 $2,000,000 BP America Inc., 10% due
ENERGY-3.6% 7/01/2018....................... $ 2,156,880 $ 2,181,740
A- A1 500,000 Dresser Industries, Inc., 7.60%
due 8/15/2096................... 498,545 510,465
BBB Baa3 500,000 Husky Oil Ltd., 7.125% due
11/15/2006...................... 497,765 500,020
A+ A1 1,000,000 Texaco Capital Inc., 6.875% due
7/15/1999....................... 998,060 1,009,280
------------- -------------
4,151,250 4,201,505
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- Columbia/HCA Healthcare Corp.:
OTHER-9.4% A- A2 500,000 6.41% due 6/15/2000.......... 499,700 498,740
A- A2 1,000,000 7.75% due 7/15/2036.......... 992,280 1,019,500
A+ A1 1,000,000 ++Electronic Data Systems, Inc.,
6.85% due 5/15/2000............. 999,210 1,012,221
BBB Baa2 2,500,000 Federal Express Corp., 9.65% due
6/15/2012....................... 2,758,750 2,975,475
BBB+ A3 1,000,000 Lockheed Martin Corp., 6.625% due
6/15/1998....................... 999,870 1,007,710
BBB+ A3 500,000 Martin Marietta Corp., 7.375% due
4/15/2013....................... 480,805 506,165
A A2 1,000,000 May Department Stores Co., 6.875%
due 11/01/2005.................. 996,950 994,840
A- Baa2 1,000,000 McDonnell Douglas Corp., 8.625%
due 4/01/1997................... 1,016,670 1,006,570
BBB+ A3 1,000,000 Philips Electronics N.V., 7.20%
due 6/01/2026................... 997,740 1,013,750
BBB- Baa3 1,000,000 Royal Caribbean Cruises Ltd.,
7.25% due 8/15/2006............. 963,700 984,850
------------- -------------
10,705,675 11,019,821
- ------------------------------------------------------------------------------------------------------------------------------
SUPRANATIONAL-1.3% AAA Aaa 1,500,000 Asian Development Bank, 10.75%
due 6/01/1997................... 1,580,525 1,528,755
- ------------------------------------------------------------------------------------------------------------------------------
TRANSPORT SERVICES- Southwest Airlines, Inc.:
2.7% A- A3 2,000,000 9.40% due 7/01/2001.......... 2,407,120 2,174,000
A- A3 1,000,000 7.875% due 9/01/2007......... 998,750 1,032,790
------------- -------------
3,405,870 3,206,790
- ------------------------------------------------------------------------------------------------------------------------------
UTILITIES- GTE Corp.:
COMMUNICATIONS-4.0% BBB+ A3 2,000,000 9.375% due 12/01/2000........ 2,189,690 2,197,740
BBB+ A3 500,000 9.10% due 6/01/2003.......... 548,730 557,745
AAA Aaa 1,000,000 Indiana Bell Telephone Co. Inc.,
7.30% due 8/15/2026............. 998,290 1,014,840
AA Aa3 1,000,000 Southwestern Bell
Telecommunications Co., 6.125%
due 3/01/2000................... 978,880 993,580
------------- -------------
4,715,590 4,763,905
- ------------------------------------------------------------------------------------------------------------------------------
UTILITIES-GAS-2.2% AA- A1 2,500,000 Consolidated Natural Gas Co.,
8.75% due 6/01/1999............. 2,575,440 2,629,250
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS &
NOTES-90.2% 105,752,500 106,481,019
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
41
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of December 31, 1996 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE
AMOUNT ISSUE COST (NOTE 1A)
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS
- ------------------------------------------------------------------------------------------------------------------------------
REPURCHASE $3,087,000 UBS Securities Inc., purchased on
AGREEMENT*-2.6% 12/31/96 to yield 6.75% on
1/02/1997....................... $ 3,087,000 $ 3,087,000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS-
2.6%............................. 3,087,000 3,087,000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-98.4%.......... $ 115,203,510 116,129,594
-------------
-------------
OTHER ASSETS LESS
LIABILITIES-1.6%................. 1,858,384
-------------
NET ASSETS-100.0%................ $ 117,987,978
-------------
-------------
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Repurchase Agreement is fully collateralized by US Government Obligations.
** Subject to principal paydowns.
+ Corresponding industry groups for foreign bonds:
(1) Industrial Mining.
(2) Government Entity.
(3) Iron/Steel.
(4) Banking.
(5) Industry-Energy.
(6) Utilities-Electric.
++ Restricted securities as to resale. The value of the Portfolio's investment
in restricted securities was approximately $6,240,000, representing 5.3% of
net assets.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
ISSUE ACQUISITION DATE COST (NOTE 1A)
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------
Bangkok Bank Public Company Ltd., 7.25% due 9/15/2005................ 9/27/1995 $ 990,920 $ 977,740
Disney Enterprises, Inc., 6.85% due 1/10/2007........................ 12/23/1996 999,320 999,290
Electronic Data Systems, Inc., 6.85% due 5/15/2000................... 5/26/1995 999,210 1,012,221
First Union Capital Corp., 7.85% due 1/01/2027....................... 12/27/1996 1,247,825 1,247,825
Petroliam Nasional BHD, 6.875% due 7/01/2003......................... 7/28/1995 1,977,680 2,002,860
- ---------------------------------------------------------------------------------------------------------------
TOTAL $6,214,955 $6,239,936
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
Ratings of issues shown have not been audited by Deloitte & Touche LLP.
See Notes to Financial Statements.
42
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTEREST MATURITY VALUE
FACE AMOUNT ISSUE RATE* DATE (NOTE 1A)
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
BANK NOTES-1.1% $ 6,200,000 Bank of America, Illinois...................... 5.63% 12/30/97 $ 6,196,894
- -----------------------------------------------------------------------------------------------------------------------
TOTAL BANK NOTES (COST-$6,199,410) 6,196,894
- -----------------------------------------------------------------------------------------------------------------------
CERTIFICATES OF 9,500,000 Chase Manhattan Bank USA (Delaware)............ 5.60 4/01/97 9,501,904
DEPOSIT-1.7%
- -----------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT (COST-$9,500,000) 9,501,904
- -----------------------------------------------------------------------------------------------------------------------
COMMERCIAL 4,000,000 ABN-AMRO North America Finance Inc............. 5.45 2/28/97 3,965,737
PAPER-49.7% 4,885,000 Allomon Funding Corp........................... 5.34 1/21/97 4,871,336
4,920,000 Allomon Funding Corp........................... 5.32 2/10/97 4,891,351
7,000,000 Alpine Securitization Corp..................... 5.34 1/16/97 6,985,463
7,287,000 American Home Products Corporation............. 5.33 1/28/97 7,259,107
5,000,000 Bank of Scotland Treasury Services PLC......... 5.29 5/09/97 4,904,750
16,945,000 Bear Stearns Companies, Inc.................... 5.35 1/31/97 16,871,631
10,000,000 Beta Finance Inc............................... 5.44 3/28/97 9,872,028
4,000,000 Beta Finance Inc............................... 5.35 4/07/97 3,942,789
4,500,000 Beta Finance Inc............................... 5.32 5/01/97 4,419,675
4,166,000 CSW Credit, Inc................................ 5.35 1/15/97 4,157,952
6,053,000 CSW Credit, Inc................................ 5.32 1/17/97 6,039,633
5,250,000 Caisse des Depots et Consignations............. 5.30 2/03/97 5,224,917
2,000,000 Corporate Receivables Corp..................... 5.35 1/17/97 1,995,583
16,000,000 Eureka Securitization Inc...................... 5.33 1/17/97 15,964,667
7,005,000 Eureka Securitization Inc...................... 5.35 1/28/97 6,978,186
7,185,000 Finova Capital Corp............................ 5.38 2/24/97 7,127,773
9,404,000 Finova Capital Corp............................ 5.48 3/20/97 9,294,982
2,550,000 Finova Capital Corp............................ 5.42 6/25/97 2,483,445
10,000,000 Ford Motor Credit Co........................... 5.30 2/07/97 9,946,250
10,000,000 General Electric Capital Corp.................. 5.55 1/10/97 9,988,178
5,000,000 General Electric Capital Corp.................. 5.50 3/03/97 4,954,833
11,090,000 General Electric Capital Corp.................. 5.64 3/05/97 10,986,481
15,400,000 General Motors Acceptance Corp................. 5.34 1/23/97 15,352,388
1,177,000 General Motors Acceptance Corp................. 5.32 2/05/97 1,171,025
8,000,000 General Motors Acceptance Corp................. 5.34 5/14/97 7,841,600
5,000,000 Goldman Sachs Group, L.P....................... 5.68 1/06/97 4,997,044
3,561,000 International Securitization Corp.............. 5.35 1/29/97 3,546,645
3,937,000 Korea Development Bank......................... 5.32 1/23/97 3,924,828
3,937,000 Korea Development Bank......................... 5.35 1/23/97 3,924,828
5,000,000 Lehman Brothers Holdings, Inc.................. 5.50 1/24/97 4,983,194
4,000,000 Lehman Brothers Holdings, Inc.................. 5.50 1/27/97 3,984,722
11,000,000 Lehman Brothers Holdings, Inc.................. 5.40 3/03/97 10,900,633
3,260,000 Morgan Stanley Group Inc....................... 5.41 1/27/97 3,248,001
8,000,000 New Center Asset Trust......................... 5.43 1/29/97 7,967,750
8,000,000 New Center Asset Trust......................... 5.40 2/07/97 7,957,000
10,000,000 New Center Asset Trust......................... 5.46 3/24/97 9,878,050
5,000,000 Old Line Funding Corp.......................... 5.75 1/30/97 4,977,639
7,000,000 Sweden, Kingdom of............................. 5.34 3/27/97 6,911,473
1,800,000 Toshiba International Finance (UK) PLC......... 5.35 1/17/97 1,796,025
632,000 Toshiba International Finance (UK) PLC......... 5.37 1/27/97 629,674
800,000 Toshiba International Finance (UK) PLC......... 5.37 2/05/97 795,939
9,218,000 Transamerica Finance Corp...................... 5.60 3/11/97 9,123,628
- -----------------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (COST-$277,034,353) 277,038,833
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
43
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTEREST MATURITY VALUE
FACE AMOUNT ISSUE RATE* DATE (NOTE 1A)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CORPORATE $ 9,000,000 Asset-Backed Securities Investment Trust 5.605% 10/15/97 $ 9,000,000
NOTES-7.5% 1,000,000 1996-M+....................................... 5.625 3/03/97 1,000,000
Ford Motor Credit Co...........................
7,000,000 LABS Trust Series 1996-C Senior Notes+......... 5.625 12/29/97 7,000,000
20,000,000 SMM Trust 1995-Q+.............................. 5.605 1/08/97 19,999,969
5,000,000 Short-Term Card Account Trust 1995-1+.......... 5.615 1/15/97 5,000,000
- -----------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE NOTES (COST-$41,999,608) 41,999,969
- -----------------------------------------------------------------------------------------------------------------------
MASTER NOTES-3.4% 10,000,000 Goldman Sachs Group, L.P.+..................... 5.88 5/01/97 10,000,000
9,000,000 Jackson National Life Insurance Co.+........... 5.41 4/08/97 9,000,000
- -----------------------------------------------------------------------------------------------------------------------
TOTAL MASTER NOTES (COST-$19,000,000) 19,000,000
- -----------------------------------------------------------------------------------------------------------------------
MEDIUM-TERM 10,000,000 CIT Group Holdings, Inc. (The)+................ 5.36 10/27/97 10,000,000
NOTES-1.8%
- -----------------------------------------------------------------------------------------------------------------------
TOTAL MEDIUM-TERM NOTES (COST-$9,994,316) 10,000,000
- -----------------------------------------------------------------------------------------------------------------------
US GOVERNMENT, 215,000 Federal National Mortgage Association.......... 5.30 3/17/97 212,627
AGENCY &
INSTRUMENTATLITY
OBLIGATIONS-
DISCOUNT-0.0%
- -----------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT, AGENCY & INSTRUMENTALITY
OBLIGATIONS-DISCOUNT (COST-$212,658) 212,627
- -----------------------------------------------------------------------------------------------------------------------
US GOVERNMENT, 3,500,000 Federal Farm Credit Bank....................... 5.85 10/01/97 3,506,020
AGENCY & 10,000,000 Federal Farm Credit Bank+...................... 5.38 11/25/97 9,998,124
INSTRUMENTALITY 8,000,000 Federal Home Loan Bank+........................ 5.41 12/10/97 7,996,382
OBLIGATIONS-NON- 3,000,000 Federal Home Loan Bank......................... 6.12 4/15/98 2,999,061
DISCOUNT-34.9% 2,000,000 Federal Home Loan Bank......................... 6.17 11/06/98 1,998,750
15,000,000 Federal National Mortgage Association+......... 5.44 2/21/97 15,000,000
4,000,000 Federal National Mortgage Association+......... 5.455 5/14/97 3,998,730
8,000,000 Federal National Mortgage Association+......... 5.70 5/19/97 8,000,000
15,000,000 Federal National Mortgage Association+......... 5.521 5/22/97 14,996,092
8,000,000 Federal National Mortgage Association+......... 5.40 7/16/97 7,997,110
4,000,000 Federal National Mortgage Association+......... 5.42 8/01/97 3,998,994
3,000,000 Federal National Mortgage Association+......... 5.405 9/03/97 2,998,534
2,000,000 Federal National Mortgage Association+......... 5.41 9/09/97 1,999,066
3,000,000 Federal National Mortgage Association+......... 5.41 9/29/97 2,998,676
6,500,000 Federal National Mortgage Association.......... 5.47 12/30/97 6,490,055
4,000,000 Federal National Mortgage Association.......... 5.19 1/08/98 3,982,760
10,000,000 Federal National Mortgage Association+......... 5.46 4/24/98 9,995,001
6,000,000 Federal National Mortgage Association+......... 5.75 5/14/98 6,000,000
5,000,000 Student Loan Marketing Association+............ 5.58 1/14/97 5,000,000
10,000,000 Student Loan marketing Association+............ 5.62 1/23/97 10,000,497
10,000,000 Student Loan Marketing Association+............ 5.57 10/30/97 10,001,748
5,000,000 US Treasury Notes.............................. 6.625 3/31/97 5,014,060
4,000,000 US Treasury Notes.............................. 8.50 4/15/97 4,034,372
3,250,000 US Treasury Notes.............................. 6.50 4/30/97 3,262,188
3,250,000 US Treasury Notes.............................. 6.50 5/15/97 3,263,201
3,300,000 US Treasury Notes.............................. 6.125 5/31/97 3,308,250
4,600,000 US Treasury Notes.............................. 8.50 7/15/97 4,674,028
3,000,000 US Treasury Notes.............................. 6.00 8/31/97 3,008,436
6,750,000 US Treasury Notes.............................. 5.75 9/30/97 6,762,123
5,800,000 US Treasury Notes.............................. 5.625 10/31/97 5,803,625
6,500,000 US Treasury Notes.............................. 5.375 11/30/97 6,486,792
1,650,000 US Treasury Notes.............................. 5.25 12/31/97 1,644,713
2,920,000 US Treasury Notes.............................. 5.00 1/31/98 2,899,467
2,600,000 US Treasury Notes.............................. 5.625 11/30/98 2,589,031
2,000,000 US Treasury Notes.............................. 5.75 12/31/98 1,996,718
- -----------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT, AGENCY & INSTRUMENTALITY
OBLIGATIONS-NON-DISCOUNT (COST-$194,742,618) 194,702,604
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
44
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of December 31, 1996 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
FACE AMOUNT ISSUE (NOTE 1A)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
REPURCHASE $ 1,500,000 Lehman Brothers Inc., purchased on 12/31/1996
AGREEMENT**-0.3% to yield 7.10% on 1/02/1997................... $ 1,500,000
- -----------------------------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT (COST-$1,500,000) 1,500,000
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST-$560,182,963)-100.4%... 560,152,831
LIABILITIES IN EXCESS OF OTHER ASSETS-(0.4)%... (2,463,167)
-------------
NET ASSETS-100.0%.............................. $ 557,689,664
-------------
-------------
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commercial Paper and certain US Government & Agency Obligations are traded on
a discount basis; the interest rates shown are the discount rates paid at the
time of purchase by the Portfolio. Other securities bear interest at the
rates shown, payable at fixed rates or upon maturity. Interest rates on
variable rate securities are adjusted periodically based on appropriate
indexes. The interest rates shown are the rates in effect at December 31,
1996.
** Repurchase Agreement is fully collateralized by US Government Obligations.
+ Variable Rate Notes.
See Notes to Financial Statements.
45
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS & WARRANTS COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
AEROSPACE & 85,000 AlliedSignal Inc.............. $ 6,247,940 $ 5,695,000 0.5%
DEFENSE 280,000 +Gulfstream Aerospace Corp.... 6,919,174 6,790,000 0.5
185,000 Northrop Grumman Corp......... 12,121,532 15,308,750 1.3
150,000 United Technologies Corp...... 6,259,501 9,900,000 0.8
-------------- -------------- -----
31,548,147 37,693,750 3.1
- -----------------------------------------------------------------------------------------------------------------
AUTO & TRUCK 175,000 General Motors Corp........... 9,125,697 9,756,250 0.8
- -----------------------------------------------------------------------------------------------------------------
AUTOMOBILE PARTS 364,000 +Lear Corporation............. 12,194,000 12,421,500 1.0
- -----------------------------------------------------------------------------------------------------------------
BANKING 278,000 Bank of New York Co., Inc..... 5,436,911 9,382,500 0.8
65,000 Bank of New York Co., Inc.
(Warrants) (c)............... 581,250 4,818,125 0.4
60,000 BankAmerica Corp.............. 6,138,870 5,985,000 0.5
125,000 Citicorp...................... 9,466,326 12,875,000 1.0
-------------- -------------- -----
21,623,357 33,060,625 2.7
- -----------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS 251,000 Oakwood Homes Corporation..... 5,718,888 5,741,625 0.5
- -----------------------------------------------------------------------------------------------------------------
CHEMICALS 171,000 +FMC Corporation.............. 12,105,120 11,991,375 1.0
220,000 PPG Industries, Inc........... 10,906,249 12,347,500 1.0
-------------- -------------- -----
23,011,369 24,338,875 2.0
- -----------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 198,000 +cisco Systems, Inc........... 9,005,877 12,597,750 1.0
330,000 First Data Corp............... 11,684,495 12,045,000 1.0
-------------- -------------- -----
20,690,372 24,642,750 2.0
- -----------------------------------------------------------------------------------------------------------------
COMPUTERS 190,000 +Compaq Computer Corp......... 14,088,819 14,107,500 1.2
85,000 International Business
Machines Corp................ 9,350,839 12,835,000 1.0
-------------- -------------- -----
23,439,658 26,942,500 2.2
- -----------------------------------------------------------------------------------------------------------------
DIVERSIFIED 326,000 Corning, Inc.................. 10,220,442 15,077,500 1.2
- -----------------------------------------------------------------------------------------------------------------
ELECTRONICS 100,000 General Electric Co........... 7,868,685 9,887,500 0.8
70,700 Linear Technology
Corporation.................. 2,900,739 3,093,125 0.3
-------------- -------------- -----
10,769,424 12,980,625 1.1
- -----------------------------------------------------------------------------------------------------------------
ENGINEERING & 276,600 Foster Wheeler Corp........... 11,662,487 10,268,775 0.9
CONSTRUCTION
- -----------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 6,200 +Imax Corporation............. 191,708 190,650 0.0
263,875 +Viacom, Inc. (Class B)....... 9,664,844 9,202,641 0.8
-------------- -------------- -----
9,856,552 9,393,291 0.8
- -----------------------------------------------------------------------------------------------------------------
FERTILIZERS 150,000 IMC Global, Inc............... 5,813,989 5,868,750 0.5
- -----------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 256,500 American Express Company...... 11,922,063 14,492,250 1.2
- -----------------------------------------------------------------------------------------------------------------
FOODS 350,000 H.J. Heinz Company............ 11,497,655 12,512,500 1.0
- -----------------------------------------------------------------------------------------------------------------
INSURANCE 108,000 Aetna Inc..................... 6,946,584 8,640,000 0.7
217,500 Allstate Corp................. 7,457,254 12,587,813 1.0
211,000 UNUM Corporation.............. 13,465,471 15,244,750 1.3
-------------- -------------- -----
27,869,309 36,472,563 3.0
- -----------------------------------------------------------------------------------------------------------------
LEISURE/TOURISM 444,000 Brunswick Corporation......... 10,986,645 10,656,000 0.9
118,620 TCI Pacific Communications
(Convertible Preferred)...... 11,049,794 10,764,765 0.9
-------------- -------------- -----
22,036,439 21,420,765 1.8
- -----------------------------------------------------------------------------------------------------------------
MACHINERY 206,000 +American Standard Companies,
Inc.......................... 6,730,117 7,879,500 0.6
355,200 Deere & Co.................... 14,846,602 14,430,000 1.2
-------------- -------------- -----
21,576,719 22,309,500 1.8
- -----------------------------------------------------------------------------------------------------------------
MEDICAL 435,000 +Health Management Associates,
Inc. (Class A)............... 9,804,996 9,787,500 0.8
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
46
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES US STOCKS & WARRANTS VALUE PERCENT OF
INDUSTRIES HELD (CONCLUDED) COST (NOTE 1A) NET ASSETS
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NATURAL GAS 128,000 El Paso Natural Gas Co........ $ 6,273,189 $ 6,464,000 0.5%
295,000 Enron Corp.................... 11,333,631 12,721,875 1.1
-------------- -------------- -----
17,606,820 19,185,875 1.6
- -----------------------------------------------------------------------------------------------------------------
OIL SERVICES 350,000 Dresser Industries, Inc....... 8,202,997 10,850,000 0.9
106,000 Schlumberger Ltd., Inc........ 8,941,977 10,586,750 0.9
-------------- -------------- -----
17,144,974 21,436,750 1.8
- -----------------------------------------------------------------------------------------------------------------
PAPER 140,000 Kimberly-Clark Corp........... 10,729,054 13,335,000 1.1
- -----------------------------------------------------------------------------------------------------------------
PETROLEUM 261,000 Pennzoil Co................... 10,781,453 14,746,500 1.2
327,000 Unocal Corp................... 11,002,058 13,284,375 1.1
-------------- -------------- -----
21,783,511 28,030,875 2.3
- -----------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 240,000 Abbott Laboratories........... 9,859,343 12,180,000 1.0
160,000 Merck & Co., Inc.............. 9,648,894 12,680,000 1.1
-------------- -------------- -----
19,508,237 24,860,000 2.1
- -----------------------------------------------------------------------------------------------------------------
RAILROADS 154,000 Burlington Northern Santa Fe,
Inc.......................... 12,647,474 13,301,750 1.1
- -----------------------------------------------------------------------------------------------------------------
REAL ESTATE 296,100 Prentiss Properties Trust..... 6,061,043 7,402,500 0.6
INVESTMENT TRUST 58,100 Spieker Properties, Inc....... 1,601,236 2,091,600 0.2
152,100 Starwood Lodging Trust........ 5,971,521 8,384,513 0.7
-------------- -------------- -----
13,633,800 17,878,613 1.5
- -----------------------------------------------------------------------------------------------------------------
RETAIL 363,350 Rite Aid Corporation.......... 11,659,587 14,443,162 1.2
300,000 Sears, Roebuck & Co........... 10,450,028 13,837,500 1.1
445,000 +Toys 'R' Us, Inc............. 13,829,157 13,350,000 1.1
-------------- -------------- -----
35,938,772 41,630,662 3.4
- -----------------------------------------------------------------------------------------------------------------
SCIENTIFIC 170,000 Fisher Scientific
INSTRUMENTS International, Inc........... 5,615,810 8,011,250 0.7
- -----------------------------------------------------------------------------------------------------------------
SOFTWARE 296,400 +BMC Software, Inc............ 11,025,364 12,263,550 1.0
268,500 +Oracle Corp.................. 8,843,279 11,176,312 0.9
-------------- -------------- -----
19,868,643 23,439,862 1.9
- -----------------------------------------------------------------------------------------------------------------
STEEL 282,000 AK Steel Holding Corp......... 11,642,900 11,174,250 0.9
- -----------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 460,000 +Airtouch Communications,
184,000 Inc.......................... 13,169,327 11,615,000 1.0
Bell Atlantic Corporation..... 11,567,913 11,914,000 1.0
-------------- -------------- -----
24,737,240 23,529,000 2.0
- -----------------------------------------------------------------------------------------------------------------
TOBACCO 76,000 Philip Morris Companies,
Inc.......................... 7,376,567 8,559,500 0.7
- -----------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 443,800 Carnival Corp. (Class A)...... 12,671,600 14,645,400 1.2
- -----------------------------------------------------------------------------------------------------------------
UTILITIES 569,100 Edison International.......... 10,597,694 11,310,862 0.9
- -----------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS & WARRANTS 541,884,659 625,511,543 51.6
- -----------------------------------------------------------------------------------------------------------------
<CAPTION>
COUNTRIES FOREIGN STOCKS+++++
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
ARGENTINA 238,000 Banco de Galicia y Buenos
Aires S.A. (ADR) (a) (3)..... 4,886,190 5,741,750 0.5
212,750 Banco Frances del Rio de la
Plata S.A. (ADR) (a) (3)..... 5,169,793 5,850,625 0.5
171,000 Yacimientos Petroliferos
Fiscales S.A. (ADR) (a)
(30)......................... 3,530,098 4,317,750 0.3
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ARGENTINA 13,586,081 15,910,125 1.3
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
47
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES FOREIGN STOCKS+++++ VALUE PERCENT OF
COUNTRIES HELD (CONTINUED) COST (NOTE 1A) NET ASSETS
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
BRAZIL 7,000,000 Companhia Cervejaria Brahma
S.A. PN (Preferred) (4)...... $ 4,004,177 $ 3,827,125 0.3%
38,200,000 Petroleo Brasileiro S.A.-
Petrobras (Preferred) (16)... 4,512,649 6,085,379 0.5
60,000 Telecomunicacoes Brasileiras
S.A.-Telebras (ADR) (a)
(26)......................... 3,116,796 4,590,000 0.4
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BRAZIL 11,633,622 14,502,504 1.2
- -----------------------------------------------------------------------------------------------------------------
CANADA 208,300 Canadian Pacific, Ltd. (15)... 4,268,930 5,519,950 0.5
109,000 Magna International Inc.
(Class A) (2)................ 5,055,992 6,076,750 0.5
61,000 Potash Corp. of Saskatchewan,
Inc. (39).................... 4,262,368 5,185,000 0.4
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 13,587,290 16,781,700 1.4
- -----------------------------------------------------------------------------------------------------------------
FINLAND 115,000 Finnlines OY (46)............. 2,300,583 2,823,711 0.2
90,600 Nokia Corp. (ADR) (a) (6)..... 3,306,582 5,220,825 0.5
192,000 +UPM-Kymmene OY (d) (40)...... 3,972,208 3,963,408 0.3
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 9,579,373 12,007,944 1.0
- -----------------------------------------------------------------------------------------------------------------
FRANCE 98,000 Michelin (C.G.D.E.) S.A.
(Class B) (44)............... 4,084,876 5,291,018 0.4
85,300 +SGS-Thomson Microelectronics
N.V. (NY Registered Shares)
(19)......................... 3,170,007 5,971,000 0.5
122,000 Scor S.A. (47)................ 4,751,120 4,291,635 0.4
294,000 Usinor-Sacilor S.A. (13)...... 4,946,286 4,278,527 0.3
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 16,952,289 19,832,180 1.6
- -----------------------------------------------------------------------------------------------------------------
GERMANY 14,000 +Henkel KGaA (5).............. 622,324 671,563 0.1
101,000 +Henkel KGaA (Preferred)
(5).......................... 4,296,760 5,074,618 0.4
12,500 Mannesmann AG (41)............ 4,363,987 5,419,240 0.4
26,900 +Puma AG (11)................. 884,219 912,694 0.1
85,000 Siemens AG (9)................ 4,774,685 4,005,525 0.3
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 14,941,975 16,083,640 1.3
- -----------------------------------------------------------------------------------------------------------------
HONG KONG 265,200 HSBC Holdings PLC (3)......... 4,271,374 5,675,019 0.5
2,650,000 Hong Kong Telecommunications,
Ltd. (26).................... 4,687,736 4,265,904 0.3
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN HONG KONG 8,959,110 9,940,923 0.8
- -----------------------------------------------------------------------------------------------------------------
INDONESIA 149,400 PT Indonesian Satellite Corp.
(ADR) (a) (26)............... 5,500,790 4,089,825 0.3
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 5,500,790 4,089,825 0.3
- -----------------------------------------------------------------------------------------------------------------
ITALY 306,100 Danieli & Co. Officine
Meccaniche S.p.A. (41)....... 1,203,809 1,280,247 0.1
1,308,000 Societa Finanziara Telefonica
S.p.A. (STET) (26)........... 3,804,727 5,944,476 0.5
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 5,008,536 7,224,723 0.6
- -----------------------------------------------------------------------------------------------------------------
JAPAN 278,000 Bridgestone Corporation
(44)......................... 4,818,776 5,281,520 0.4
239,000 Canon, Inc. (9)............... 4,385,459 5,283,592 0.4
255,000 Eisai Co., Ltd. (38).......... 4,505,820 5,020,725 0.4
256,000 Matsushita Electric Industrial
Co., Ltd. (9)................ 4,058,469 4,178,238 0.4
725,000 Mitsubishi Electric Corp.
(8).......................... 5,240,071 4,319,948 0.4
541,000 Mitsubishi Heavy Industries,
Ltd. (9)..................... 4,419,386 4,298,100 0.4
386,000 Mitsui-Soko Co., Ltd. (43).... 3,426,243 2,523,333 0.2
253,000 Nomura Securities Co., Ltd.
(10)......................... 5,023,241 3,801,554 0.3
</TABLE>
48
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES FOREIGN STOCKS+++++ VALUE PERCENT OF
COUNTRIES HELD (CONCLUDED) COST (NOTE 1A) NET ASSETS
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
JAPAN 80,000 Rohm Co., Ltd. (9)............ $ 4,447,327 $ 5,250,432 0.4%
(CONCLUDED) 400,000 Tokio Marine & Fire Insurance
Co., Ltd. (14)............... 4,762,511 3,765,112 0.3
675,000 Toray Industries, Inc. (21)... 4,704,797 4,167,746 0.4
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 49,792,100 47,890,300 4.0
- -----------------------------------------------------------------------------------------------------------------
MEXICO 633,200 +Carso Global Telecom, S.A. de
C.V. (ADR) (a) (26).......... 3,007,700 2,849,400 0.3
433,200 Grupo Carso, S.A. de C.V.
(ADR) (a) (15)............... 3,851,655 4,494,450 0.4
8,837 Grupo Financiero Inbursa, S.A.
de C.V. (ADR) (a) (10)....... 177,296 150,229 0.0
196,000 Kimberly-Clark de Mexico, S.A.
de C.V. (40)................. 3,349,463 3,872,189 0.3
110,000 Panamerican Beverages, Inc.
(Class A) (4)................ 4,307,032 5,156,250 0.4
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 14,693,146 16,522,518 1.4
- -----------------------------------------------------------------------------------------------------------------
NETHERLANDS 82,000 ABN AMRO Holding N.V. (3)..... 4,598,704 5,339,977 0.5
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
NETHERLANDS 4,598,704 5,339,977 0.5
- -----------------------------------------------------------------------------------------------------------------
NORWAY 469,000 Color Line ASA (46)........... 1,829,151 2,183,393 0.2
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 1,829,151 2,183,393 0.2
- -----------------------------------------------------------------------------------------------------------------
PHILIPPINES 1,210,000 San Miguel Corp. (Class B)
(4).......................... 4,205,227 5,345,011 0.5
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
PHILIPPINES 4,205,227 5,345,011 0.5
- -----------------------------------------------------------------------------------------------------------------
SOUTH KOREA 202,800 +Hyundai Engineering &
Construction Co., Ltd. (GDR)
(b) (29)+++.................. 2,642,484 1,267,500 0.1
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH
KOREA 2,642,484 1,267,500 0.1
- -----------------------------------------------------------------------------------------------------------------
SPAIN 139,000 Repsol S.A. (ADR) (a) (30).... 4,898,863 5,299,375 0.4
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 4,898,863 5,299,375 0.4
- -----------------------------------------------------------------------------------------------------------------
SWEDEN 409,200 Bure Investment AB (37)....... 3,563,162 4,863,566 0.4
209,000 Sparbanken Sverige AB (Class
A) (3)....................... 2,691,626 3,588,114 0.3
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 6,254,788 8,451,680 0.7
- -----------------------------------------------------------------------------------------------------------------
SWITZERLAND 3,700 ABB AG (20)................... 4,492,198 4,601,509 0.4
3,900 +Novartis AG (Registered
Shares) (38)................. 3,386,800 4,465,716 0.3
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN
SWITZERLAND 7,878,998 9,067,225 0.7
- -----------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 475,000 Boots Company PLC (18)........ 4,502,607 4,896,096 0.4
1,420,000 British Steel PLC (28)........ 3,780,164 3,911,231 0.3
800,000 General Electric PLC (9)...... 4,460,523 5,241,891 0.4
268,000 Glaxo Wellcome PLC (38)....... 3,645,688 4,346,527 0.4
557,400 Grand Metropolitan PLC (45)... 3,858,615 4,386,560 0.4
465,900 Imperial Chemical Industries
PLC (16)..................... 6,436,340 6,125,419 0.5
440,000 National Westminster Bank PLC
(3).......................... 4,705,708 5,163,879 0.4
1,350,000 Vodafone Group PLC (26)....... 4,723,894 5,704,663 0.5
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
UNITED KINGDOM 36,113,539 39,776,266 3.3
- -----------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 232,656,066 257,516,809 21.3
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
49
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
COUNTRIES AMOUNT FOREIGN BONDS+++++ COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
DENMARK Dkr 84,500,000 Government of Denmark, 8% due $ 15,525,850 $ 15,785,005 1.3%
3/15/2006 (12)..................
- ----------------------------------------------------------------------------------------------------------------------------
GERMANY DM 12,500,000 Bundesrepublik Deutschland, 8,815,113 8,921,027 0.7
7.125% due 12/20/2002 (12)......
- ----------------------------------------------------------------------------------------------------------------------------
ITALY Lit 10,900,000,000 Buoni Poliennali del Tesoro 7,722,200 7,690,127 0.7
(Italian Government Bonds),
8.50% due 1/01/2004 (12)........
- ----------------------------------------------------------------------------------------------------------------------------
SWEDEN Government of Sweden (12):
Skr 35,400,000 10.25% due 5/05/2000......... 6,001,621 5,992,703 0.5
112,000,000 8% due 8/15/2007............. 17,581,880 17,938,735 1.5
-------------- -------------- -----
23,583,501 23,931,438 2.0
- ----------------------------------------------------------------------------------------------------------------------------
UNITED UK Treasury Gilt (12):
KINGDOM L 750,000 7% due 11/06/2001............ 1,236,073 1,269,066 0.1
1,400,000 7.50% due 12/07/2006......... 2,337,601 2,392,126 0.2
-------------- -------------- -----
3,573,674 3,661,192 0.3
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN BONDS 59,220,338 59,988,789 5.0
- ----------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT US$ 6,849,910 Federal National Mortgage 6,781,411 6,689,348 0.6
OBLIGATIONS 15,255,124 Association++: 15,100,189 15,047,750 1.2
9,270,737 6% due 11/01/2000............ 9,160,646 9,128,778 0.8
6% due 6/01/2001.............
6% due 2/01/2004.............
-------------- -------------- -----
31,042,246 30,865,876 2.6
- ----------------------------------------------------------------------------------------------------------------------------
US Treasury Notes:
18,000,000 5% due 1/31/1998............. 17,841,094 17,873,460 1.5
30,000,000 5.50% due 4/15/2000.......... 29,559,375 29,465,700 2.4
40,300,000 6.25% due 4/30/2001.......... 40,797,766 40,388,257 3.3
15,000,000 7.25% due 5/15/2004.......... 15,863,672 15,782,850 1.3
118,925,000 7% due 7/15/2006............. 125,654,387 123,552,372 10.2
-------------- -------------- -----
229,716,294 227,062,639 18.7
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT OBLIGATIONS 260,758,540 257,928,515 21.3
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM SECURITIES
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER* 2,707,000 General Motors Acceptance Corp.,
7.50% due 1/02/1997............ 2,706,436 2,706,436 0.2
16,074,000 Lehman Brothers Holdings, 5.70%
due 1/22/1997.................. 16,020,554 16,020,554 1.3
- -------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 18,726,990 18,726,990 1.5
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS............... $1,113,246,593 1,219,672,646 100.7
--------------
--------------
UNREALIZED DEPRECIATION ON
FORWARD FOREIGN EXCHANGE
CONTRACTS++++................... (1,677,215) (0.1)
LIABILITIES IN EXCESS OF OTHER
ASSETS.......................... (6,810,552) (0.6)
-------------- -----
NET ASSETS...................... $1,211,184,879 100.0%
-------------- -----
-------------- -----
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commercial Paper is traded on a discount basis; the interest rates shown
are discount rates paid at the time of purchase by the Portfolio.
(a) American Depositary Receipts (ADR).
(b) Global Depositary Receipts (GDR).
(c) Warrants entitle the Portfolio to purchase a predetermined number of shares
of Common Stock. The purchase price and number of shares are subject to
adjustment under certain conditions until the expiration date.
(d) Created as a result of the merger of Kymmene Corporation and Repola Ltd.
+ Non-income producing security.
++ Subject to principal paydowns.
50
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1996 (Concluded)
- --------------------------------------------------------------------------------
+++ Restricted securities as to resale. The value of the Portfolio's
investment in restricted securities was approximately $1,268,000,
representing 0.1% of net assets.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
VALUE
ISSUE ACQUISITION DATE COST (NOTE 1A)
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Hyundai Engineering & Construction Co., Ltd. (GDR)............... 3/19/1996 $2,642,484 $1,267,500
- --------------------------------------------------------------------------------------------------------------
TOTAL $2,642,484 $1,267,500
---------- ----------
---------- ----------
- --------------------------------------------------------------------------------------------------------------
</TABLE>
++++ Forward foreign exchange contracts as of December 31, 1996 were as
follows:
<TABLE>
<CAPTION>
- --------------------------------------------------------
UNREALIZED
FOREIGN EXPIRATION APPRECIATION
CURRENCY SOLD DATE (DEPRECIATION)
- --------------------------------------------------------
<S> <C> <C> <C>
Chf 11,500,000 January 1997 $ 177,218
DM 22,237,000 January 1997 (139,796)
DM 39,695,469 February 1997 368,956
Frf 70,000,000 January 1997 (82,643)
L 24,115,000 January 1997 (1,909,209)
Y 5,522,000,000 February 1997 (81,741)
- --------------------------------------------------------
TOTAL UNREALIZED DEPRECIATION ON FORWARD FOREIGN
EXCHANGE CONTRACTS -- NET (US$ COMMITMENT-$149,913,071) $ (1,667,215)
--------------
--------------
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
+++++ Corresponding industry groups for foreign stocks and bonds:
<TABLE>
<S> <C> <C>
(1) Appliances (17) Real Estate (33) Railroads
(2) Auto-Parts (18) Retail (34) Automotive
(3) Banking (19) Semiconductors (35) Containers
(4) Beverages (20) Capital Goods (36) Leisure & Entertainment
(5) Chemicals (21) Textiles (37) Investment Management
(6) Telecommunications & Equipment (22) Utilities-Communications (38) Pharmaceuticals
(7) Containers (23) Utilities-Electric (39) Mining
(8) Electrical Equipment (24) Utilities-Water (40) Paper & Forest Products
(9) Electronics (25) Media-Publishing (41) Machinery & Equipment
(10) Financial Services (26) Telecommunications (42) Transportation
(11) Footwear (27) Food Processing (43) Warehouse & Storage
(12) Government (Bonds) (28) Steel (44) Tires & Rubber
(13) Metals (29) Engineering & Construction (45) Diversified
(14) Insurance (30) Petroleum (46) Cruise Lines
(15) Multi-Industry (31) Computers (47) Reinsurance
(16) Oil-Integrated (32) Tobacco
</TABLE>
See Notes to Financial Statements.
51
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE (NOTE PERCENT OF
INDUSTRIES HELD STOCKS COST 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
ALUMINUM 6,000 Alcan Aluminium, Ltd................. $ 148,420 $ 201,750 0.8%
3,900 +Alumax, Inc......................... 128,552 130,163 0.5
2,100 Aluminum Co. of America.............. 115,567 133,875 0.6
------------- ----------- -----
392,539 465,788 1.9
- -------------------------------------------------------------------------------------------------------------------
CHEMICALS 2,300 Air Products & Chemicals, Inc........ 131,548 158,988 0.6
40,000 Asahi Chemical Industry Co., Ltd..... 295,909 226,598 0.9
10,000 BASF AG.............................. 243,405 385,310 1.6
3,300 Dow Chemical Co...................... 227,401 258,638 1.0
4,000 duPont (E.I.) de Nemours & Co........ 227,270 377,500 1.5
------------- ----------- -----
1,125,533 1,407,034 5.6
- -------------------------------------------------------------------------------------------------------------------
DIVERSIFIED RESOURCES 10,000 Asahi Glass Co., Ltd................. 120,000 94,128 0.4
COMPANIES 6,700 Canadian Pacific, Ltd................ 119,319 177,550 0.7
2,700 Coastal Corp......................... 78,702 131,963 0.5
16,000 Cyprus Amax Minerals Co.............. 448,817 374,000 1.5
13,400 Norcen Energy Resources Ltd.......... 215,162 297,343 1.2
11,500 Occidental Petroleum Corp............ 237,878 268,813 1.1
27,400 RGC Ltd.............................. 108,532 121,644 0.5
------------- ----------- -----
1,328,410 1,465,441 5.9
- -------------------------------------------------------------------------------------------------------------------
GOLD 64,000 +....................................
Acacia Resources Ltd. 131,456 124,531 0.5
22,900 +Amax Gold, Inc...................... 136,859 145,988 0.6
9,700 Ashanti Goldfields Co. Ltd.
(GDR)**............................. 237,979 120,038 0.5
12,500 Cambior, Inc......................... 170,092 184,307 0.7
88,000 +Delta Gold N.L...................... 172,875 164,939 0.6
15,500 Driefontein Consolidated Ltd......... 239,913 163,254 0.6
69,000 Great Central Mines N.L.............. 213,855 196,183 0.8
29,900 +Miramar Mining Corp................. 154,324 130,949 0.5
22,000 Newcrest Mining Ltd.................. 94,671 87,362 0.3
10,513 Newmont Mining Corp.................. 447,210 470,457 1.9
22,500 Placer Dome Inc...................... 544,234 489,375 2.0
13,100 Prime Resources Group, Inc........... 128,069 92,752 0.4
51,000 Resolute Ltd......................... 109,929 106,121 0.4
24,000 Santa Fe Pacific Gold Corp........... 295,612 369,000 1.5
10,000 +TVX Gold Inc........................ 81,425 77,500 0.3
------------- ----------- -----
3,158,503 2,922,756 11.6
- -------------------------------------------------------------------------------------------------------------------
METALS & MINING 5,800 ASARCO Inc........................... 155,180 144,275 0.6
135,000 +Centaur Mining & Exploration Ltd.... 202,962 209,073 0.8
14,100 Falconbridge Ltd. (Installment
Receipts) (d)....................... 211,625 201,723 0.8
3,600 Inco Ltd............................. 119,083 114,750 0.5
26,200 Industrias Penoles, S.A. de C.V...... 117,370 92,870 0.4
238,000 M.I.M. Holdings Ltd.................. 487,323 332,674 1.3
17,185 Minsur S.A........................... 55,784 59,771 0.3
54,000 Mitsubishi Materials Corp............ 273,415 218,238 0.9
17,000 Noranda Inc.......................... 317,713 379,088 1.5
19,000 Outokumpu OY......................... 347,398 324,091 1.3
75,600 Pasminco Ltd......................... 102,704 118,882 0.5
5,400 PT Tambang Timah (GDR)** (a)......... 66,782 97,605 0.4
3,600 Phelps Dodge Corp.................... 238,088 243,000 1.0
61,000 QNI Ltd.............................. 122,703 122,569 0.5
26,900 RTZ Corp. PLC (The).................. 350,458 431,672 1.7
3,100 Rio Algom Ltd........................ 60,087 69,241 0.3
205,000 Savage Resources Ltd................. 154,791 224,679 0.9
20,500 Savage Resources Ltd. (Warrants)
(b)................................. 2,720 5,210 0.0
26,000 Sumitomo Metal Mining Co., Ltd....... 216,870 175,354 0.7
19,500 Trelleborg 'B' Fria.................. 254,451 258,951 1.0
80,600 WMC Ltd.............................. 467,844 507,619 2.0
12,000 Westmin Resources Ltd................ 62,778 58,248 0.2
------------- ----------- -----
4,388,129 4,389,583 17.6
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
52
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of December 31, 1996 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE (NOTE PERCENT OF
INDUSTRIES HELD STOCKS (CONTINUED) COST 1A) NET ASSETS
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OIL & GAS PRODUCERS 11,100 Apache Corp.......................... $ 297,018 $ 392,662 1.6%
23,000 +Chauvco Resources Ltd............... 271,708 236,715 1.0
5,400 +Chieftain International, Inc........ 120,561 140,400 0.6
12,300 +Enserch Exploration, Inc............ 122,971 144,525 0.6
35,000 Enterprise Oil PLC................... 228,179 386,213 1.5
20,800 +....................................
Gulf Canada Resources, Ltd. 147,695 151,825 0.6
3,800 Louisiana Land and Exploration Co.
(The)............................... 149,992 203,775 0.8
11,100 Mitchell Energy & Development Corp.
(Class B)........................... 193,975 245,587 1.0
15,000 +Northrock Resources Ltd............. 119,611 134,672 0.5
12,000 +Oryx Energy Co...................... 199,885 297,000 1.2
2,100 PanCanadian Petroleum Ltd............ 79,720 82,927 0.3
49,000 Ranger Oil Ltd....................... 332,530 483,875 1.9
4,300 Sonat, Inc........................... 136,166 221,450 0.9
5,300 Vastar Resources, Inc................ 143,763 201,400 0.8
------------- ----------- -----
2,543,774 3,323,026 13.3
- -------------------------------------------------------------------------------------------------------------------
OIL-INTEGRATED 6,400 Amerada Hess Corp.................... 335,064 370,400 1.5
3,900 Amoco Corp........................... 214,784 313,950 1.3
4,200 British Petroleum Co. PLC (ADR)*..... 320,502 593,775 2.4
8,000 ENI Societa per Azioni (ADR)*........ 374,000 413,000 1.6
10,600 Elf Aquitaine S.A. (ADR)*............ 382,621 479,650 1.9
1,200 OMV AG............................... 128,441 135,328 0.6
14,600 Petro-Canada (Installment Receipts)
(e)................................. 114,275 158,775 0.6
6,900 Repsol, S.A.......................... 199,089 264,588 1.1
7,200 Total, S.A. (Class B)................ 443,124 585,659 2.3
10,200 YPF, S.A. (ADR)*..................... 250,146 257,550 1.0
------------- ----------- -----
2,762,046 3,572,675 14.3
- -------------------------------------------------------------------------------------------------------------------
OIL SERVICES 6,700 +Coflexip Stena Offshore, Inc.
(ADR)*.............................. 138,682 175,037 0.7
5,000 IHC Caland N.V....................... 112,286 285,921 1.1
5,500 +Petroleum Geo-Services ASA (ADR)*... 161,250 213,812 0.9
3,200 Schlumberger Ltd., Inc............... 206,483 319,600 1.3
5,300 +Smedvig ASA (ADR)*.................. 112,625 106,662 0.4
3,700 Transocean Offshore Inc.............. 226,546 231,712 0.9
------------- ----------- -----
957,872 1,332,744 5.3
- -------------------------------------------------------------------------------------------------------------------
PAPER & PULP 14,400 Aracruz Celulose S.A. (ADR)*......... 115,506 118,800 0.5
17,400 Avenor Inc........................... 346,730 257,825 1.0
8,100 Empresa Nacional de Cellulosas S.A... 119,536 96,985 0.4
4,500 Georgia-Pacific Corp................. 352,572 324,000 1.3
5,000 International Paper Co............... 167,987 201,875 0.8
30,000 Metsa Serla OY 'B'................... 262,339 224,897 0.9
8,600 Mo Och Domsjo AB Co.................. 184,768 242,289 1.0
27,000 Slocan Forest Products Ltd........... 272,565 305,474 1.2
4,620 +UPM-Kymmene Corp. (c)............... 82,074 95,370 0.4
9,100 Weyerhaeuser Co...................... 388,514 431,112 1.7
4,000 Willamette Industries, Inc........... 189,875 278,500 1.1
------------- ----------- -----
2,482,466 2,577,127 10.3
- -------------------------------------------------------------------------------------------------------------------
PLANTATIONS 73,000 Golden Hope Plantations BHD.......... 131,880 124,317 0.5
70,000 Kuala Lumpur Kepong BHD.............. 111,705 177,426 0.7
------------- ----------- -----
243,585 301,743 1.2
- -------------------------------------------------------------------------------------------------------------------
REFINING 22,500 Total Petroleum (North America),
Ltd................................. 331,454 233,437 0.9
- -------------------------------------------------------------------------------------------------------------------
STEEL 41,000 British Steel PLC.................... 107,778 112,930 0.5
69,000 +Kobe Steel Ltd...................... 200,421 145,389 0.6
6,900 Koninklijke Nederlandsche Hoogovens
en Staalfabrienken N.V.............. 275,496 287,833 1.1
</TABLE>
53
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of December 31, 1996 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE (NOTE PERCENT OF
INDUSTRIES HELD STOCKS (CONCLUDED) COST 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
STEEL 83,000 Nippon Steel Corp.................... $ 281,181 $ 245,130 1.0%
(CONCLUDED) 127,000 Sumitomo Metal Industries, Ltd....... 396,360 312,565 1.2
------------- ----------- -----
1,261,236 1,103,847 4.4
- -------------------------------------------------------------------------------------------------------------------
WOOD 8,600 Louisiana-Pacific Corp............... 218,816 181,675 0.7
13,900 Riverside Forest Products Ltd........ 183,006 180,599 0.7
------------- ----------- -----
401,822 362,274 1.4
- -------------------------------------------------------------------------------------------------------------------
TOTAL STOCKS 21,377,369 23,457,475 93.7
- -------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SHORT-TERM SECURITIES
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER*** $ 882,000 General Electric Capital Corp., 7.10%
due 1/02/1997....................... 881,652 881,652 3.5
- -------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY 700,000 Federal Home Loan Mortgage
OBLIGATIONS*** Obligations Corp., 5.60% due
1/07/1997........................... 699,238 699,238 2.8
- -------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 1,580,890 1,580,890 6.3
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS.................... $ 22,958,259 25,038,365 100.0
-------------
-------------
LIABILITIES IN EXCESS OF OTHER
ASSETS.............................. (8,925) 0.0
----------- -----
NET ASSETS........................... $25,029,440 100.0%
----------- -----
----------- -----
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
* American Depositary Receipts (ADR).
** Global Depositary Receipts (GDR).
*** Commercial Paper and certain US Government & Agency Obligations are traded
on a discount basis; the interest rates shown are the discount rates paid at
the time of the purchase by the Portfolio
(a) Restricted securities as to resale. The value of the Portfolio's investment
in restricted securities was approximately $98,000, representing 0.4% of
net assets.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
VALUE (NOTE
ISSUE ACQUISITION DATES COST 1A)
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
PT Tambang Timah (GDR)................................................ 10/6/95 - 11/22/95 $ 66,782 $ 97,605
- ------------------------------------------------------------------------------------------------------------------
TOTAL $ 66,782 $ 97,605
--------- -----------
--------- -----------
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
(b) Warrants entitle the Portfolio to purchase a predetermined number of shares
of Common Stock. The purchase price and number of shares are subject to
adjustment under certain conditions until the expiration date.
(c) Created as a result of the merger of Kymmene Corporation and Repola Ltd.
(d) Receipts evidence payment by the Fund of 67% of the purchase price of
common stock of Falconbridge Ltd. The Fund is obligated to pay the
remaining 33%, approximately $97,774, over the next year.
(e) Receipts evidence payment by the Fund of 71% of the purchase price of
common stock of Petro-Canada. The Fund is obligated to pay the remaining
29%, approximately $45,292, over the next year.
See Notes to Financial Statements.
54
<PAGE>
(This page has been left blank intentionally.)
55
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Assets and Liabilities as of December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- -------------------------------------------------------------------------------
ASSETS:
Investments, at value* (Note
1a)......................... $ 98,108,982 $ 289,453,866 $ 231,487,698
Cash.......................... 39 871 44,610
Foreign cash (Note 1f)........ -- 26,842 52,256
Interest receivable........... 803,543 -- 1,187,194
Receivable for securities
sold........................ -- -- --
Receivable for forward foreign
exchange contracts (Note
1e)......................... -- 590,113 1,255,751
Dividends receivable.......... 69,906 492,549 288,981
Receivable for capital shares
sold........................ 27,195 151,517 39,473
Receivable for loaned
securities (Note 7)......... -- -- --
Prepaid registration fees and
other assets (Note 1d)...... 4,978 11,474 9,315
------------ ------------- -------------
Total assets................ 99,014,643 290,727,232 234,365,278
------------ ------------- -------------
LIABILITIES:
Unrealized depreciation on
forward foreign exchange
contracts (Note 1e)......... -- 335,948 823,288
Payable for securities
purchased................... 70,784 441,373 166,746
Payable for capital shares
redeemed.................... 37,614 76,808 423,793
Payable to investment adviser
(Note 2).................... 28,542 83,505 66,621
Payable for forward foreign
exchange contracts (Note
1e)......................... -- -- 48,323
Accrued expenses and other
liabilities................. 24,951 93,529 306,923
------------ ------------- -------------
Total liabilities........... 161,891 1,031,163 1,835,694
------------ ------------- -------------
NET ASSETS.................... $ 98,852,752 $ 289,696,069 $ 232,529,584
------------ ------------- -------------
------------ ------------- -------------
NET ASSETS CONSIST OF:
Common Stock, $0.10 par
value+...................... $ 643,746 $ 1,245,741 $ 1,383,886
Paid-in capital in excess of
par......................... 80,566,708 237,342,506 192,779,297
Undistributed investment
income -- net............... 1,769,753 2,458,189 8,036,323
Undistributed (accumulated)
realized capital gains
(losses) on investments and
foreign currency
transactions -- net (Note
5).......................... 10,123,953 14,653,320 8,721,303
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions --
net......................... 5,748,592 33,996,313 21,608,775
------------ ------------- -------------
NET ASSETS.................... $ 98,852,752 $ 289,696,069 $ 232,529,584
------------ ------------- -------------
------------ ------------- -------------
Capital shares outstanding.... 6,437,463 12,457,413 13,838,863
------------ ------------- -------------
------------ ------------- -------------
Net asset value, offering and
redemption price per
share....................... $ 15.36 $ 23.25 $ 16.80
------------ ------------- -------------
------------ ------------- -------------
*Identified cost.............. $ 92,360,390 $ 255,122,499 $ 209,043,877
------------ ------------- -------------
------------ ------------- -------------
+Authorized shares............ 100,000,000 100,000,000 100,000,000
------------ ------------- -------------
------------ ------------- -------------
</TABLE>
See Notes to Financial Statements.
56
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GROWTH HIGH GOVERNMENT CORPORATE MONEY
STOCK YIELD BOND BOND RESERVE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at value* (Note
1a)......................... $ 242,141,229 $ 122,796,581 $ 218,540,458 $ 116,129,594 $ 560,152,831
Cash.......................... 853 8,092 592 577 15,365
Foreign cash (Note 1f)........ -- -- -- -- --
Interest receivable........... -- 1,905,039 3,517,469 1,921,338 2,246,144
Receivable for securities
sold........................ 2,266,882 -- -- 1,273,300 --
Receivable for forward foreign
exchange contracts (Note
1e)......................... -- -- -- -- --
Dividends receivable.......... 313,511 42,000 -- -- --
Receivable for capital shares
sold........................ 7,091 138 -- -- 2,038,425
Receivable for loaned
securities (Note 7)......... -- -- 200 146 --
Prepaid registration fees and
other assets (Note 1d)...... 9,472 5,482 11,295 6,013 7,183
------------- ------------- ------------- ------------- --------------
Total assets................ 244,739,038 124,757,332 222,070,014 119,330,968 564,459,948
------------- ------------- ------------- ------------- --------------
LIABILITIES:
Unrealized depreciation on
forward foreign exchange
contracts (Note 1e)......... -- -- -- -- --
Payable for securities
purchased................... 2,185,862 987,000 -- 1,249,188 6,494,870
Payable for capital shares
redeemed.................... 1,769,553 52,837 90,836 25,372 78
Payable to investment adviser
(Note 2).................... 70,165 35,169 64,278 34,104 154,592
Payable for forward foreign
exchange contracts (Note
1e)......................... -- -- -- -- --
Accrued expenses and other
liabilities................. 47,753 38,931 51,891 34,326 120,744
------------- ------------- ------------- ------------- --------------
Total liabilities........... 4,073,333 1,113,937 207,005 1,342,990 6,770,284
------------- ------------- ------------- ------------- --------------
NET ASSETS.................... $ 240,665,705 $ 123,643,395 $ 221,863,009 $ 117,987,978 $ 557,689,664
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
NET ASSETS CONSIST OF:
Common Stock, $0.10 par
value+...................... $ 866,032 $ 1,351,153 $ 2,029,906 $ 1,023,440 $ 55,771,980
Paid-in capital in excess of
par......................... 176,096,350 125,937,565 226,303,272 117,233,438 501,947,816
Undistributed investment
income -- net............... 1,522,711 1,062,860 1,322,724 725,913 --
Undistributed (accumulated)
realized capital gains
(losses) on investments and
foreign currency
transactions -- net (Note
5).......................... 26,322,633 (5,753,182) (10,722,726) (1,920,897) --
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions --
net......................... 35,857,979 1,044,999 2,929,833 926,084 (30,132)
------------- ------------- ------------- ------------- --------------
NET ASSETS.................... $ 240,665,705 $ 123,643,395 $ 221,863,009 $ 117,987,978 $ 557,689,664
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
Capital shares outstanding.... 8,660,317 13,511,531 20,299,063 10,234,402 557,719,795
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
Net asset value, offering and
redemption price per
share....................... $ 27.79 $ 9.15 $ 10.93 $ 11.53 $ 1.00
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
*Identified cost.............. $ 206,283,250 $ 121,751,582 $ 215,610,625 $ 115,203,510 $ 560,182,963
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
+Authorized shares............ 100,000,000 100,000,000 100,000,000 100,000,000 2,000,000,000
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
<CAPTION>
MULTIPLE NATURAL
STRATEGY RESOURCES
PORTFOLIO PORTFOLIO
<S> <C> <C>
- ------------------------------
ASSETS:
Investments, at value* (Note
1a)......................... $ 1,219,672,646 $ 25,038,365
Cash.......................... -- 1,245
Foreign cash (Note 1f)........ 118,555 --
Interest receivable........... 7,385,689 --
Receivable for securities
sold........................ 3,392,437 16,943
Receivable for forward foreign
exchange contracts (Note
1e)......................... 2,553,284 --
Dividends receivable.......... 1,540,300 31,062
Receivable for capital shares
sold........................ -- 9,844
Receivable for loaned
securities (Note 7)......... -- --
Prepaid registration fees and
other assets (Note 1d)...... 50,127 1,011
--------------- ------------
Total assets................ 1,234,713,038 25,098,470
--------------- ------------
LIABILITIES:
Unrealized depreciation on
forward foreign exchange
contracts (Note 1e)......... 1,667,215 --
Payable for securities
purchased................... 18,887,159 --
Payable for capital shares
redeemed.................... 425,990 40,324
Payable to investment adviser
(Note 2).................... 349,675 4,194
Payable for forward foreign
exchange contracts (Note
1e)......................... 37,744 --
Accrued expenses and other
liabilities................. 2,160,376 24,512
--------------- ------------
Total liabilities........... 23,528,159 69,030
--------------- ------------
NET ASSETS.................... $ 1,211,184,879 $ 25,029,440
--------------- ------------
--------------- ------------
NET ASSETS CONSIST OF:
Common Stock, $0.10 par
value+...................... $ 7,070,555 $ 272,407
Paid-in capital in excess of
par......................... 1,013,740,107 26,192,157
Undistributed investment
income -- net............... 21,709,430 188,057
Undistributed (accumulated)
realized capital gains
(losses) on investments and
foreign currency
transactions -- net (Note
5).......................... 63,944,949 (3,703,364)
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions --
net......................... 104,719,838 2,080,183
--------------- ------------
NET ASSETS.................... $ 1,211,184,879 $ 25,029,440
--------------- ------------
--------------- ------------
Capital shares outstanding.... 70,705,552 2,724,074
--------------- ------------
--------------- ------------
Net asset value, offering and
redemption price per
share....................... $ 17.13 $ 9.19
--------------- ------------
--------------- ------------
*Identified cost.............. $ 1,113,246,593 $ 22,958,259
--------------- ------------
--------------- ------------
+Authorized shares............ 300,000,000 100,000,000
--------------- ------------
--------------- ------------
</TABLE>
57
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Operations for the Year Ended December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- -----------------------------------------------------------------------------
INVESTMENT INCOME (NOTES 1B &
1C):
Interest and discount
earned*..................... $ 3,133,072 $ 2,178,088 $ 4,480,761
Dividends*.................... 824,264 4,661,976 3,244,486
Other income.................. 1,422 -- 155
------------ ------------ ------------
Total income.................. 3,958,758 6,840,064 7,725,402
------------ ------------ ------------
EXPENSES:
Investment advisory fees (Note
2).......................... 323,758 892,477 741,975
Custodian fees................ 20,229 98,790 120,662
Accounting services (Note
2).......................... 16,093 58,735 50,654
Professional fees............. 7,753 14,246 12,790
Printing and shareholder
reports..................... 3,069 5,176 6,047
Registration fees (Note 1d)... 36 11,608 41
Transfer agent fees (Note
2).......................... 5,011 5,008 5,479
Pricing services.............. 715 -- 4,318
Directors' fees and
expenses.................... 975 2,079 1,787
Interest expense.............. -- -- --
Other......................... 2,492 4,640 5,666
------------ ------------ ------------
Total expenses before
reimbursement............... 380,131 1,092,759 949,419
Reimbursement of expenses
(Note 2).................... -- -- --
------------ ------------ ------------
Expenses after
reimbursement............... 380,131 1,092,759 949,419
------------ ------------ ------------
Investment income -- net...... 3,578,627 5,747,305 6,775,983
------------ ------------ ------------
REALIZED & UNREALIZED GAIN
(LOSS) ON INVESTMENTS &
FOREIGN CURRENCY
TRANSACTIONS -- NET (NOTES
1C, 1E, 1F & 3):
Realized gain (loss) on
investments -- net.......... 10,123,967 13,976,813 12,130,844
Realized gain (loss) on
foreign currency
transactions -- net......... -- 676,527 5,717,944
Change in unrealized
appreciation/depreciation on
investments -- net.......... (4,709,010) 21,343,267 8,986,014
Change in unrealized
appreciation/depreciation on
foreign currency
transactions................ -- (334,683) (4,745,969)
------------ ------------ ------------
Total realized and unrealized
gain (loss) on investments
and foreign currency
transactions -- net......... 5,414,957 35,661,924 22,088,833
------------ ------------ ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS... $ 8,993,584 $ 41,409,229 $ 28,864,816
------------ ------------ ------------
------------ ------------ ------------
*Net of withholding tax....... $ 405 $ 131,902 $ 218,800
------------ ------------ ------------
------------ ------------ ------------
</TABLE>
See Notes to Financial Statements.
58
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GROWTH HIGH GOVERNMENT CORPORATE MONEY MULTIPLE
STOCK YIELD BOND BOND RESERVE STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME (NOTES 1B &
1C):
Interest and discount
earned*..................... $ 768,720 $ 11,093,052 $ 16,493,411 $ 8,778,765 $ 31,184,615 $ 25,208,412
Dividends*.................... 2,779,556 232,057 -- -- -- 17,663,164
Other income.................. -- 71,054 26,010 23,729 -- 99,087
------------ ------------ ------------- ------------ ------------ -------------
Total income.................. 3,548,276 11,396,163 16,519,421 8,802,494 31,184,615 42,970,663
------------ ------------ ------------- ------------ ------------ -------------
EXPENSES:
Investment advisory fees (Note
2).......................... 711,667 367,927 750,063 396,219 1,854,767 3,883,306
Custodian fees................ 24,778 21,258 26,644 23,432 28,337 290,727
Accounting services (Note
2).......................... 49,914 14,144 49,074 27,031 115,232 258,256
Professional fees............. 11,644 9,068 13,545 9,175 43,607 51,299
Printing and shareholder
reports..................... 6,061 3,727 6,938 3,708 15,568 15,789
Registration fees (Note 1d)... 13,187 3,527 43 38 -- 19,004
Transfer agent fees (Note
2).......................... 5,009 4,594 5,009 5,009 -- 5,008
Pricing services.............. 229 6,183 1,675 5,109 -- 2,530
Directors' fees and
expenses.................... 1,557 951 1,803 1,204 -- 9,455
Interest expense.............. -- -- -- -- 454 --
Other......................... 2,375 1,711 3,720 2,199 -- 21,097
------------ ------------ ------------- ------------ ------------ -------------
Total expenses before
reimbursement............... 826,421 433,090 858,514 473,124 2,057,965 4,556,471
Reimbursement of expenses
(Note 2).................... -- -- -- -- -- --
------------ ------------ ------------- ------------ ------------ -------------
Expenses after
reimbursement............... 826,421 433,090 858,514 473,124 2,057,965 4,556,471
------------ ------------ ------------- ------------ ------------ -------------
Investment income -- net...... 2,721,855 10,963,073 15,660,907 8,329,370 29,126,650 38,414,192
------------ ------------ ------------- ------------ ------------ -------------
REALIZED & UNREALIZED GAIN
(LOSS) ON INVESTMENTS &
FOREIGN CURRENCY
TRANSACTIONS -- NET (NOTES
1C, 1E, 1F & 3):
Realized gain (loss) on
investments -- net.......... 26,418,543 (2,249,032) (1,979,485) 920,219 32,716 63,945,017
Realized gain (loss) on
foreign currency
transactions -- net......... -- -- -- -- -- 3,629,899
Change in unrealized
appreciation/depreciation on
investments -- net.......... 8,765,971 4,434,110 (8,361,032) (6,179,230) (271,048) 53,357,529
Change in unrealized
appreciation/depreciation on
foreign currency
transactions................ -- -- -- -- -- (1,704,878)
------------ ------------ ------------- ------------ ------------ -------------
Total realized and unrealized
gain (loss) on investments
and foreign currency
transactions -- net......... 35,184,514 2,185,078 (10,340,517) (5,259,011) (238,332) 119,227,567
------------ ------------ ------------- ------------ ------------ -------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS... $ 37,906,369 $ 13,148,151 $ 5,320,390 $ 3,070,359 $ 28,888,318 $ 157,641,759
------------ ------------ ------------- ------------ ------------ -------------
------------ ------------ ------------- ------------ ------------ -------------
*Net of withholding tax....... $ 24,922 -- -- -- -- $ 696,875
------------ ------------ ------------- ------------ ------------ -------------
------------ ------------ ------------- ------------ ------------ -------------
<CAPTION>
NATURAL
RESOURCES
PORTFOLIO
<S> <C>
- ------------------------------
INVESTMENT INCOME (NOTES 1B &
1C):
Interest and discount
earned*..................... $ 83,947
Dividends*.................... 463,076
Other income.................. --
-----------
Total income.................. 547,023
-----------
EXPENSES:
Investment advisory fees (Note
2).......................... 78,349
Custodian fees................ 35,312
Accounting services (Note
2).......................... 5,528
Professional fees............. 4,709
Printing and shareholder
reports..................... 745
Registration fees (Note 1d)... 331
Transfer agent fees (Note
2).......................... 5,010
Pricing services.............. 4,452
Directors' fees and
expenses.................... 315
Interest expense.............. --
Other......................... 879
-----------
Total expenses before
reimbursement............... 135,630
Reimbursement of expenses
(Note 2).................... (16,501)
-----------
Expenses after
reimbursement............... 119,129
-----------
Investment income -- net...... 427,894
-----------
REALIZED & UNREALIZED GAIN
(LOSS) ON INVESTMENTS &
FOREIGN CURRENCY
TRANSACTIONS -- NET (NOTES
1C, 1E, 1F & 3):
Realized gain (loss) on
investments -- net.......... 1,257,109
Realized gain (loss) on
foreign currency
transactions -- net......... (6,904)
Change in unrealized
appreciation/depreciation on
investments -- net.......... 1,446,535
Change in unrealized
appreciation/depreciation on
foreign currency
transactions................ (407)
-----------
Total realized and unrealized
gain (loss) on investments
and foreign currency
transactions -- net......... 2,696,333
-----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS... $3,124,227
-----------
-----------
*Net of withholding tax....... $ 40,756
-----------
-----------
</TABLE>
59
<PAGE>
- --------------------------------------------------------------------------------
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: 1996 1995 1996 1995
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 3,578,627 $ 3,855,679 $ 5,747,305 $ 4,310,132
Realized gain (loss) on
investments and foreign
currency transactions --
net......................... 10,123,967 1,979,502 14,653,340 36,802,837
Change in unrealized
appreciation/depreciation on
investments................. (4,709,010) 10,823,009 21,343,267 1,642,669
Change in unrealized
appreciation/depreciation on
foreign currency
transactions................ -- -- (334,683) (941)
------------ ------------ ------------- -------------
Net increase in net assets
resulting from operations... 8,993,584 16,658,190 41,409,229 42,754,697
------------ ------------ ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS (NOTE 1G):
Investment income -- net...... (3,754,719) (3,730,461) (5,548,969) (3,382,544)
Realized gain on investments
-- net...................... (1,979,516) (2,637,146) (36,850,216) (14,631,128)
------------ ------------ ------------- -------------
Net decrease in net assets
resulting from dividends and
distributions to
shareholders................ (5,734,235) (6,367,607) (42,399,185) (18,013,672)
------------ ------------ ------------- -------------
CAPITAL SHARE TRANSACTIONS
(NOTE 4):
Net increase (decrease) in net
assets derived from capital
share transactions.......... (1,587,274) 10,996,845 37,729,131 21,568,591
------------ ------------ ------------- -------------
NET ASSETS:
Total increase (decrease) in
net assets.................. 1,672,075 21,287,428 36,739,175 46,309,616
Beginning of year............. 97,180,677 75,893,249 252,956,894 206,647,278
------------ ------------ ------------- -------------
End of year*.................. $ 98,852,752 $ 97,180,677 $ 289,696,069 $ 252,956,894
------------ ------------ ------------- -------------
------------ ------------ ------------- -------------
*Undistributed investment
income -- net (Note 1h)..... $ 1,769,753 $ 1,945,845 $ 2,458,189 $ 2,259,853
------------ ------------ ------------- -------------
------------ ------------ ------------- -------------
</TABLE>
See Notes to Financial Statements.
60
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<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,
------------------------------ ------------------------------ ------------------------------
1996 1995 1996 1995 1996 1995
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 6,775,983 $ 7,504,068 $ 2,721,855 $ 1,128,152 $ 10,963,073 $ 9,814,780
Realized gain (loss) on
investments and foreign
currency transactions --
net......................... 17,848,788 (4,123,221) 26,418,543 4,620,788 (2,249,032) 706,980
Change in unrealized
appreciation/depreciation on
investments................. 8,986,014 13,582,800 8,765,971 35,345,568 4,434,110 4,364,959
Change in unrealized
appreciation/depreciation on
foreign currency
transactions................ (4,745,969) 3,657,038 -- -- -- --
------------- ------------- ------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations... 28,864,816 20,620,685 37,906,369 41,094,508 13,148,151 14,886,719
------------- ------------- ------------- ------------- ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS (NOTE 1G):
Investment income -- net...... (5,458,261) (8,032,457) (1,964,991) (1,291,070) (10,832,795) (9,775,052)
Realized gain on investments
-- net...................... (1,312,483) (3,043,742) (4,499,465) (6,299,419) -- --
------------- ------------- ------------- ------------- ------------- -------------
Net decrease in net assets
resulting from dividends and
distributions to
shareholders................ (6,770,744) (11,076,199) (6,464,456) (7,590,489) (10,832,795) (9,775,052)
------------- ------------- ------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
(NOTE 4):
Net increase (decrease) in net
assets derived from capital
share transactions.......... (2,247,227) (20,354,990) 25,071,360 48,946,799 13,949,891 19,845,461
------------- ------------- ------------- ------------- ------------- -------------
NET ASSETS:
Total increase (decrease) in
net assets.................. 19,846,845 (10,810,504) 56,513,273 82,450,818 16,265,247 24,957,128
Beginning of year............. 212,682,739 223,493,243 184,152,432 101,701,614 107,378,148 82,421,020
------------- ------------- ------------- ------------- ------------- -------------
End of year*.................. $ 232,529,584 $ 212,682,739 $ 240,665,705 $ 184,152,432 $ 123,643,395 $ 107,378,148
------------- ------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- ------------- -------------
*Undistributed investment
income -- net (Note 1h)..... $ 8,036,323 $ 1,000,662 $ 1,522,711 $ 765,847 $ 1,062,860 $ 932,582
------------- ------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- ------------- -------------
</TABLE>
61
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT LONG TERM CORPORATE
BOND PORTFOLIO BOND PORTFOLIO
------------------------------ ------------------------------
FOR THE YEAR FOR THE YEAR
ENDED DECEMBER 31, ENDED DECEMBER 31,
INCREASE (DECREASE) IN NET ------------------------------ ------------------------------
ASSETS: 1996 1995 1996 1995
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 15,660,907 $ 16,310,570 $ 8,329,370 $ 8,599,710
Realized gain (loss) on
investments and foreign
currency transactions --
net......................... (1,979,485) 791,779 920,219 2,060,856
Change in unrealized
appreciation/depreciation on
investments................. (8,361,032) 22,085,928 (6,179,230) 11,337,819
Change in unrealized
appreciation/depreciation on
foreign currency
transactions................ -- -- -- --
------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations... 5,320,390 39,188,277 3,070,359 21,998,385
------------- ------------- ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS (NOTE 1G):
Investment income -- net...... (15,606,904) (16,342,303) (8,263,502) (8,570,923)
Realized gain on investments
-- net...................... -- -- -- --
------------- ------------- ------------- -------------
Net decrease in net assets
resulting from dividends and
distributions to
shareholders................ (15,606,904) (16,342,303) (8,263,502) (8,570,923)
------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
(NOTE 4):
Net increase (decrease) in net
assets derived from capital
share transactions.......... (7,190,485) (2,116,693) (1,851,763) (272,791)
------------- ------------- ------------- -------------
NET ASSETS:
Total increase (decrease) in
net assets.................. (17,476,999) 20,729,281 (7,044,906) 13,154,671
Beginning of year............. 239,340,008 218,610,727 125,032,884 111,878,213
------------- ------------- ------------- -------------
End of year*.................. $ 221,863,009 $ 239,340,008 $ 117,987,978 $ 125,032,884
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
*Undistributed investment
income -- net (Note 1h)..... $ 1,322,724 $ 1,268,721 $ 725,913 $ 660,045
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
62
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NATURAL
RESOURCES
PORTFOLIO
MONEY RESERVE PORTFOLIO MULTIPLE STRATEGY PORTFOLIO ------------
------------------------------ ---------------------------------- FOR THE YEAR
FOR THE YEAR FOR THE YEAR ENDED
ENDED DECEMBER 31, ENDED DECEMBER 31, DECEMBER 31,
------------------------------ ---------------------------------- ------------
1996 1995 1996 1995 1996
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 29,126,650 $ 31,760,188 $ 38,414,192 $ 38,707,984 $ 427,894
Realized gain (loss) on
investments and foreign
currency transactions --
net......................... 32,716 271,802 67,574,916 117,255,473 1,250,205
Change in unrealized
appreciation/depreciation on
investments................. (271,048) 916,942 53,357,529 25,713,410 1,446,535
Change in unrealized
appreciation/depreciation on
foreign currency
transactions................ -- -- (1,704,878) (20,714) (407)
------------- ------------- --------------- --------------- ------------
Net increase in net assets
resulting from operations... 28,888,318 32,948,932 157,641,759 181,656,153 3,124,227
------------- ------------- --------------- --------------- ------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS (NOTE 1G):
Investment income -- net...... (29,126,650) (31,760,188) (42,049,050) (32,928,344) (441,716)
Realized gain on investments
-- net...................... (32,716) (271,802) (113,303,779) (72,889,967) --
------------- ------------- --------------- --------------- ------------
Net decrease in net assets
resulting from dividends and
distributions to
shareholders................ (29,159,366) (32,031,990) (155,352,829) (105,818,311) (441,716)
------------- ------------- --------------- --------------- ------------
CAPITAL SHARE TRANSACTIONS
(NOTE 4):
Net increase (decrease) in net
assets derived from capital
share transactions.......... (10,478,219) (16,470,480) 39,539,413 11,435,787 1,312,192
------------- ------------- --------------- --------------- ------------
NET ASSETS:
Total increase (decrease) in
net assets.................. (10,749,267) (15,553,538) 41,828,343 87,273,629 3,994,703
Beginning of year............. 568,438,931 583,992,469 1,169,356,536 1,082,082,907 21,034,737
------------- ------------- --------------- --------------- ------------
End of year*.................. $ 557,689,664 $ 568,438,931 $ 1,211,184,879 $ 1,169,356,536 $ 25,029,440
------------- ------------- --------------- --------------- ------------
------------- ------------- --------------- --------------- ------------
*Undistributed investment
income -- net (Note 1h)..... -- -- $ 21,709,430 $ 21,714,389 $ 188,057
------------- ------------- --------------- --------------- ------------
------------- ------------- --------------- --------------- ------------
<CAPTION>
1995
<S> <C>
- ------------------------------
OPERATIONS:
Investment income -- net...... $ 484,231
Realized gain (loss) on
investments and foreign
currency transactions --
net......................... 767,873
Change in unrealized
appreciation/depreciation on
investments................. 1,550,026
Change in unrealized
appreciation/depreciation on
foreign currency
transactions................ 440
------------
Net increase in net assets
resulting from operations... 2,802,570
------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS (NOTE 1G):
Investment income -- net...... (474,128)
Realized gain on investments
-- net...................... --
------------
Net decrease in net assets
resulting from dividends and
distributions to
shareholders................ (474,128)
------------
CAPITAL SHARE TRANSACTIONS
(NOTE 4):
Net increase (decrease) in net
assets derived from capital
share transactions.......... (2,748,349)
------------
NET ASSETS:
Total increase (decrease) in
net assets.................. (419,907)
Beginning of year............. 21,454,644
------------
End of year*.................. $ 21,034,737
------------
------------
*Undistributed investment
income -- net (Note 1h)..... $ 208,783
------------
------------
</TABLE>
63
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED PORTFOLIO
---------------------------------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
INCREASE (DECREASE) IN NET ---------------------------------------------------------------------------------------------
ASSET VALUE: 1996 1995 1994 1993 1992
<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........................ $ 14.86 $ 13.27 $ 14.62 $ 13.70 $ 13.29
----------------- -------------- -------- -------- --------
Investment income -- net...... .54 .60 .61 .50 .47
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... .83 2.07 (1.21) 1.35 .38
----------------- -------------- -------- -------- --------
Total from investment
operations.................. 1.37 2.67 (.60) 1.85 .85
----------------- -------------- -------- -------- --------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.57) (.62) (.53) (.75) (.26)
Realized gain on investments
-- net...................... (.30) (.46) (.22) (.18) (.18)
----------------- -------------- -------- -------- --------
Total dividends and
distributions............... (.87) (1.08) (.75) (.93) (.44)
----------------- -------------- -------- -------- --------
Net asset value, end of
year........................ $ 15.36 $ 14.86 $ 13.27 $ 14.62 $ 13.70
----------------- -------------- -------- -------- --------
----------------- -------------- -------- -------- --------
TOTAL INVESTMENT RETURN:*
Based on net asset value per
share....................... 9.76% 21.59% (4.28%) 14.31% 6.67%
----------------- -------------- -------- -------- --------
----------------- -------------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of
reimbursement............... .39% .38% .40% .43% .48%
----------------- -------------- -------- -------- --------
----------------- -------------- -------- -------- --------
Expenses...................... .39% .38% .40% .43% .48%
----------------- -------------- -------- -------- --------
----------------- -------------- -------- -------- --------
Investment income -- net...... 3.63% 4.47% 4.28% 3.72% 4.40%
----------------- -------------- -------- -------- --------
----------------- -------------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands).................. $ 98,853 $ 97,181 $ 75,893 $ 88,018 $ 56,080
----------------- -------------- -------- -------- --------
----------------- -------------- -------- -------- --------
Portfolio turnover............ 234.79% 32.92% 46.94% 25.38% 33.15%
----------------- -------------- -------- -------- --------
----------------- -------------- -------- -------- --------
Average commission rate
paid++...................... $ .0611 -- -- -- --
----------------- -------------- -------- -------- --------
----------------- -------------- -------- -------- --------
</TABLE>
- ---------------
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the year.
++ For fiscal years beginning on or after September 1, 1995, the Fund is
required to disclose its average commission rate per share for purchases
and sales of equity securities. The "Average Commission Rate Paid" includes
commissions paid in foreign currencies, which have been converted into US
dollars using the prevailing exchange rate on the date of the transaction.
Such conversions may significantly affect the rate shown.
See Notes to Financial Statements.
64
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL STOCK PORTFOLIO
-------------------------------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
-------------------------------------------------------------------------------------------
1996+ 1995 1994 1993 1992
<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........................ $ 23.88 $ 21.64 $ 25.73 $ 23.22 $ 23.39
----------------- ------------- ----------------- --------------- -----------------
Investment income -- net...... .46 .41 .29 .33 .39
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... 2.86 3.70 (1.50) 3.41 .16
----------------- ------------- ----------------- --------------- -----------------
Total from investment
operations.................. 3.32 4.11 (1.21) 3.74 .55
----------------- ------------- ----------------- --------------- -----------------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.47) (.34) (.28) (.59) (.20)
Realized gain on investments
-- net...................... (3.48) (1.53) (2.60) (.64) (.52)
----------------- ------------- ----------------- --------------- -----------------
Total dividends and
distributions............... (3.95) (1.87) (2.88) (1.23) (.72)
----------------- ------------- ----------------- --------------- -----------------
Net asset value, end of
year........................ $ 23.25 $ 23.88 $ 21.64 $ 25.73 $ 23.22
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
TOTAL INVESTMENT RETURN:*
Based on net asset value per
share....................... 16.54% 20.73% (5.12%) 17.01% 2.47%
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of
reimbursement............... .40% .41% .39% .38% .41%
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
Expenses...................... .40% .41% .39% .38% .41%
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
Investment income -- net...... 2.11% 1.98% 1.32% 1.43% 1.89%
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands).................. $ 289,696 $ 252,957 $ 206,647 $ 223,971 $ 202,417
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
Portfolio turnover............ 74.30% 130.54% 71.19% 100.12% 74.89%
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
Average commission rate
paid++...................... $ .0264 -- -- -- --
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
<CAPTION>
-----------------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
-----------------------------------------------------------------------------
1996+ 1995+ 1994 1993 1992
<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........................ $ 15.25 $ 14.54 $ 15.42 $ 13.23 $ 13.16
------------- ------------- ------------- ------------- -------------
Investment income -- net...... .47 .52 .47 .36 .39
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... 1.56 .94 (.71) 2.61 (.01)
------------- ------------- ------------- ------------- -------------
Total from investment
operations.................. 2.03 1.46 (.24) 2.97 .38
------------- ------------- ------------- ------------- -------------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.39) (.55) (.41) (.60) (.17)
Realized gain on investments
-- net...................... (.09) (.20) (.23) (.18) (.14)
------------- ------------- ------------- ------------- -------------
Total dividends and
distributions............... (.48) (.75) (.64) (.78) (.31)
------------- ------------- ------------- ------------- -------------
Net asset value, end of
year........................ $ 16.80 $ 15.25 $ 14.54 $ 15.42 $ 13.23
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
TOTAL INVESTMENT RETURN:*
Based on net asset value per
share....................... 13.78% 10.44% (1.62%) 23.73% 3.00%
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of
reimbursement............... .42% .44% .48% .45% .50%
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
Expenses...................... .42% .44% .48% .46% .54%
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
Investment income -- net...... 3.02% 3.59% 3.22% 3.27% 3.84%
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands).................. $ 232,530 $ 212,683 $ 223,493 $ 182,672 $ 52,599
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
Portfolio turnover............ 160.89% 26.81% 27.31% 30.53% 43.56%
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
Average commission rate
paid++...................... $ .0160 -- -- -- --
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
</TABLE>
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the year.
++ For fiscal years beginning on or after September 1, 1995, the Fund is
required to disclose its average commission rate per share for purchases
and sales of equity securities. The "Average Commission Rate Paid" includes
commissions paid in foreign currencies, which have been converted into US
dollars using the prevailing exchange rate on the date of the transaction.
Such conversions may significantly affect the rate shown.
65
<PAGE>
- --------------------------------------------------------------------------------
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: 1996 1995 1994 1993 1992
<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........................ $ 24.06 $ 19.20 $ 24.65 $ 23.98 $ 23.31
----------------- -------------- ----------------- ----------------- -----------------
Investment income -- net...... .32 .15 .31 .32 .26
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... 4.24 6.13 (1.81) 1.63 .53
----------------- -------------- ----------------- ----------------- -----------------
Total from investment
operations.................. 4.56 6.28 (1.50) 1.95 .79
----------------- -------------- ----------------- ----------------- -----------------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.24) (.23) (.30) (.41) (.12)
Realized gain on investments
-- net...................... (.59) (1.19) (3.65) (.87) --
----------------- -------------- ----------------- ----------------- -----------------
Total dividends and
distributions............... (.83) (1.42) (3.95) (1.28) (.12)
----------------- -------------- ----------------- ----------------- -----------------
Net asset value, end of
year........................ $ 27.79 $ 24.06 $ 19.20 $ 24.65 $ 23.98
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
TOTAL INVESTMENT RETURN:*
Based on net asset value per
share....................... 19.57% 35.35% (6.93%) 8.63% 3.40%
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .38% .38% .40% .38% .42%
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
Investment income -- net...... 1.25% .82% 1.53% 1.35% 1.32%
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands).................. $ 240,666 $ 184,152 $ 101,702 $ 122,836 $ 139,062
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
Portfolio turnover............ 78.04% 87.66% 102.96% 160.29% 87.25%
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
Average commission rate
paid++...................... $ .0625 -- -- -- --
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
</TABLE>
- ---------------
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the year.
++ For fiscal years beginning on or after September 1, 1995, the Fund is
required to disclose its average commission rate per share for purchases
and sales of equity securities. The "Average Commission Rate Paid" includes
commissions paid in foreign currencies, which have been converted into US
dollars using the prevailing exchange rate on the date of the transaction.
Such conversions may significantly affect the rate shown.
See Notes to Financial Statements.
66
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD PORTFOLIO
-------------------------------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
-------------------------------------------------------------------------------------------
1996+ 1995+ 1994 1993 1992
<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........................ $ 8.99 $ 8.53 $ 9.68 $ 9.10 $ 8.44
----------------- ------------- -------- --------------- --------
Investment income -- net...... .89 .93 1.00 .94 1.03
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... .16 .46 (1.17) .62 .64
----------------- ------------- -------- --------------- --------
Total from investment
operations.................. 1.05 1.39 (.17) 1.56 1.67
----------------- ------------- -------- --------------- --------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.89) (.93) (.98) (.98) (1.01)
Realized gain on investments
-- net...................... -- -- -- -- --
----------------- ------------- -------- --------------- --------
Total dividends and
distributions............... (.89) (.93) (.98) (.98) (1.01)
----------------- ------------- -------- --------------- --------
Net asset value, end of
year........................ $ 9.15 $ 8.99 $ 8.53 $ 9.68 $ 9.10
----------------- ------------- -------- --------------- --------
----------------- ------------- -------- --------------- --------
TOTAL INVESTMENT RETURN:*
Based on net asset value per
share....................... 12.32% 17.12% (1.88%) 18.11% 20.63%
----------------- ------------- -------- --------------- --------
----------------- ------------- -------- --------------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .39% .38% .41% .43% .44%
----------------- ------------- -------- --------------- --------
----------------- ------------- -------- --------------- --------
Investment income -- net...... 9.77% 10.25% 10.88% 10.17% 11.45%
----------------- ------------- -------- --------------- --------
----------------- ------------- -------- --------------- --------
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands).................. $ 123,643 $ 107,378 $ 82,421 $ 94,739 $ 68,034
----------------- ------------- -------- --------------- --------
----------------- ------------- -------- --------------- --------
Portfolio turnover............ 50.48% 63.39% 63.43% 73.01% 83.95%
----------------- ------------- -------- --------------- --------
----------------- ------------- -------- --------------- --------
Average commission rate
paid++...................... -- -- -- -- --
----------------- ------------- -------- --------------- --------
----------------- ------------- -------- --------------- --------
</TABLE>
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the year.
++ For fiscal years beginning on or after September 1, 1995, the Fund is
required to disclose its average commission rate per share for purchases
and sales of equity securities. The "Average Commission Rate Paid" includes
commissions paid in foreign currencies, which have been converted into US
dollars using the prevailing exchange rate on the date of the transaction.
Such conversions may significantly affect the rate shown.
67
<PAGE>
- --------------------------------------------------------------------------------
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: 1996+ 1995+ 1994+ 1993 1992
<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........................ $ 11.41 $ 10.32 $ 12.02 $ 11.75 $ 11.79
----------------- -------------- ----------------- ----------------- -----------------
Investment income -- net...... .76 .78 .75 .83 .83
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... (.49) 1.10 (1.30) .50 (.04)
----------------- -------------- ----------------- ----------------- -----------------
Total from investment
operations.................. .27 1.88 (.55) 1.33 .79
----------------- -------------- ----------------- ----------------- -----------------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.75) (.79) (.75) (.84) (.83)
Realized gain on investments
-- net...................... -- -- (.39) (.22) --
In excess of realized gain on
investments -- net.......... -- -- (.01) -- --
----------------- -------------- ----------------- ----------------- -----------------
Total dividends and
distributions............... (.75) (.79) (1.15) (1.06) (.83)
----------------- -------------- ----------------- ----------------- -----------------
Net asset value, end of
year........................ $ 10.93 $ 11.41 $ 10.32 $ 12.02 $ 11.75
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
TOTAL INVESTMENT RETURN:*
Based on net asset value per
share....................... 2.61% 18.87% (4.78%) 11.20% 7.03%
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .38% .38% .37% .36% .40%
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
Investment income -- net...... 6.85% 7.22% 6.89% 6.42% 7.03%
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
Investment income -- net, and
realized gain on investments
-- net...................... -- -- -- -- --
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands).................. $ 221,863 $ 239,340 $ 218,611 $ 284,495 $ 269,254
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
Portfolio turnover............ 29.35% 57.38% 140.55% 113.61% 80.54%
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
</TABLE>
- ---------------
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the year.
++ Amount less than $.01 per share.
See Notes to Financial Statements.
68
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LONG TERM CORPORATE BOND PORTFOLIO
-------------------------------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
-------------------------------------------------------------------------------------------
1996+ 1995+ 1994+ 1993 1992
<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........................ $ 12.02 $ 10.72 $ 12.59 $ 12.07 $ 12.06
----------------- ------------- ----------------- --------------- -----------------
Investment income -- net...... .80 .83 .81 .83 .90
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... (.50) 1.30 (1.42) .68 .02
----------------- ------------- ----------------- --------------- -----------------
Total from investment
operations.................. .30 2.13 (.61) 1.51 .92
----------------- ------------- ----------------- --------------- -----------------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.79) (.83) (.82) (.83) (.91)
Realized gain on investments
-- net...................... -- -- (.44) (.16) --
In excess of realized gain on
investments -- net.......... -- -- -- -- --
----------------- ------------- ----------------- --------------- -----------------
Total dividends and
distributions............... (.79) (.83) (1.26) (.99) (.91)
----------------- ------------- ----------------- --------------- -----------------
Net asset value, end of
year........................ $ 11.53 $ 12.02 $ 10.72 $ 12.59 $ 12.07
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
TOTAL INVESTMENT RETURN:*
Based on net asset value per
share....................... 2.77% 20.66% (5.14%) 13.01% 8.05%
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .39% .40% .39% .38% .43%
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
Investment income -- net...... 6.90% 7.32% 7.16% 6.65% 7.51%
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
Investment income -- net, and
realized gain on investments
-- net...................... -- -- -- -- --
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands).................. $ 117,988 $ 125,033 $ 111,878 $ 139,321 $ 126,864
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
Portfolio turnover............ 92.45% 110.49% 134.53% 110.53% 93.10%
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
<CAPTION>
-------------------------------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
-------------------------------------------------------------------------------------------
1996 1995 1994 1993 1992
<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........................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------------- ------------- ----------------- --------------- -----------------
Investment income -- net...... .05 .06 .04 .03 .04
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... -- -- -- -- --
----------------- ------------- ----------------- --------------- -----------------
Total from investment
operations.................. .05 .06 .04 .03 .04
----------------- ------------- ----------------- --------------- -----------------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.05) (.06) (.04) (.03) (.04)
Realized gain on investments
-- net...................... +--+ -- -- -- --
In excess of realized gain on
investments -- net.......... -- -- -- -- --
----------------- ------------- ----------------- --------------- -----------------
Total dividends and
distributions............... (.05) (.06) (.04) (.03) (.04)
----------------- ------------- ----------------- --------------- -----------------
Net asset value, end of
year........................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
TOTAL INVESTMENT RETURN:*
Based on net asset value per
share....................... 5.33% 5.81% 4.04% 3.08% 3.77%
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .36% .35% .36% .36% .39%
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
Investment income -- net...... -- -- -- -- --
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
Investment income -- net, and
realized gain on investments
-- net...................... 5.16% 5.67% 4.00% 3.03% 3.77%
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands).................. $ 557,690 $ 568,439 $ 583,992 $ 546,710 $ 647,190
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
Portfolio turnover............ -- -- -- -- --
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
</TABLE>
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the year.
++ Amount less than $.01 per share.
69
<PAGE>
- --------------------------------------------------------------------------------
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: 1996+ 1995+ 1994+ 1993 1992
<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........................ $ 17.24 $ 16.22 $ 19.84 $ 18.70 $ 18.32
----------------- -------------- ----------------- ----------------- -----------------
Investment income -- net...... .53 .56 .50 .54 .61
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... 1.63 2.03 (1.39) 2.30 .17
----------------- -------------- ----------------- ----------------- -----------------
Total from investment
operations.................. 2.16 2.59 (.89) 2.84 .78
----------------- -------------- ----------------- ----------------- -----------------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.60) (.48) (.57) (.88) (.32)
Realized gain on investments
-- net...................... (1.67) (1.09) (2.16) (.82) (.08)
----------------- -------------- ----------------- ----------------- -----------------
Total dividends and
distributions............... (2.27) (1.57) (2.73) (1.70) (.40)
----------------- -------------- ----------------- ----------------- -----------------
Net asset value, end of
year........................ $ 17.13 $ 17.24 $ 16.22 $ 19.84 $ 18.70
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
TOTAL INVESTMENT RETURN:*
Based on net asset value per
share....................... 14.32% 17.55% (5.05%) 16.66% 4.35%
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of
reimbursement............... .39% .38% .38% .36% .40%
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
Expenses...................... .39% .38% .38% .36% .40%
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
Investment income -- net...... 3.26% 3.44% 2.97% 2.91% 3.26%
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands).................. $ 1,211,185 $ 1,169,357 $ 1,082,083 $ 1,237,336 $ 1,137,022
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
Portfolio turnover............ 143.82% 140.83% 68.12% 91.08% 67.71%
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
Average commission rate
paid++...................... $ .0246 -- -- -- --
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
</TABLE>
- ---------------
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the year.
++ For fiscal years beginning on or after September 1, 1995, the Fund is
required to disclose its average commission rate per share for purchases
and sales of equity securities. The "Average Commission Rate Paid" includes
commissions paid in foreign currencies, which have been converted into US
dollars using the prevailing exchange rate on the date of the transaction.
Such conversions may significantly affect the rate shown.
See Notes to Financial Statements.
70
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NATURAL RESOURCES PORTFOLIO
-------------------------------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
-------------------------------------------------------------------------------------------
1996+ 1995 1994 1993 1992
<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........................ $ 8.17 $ 7.43 $ 7.53 $ 7.01 $ 7.04
-------- ------------- -------- --------------- --------
Investment income -- net...... .16 .17 .17 .13 .21
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... 1.03 .73 (.10) .66 (.12)
-------- ------------- -------- --------------- --------
Total from investment
operations.................. 1.19 .90 .07 .79 .09
-------- ------------- -------- --------------- --------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.17) (.16) (.17) (.27) (.12)
Realized gain on investments
-- net...................... -- -- -- -- --
-------- ------------- -------- --------------- --------
Total dividends and
distributions............... (.17) (.16) (.17) (.27) (.12)
-------- ------------- -------- --------------- --------
Net asset value, end of
year........................ $ 9.19 $ 8.17 $ 7.43 $ 7.53 $ 7.01
-------- ------------- -------- --------------- --------
-------- ------------- -------- --------------- --------
TOTAL INVESTMENT RETURN:*
Based on net asset value per
share....................... 14.72% 12.22% .88% 11.65% 1.35%
-------- ------------- -------- --------------- --------
-------- ------------- -------- --------------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of
reimbursement............... .50% .47% .50% .50% .50%
-------- ------------- -------- --------------- --------
-------- ------------- -------- --------------- --------
Expenses...................... .57% .47% .59% .59% .82%
-------- ------------- -------- --------------- --------
-------- ------------- -------- --------------- --------
Investment income -- net...... 1.79% 1.99% 2.23% 2.00% 2.84%
-------- ------------- -------- --------------- --------
-------- ------------- -------- --------------- --------
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands).................. $ 25,029 $ 21,035 $ 21,455 $ 18,437 $ 7,987
-------- ------------- -------- --------------- --------
-------- ------------- -------- --------------- --------
Portfolio turnover............ 31.29% 38.50% 48.16% 65.26% 32.14%
-------- ------------- -------- --------------- --------
-------- ------------- -------- --------------- --------
Average commission rate
paid++...................... $ .0231 -- -- -- --
-------- ------------- -------- --------------- --------
-------- ------------- -------- --------------- --------
</TABLE>
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the year.
++ For fiscal years beginning on or after September 1, 1995, the Fund is
required to disclose its average commission rate per share for purchases
and sales of equity securities. The "Average Commission Rate Paid" includes
commissions paid in foreign currencies, which have been converted into US
dollars using the prevailing exchange rate on the date of the transaction.
Such conversions may significantly affect the rate shown.
71
<PAGE>
(This page has been left blank intentionally.)
72
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES:
Merrill Lynch Series Fund, Inc. (the "Fund") is registered under the Investment
Company Act of 1940 as a diversified, open-end management investment company,
with the exceptions of Global Strategy Portfolio and Natural Resources
Portfolio, which are classified as non-diversified. The Fund offers its shares
to Merrill Lynch Life Insurance Company, ML Life Insurance Company of New York
(indirect wholly-owned subsidiaries of Merrill Lynch & Co., Inc. ("ML & Co.")
and Monarch Life Insurance Company (an insurance company not affiliated with ML
& Co.) separate accounts to fund benefits under certain variable life insurance
contracts. The following is a summary of significant accounting policies
followed by the Fund.
(A) VALUATION OF INVESTMENTS -- Money Reserve and Multiple Strategy Portfolios:
Investments maturing more than sixty days after the valuation date are valued at
the most recent bid price or yield equivalent as obtained from dealers that make
markets in such securities. When such securities are valued with sixty days or
less to maturity, the difference between the valuation existing on the
sixty-first day before maturity and maturity value is amortized on a
straight-line basis to maturity. Investments maturing within sixty days from
their date of acquisition are valued at amortized cost, which approximates
market value. For the purpose of valuation, the maturity of a variable rate
certificate of deposit is deemed to be the next coupon date on which the
interest rate is to be adjusted.
Balanced, Capital Stock, Global Strategy, Growth Stock, High Yield, Intermediate
Government Bond, Long Term Corporate Bond, Multiple Strategy and Natural
Resources Portfolios: Portfolio securities which are traded on stock exchanges
are valued at the last sale price as of the close of business on the day the
securities are being valued or, lacking any sales, at the closing bid price.
Securities other than money market securities traded in the over-the-counter
market are valued at the last available bid price prior to the time of
valuation. Portfolio securities which are traded both in the over-the-counter
market and on a stock exchange are valued according to the broadest and most
representative market, and it is expected that for debt securities this
ordinarily will be the over-the-counter market. Short-term securities are valued
at amortized cost, which approximates market value.
Options written are valued at the last sale price in the case of exchange-traded
options or, in the case of options traded in the over-the-counter market, the
last asked price. Options purchased are valued at the last sale price in the
case of exchange-traded options or, in the case of options traded in the over-
the-counter market, the last bid price. Futures contracts are valued at
settlement price at the close of the applicable exchange. Securities and assets
for which market quotations are not readily available are valued at fair value
as determined in good faith by or under the direction of the Board of Directors
of the Fund.
(B) INCOME TAXES -- It is the Fund's policy to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to its shareholders.
Therefore, no Federal income tax provision is required. Under the applicable
foreign tax law, a withholding tax may be imposed on interest, dividends and
capital gains at various rates.
(C) SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
recorded on the dates the transactions are entered into (the trade dates).
Dividend income is recorded on the ex-dividend dates. Dividends from foreign
securities where the ex-dividend date may have passed are subsequently recorded
when the Portfolios have determined 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.
73
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
(E) DERIVATIVE FINANCIAL INSTRUMENTS -- The Fund may engage in various portfolio
strategies to seek to increase its return by hedging its portfolio against
adverse movements in the equity, debt and currency markets. Losses may arise due
to changes in the value of the contract or if the counterparty does not perform
under the contract.
- - FOREIGN CURRENCY OPTIONS AND FUTURES -- Certain Portfolios may also 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 Portolios are authorized to write and purchase call and put
options. When a Portfolio writes an option, an amount equal to the premium
received by the Portfolio is reflected as an asset and an equivalent liability.
The amount of the liability is subsequently marked to market to reflect the
current market value of the option written. When a security is purchased or sold
through an exercise of an option, the related premium paid (or received) is
added to (or deducted from) the basis of the security acquired or deducted from
(or added to) the proceeds of the security sold. When an option expires (or the
Portfolio enters into a closing transaction), the Portfolio realizes a gain or
loss on the option to the extent of the premiums received or paid (or gain or
loss to the extent the cost of the closing transaction exceeds the premium paid
or received).
Written and purchased options are non-income producing investments.
- - 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.
74
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
(H) RECLASSIFICATION -- Generally accepted accounting principles require that
certain components of net assets be adjusted to reflect permanent differences
between financial and tax reporting. 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 aggregate average daily value of the ten combined Portfolios' net
assets at the following annual rates: 0.50% of the Fund's average daily net
assets not exceeding $250 million, 0.45% of the next $50 million, 0.40% of the
next $100 million, 0.35% of the next $400 million, and 0.30% of average daily
net assets in excess of $800 million.
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
expenses with respect to each Portfolio, to the extent that these expenses
exceed 0.50% of the Portfolio's average daily net assets.
For the year ended December 31, 1996, the Natural Resources Portfolio was
reimbursed in the amount of $16,501.
Merrill Lynch, Pierce, Fenner & Smith Inc. ("MLPF&S"), a subsidiary of ML & Co.,
earned commissions on the execution of portfolio security transactions
aggregating $2,313 in the Balanced Portfolio, $30,249 in the Capital Stock
Portfolio, $17,809 in the Global Strategy Portfolio, $10,800 in the Growth Stock
Portfolio, $3,750 in the High Yield Portfolio, $87,552 in the Multiple Strategy
Portfolio, and $1,986 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, 1996, Merrill Lynch Security Pricing Service,
an affiliate of MLPF&S, was paid by Balanced Portfolio $303; Global Strategy
Portfolio $123; High Yield Portfolio $3,739; Intermediate Government Portfolio
$1,250; Long-Term Corporate Bond Portfolio $2,381; and Multiple Strategy
Portfolio $360 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, 1996 were as follows:
<TABLE>
<CAPTION>
INTERMEDIATE
GLOBAL GOVERNMENT LONG TERM
BALANCED CAPITAL STOCK STRATEGY GROWTH STOCK HIGH YIELD BOND CORPORATE BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
Total Purchases..... $ 214,837,063 $ 282,527,196 $ 386,989,471 $ 180,400,616 $ 54,096,546 $63,609,640 $ 104,610,164
-------------- -------------- -------------- -------------- ------------ ------------- --------------
-------------- -------------- -------------- -------------- ------------ ------------- --------------
Total Sales......... $ 201,782,433 $ 176,180,450 $ 313,649,795 $ 157,376,222 $ 50,230,717 $64,473,336 $ 102,742,329
-------------- -------------- -------------- -------------- ------------ ------------- --------------
-------------- -------------- -------------- -------------- ------------ ------------- --------------
<CAPTION>
MULTIPLE NATURAL
STRATEGY RESOURCES
PORTFOLIO PORTFOLIO
<S> <C> <C>
- --------------------
Total Purchases..... $ 1,941,739,661 $8,096,252
--------------- ------------
--------------- ------------
Total Sales......... $ 1,407,181,483 $6,962,971
--------------- ------------
--------------- ------------
</TABLE>
75
<PAGE>
- --------------------------------------------------------------------------------
Merrill Lynch Series Fund, Inc.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
As of December 31, 1996, unrealized appreciation/depreciation for Federal income
<TABLE>
<CAPTION>
tax purposes were as follows:
CAPITAL GLOBAL GROWTH HIGH
BALANCED STOCK STRATEGY STOCK YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
Appreciated securities........ $ 6,452,163 $ 40,356,226 $ 28,243,695 $ 38,843,203 $ 5,679,695
Depreciated securities........ (735,801) (6,218,877) (5,817,899) (3,001,166) (4,656,912)
------------ ------------- ------------- ------------- -------------
Net unrealized appreciation
(depreciation).............. $ 5,716,362 $ 34,137,349 $ 22,425,796 $ 35,842,037 $ 1,022,783
------------ ------------- ------------- ------------- -------------
------------ ------------- ------------- ------------- -------------
Cost for Federal income tax
purposes.................... $ 92,392,620 $ 255,316,517 $ 209,061,902 $ 206,299,192 $ 121,773,798
------------ ------------- ------------- ------------- -------------
------------ ------------- ------------- ------------- -------------
Net realized and unrealized gains (losses) as of December 31, 1996 were as follows:
</TABLE>
<TABLE>
<CAPTION>
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO GLOBAL STRATEGY PORTFOLIO
--------------------------- ---------------------------- ----------------------------
REALIZED REALIZED UNREALIZED REALIZED UNREALIZED
GAINS UNREALIZED GAINS GAINS GAINS GAINS
(LOSSES) GAINS (LOSSES) (LOSSES) (LOSSES) (LOSSES)
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
Long-term securities.......... $ 10,126,080 $5,748,592 $ 13,976,669 $ 34,331,367 $ 12,131,634 $ 22,443,821
Short-term securities......... (2,113) -- 144 -- (790) --
Forward foreign exchange
contracts................... -- -- 744,534 (335,948) 5,915,293 (823,288)
Foreign currency
transactions................ -- -- (68,007) 894 (197,349) (11,758)
------------ ----------- ------------ ------------ ------------ ------------
Total......................... $ 10,123,967 $5,748,592 $ 14,653,340 $ 33,996,313 $ 17,848,788 $ 21,608,775
------------ ----------- ------------ ------------ ------------ ------------
------------ ----------- ------------ ------------ ------------ ------------
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares were as follows:
<CAPTION>
---------------------------- ---------------------------
REALIZED
REALIZED UNREALIZED GAINS UNREALIZED
GAINS GAINS (LOSSES) GAINS
<S> <C> <C> <C> <C>
- ------------------------------
Long-term securities.......... $ 26,279,641 $ 35,857,979 $ (2,249,459) $1,044,999
Short-term securities......... 138,902 -- 427 --
Forward foreign exchange
contracts................... -- -- -- --
Foreign currency
transactions................ -- -- -- --
------------ ------------ ------------ -----------
Total......................... $ 26,418,543 $ 35,857,979 $ (2,249,032) $1,044,999
------------ ------------ ------------ -----------
------------ ------------ ------------ -----------
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares
</TABLE>
<TABLE>
<CAPTION>
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO GLOBAL STRATEGY PORTFOLIO
---------------------------- ---------------------------- ----------------------------
FOR THE YEAR ENDED DOLLAR DOLLAR DOLLAR
DECEMBER 31, 1996 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold................... 831,685 $ 12,144,003 1,760,273 $ 37,721,110 1,834,916 $ 28,028,627
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 402,709 5,734,235 2,087,885 42,399,185 457,483 6,770,744
----------- ------------- ----------- ------------- ----------- -------------
Total issued.................. 1,234,394 17,878,238 3,848,158 80,120,295 2,292,399 34,799,371
Shares redeemed............... (1,336,006) (19,465,512) (1,982,012) (42,391,164) (2,401,439) (37,046,598)
----------- ------------- ----------- ------------- ----------- -------------
Net increase (decrease)....... (101,612) $ (1,587,274) 1,866,146 $ 37,729,131 (109,040) $ (2,247,227)
----------- ------------- ----------- ------------- ----------- -------------
----------- ------------- ----------- ------------- ----------- -------------
<CAPTION>
----------------------------
FOR THE YEAR ENDED DOLLAR
DECEMBER 31, 1996 SHARES AMOUNT
<S> <C> <C>
- ------------------------------
Shares sold................... 4,026,810 $ 102,339,591
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 272,693 6,464,456
----------- -------------
Total issued.................. 4,299,503 108,804,047
Shares redeemed............... (3,294,306) (83,732,687)
----------- -------------
Net increase (decrease)....... 1,005,197 $ 25,071,360
----------- -------------
----------- -------------
</TABLE>
<TABLE>
<CAPTION>
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO GLOBAL STRATEGY 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)
----------- ------------- ----------- ------------- ----------- -------------
----------- ------------- ----------- ------------- ----------- -------------
<CAPTION>
----------------------------
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>
76
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GOVERNMENT CORPORATE MONEY MULTIPLE NATURAL
BOND BOND RESERVE STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
Appreciated securities........ $ 4,987,878 $ 1,956,527 $ 62,655 $ 125,972,422 $ 3,471,448
Depreciated securities........ (2,058,045) (1,030,443) (94,362) (20,190,534) (1,393,112)
------------- ------------- ------------- --------------- ------------
Net unrealized appreciation
(depreciation).............. $ 2,929,833 $ 926,084 $ (31,707) $ 105,781,888 $ 2,078,336
------------- ------------- ------------- --------------- ------------
------------- ------------- ------------- --------------- ------------
Cost for Federal income tax
purposes.................... $ 215,610,625 $ 115,203,510 $ 560,184,538 $ 1,113,890,758 $ 22,960,029
------------- ------------- ------------- --------------- ------------
------------- ------------- ------------- --------------- ------------
Net realized and unrealized gains (losses) as of December 31, 1996 were as follows:
</TABLE>
<TABLE>
<CAPTION>
MULTIPLE
INTERMEDIATE GOVERNMENT LONG TERM CORPORATE STRATEGY
BOND PORTFOLIO BOND PORTFOLIO MONEY RESERVE PORTFOLIO PORTFOLIO
--------------------------- ---------------------- ----------------------- ------------
REALIZED
REALIZED UNREALIZED REALIZED UNREALIZED REALIZED UNREALIZED GAINS
LOSSES GAINS GAINS GAINS GAINS LOSSES (LOSSES)
<S> <C> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
Long-term securities.......... $ (1,979,485) $2,929,833 $ 920,219 $926,084 -- -- $ 63,953,817
Short-term securities......... -- -- -- -- $32,716 $ (30,132) (8,800)
Forward foreign exchange
contracts................... -- -- -- -- -- -- 3,472,157
Foreign currency
transactions................ -- -- -- -- -- -- 157,742
------------ ----------- --------- --------- -------- ----------- ------------
Total......................... $ (1,979,485) $2,929,833 $ 920,219 $926,084 $32,716 $ (30,132) $ 67,574,916
------------ ----------- --------- --------- -------- ----------- ------------
------------ ----------- --------- --------- -------- ----------- ------------
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares were as follows:
<CAPTION>
NATURAL RESOURCES PORTFOLIO
---------------------------
UNREALIZED REALIZED
GAINS GAINS UNREALIZED
(LOSSES) (LOSSES) GAINS
<S> <C> <C> <C>
- ------------------------------
Long-term securities.......... $ 106,426,053 $ 1,257,109 $ 2,080,106
Short-term securities......... -- -- --
Forward foreign exchange
contracts................... (1,667,215) -- --
Foreign currency
transactions................ (39,000) (6,904) 77
------------- ----------- ------------
Total......................... $ 104,719,838 $ 1,250,205 $ 2,080,183
------------- ----------- ------------
------------- ----------- ------------
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT BOND LONG TERM CORPORATE BOND
HIGH YIELD PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------- ---------------------------- ----------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold................... 6,533,467 $ 58,786,187 1,107,678 $ 12,231,009 801,725 $ 9,239,683
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 1,207,222 10,832,795 1,428,977 15,606,904 719,303 8,263,502
----------- ------------- ----------- ------------- ----------- -------------
Total issued.................. 7,740,689 69,618,982 2,536,655 27,837,913 1,521,028 17,503,185
Shares redeemed............... (6,167,098) (55,669,091) (3,214,088) (35,028,398) (1,689,020) (19,354,948)
----------- ------------- ----------- ------------- ----------- -------------
Net increase (decrease)....... 1,573,591 $ 13,949,891 (677,433) $ (7,190,485) (167,992) $ (1,851,763)
----------- ------------- ----------- ------------- ----------- -------------
----------- ------------- ----------- ------------- ----------- -------------
<CAPTION>
MONEY RESERVE PORTFOLIO
------------------------------- ----------------------------- ----------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------
Shares sold................... 196,701,637 $ 196,701,637 604,939 $ 9,547,441 1,934,193 $ 16,931,833
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 29,159,633 29,159,633 10,145,152 155,352,829 52,331 441,716
------------- -------------- ----------- -------------- ----------- -------------
Total issued.................. 225,861,270 225,861,270 10,750,091 164,900,270 1,986,524 17,373,549
Shares redeemed............... (236,339,489) (236,339,489) (7,880,674) (125,360,857) (1,838,510) (16,061,357)
------------- -------------- ----------- -------------- ----------- -------------
Net increase (decrease)....... (10,478,219) $ (10,478,219) 2,869,417 $ 39,539,413 148,014 $ 1,312,192
------------- -------------- ----------- -------------- ----------- -------------
------------- -------------- ----------- -------------- ----------- -------------
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT BOND LONG TERM CORPORATE BOND
HIGH YIELD PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------- ---------------------------- ----------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold................... 8,479,805 $ 75,386,693 1,820,237 $ 19,784,758 1,179,723 $ 13,430,499
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 1,107,700 9,775,052 1,510,971 16,342,302 759,176 8,570,923
----------- ------------- ----------- ------------- ----------- -------------
Total issued.................. 9,587,505 85,161,745 3,331,208 36,127,060 1,938,899 22,001,422
Shares redeemed............... (7,315,179) (65,316,284) (3,546,978) (38,243,753) (1,968,331) (22,274,213)
----------- ------------- ----------- ------------- ----------- -------------
Net increase (decrease)....... 2,272,326 $ 19,845,461 (215,770) $ (2,116,693) (29,432) $ (272,791)
----------- ------------- ----------- ------------- ----------- -------------
----------- ------------- ----------- ------------- ----------- -------------
<CAPTION>
MONEY RESERVE PORTFOLIO
------------------------------- ----------------------------- ----------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------
Shares sold................... 211,919,729 $ 211,919,729 979,588 $ 15,902,035 3,592,635 $ 27,917,420
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 32,032,115 32,032,115 7,012,948 105,818,311 61,559 474,128
------------- -------------- ----------- -------------- ----------- -------------
Total issued.................. 243,951,844 243,951,844 7,992,536 121,720,346 3,654,194 28,391,548
Shares redeemed............... (260,422,324) (260,422,324) (6,852,014) (110,284,559) (3,966,476) (31,139,897)
------------- -------------- ----------- -------------- ----------- -------------
Net increase (decrease)....... (16,470,480) $ (16,470,480) 1,140,522 $ 11,435,787 (312,282) $ (2,748,349)
------------- -------------- ----------- -------------- ----------- -------------
------------- -------------- ----------- -------------- ----------- -------------
</TABLE>
77
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Concluded)
- --------------------------------------------------------------------------------
5. CAPITAL LOSS CARRYFORWARDS:
At December 31, 1996, the Fund had capital loss carryforwards of approximately
$3,368,000 in the High Yield Portfolio, of which $3,019,000 expires in 1998, and
$349,000 expires in 1999; $10,426,000 in the Intermediate Government Bond
Portfolio, of which $7,516,000 expires in 2002, $1,088,000 expires in 2003, and
$1,822,000 expires in 2004; $1,921,000 in the Long Term Corporate Bond
Portfolio, all of which expires in 2002; $3,702,000 in the Natural Resources
Portfolio, of which $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. Expired
capital loss carryforward in the amount of $6,550,142 in the Natural Resources
Portfolio has been reclassified to paid-in capital in excess of par.
6. COMMITMENTS:
At December 31, 1996, the Multiple Strategy Portfolio had entered into forward
foreign exchange contracts, in addition to the contracts listed on the Schedule
of Investments, under which it agreed to purchase various foreign currencies
with values of approximately $17,790,000; the Natural Resources Portfolio had
entered into forward foreign exchange contracts, in addition to the contracts
listed on the Schedule of Investments, under which it agreed to sell various
foreign currencies with a value of approximately $17,000.
7. LOANED SECURITIES:
At December 31, 1996, the Intermediate Government Bond Portfolio held US
Treasury Notes having an aggregate value of approximately $6,275,000 as
collateral for portfolio securities loaned having a market value of
approximately $6,033,000; the Long Term Corporate Bond Portfolio held US
Treasury Notes having an aggregate value of approximately $1,046,000 as
collateral for portfolio securities loaned having a market value of
approximately $1,000,000; the Multiple Strategy Portfolio held US Treasury Notes
having an aggregate value of approximately $10,665,000 as collateral for
portfolio securities loaned having a market value of approximately $10,902,000.
8. SUBSEQUENT EVENTS:
On January 2, 1997, the Board of Directors declared dividends and distributions
per share payable on January 2, 1997 and January 9, 1997 to shareholders of
record as of December 31, 1996 and January 2, 1997 as follows:
<TABLE>
<CAPTION>
ORDINARY LONG-TERM
INCOME CAPITAL GAINS
<S> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
PORTFOLIO
Balanced................................................................................. $ .581556 $ 1.271029
Capital Stock............................................................................ .801789 .560750
Global Strategy.......................................................................... .718377 .462216
Growth Stock............................................................................. 1.143922 2.075848
High Yield............................................................................... .078663 --
Intermediate Government Bond............................................................. .065161 --
Long Term Corporate Bond................................................................. .070928 --
Multiple Strategy........................................................................ .684557 .516597
Natural Resources........................................................................ .069097 --
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
78
<PAGE>
- --------------------------------------------------------------------------------
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, 1996, 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, 1996 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, 1996, 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 14, 1997
79
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Directors and Officers
- --------------------------------------------------------------------------------
TERRY K. GLENN-President and Director
JACK B. SUNDERLAND-Director
STEPHEN B. SWENSRUD-Director
J. THOMAS TOUCHTON-Director
NORMAN R. HARVEY-Senior Vice President
N. JOHN HEWITT-Senior Vice President
JOSEPH T. MONAGLE-Senior Vice President
DONALD C. BURKE-Vice President
LAWRENCE R. FULLER-Vice President
JAY C. HARBECK-Vice President
JOEL HEYMSFELD-Vice President
VINCENT T. LATHBURY III-Vice President
PETER A. LEHMAN-Vice President
THOMAS R. ROBINSON-Vice President
JACQUELINE ROGERS-Vice President
ALDONA SCHWARTZ-Vice President
WILLIAM WILDE-Vice President
GERALD M. RICHARD-Treasurer
IRA P. SHAPIRO-Secretary
PRINCIPAL OFFICE OF THE FUND
Box 9011
Princeton, 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
- --------------------------------------------------------------------------------
As of December 31, 1996, N. John Hewitt retired as Senior Vice President of the
Fund. His colleagues at Merrill Lynch Asset Management join the Fund's Board of
Directors in wishing Mr. Hewitt well in his retirement.
- --------------------------------------------------------------------------------
80
<PAGE>
This report is authorized for distribution only to Policyowners of certain
variable life insurance policies which are funded by shares of Merrill Lynch
Series Fund, Inc. This report is not authorized for use as an offer of sale or
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
U.S. Government. Statements and other information herein are as dated and are
subject to change.
59828-12/96
<PAGE>
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<PAGE>
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