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MERRILL LYNCH SERIES FUND, INC.
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SEMI-ANNUAL REPORT
JUNE 30, 1997
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1997
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DEAR SHAREHOLDER:
We are pleased to submit this semi-annual report for Merrill Lynch Series Fund,
Inc., in which we summarize the investment performance of each Portfolio and
outline our views on the investment environment. Performance information for
each Portfolio in Merrill Lynch Series Fund, Inc., excluding the Money Reserves
Portfolio, can be found in the tables on pages 8-10 of this report to
shareholders.
BALANCED PORTFOLIO
As of June 30, 1997, the asset allocation of Balanced Portfolio was: US bonds,
44% of net assets; US stocks, 52%; and cash reserves, 4%.
Our stance toward the US equity market reflected our concern that a slower
growing US economy in upcoming quarters could lead to earnings disappointments.
The largest concentration of assets remained in the financial services,
technology, energy and healthcare sectors. New positions in these sectors
included Intel Corporation and Microsoft Corp. in technology; Nationwide
Financial Services Inc. (Class A) and MGIC Investment Corp. in financial
services; Smith International, Inc. in energy; and Tenet Healthcare Corp. in
healthcare.
In the US bond market, we increased the average duration from 4 years in March
to 7 years as of June 30, 1997. The extension of the duration was in response to
increasing evidence of a slowing US economy. This trend reduced the potential
for an acceleration of inflation, thereby improving the reward/risk relationship
for US fixed-income securities.
CAPITAL STOCK PORTFOLIO
As of June 30, 1997, the asset allocation for Capital Stock Portfolio was:
foreign equities, 20% of net assets; US equities, 74%; and cash reserves, 6%.
We modestly reduced the US equity weighting during the first half of 1997. The
cutback reflected our concern that a slower growing US economy in upcoming
quarters could lead to earnings disappointments. The largest concentration of
assets remained in the financial services, technology, energy and healthcare
sectors. New positions in these sectors included Intel Corporation and Microsoft
Corp. in technology; Nationwide Financial Services Inc. (Class A) and MGIC
Investment Corp. in financial services; Smith International, Inc. in energy; and
Tenet Healthcare Corp. in healthcare.
In the foreign equity sector, new commitments were concentrated in laggard
groups, such as basic materials. Investment additions in this sector included
Broken Hill Proprietary Co., Ltd. in Australia, Rio Tinto PLC in the United
Kingdom, and Sasol Ltd. and De Beers Consolidated Mines Ltd. in South Africa. We
also enlarged the commitment to Japan, where new positions included Amway Japan
Ltd., Autobacs Seven Co., Ltd., Matsushita Electric Works, Ltd. and Sony
Corporation.
GLOBAL STRATEGY PORTFOLIO
As of June 30, 1997, the asset allocation for Global Strategy Portfolio was:
foreign equities, 54% of net assets; US equities, 24%; foreign bonds, 15%; US
bonds, 5%; and cash reserves, 2%.
The major change in the portfolio was the reallocation of assets away from US
stocks and bonds in favor of foreign equities and fixed-income securities. The
proportion of funds allocated to securities outside the US increased from 60% as
of December 31, 1996 to 69% as of June 30, 1997. In increasing the foreign
equity representation, we concentrated on laggard groups such as basic
materials. New commitments in this sector included Broken Hill Proprietary Co.,
Ltd. in Australia, Rio Tinto PLC in the United Kingdom, and Sasol Ltd. and De
Beers Consolidated Mines Ltd. in South Africa. We also enlarged the commitment
to Japan, where new positions included Amway Japan Ltd., Autobacs Seven Co.,
Ltd., Matsushita Electric Works, Ltd. and Sony Corporation.
Our increasingly cautious view of the US equity market reflected our concern
that a slower growing US economy in upcoming quarters could lead to earnings
disappointments. The largest concentration of assets remained in the financial
services, technology, energy and healthcare sectors. New positions
1
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1997 (Continued)
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in these sectors included Intel Corporation and Microsoft Corp. in technology;
Nationwide Financial Services Inc. (Class A) and MGIC Investment Corp. in
financial services; Smith International, Inc. in energy; and Tenet Healthcare
Corp. in healthcare.
Our foreign bond exposure remains concentrated in Europe. Positions included
obligations in government securities in the core markets of Germany and Denmark
and the peripheral markets of Finland, Spain, Italy and Sweden. We also
maintained positions in the bond markets of the United Kingdom, Canada and
Australia. As of June 30, 1997, we hedged our European bond and stock positions,
the Japanese equity holdings, and the positions in Australian stocks and bonds
back into the US dollar, given our expectation of further US dollar strength. As
for the US bond commitment, the average duration was 6 years as of June 30,
1997. The duration was extended from 4 years as of late March, reflecting our
belief that evidence of a slowdown in the US economy improves the reward/risk
relationship for US fixed-income securities.
GROWTH STOCK PORTFOLIO
Growth Stock Portfolio's total returns for the year-to-date and 12 months ended
June 30, 1997 were +21.24% and +31.55%, respectively. Companies contributing
significantly to recent six months Portfolio returns were Pfizer, Inc.,
Microsoft Corp., Gillette Co. (The), Cisco Systems, Inc., Coca-Cola Co., Johnson
& Johnson, Lucent Technologies, Inc., Newbridge Networks Corp.,
Telefonaktiebolaget LM Ericsson, Northern Telecom Ltd., and Procter & Gamble Co.
Cash reserves remained relatively low and was less than 4% of net assets on June
30, 1997.
We modestly changed our investment strategy starting in mid-January 1997. We
increased the Portfolio's exposure to the apparently strengthening cyclical
growth industries of communications equipment, computer software, oil
exploration services and computers. We reduced Portfolio weightings in the
banking and financial, insurance, financial services and food industries. The
most important industry sector at mid-year 1997 was communications equipment at
13.6% of net assets. The majority of the companies in this sector contributed to
the positive investment returns in the first-half of 1997. Pharmaceuticals was
the second largest industry weighting at 12.8% of net assets. The top ten
industries comprised 68% of net assets on June 30, 1997, and the top ten equity
holdings totaled 36.2% of net assets. We continue to focus investments on
large-capitalization, high-quality, global growth companies where we anticipate
that the stock valuations are reasonable relative to our expectations of
above-average growth rates in earnings.
HIGH YIELD PORTFOLIO
The high-yield market performed well during the six months ended June 30, 1997,
despite a weak period in March that was precipitated by a Federal Reserve Board
(FRB) interest rate hike. The unmanaged Credit Suisse First Boston High Yield
Index returned +5.86% for the June period compared to a return of 2.44% for the
ten-year Treasury note.
We believe the high-yield market remains fully valued. Yield spreads relative to
ten-year Treasury notes are near historically tight levels, despite having
widened somewhat following the March interest rate increase. Using the Credit
Suisse First Boston High Yield Index, the average spread between high-yield
issues and Treasury securities was 461 basis points (4.61%) for the five-year
period ended December 1996. The Index spread at June 30, 1997 was 339 basis
points as compared to 312 in early March.
Lofty high-yield valuation levels were supported by both strong technicals and
healthy fundamentals. On the technical side, cash flows into high-yield mutual
funds totaled over $8 billion year-to-date. Additional assets entered the
high-yield market in the form of high-yield collateralized bond obligations,
high-grade corporate funds seeking to enhance yields and new commitments to
high-yield issues by insurance companies and pension funds. Fundamentals also
favored the high-yield market. The economy is healthy, the quality of new-issue
supply has been excellent, and default rates were historically low. The credit
cycle looks likely to remain benign during 1997.
2
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1997 (Continued)
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The spread between BB-rated issues and B-rated issues tightened to 151 basis
points compared to a year-to-date mean of 161 basis points. We expect the mean
to shift, perhaps to 175 basis points or 200 basis points. The dispersion of
spreads among B-rated issues also declined. A strong B-rated issue tends to
trade at a similar spread as a weak B-rated issue. In an investment environment
in which risk premiums are small, we believe it is appropriate to reduce the
Portfolio's exposure to credit risk and thus remain cautious. Therefore, our
strategy sought to reduce risk through upgrading quality with stronger B-rated
issues, which we believe will be less sensitive to widening yield spreads.
At June 30, 1997, our cash equivalent position was 5.8% of net assets. The
average maturity of the Portfolio was 6 years. Major industries in the Portfolio
included: cable/international, 5.4% of net assets; cable/domestic 5.8%; energy,
8.8%; and gaming, 5.1%.
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
At the beginning of the year, FRB Chairman Alan Greenspan cautioned investors
about a possible preemptive strike against inflation. While there were few signs
of accelerating inflation in the current data, he warned that monetary policy
acts with a lag and that it would be easier to tighten policy at that time, as a
precaution, rather than tighten later and more sharply once inflation was
evident. A mid-January rally was halted, and interest rates began to back up at
the beginning of February in anticipation of a central bank move. The FRB
followed through with Chairman Greenspan's warning and tightened policy on March
25. Since the March tightening, economic data have been more benign. Retail
sales fell and inflation remained tame. The yield on the bellwether 30-year
Treasury bond peaked at 7.17% in mid April and then began to drop to its current
level of 6.57%. This rally was fueled by a significant change in expectations
about the economy and the outlook for inflation. In early May, there was
widespread agreement that the FRB was ready for another tightening of monetary
policy, and it was generally assumed that a further tightening would be needed
by July. However, the Consumer Price Index rose only 1.4% for the first five
months of the year, compared with a 3.8% increase over the same period in 1996.
At the same time, retail sales figures continued to decline. As a result, the
May increase in interest rates did not occur, and the bond rally continued to
gain momentum. More recently, the FRB elected to pass again on raising interest
rates at the July meeting.
We began to take a more defensive position in the Portfolio toward the end of
January and reduced the duration from 4.8 years to 4.2 years. In the weeks
following the FRB's March 25, 1997 monetary tightening, the 30-year Treasury
bond yield rose to its peak of 7.17%. We continued to be defensive and brought
the Portfolio's duration to 4.18 years, to seek to protect the Portfolio against
the erosion of net asset value. We took a more optimistic view of market
conditions at the beginning of May, when we began to invest more aggressively,
and by the end of June slightly extended the Portfolio's duration to 4.2 years.
Currently, the average portfolio maturity is 5.5 years.
Because we expect a resumption of strength in the economy in the third and
fourth quarters of 1997, we believe that the FRB may resume a tightening mode in
the second half of the year. With the yield curve remaining relatively flat, we
expect further duration extensions to be moderate.
LONG TERM CORPORATE BOND PORTFOLIO
At the beginning of the year, FRB Chairman Alan Greenspan cautioned investors
about a possible preemptive strike against inflation. While there were few signs
of accelerating inflation in the current data, he warned that monetary policy
acts with a lag and that it would be easier to tighten policy at that time, as a
precaution, rather than tighten later and more sharply once inflation was
evident. A mid-January rally was halted, and interest rates began to back up at
the beginning of February in anticipation of a central bank move. The FRB
followed through with Chairman Greenspan's warning and tightened policy on March
25. Since the March tightening, economic data have been more benign. Retail
sales fell and inflation remained tame. The yield on the bellwether 30-year
Treasury bond peaked at 7.17% in mid April and then began to drop to its current
level of 6.57%. This rally was fueled by a significant change in expectations
about the economy and the outlook for interest rates. In early May, there was
widespread agreement that the FRB was ready for another tightening of monetary
policy, and it was generally assumed that a further tightening would be needed
by July. However,
3
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1997 (Continued)
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the Consumer Price Index rose only 1.4% for the first five months of the year,
compared with a 3.8% increase over the same period in 1996. At the same time,
retail sale figures continued to decline. As a result, the May increase in
interest rates did not occur, and the bond rally continued to gain momentum.
More recently, the FRB elected to pass again on raising interest rates at the
July meeting.
We began to take a more defensive position in the Portfolio toward the end of
January and reduced the duration from 4.76 years to 4.65 years. In the weeks
following the FRB's March 25, 1997 monetary tightening, the 30-year Treasury
bond yield rose to its peak of 7.17%. We continued to be defensive and brought
the Portfolio's duration to 4.46 years, to seek to protect the Portfolio against
the erosion of net asset value. We took a more optimistic view of market
conditions at the beginning of May, when we began to invest more aggressively,
and by the end of June had extended the Portfolio's duration to 4.57 years.
Currently, the average Portfolio maturity is 9.6 years. The average credit
quality remained AA-rated, as measured by Standard & Poor's Corp. Most of the
credit quality risk was taken in financial institutions, followed by industrials
and utilities. We hold underweighted positions in Canadian and Yankee bonds.
Because we expect a resumption of strength in the economy in the third and
fourth quarters of 1997, we believe that the FRB may resume a tightening mode in
the second half of the year. With the yield curve remaining relatively flat, we
expect further duration extensions to be moderate. We do not anticipate any
significant changes in the asset allocation mix during the summer.
MONEY RESERVE PORTFOLIO
For the six-month period ended June 30, 1997, the Money Reserve Portfolio's net
annualized yield was 5.24%.* The Portfolio's 7-day yield as of June 30, 1997 was
5.34%.* The average portfolio maturity was 67 days at June 30, 1997, compared to
56 days at December 31, 1996.
The Portfolio's composition at the end of June and as of our last report is
detailed below:
<TABLE>
<CAPTION>
ISSUE 6/30/97 12/31/96
<S> <C> <C>
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Bank Notes...................................................................................... 5.5% 1.1%
Certificates of Deposit......................................................................... 2.9 1.7
Certificates of Deposit -- Yankee............................................................... 1.8 --
Commercial Paper................................................................................ 50.4 49.7
Corporate Notes................................................................................. 7.3 7.5
Funding Agreements.............................................................................. 1.6 --
Master Notes.................................................................................... 1.8 3.4
Medium-Term Notes............................................................................... 3.4 1.8
US Government Agency & Instrumentality Obligations -- Discount.................................. -- --
US Government Agency & Instrumentality Obligations -- Non-Discount.............................. 25.0 34.9
Repurchase Agreements........................................................................... -- 0.3
Other Assets Less Liabilities (Liabilities in Excess of Other Assets)........................... 0.3 (0.4)
----- -----
Total........................................................................................... 100.0% 100.0%
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</TABLE>
MULTIPLE STRATEGY PORTFOLIO
As of June 30, 1997, the asset allocation for Multiple Strategy Portfolio was:
foreign equities, 21% of net assets; US equities, 50%; foreign bonds, 4%; US
bonds, 22%; and cash reserves, 3%.
We modestly reduced the US equity weighting during the first half of 1997. Our
increasingly cautious view of the US economy reflected our concern that a slower
growing US economy in upcoming quarters could lead to earnings disappointments.
The largest concentration of assets remained in the financial services,
technology, energy and healthcare sectors. New positions in these sectors
included Intel Corporation and Microsoft Corp. in technology; Nationwide
Financial Services Inc. (Class A) and
- ------------
* Based on a constant investment throughout the period, with dividends
compounded daily, and reflecting a net return to the investor after all
expense with the exception of insurance expense.
4
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1997 (Continued)
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MGIC Investment Corp. in financial services; Smith International, Inc. in
energy; and Tenet Healthcare Corp. in healthcare.
In the foreign equity sector, new commitments were concentrated in laggard
groups, such as basic materials. Investment additions in this sector included
Broken Hill Proprietary Co., Ltd. in Australia, Rio Tinto PLC in the United
Kingdom, and Sasol Ltd. and De Beers Consolidated Mines Ltd. in South Africa. We
also enlarged the commitment to Japan, where new positions included Amway Japan
Ltd., Autobacs Seven Co. Ltd., Matsushita Electric Works, Ltd. and Sony
Corporation.
Our foreign bond exposure remained concentrated in Europe. Positions included
obligations in government securities in the core markets of Germany and Denmark
and the peripheral markets of Finland, Spain, Italy and Sweden. Positions are
also maintained in the bond markets of the United Kingdom, Canada and Australia.
As of June 30, 1997, we hedged our European bond and stock positions, the
Japanese equity holdings, and the positions in Australian stocks and bonds back
into the US dollar, given our expectation of further US dollar strength. The
average duration for the US bond commitment was 6 years as of June 30, 1997,
compared to 4 years in late March, reflecting our belief that evidence of a
slowdown in the US economy improves the reward/risk relationship for US
fixed-income securities.
NATURAL RESOURCES PORTFOLIO
The environment for investments in the natural resources industries was mixed
for the six-month period ended June 30, 1997. Investor sentiment for the
resource sector was initially boosted by surprisingly strong growth in the US
economy. While economic growth in the rest of the industrialized nations was
less robust, investors remained hopeful that monetary policy would support an
acceleration of economic activity in these markets. This environment of moderate
global economic growth and modest inflationary pressures encouraged expectations
of an extended economic cycle, which would be positive for the demand outlook
for many basic materials. In response, commodity prices generally trended higher
as supply/demand fundamentals for many commodities strengthened. However, this
positive sentiment moderated somewhat in March and April, as rising US interest
rates led investors to question the sustainability of economic growth rates,
particularly in the United States.
Commodity prices maintained their upward trend over the June period. Base metals
prices, led by aluminum and zinc, extended their gains as inventory levels
continued to be reduced on the major commodity exchanges. There were also some
price increases announced by companies in the steel and paper products areas,
but it is still uncertain whether these will be accepted. After rising
significantly in the fourth quarter of 1996, both oil and natural gas prices
fell sharply through the first quarter of 1997 as inventory levels rose,
primarily in response to weak demand resulting from warmer-than-normal
temperatures across much of the United States. Oil prices have since stabilized,
but remain near their recent lows as inventories continue to build quicker than
expected. Natural gas prices recovered significantly from their lows in March as
inventory levels remain near historical lows. Conversely, gold prices moved
lower on concerns about possible increases in the supply of gold to the
marketplace, particularly from sales by central banks.
The Portfolio's exposure to the paper and forest products sector contributed
positively to returns during the six-month period ended June 30, 1997. Share
prices of companies in this area underperformed our investment universe for the
past two years as commodity prices fell significantly from their highs in 1995.
Currently, there are some indications that commodity prices may be bottoming.
There were several attempts by the industry to implement price increases over
the last six months, but these generally failed. The companies are finally
responding by announcing production downtime for many paper grades in an attempt
to strengthen supply/demand balances. In addition, recent poor pricing is
expected to keep capacity additions limited for most paper grades over the next
few years. This should allow industry fundamentals to improve as operating rates
gradually move higher, thereby giving the industry greater pricing flexibility
in the future. There also was an increasing trend toward consolidation in the
group which we believe should help support a positive turn in industry
prospects. In addition, company managements have been adopting more shareholder-
oriented policies, including share repurchases, debt reduction and an increased
focus on the returns from all capital expenditures.
5
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1997 (Continued)
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Portfolio returns also benefited from our significant exposure to the base
metals sector. Shares prices of companies in this group rose in response to an
improved industry outlook. An acceleration in economic activity boosted the
demand for these materials which, in turn, led to declining inventory levels for
most base metals, particularly aluminum, copper and zinc. Commodity prices of
most base metals rallied in response to this strengthening of industry
supply/demand fundamentals. We expect inventory levels to continue to trend
downward over the next 12 months -- 18 months since demand is likely to remain
strong and limited new supply is expected to come on line. We expect this to
support a favorable pricing environment for most base metals, and could lead to
an improved earnings outlook for many producing companies.
The Portfolio's large exposure to the energy sector, with particular emphasis on
exploration and production companies, also contributed positively to returns
during the six-month period ended June 30, 1997. Share prices of energy-related
companies rose during the period as oil and natural gas prices stabilized and
recovered somewhat from their sharp fall in the first quarter of 1997. The
Portfolio's holdings in non-US energy companies showed particular strength,
after having lagged the strong returns of US energy companies for much of 1996.
Portfolio returns were hurt by our exposure to gold mining stocks. Gold shares
fell as gold prices suffered from continued low inflationary expectations and
investor concerns about possible increases in the supply of gold to the
marketplace, resulting from potential sales by central banks. Gold shares also
suffered from the negative sentiment surrounding the Canadian-based gold
exploration company, Bre-X Minerals Ltd. The shares of Bre-X Minerals Ltd.
collapsed after due-diligence drilling by Freeport-McMoRan Copper and Gold Co.,
their partner in the Busang gold project in Indonesia, found insignificant
amounts of gold. Subsequent testing on this property showed that it would be
uneconomical to develop. As a result, gold shares weakened considerably as
investors reduced the valuation levels they were willing to put on the gold
reserves of these companies. While we believe that the supply/demand
fundamentals in the gold market remain tight, we do not expect gold prices to
move substantially higher in the near term. In the Portfolio, investments in the
gold sector remain focused on low-cost producers with strong production and
reserve growth potentials.
During the six months ended June 30, 1997, we made no significant geographic or
industry allocation changes to the Portfolio. Our primary investment focus
remained in the energy sector, followed by a significant exposure to the base
metals sector. We sold our position in Santa Fe Pacific Gold Corp., which rose
sharply after a merger agreement with Newmont Mining Corp. was signed. We also
used the strength in stock prices in the energy sector as an opportunity to
realize profits in some of our energy holdings which were nearing our price
targets. This included the elimination of our holdings in Vastar Resources,
Inc., Occidental Petroleum Corp. and IHC Caland N.V. In addition, we believe
there is some modest downside risk to oil prices in the near-term as inventories
of crude oil and oil products were building more quickly than expected. We
increased our exposure to the refining and marketing sector through the
purchases of Sun Co. Inc., an energy company, and Ashland Inc., a chemical
conglomerate, both with significant corporate restructuring potential. We also
increased our exposure to the paper and forest products sector by initiating
positions in James River Corp., Stone Container Corp. and Champion International
Corp.
Going forward, 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 strengthen
fundamental supply/demand prospects for most natural resource-related industries
which, in turn, should have positive implications for the earnings of many
resource-related companies.
6
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1997 (Concluded)
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IN CONCLUSION
We appreciate your investment in Merrill Lynch Series Fund, Inc., and we look
forward to sharing our investment outlook and strategies with you in our
December annual report to shareholders.
Sincerely,
[SIG]
Terry K. Glenn
PRESIDENT
August 14, 1997
7
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MERRILL LYNCH SERIES FUND, INC.
Performance Information
June 30, 1997
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RECENT PERFORMANCE RESULTS
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<TABLE>
<CAPTION>
12 MONTH 6 MONTH
6/30/97 12/31/96 6/30/96 % CHANGE % CHANGE
<S> <C> <C> <C> <C> <C>
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BALANCED PORTFOLIO $14.54 $15.36 $14.61 + 8.95%(1) + 3.63%
- -------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO 25.60 23.25 21.37 +22.89(2) +12.96
- -------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO 17.88 16.80 15.36 +19.88(3) + 9.60
- -------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO 29.75 27.79 25.76 +25.36(4) +16.20
- -------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO 9.24 9.15 8.94 + 3.36 + 0.98
- -------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO 10.80 10.93 10.80 + 0.00 - 1.19
- -------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO 11.45 11.53 11.36 + 0.79 - 0.69
- -------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO 17.99 17.13 15.95 +16.48(5) + 8.46(5)
- -------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO 9.50 9.19 8.75 + 8.57 + 3.37
- -------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO -- TOTAL RETURN +15.43(6) + 7.74(7)
- -------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO -- TOTAL RETURN +28.91(8) +17.03(9)
- -------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO -- TOTAL
RETURN +25.28(10) +14.54(10)
- -------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO -- TOTAL RETURN +31.55(11) +21.24(12)
- -------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO -- TOTAL RETURN +14.07(13) + 6.16(14)
- -------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
-- TOTAL RETURN + 7.11(15) + 2.26(16)
- -------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO --
TOTAL RETURN + 8.02(17) + 2.82(18)
- -------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO -- TOTAL
RETURN +23.56(19) +13.01(20)
- -------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO -- TOTAL
RETURN +10.48(21) + 4.16(22)
- -------------------------------------------------------------------------------------------------------
</TABLE>
(1) Percent change includes reinvestment of $1.271 per share capital gains
distributions.
(2) Percent change includes reinvestment of $0.561 per share capital gains
distributions.
(3) Percent change includes reinvestment of $0.462 per share capital gains
distributions.
(4) Percent change includes reinvestment of $2.076 per share capital gains
distributions.
(5) Percent change includes reinvestment of $0.517 per share ordinary income
dividends.
(6) Percent change includes reinvestment of $0.851 per share ordinary income
dividends and $1.271 per share capital gains distributions.
(7) Percent change includes reinvestment of $0.582 per share ordinary income
dividends and $1.271 per share capital gains distributions.
(8) Percent change includes reinvestment of $1.059 per share ordinary income
dividends and $0.561 per share capital gains distributions.
(9) Percent change includes reinvestment of $0.802 per share ordinary income
dividends and $0.561 per share capital gains distributions.
(10) Percent change includes reinvestment of $0.718 per share ordinary income
dividends and $0.462 per share capital gains distributions.
(11) Percent change includes reinvestment of $1.286 per share ordinary income
dividends and $2.076 per share capital gains distributions.
(12) Percent change includes reinvestment of $1.144 per share ordinary income
dividends and $2.076 per share capital gains distributions.
(13) Percent change includes reinvestment of $0.892 per share ordinary income
dividends.
(14) Percent change includes reinvestment of $0.455 per share ordinary income
dividends.
(15) Percent change includes reinvestment of $0.742 per share ordinary income
dividends.
(16) Percent change includes reinvestment of $0.369 per share ordinary income
dividends.
(17) Percent change includes reinvestment of $0.789 per share ordinary income
dividends.
(18) Percent change includes reinvestment of $0.396 per share ordinary income
dividends.
(19) Percent change includes reinvestment of $0.963 per share ordinary income
dividends and $0.517 per share capital gains distributions.
(20) Percent change includes reinvestment of $0.685 per share ordinary income
dividends and $0.517 per share capital gains distributions.
(21) Percent change includes reinvestment of $0.155 per share ordinary income
dividends.
(22) Percent change includes reinvestment of $0.069 per share ordinary income
dividends.
8
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MERRILL LYNCH SERIES FUND, INC.
Performance Information
June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIVE YEARS TEN YEARS
YEAR ENDED ENDED ENDED SINCE INCEPTION TO
6/30/97 6/30/97 6/30/97 6/30/97
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO +15.43% +11.07% -- +11.16%+
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO +28.91 +14.70 +11.32% --
- -----------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO +25.28 +12.05 -- +11.02++
- -----------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +31.55 +18.08 +10.42 --
- -----------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO +14.07 +11.49 +11.24 --
- -----------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 7.11 + 6.72 + 8.17 --
- -----------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO + 8.02 + 7.61 + 8.88 --
- -----------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO +23.56 +12.44 +10.57 --
- -----------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO +10.48 + 9.01 -- +1.83+++
- -----------------------------------------------------------------------------------------------------------------------
</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
6/30/97 6/30/97 6/30/97 6/30/97
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO + 5.39% + 8.66% -- +9.48%+
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO +18.75 +12.33 +9.53% --
- -----------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO +15.15 + 9.65 -- +9.37++
- -----------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +21.36 +15.75 +8.25 --
- -----------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO + 4.04 + 9.11 +9.60 --
- -----------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO - 2.86 + 4.19 +6.53 --
- -----------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO - 1.96 + 5.11 +7.24 --
- -----------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO +13.45 +10.04 +8.85 --
- -----------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO + 0.48 + 6.54 -- -0.25+++
- -----------------------------------------------------------------------------------------------------------------------
</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
June 30, 1997 (Concluded)
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT AVERAGE ANNUALIZED TOTAL RETURNS*
FOR ESTATE INVESTOR I AND II
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIVE YEARS TEN YEARS
YEAR ENDED ENDED ENDED SINCE INCEPTION TO
6/30/97 6/30/97 6/30/97 6/30/97
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO +14.39% +10.07% -- +10.16%+
- ----------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO +27.75 +13.67 +10.25% --
- ----------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO +24.15 +11.05 -- +10.03++
- ----------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +30.36 +17.02 + 9.11 --
- ----------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO +13.04 +10.49 +10.25 --
- ----------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 6.14 + 5.76 + 7.20 --
- ----------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO + 7.04 + 6.64 + 7.90 --
- ----------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO +22.45 +11.43 + 9.56 --
- ----------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO + 9.48 + 8.02 -- + 0.91+++
- ----------------------------------------------------------------------------------------------------------------------
</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: Balanced Portfolio,
-42.81%, -4.18%, 2.13%; Capital Stock Portfolio, -36.13%, -1.05%, 2.87%;
Global Strategy Portfolio, -37.93%, -3.33%, 2.66%; Growth Stock Portfolio,
-34.82%, 1.87%, 1.81%; High Yield Portfolio, -43.48%, -3.82%, 2.87%;
Intermediate Government Bond Portfolio, -46.93%, -7.93%, 0.02%; Long Term
Corporate Bond Portfolio, -46.48%, -7.17%, 0.68%; Multiple Strategy
Portfolio, -38.78%, -2.99%, 2.23%; Natural Resources Portfolio, -45.26%,
-5.96%, -5.85%.
+ 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.
Balanced Portfolio
Schedule of Investments as of June 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
INDUSTRIES AMOUNT BONDS COST (NOTE 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES $ 1,000,000 General Electric Capital Corp.,
8.75% due 5/21/2007.................... $ 1,124,550 $ 1,126,040 1.1%
- ---------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY 1,636,646 Federal Home Loan Mortgage Corp., 7.50%
OBLIGATIONS due 6/01/2007++........................ 1,667,844 1,666,498 1.6
Federal National Mortgage Association++:
1,876,278 6% due 11/01/2000................... 1,857,515 1,850,554 1.8
4,116,568 6% due 6/01/2001.................... 4,074,759 4,041,482 3.9
2,359,625 6% due 2/01/2004.................... 2,331,604 2,328,879 2.3
12,700,000 US Treasury Bonds,
6.625% due 2/15/2027................... 11,917,453 12,426,188 12.0
US Treasury Notes:
9,500,000 6.50% due 5/31/2002................. 9,563,828 9,538,570 9.2
13,500,000 6.625% due 5/15/2007................ 13,579,922 13,611,780 13.2
----------- ------------ -----
44,992,925 45,463,951 44.0
- ---------------------------------------------------------------------------------------------------------------------
TOTAL BONDS 46,117,475 46,589,991 45.1
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES
HELD COMMON STOCKS
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 16,600 AlliedSignal, Inc....................... 1,221,680 1,394,400 1.3
12,200 United Technologies Corp................ 486,564 1,012,600 1.0
----------- ------------ -----
1,708,244 2,407,000 2.3
- ---------------------------------------------------------------------------------------------------------------------
AIRLINES 8,300 +US Airways Group Inc................... 292,069 290,500 0.3
- ---------------------------------------------------------------------------------------------------------------------
APPLIANCES 28,700 Sunbeam Corp., Inc...................... 995,981 1,083,425 1.0
- ---------------------------------------------------------------------------------------------------------------------
AUTOMOBILE RENTAL 30,600 +Hertz Corp. (Class A).................. 987,581 1,101,600 1.1
- ---------------------------------------------------------------------------------------------------------------------
BANKING 21,802 Banc One Corp........................... 958,196 1,056,050 1.0
26,400 Bank of New York Co., Inc............... 682,144 1,148,400 1.1
16,800 BankAmerica Corp........................ 924,373 1,084,650 1.0
5,000 Chase Manhattan Corp.................... 513,885 485,313 0.5
----------- ------------ -----
3,078,598 3,774,413 3.6
- ---------------------------------------------------------------------------------------------------------------------
CHEMICALS 18,000 duPont (E.I.) de Nemours & Co........... 998,888 1,131,750 1.1
- ---------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 14,600 +Cabletron Systems, Inc................. 499,227 413,363 0.4
28,800 First Data Corp......................... 1,036,354 1,265,400 1.2
----------- ------------ -----
1,535,581 1,678,763 1.6
- ---------------------------------------------------------------------------------------------------------------------
COMPUTERS 12,100 +Compaq Computer Corp................... 939,271 1,200,925 1.1
3,100 International Business Machines Corp.... 180,760 279,581 0.3
----------- ------------ -----
1,120,031 1,480,506 1.4
- ---------------------------------------------------------------------------------------------------------------------
CONTAINERS 36,100 +Owens-Illinois, Inc.................... 1,076,705 1,119,100 1.1
- ---------------------------------------------------------------------------------------------------------------------
ELECTRONICS 7,700 Intel Corporation....................... 1,069,900 1,090,031 1.1
- ---------------------------------------------------------------------------------------------------------------------
FERTILIZERS 17,600 IMC Global, Inc......................... 669,304 616,000 0.6
- ---------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 17,000 American Express Company................ 907,118 1,266,500 1.2
25,200 MGIC Investment Corp.................... 955,194 1,208,025 1.2
31,900 Nationwide Financial Services Inc.
(Class A).............................. 865,414 847,344 0.8
----------- ------------ -----
2,727,726 3,321,869 3.2
- ---------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 15,600 Black & Decker Corporation.............. 532,498 580,125 0.6
- ---------------------------------------------------------------------------------------------------------------------
HEALTHCARE-MANAGED CARE 16,500 +Oxford Health Plans, Inc............... 1,030,624 1,183,875 1.1
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
11
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD COMMON STOCKS COST (NOTE 1a) NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INSURANCE 9,900 Aetna Inc............................... $ 765,129 $ 1,013,513 1.0%
15,400 Allstate Corp........................... 676,795 1,124,200 1.1
31,100 +Hartford Life, Inc. (Class A).......... 1,042,999 1,166,250 1.1
16,800 Travelers Group, Inc.................... 904,068 1,059,450 1.0
3,200 Travelers Property Casualty Corp. (Class
A)..................................... 123,860 127,600 0.1
23,500 UNUM Corporation........................ 756,308 987,000 1.0
----------- ------------ -----
4,269,159 5,478,013 5.3
- ---------------------------------------------------------------------------------------------------------------------
LEISURE/TOURISM 36,600 Brunswick Corporation................... 940,006 1,143,750 1.1
5,045 TCI Pacific Communications (Convertible
Preferred)............................. 477,711 517,113 0.5
----------- ------------ -----
1,417,717 1,660,863 1.6
- ---------------------------------------------------------------------------------------------------------------------
MACHINERY 19,800 +American Standard Companies, Inc....... 772,398 886,050 0.9
18,800 Ingersoll-Rand Co....................... 873,021 1,160,900 1.1
----------- ------------ -----
1,645,419 2,046,950 2.0
- ---------------------------------------------------------------------------------------------------------------------
MEDICAL 37,400 +Tenet Healthcare Corp.................. 984,268 1,105,638 1.1
- ---------------------------------------------------------------------------------------------------------------------
NATURAL GAS 19,000 El Paso Natural Gas Co.................. 998,878 1,045,000 1.0
21,600 Enron Corp.............................. 853,409 881,550 0.9
----------- ------------ -----
1,852,287 1,926,550 1.9
- ---------------------------------------------------------------------------------------------------------------------
OIL SERVICES 27,500 Dresser Industries, Inc................. 589,306 1,024,375 1.0
16,700 +Smith International, Inc............... 795,718 1,014,525 1.0
----------- ------------ -----
1,385,024 2,038,900 2.0
- ---------------------------------------------------------------------------------------------------------------------
PAPER 18,000 Kimberly-Clark Corp..................... 691,588 895,500 0.9
- ---------------------------------------------------------------------------------------------------------------------
PETROLEUM 7,400 Pennzoil Co............................. 315,584 567,950 0.6
18,700 Unocal Corp............................. 639,793 725,794 0.7
----------- ------------ -----
955,377 1,293,744 1.3
- ---------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 10,000 Abbott Laboratories..................... 310,600 667,500 0.6
15,800 American Home Products Corporation...... 960,967 1,208,700 1.2
9,900 Merck & Co., Inc........................ 362,956 1,024,650 1.0
----------- ------------ -----
1,634,523 2,900,850 2.8
- ---------------------------------------------------------------------------------------------------------------------
RAILROADS 9,700 Burlington Northern Santa Fe, Inc....... 818,171 871,787 0.8
- ---------------------------------------------------------------------------------------------------------------------
REAL ESTATE 32,000 Prentiss Properties Trust............... 751,272 820,000 0.8
INVESTMENT TRUSTS 15,300 Starwood Lodging Trust.................. 684,848 653,119 0.6
----------- ------------ -----
1,436,120 1,473,119 1.4
- ---------------------------------------------------------------------------------------------------------------------
RETAIL 22,955 Rite Aid Corporation.................... 815,220 1,144,881 1.1
17,600 Sears, Roebuck & Co..................... 724,725 946,000 0.9
----------- ------------ -----
1,539,945 2,090,881 2.0
- ---------------------------------------------------------------------------------------------------------------------
SOFTWARE 21,800 +BMC Software, Inc...................... 871,303 1,207,175 1.2
21,600 Computer Associates International,
Inc.................................... 904,862 1,202,850 1.2
2,600 +Microsoft Corp......................... 282,856 328,737 0.3
13,275 +Oracle Corp............................ 469,930 667,898 0.6
----------- ------------ -----
2,528,951 3,406,660 3.3
- ---------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 18,300 +Airtouch Communications, Inc........... 515,639 500,962 0.5
33,600 +Tele-Communications, Inc. (Class A).... 493,641 497,700 0.5
37,200 +WorldCom, Inc.......................... 975,280 1,188,075 1.1
----------- ------------ -----
1,984,560 2,186,737 2.1
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
12
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of June 30, 1997 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD COMMON STOCKS COST (NOTE 1a) NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
TOBACCO 14,900 Philip Morris Companies, Inc............ $ 566,215 $ 661,187 0.6%
- ---------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 26,700 Carnival Corp. (Class A)................ 790,393 1,101,375 1.1
- ---------------------------------------------------------------------------------------------------------------------
UTILITIES 41,800 Edison International, Inc............... 803,301 1,039,775 1.0
- ---------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS 43,126,748 53,037,486 51.3
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SHORT-TERM SECURITIES
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER* $ 3,014,000 General Motors Acceptance Corp., 6.25%
due 7/01/1997.......................... 3,013,477 3,013,477 2.9
- ---------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 3,013,477 3,013,477 2.9
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS....................... $92,257,700 102,640,954 99.3
-----------
-----------
OTHER ASSETS LESS LIABILITIES........... 706,641 0.7
------------ -----
NET ASSETS.............................. $103,347,595 100.0%
------------ -----
------------ -----
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commercial Paper is traded on a discount basis. The interest rate shown is
the discount rate paid at the time of purchase by the Portfolio.
+ Non-income producing security.
++ Subject to principal paydowns.
See Notes to Financial Statements.
13
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES SHARES HELD US STOCKS & WARRANTS COST (NOTE 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
AEROSPACE & 66,000 AlliedSignal, Inc............................ $ 4,799,130 $ 5,544,000 1.6%
DEFENSE
58,800 United Technologies Corp..................... 2,433,293 4,880,400 1.5
------------ ------------ -----
7,232,423 10,424,400 3.1
- ---------------------------------------------------------------------------------------------------------------------------
AIRLINES 36,000 +US Airways Group Inc........................ 1,266,808 1,260,000 0.4
- ---------------------------------------------------------------------------------------------------------------------------
APPLIANCES 122,900 Sunbeam Corp................................. 4,676,121 4,639,475 1.4
- ---------------------------------------------------------------------------------------------------------------------------
AUTOMOBILE RENTAL 73,100 +Hertz Corp. (Class A)....................... 2,176,390 2,631,600 0.8
- ---------------------------------------------------------------------------------------------------------------------------
BANKING 104,931 Banc One Corp................................ 4,580,850 5,082,595 1.5
96,000 Bank of New York Co. Inc..................... 1,766,630 4,176,000 1.3
15,000 Bank of New York Co., Inc. (Warrants) (a).... 168,750 1,691,250 0.5
87,800 BankAmerica Corp............................. 4,545,997 5,668,588 1.7
23,000 Chase Manhattan Corp......................... 2,361,591 2,232,438 0.7
------------ ------------ -----
13,423,818 18,850,871 5.7
- ---------------------------------------------------------------------------------------------------------------------------
CHEMICALS 80,000 duPont (E.I.) de Nemours & Co................ 4,361,349 5,030,000 1.5
- ---------------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 78,900 +Cabletron Systems, Inc...................... 2,717,138 2,233,856 0.6
103,800 First Data Corp.............................. 3,736,613 4,560,713 1.4
------------ ------------ -----
6,453,751 6,794,569 2.0
- ---------------------------------------------------------------------------------------------------------------------------
COMPUTERS 57,400 +Compaq Computer Corp........................ 4,257,107 5,696,950 1.7
16,000 International Business Machines Corp......... 876,480 1,443,000 0.5
------------ ------------ -----
5,133,587 7,139,950 2.2
- ---------------------------------------------------------------------------------------------------------------------------
CONTAINERS 144,100 +Owens-Illinois, Inc......................... 4,182,158 4,467,100 1.3
- ---------------------------------------------------------------------------------------------------------------------------
ELECTRONICS 32,000 Intel Corporation............................ 4,424,662 4,530,000 1.4
- ---------------------------------------------------------------------------------------------------------------------------
FERTILIZERS 54,300 IMC Global, Inc.............................. 2,033,826 1,900,500 0.6
- ---------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 81,500 American Express Company..................... 3,819,433 6,071,750 1.8
126,000 MGIC Investment Corp......................... 4,763,407 6,040,125 1.8
32,700 Nationwide Financial Services Inc. (Class
A).......................................... 776,510 868,594 0.3
------------ ------------ -----
9,359,350 12,980,469 3.9
- ---------------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 73,200 Black & Decker Corporation................... 2,451,987 2,722,125 0.8
- ---------------------------------------------------------------------------------------------------------------------------
HEALTHCARE-MANAGED CARE 84,000 +Oxford Health Plans, Inc.................... 5,119,135 6,027,000 1.8
- ---------------------------------------------------------------------------------------------------------------------------
INSURANCE 54,500 Aetna Inc.................................... 4,128,720 5,579,438 1.7
85,500 Allstate Corp................................ 2,829,516 6,241,500 1.9
33,200 +Hartford Life, Inc. (Class A)............... 1,077,390 1,245,000 0.4
91,000 Travelers Group, Inc......................... 4,787,323 5,738,688 1.7
14,300 Travelers Property Casualty Corp. (Class
A).......................................... 553,448 570,213 0.2
132,000 UNUM Corporation............................. 4,211,989 5,544,000 1.6
------------ ------------ -----
17,588,386 24,918,839 7.5
- ---------------------------------------------------------------------------------------------------------------------------
LEISURE/TOURISM 153,000 Brunswick Corporation........................ 3,797,230 4,781,250 1.5
32,697 TCI Pacific Communications (Convertible
Preferred).................................. 3,317,815 3,351,443 1.0
------------ ------------ -----
7,115,045 8,132,693 2.5
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
14
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES SHARES HELD US STOCKS & WARRANTS COST (NOTE 1a) NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MACHINERY 81,000 +American Standard Companies, Inc............ $ 2,781,224 $ 3,624,750 1.1%
91,000 Ingersoll-Rand Co............................ 4,095,877 5,619,250 1.7
------------ ------------ -----
6,877,101 9,244,000 2.8
- ---------------------------------------------------------------------------------------------------------------------------
MEDICAL 178,000 +Tenet Healthcare Corp....................... 4,625,117 5,262,125 1.6
- ---------------------------------------------------------------------------------------------------------------------------
NATURAL GAS 91,000 El Paso Natural Gas Co....................... 4,578,330 5,005,000 1.5
112,700 Enron Corp................................... 4,326,642 4,599,569 1.4
------------ ------------ -----
8,904,972 9,604,569 2.9
- ---------------------------------------------------------------------------------------------------------------------------
OIL SERVICES 130,000 Dresser Industries, Inc...................... 3,158,019 4,842,500 1.4
18,000 Schlumberger Ltd............................. 1,519,927 2,250,000 0.7
66,100 +Smith International, Inc.................... 3,006,190 4,015,575 1.2
------------ ------------ -----
7,684,136 11,108,075 3.3
- ---------------------------------------------------------------------------------------------------------------------------
PAPER 100,000 Kimberly-Clark Corp.......................... 3,844,967 4,975,000 1.5
- ---------------------------------------------------------------------------------------------------------------------------
PETROLEUM 34,000 Pennzoil Co.................................. 1,393,924 2,609,500 0.8
92,000 Unocal Corp.................................. 3,097,115 3,570,750 1.1
------------ ------------ -----
4,491,039 6,180,250 1.9
- ---------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 62,600 Abbott Laboratories.......................... 2,563,176 4,178,550 1.3
75,000 American Home Products Corporation........... 4,412,164 5,737,500 1.7
60,300 Merck & Co., Inc............................. 3,669,104 6,241,050 1.9
------------ ------------ -----
10,644,444 16,157,100 4.9
- ---------------------------------------------------------------------------------------------------------------------------
RAILROADS 42,000 Burlington Northern Santa Fe, Inc............ 3,506,168 3,774,750 1.1
- ---------------------------------------------------------------------------------------------------------------------------
REAL ESTATE 117,400 Prentiss Properties Trust.................... 2,455,113 3,008,375 0.9
INVESTMENT TRUSTS 68,700 Starwood Lodging Trust....................... 1,789,747 2,932,631 0.9
------------ ------------ -----
4,244,860 5,941,006 1.8
- ---------------------------------------------------------------------------------------------------------------------------
RETAIL 122,215 Rite Aid Corporation......................... 3,987,535 6,095,473 1.8
108,000 Sears, Roebuck & Co.......................... 4,290,566 5,805,000 1.8
------------ ------------ -----
8,278,101 11,900,473 3.6
- ---------------------------------------------------------------------------------------------------------------------------
SOFTWARE 104,600 +BMC Software, Inc........................... 3,878,245 5,792,225 1.7
90,500 Computer Associates International, Inc....... 3,651,385 5,039,719 1.5
11,000 +Microsoft Corp.............................. 1,132,932 1,390,812 0.4
63,750 +Oracle Corp................................. 2,062,736 3,207,422 1.0
------------ ------------ -----
10,725,298 15,430,178 4.6
- ---------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 90,000 +Airtouch Communications, Inc................ 2,477,743 2,463,750 0.7
110,000 +Tele-Communications, Inc. (Class A)......... 1,580,490 1,629,375 0.5
143,000 +WorldCom, Inc............................... 3,590,978 4,567,062 1.4
------------ ------------ -----
7,649,211 8,660,187 2.6
- ---------------------------------------------------------------------------------------------------------------------------
TOBACCO 62,100 Philip Morris Companies, Inc................. 2,015,206 2,755,687 0.8
- ---------------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 150,000 Carnival Corp. (Class A)..................... 4,272,624 6,187,500 1.9
- ---------------------------------------------------------------------------------------------------------------------------
UTILITIES 240,100 Edison International, Inc.................... 4,578,019 5,972,487 1.8
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS & WARRANTS 189,340,059 245,602,978 74.0
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
15
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
COUNTRY SHARES HELD FOREIGN STOCKS++++ COST (NOTE 1a) NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ARGENTINA 43,700 Yacimientos Petroliferos Fiscales S.A. (YPF)
(ADR)* (22)................................. $ 963,174 $ 1,343,775 0.4%
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ARGENTINA 963,174 1,343,775 0.4
- ---------------------------------------------------------------------------------------------------------------------------
AUSTRALIA 88,000 Broken Hill Proprietary Co., Ltd. (9)........ 1,157,843 1,285,021 0.4
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN AUSTRALIA 1,157,843 1,285,021 0.4
- ---------------------------------------------------------------------------------------------------------------------------
BRAZIL 1,650,000 Companhia Cervejaria Brahma S.A. PN
(Preferred) (4)............................. 943,548 1,256,851 0.4
10,000 Telecomunicacoes Brasileiras S.A.-Telebras
(ADR)* (30)................................. 554,695 1,517,500 0.5
18,500 +Uniao de Banco Brasileiros S.A. (Unibanco)
(GDR)** (3)................................. 624,462 686,812 0.2
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BRAZIL 2,122,705 3,461,163 1.1
- ---------------------------------------------------------------------------------------------------------------------------
CANADA 47,400 Canadian Pacific, Ltd. (19).................. 971,396 1,347,937 0.4
38,600 +Imax Corporation (34)....................... 613,960 940,875 0.3
22,800 Magna International Inc. (Class A) (2)....... 922,477 1,372,275 0.4
15,500 Potash Corp. of Saskatchewan, Inc. (18)...... 1,075,274 1,163,469 0.4
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 3,583,107 4,824,556 1.5
- ---------------------------------------------------------------------------------------------------------------------------
FINLAND 33,000 +Amer Group Ltd. (9)......................... 599,699 604,582 0.2
27,000 Finnlines OY (8)............................. 540,042 827,901 0.2
15,000 Orion-yhtymae OY (Class B) (23).............. 589,147 565,530 0.2
55,100 UPM-Kymmene OY (21).......................... 1,136,242 1,275,119 0.4
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 2,865,130 3,273,132 1.0
- ---------------------------------------------------------------------------------------------------------------------------
FRANCE 17,800 +SGS-Thomson Microelectronics N.V. (NY
Registered Shares) (28)..................... 663,479 1,424,000 0.4
29,000 Scor S.A. (26)............................... 1,128,335 1,167,918 0.4
77,000 Usinor-Sacilor S.A. (17)..................... 1,313,544 1,389,300 0.4
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 3,105,358 3,981,218 1.2
- ---------------------------------------------------------------------------------------------------------------------------
GERMANY 3,000 Henkel KGaA (7).............................. 133,333 159,245 0.0
21,500 Henkel KGaA (Preferred) (7).................. 914,503 1,221,451 0.4
3,000 Mannesmann AG (15)........................... 1,047,357 1,337,656 0.4
20,500 Siemens AG (11).............................. 1,151,542 1,218,165 0.4
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 3,246,735 3,936,517 1.2
- ---------------------------------------------------------------------------------------------------------------------------
HONG KONG 44,400 HSBC Holdings PLC (3)........................ 713,991 1,335,416 0.4
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN HONG KONG 713,991 1,335,416 0.4
- ---------------------------------------------------------------------------------------------------------------------------
INDONESIA 44,600 P.T. Indonesian Satellite Corp.
(ADR)* (30)................................. 1,628,362 1,335,212 0.4
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 1,628,362 1,335,212 0.4
- ---------------------------------------------------------------------------------------------------------------------------
ITALY 109,000 Arnoldo Mondadori Editore S.p.A. (24)........ 920,007 629,598 0.2
89,100 Danieli & Co. Officine Meccaniche S.p.A.
(15)........................................ 350,452 311,832 0.1
18,000 Gucci Group N.V. (NY Registered Shares)
(1)......................................... 1,306,350 1,158,750 0.3
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 2,576,809 2,100,180 0.6
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
16
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
COUNTRY SHARES HELD FOREIGN STOCKS++++ COST (NOTE 1a) NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
JAPAN 17,000 Amway Japan Ltd. (16)........................ $ 652,499 $ 576,221 0.2%
9,000 Autobacs Seven Co., Ltd. (2)................. 621,854 713,899 0.2
59,000 Bridgestone Corporation (32)................. 1,024,171 1,371,014 0.4
49,000 Canon, Inc. (11)............................. 899,111 1,335,546 0.4
66,000 Matsushita Electric Industrial Co., Ltd.
(11)........................................ 1,046,360 1,331,877 0.4
58,000 Matsushita Electric Works, Ltd. (5).......... 660,186 658,688 0.2
211,000 Mistubishi Electric Corp. (10)............... 1,454,844 1,181,541 0.4
170,000 Mistubishi Heavy Industries, Ltd. (11)....... 1,353,739 1,305,408 0.4
89,000 Mitsui-Soko Co., Ltd. (33)................... 789,786 621,220 0.2
13,000 Rohm Co., Ltd. (11).......................... 724,257 1,340,089 0.4
16,000 Sony Corporation (11)........................ 1,174,664 1,396,348 0.4
107,000 Tokio Marine & Fire Insurance Co., Ltd.
(13)........................................ 1,183,026 1,402,114 0.4
206,000 Toray Industries, Inc. (31).................. 1,384,699 1,470,272 0.4
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 12,969,196 14,704,237 4.4
- ---------------------------------------------------------------------------------------------------------------------------
MEXICO 80,000 Grupo Carso, S.A. de C.V. (ADR)* (19)........ 981,625 1,080,000 0.3
42,000 Panamerican Beverages, Inc. (Class A) (4).... 822,730 1,380,750 0.4
27,800 Telefonos de Mexico, S.A. de C.V. (Telmex)
(ADR)* (30)................................. 1,063,355 1,327,450 0.4
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 2,867,710 3,788,200 1.1
- ---------------------------------------------------------------------------------------------------------------------------
NETHERLANDS 72,000 ABN AMRO Holding N.V. (3).................... 1,008,500 1,343,667 0.4
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE NETHERLANDS 1,008,500 1,343,667 0.4
- ---------------------------------------------------------------------------------------------------------------------------
NORWAY 106,000 Color Line ASA (8)........................... 413,416 477,654 0.1
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 413,416 477,654 0.1
- ---------------------------------------------------------------------------------------------------------------------------
PHILIPPINES 436,700 San Miguel Corp. (Class B) (4)............... 1,374,358 1,151,827 0.4
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE PHILIPPINES 1,374,358 1,151,827 0.4
- ---------------------------------------------------------------------------------------------------------------------------
SOUTH AFRICA 30,700 De Beers Consolidated Mines Ltd. (ADR) *
(18)........................................ 1,022,811 1,132,062 0.3
100,000 Sasol Ltd. (9)............................... 1,175,055 1,312,307 0.4
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH AFRICA 2,197,866 2,444,369 0.7
- ---------------------------------------------------------------------------------------------------------------------------
SOUTH KOREA 77,467 +Hyundai Engineering & Construction Co., Ltd.
(GDR)** (12)++.............................. 994,189 319,551 0.1
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH KOREA 994,189 319,551 0.1
- ---------------------------------------------------------------------------------------------------------------------------
SPAIN 32,000 Repsol S.A.(ADR)* (22)....................... 1,052,906 1,358,000 0.4
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 1,052,906 1,358,000 0.4
- ---------------------------------------------------------------------------------------------------------------------------
SWEDEN 63,100 Bure Investment AB (14)...................... 560,956 795,749 0.2
28,400 +Castellum AB (25)........................... 190,519 213,053 0.1
600 Perstorp AB (Class B) (7).................... 10,625 10,632 0.0
49,000 Sparbanken Sverige AB (Class A) (3).......... 632,647 1,090,100 0.3
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 1,394,747 2,109,534 0.6
- ---------------------------------------------------------------------------------------------------------------------------
SWITZERLAND 1,000 ABB AG (6)................................... 1,214,108 1,516,087 0.5
900 Novartis AG (Registered Shares) (23)......... 781,569 1,441,037 0.4
145 Roche Holding AG (23)........................ 1,218,035 1,313,525 0.4
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWITZERLAND 3,213,712 4,270,649 1.3
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
17
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
COUNTRY SHARES HELD FOREIGN STOCKS++++ COST (NOTE 1a) NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
UNITED KINGDOM 108,000 Boots Company PLC (27)....................... $ 1,023,921 $ 1,265,310 0.4%
397,200 British Steel PLC (29)....................... 1,013,968 987,513 0.3
124,000 Grand Metropolitan PLC (9)................... 858,304 1,191,905 0.4
96,000 Imperial Chemical Industries PLC (20)........ 1,352,301 1,331,464 0.4
200,400 LucasVarity PLC (2).......................... 689,342 693,192 0.2
81,000 Rio Tinto PLC (18)........................... 1,208,953 1,409,667 0.4
259,000 Vodafone Group PLC (30)...................... 907,235 1,262,001 0.4
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE UNITED KINGDOM 7,054,024 8,141,052 2.5
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 56,503,838 66,984,930 20.2
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE AMOUNT SHORT-TERM SECURITIES
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER*** $16,165,000 General Motors Acceptance Corp., 6.25% due
7/01/1997................................... 16,162,194 16,162,194 4.9
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 16,162,194 16,162,194 4.9
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS............................ $262,006,091 328,750,102 99.1
------------
------------
UNREALIZED APPRECIATION ON FORWARD
FOREIGN EXCHANGE CONTRACTS+++................ 124,367 0.0
OTHER ASSETS LESS LIABILITIES................ 3,024,308 0.9
------------ -----
NET ASSETS................................... $331,898,777 100.0%
------------ -----
------------ -----
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Warrants entitle the Portfolio to purchase a predetermined number of
shares of common stock. The purchase price and number of shares are
subject to adjustment under certain conditions until the expiration date.
* American Depositary Receipts (ADR).
** Global Depositary Receipts (GDR).
*** Commercial Paper is traded on a discount basis; the interest rate shown is
the discount rate paid at the time of purchase by the Portfolio.
+ Non-income producing security.
++ The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
+++ Forward foreign exchange contracts as of June 30, 1997 were as follows:
<TABLE>
<CAPTION>
- ----------------------------------------------
UNREALIZED
APPRECIATION
FOREIGN CURRENCY EXPIRATION (DEPRECIATION)
SOLD DATE (NOTE 1e)
- ----------------------------------------------
<C> <S> <C>
A$ 1,540,000 July 1997 $ 3,166
Chf 6,200,000 July 1997 76,892
DM 9,480,000 July 1997 52,597
Fim 16,700,000 July 1997 13,896
Frf 21,700,000 July 1997 35,737
L 5,100,000 August 1997 22,018
Lit 3,875,000,000 July 1997 16,748
Pta 204,000,000 July 1997 19,290
Skr 14,000,000 July 1997 6,556
Y 1,740,000,000 July 1997 (122,533)
- ----------------------------------------------
TOTAL UNREALIZED APPRECIATION ON
FORWARD FOREIGN
EXCHANGE CONTRACTS-NET (US$
COMMITMENT-$47,071,046) $ 124,367
----------
----------
- ----------------------------------------------
</TABLE>
18
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1997 (Concluded)
- --------------------------------------------------------------------------------
++++ Corresponding industry groups for foreign stocks and warrants:
<TABLE>
<S> <C> <C>
(1) Apparel (12) Engineering & Construction (23) Pharmaceuticals
(2) Auto-Parts (13) Insurance (24) Publishing
(3) Banking (14) Investment Management (25) Real Estate
(4) Beverages (15) Machinery & Equipment (26) Reinsurance
(5) Building Products (16) Merchandising (27) Retail
(6) Capital Goods (17) Metals (28) Semiconductors
(7) Chemicals (18) Mining (29) Steel
(8) Cruise Lines (19) Multi-Industry (30) Telecommunications
(9) Diversified (20) Oil-Integrated (31) Textiles
(10) Electrical Equipment (21) Paper & Forest Products (32) Tires & Rubber
(11) Electronics (22) Petroleum (33) Warehouse & Storage
(34) Entertainment
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS COST (NOTE 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 8,000 AlliedSignal, Inc. ..................... $ 588,800 $ 672,000 0.3%
14,000 United Technologies Corp. .............. 439,209 1,162,000 0.4
------------ ------------ -----
1,028,009 1,834,000 0.7
- ----------------------------------------------------------------------------------------------------------------------
AIRLINES 9,500 +US Airways Group Inc. ................. 334,296 332,500 0.1
- ----------------------------------------------------------------------------------------------------------------------
APPLIANCES 31,500 Sunbeam Corp. .......................... 1,197,750 1,189,125 0.4
- ----------------------------------------------------------------------------------------------------------------------
AUTOMOBILE RENTAL 19,900 +Hertz Corp. (Class A) ................. 590,839 716,400 0.3
- ----------------------------------------------------------------------------------------------------------------------
BANKING 29,148 Banc One Corp. ......................... 1,273,048 1,411,832 0.5
28,000 Bank of New York Co. Inc. .............. 731,500 1,218,000 0.5
12,000 BankAmerica Corp. ...................... 614,513 774,750 0.3
7,000 Chase Manhattan Corp. .................. 718,728 679,438 0.3
------------ ------------ -----
3,337,789 4,084,020 1.6
- ----------------------------------------------------------------------------------------------------------------------
CHEMICALS 20,000 duPont (E.I.) de Nemours & Co. ......... 1,090,052 1,257,500 0.5
- ----------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 22,100 +Cabletron Systems, Inc. ............... 761,737 625,706 0.2
36,000 First Data Corp. ....................... 1,289,781 1,581,750 0.6
------------ ------------ -----
2,051,518 2,207,456 0.8
- ----------------------------------------------------------------------------------------------------------------------
COMPUTERS 12,300 +Compaq Computer Corp. ................. 912,854 1,220,775 0.5
5,000 International Business Machines
Corp. ................................. 274,740 450,938 0.2
------------ ------------ -----
1,187,594 1,671,713 0.7
- ----------------------------------------------------------------------------------------------------------------------
CONTAINERS 37,900 +Owens-Illinois, Inc. .................. 1,097,902 1,174,900 0.4
- ----------------------------------------------------------------------------------------------------------------------
ELECTRONICS 9,500 Intel Corporation ...................... 1,313,738 1,344,844 0.5
- ----------------------------------------------------------------------------------------------------------------------
FERTILIZERS 10,200 IMC Global, Inc. ....................... 393,358 357,000 0.1
- ----------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 21,500 American Express Company ............... 1,028,286 1,601,750 0.6
29,600 MGIC Investment Corp. .................. 1,130,683 1,418,950 0.5
10,300 Nationwide Financial Services Inc.
(Class A) ............................. 244,737 273,594 0.1
------------ ------------ -----
2,403,706 3,294,294 1.2
- ----------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 27,000 Black & Decker Corporation ............. 901,890 1,004,063 0.4
- ----------------------------------------------------------------------------------------------------------------------
HEALTHCARE-MANAGED CARE 21,000 +Oxford Health Plans, Inc. ............. 1,297,813 1,506,750 0.6
- ----------------------------------------------------------------------------------------------------------------------
INSURANCE 11,000 Aetna Inc. ............................. 848,911 1,126,125 0.4
20,800 Allstate Corp. ......................... 910,366 1,518,400 0.6
8,700 +Hartford Life, Inc. (Class A) ......... 282,331 326,250 0.1
26,000 Travelers Group, Inc. .................. 1,376,302 1,639,625 0.6
3,800 Travelers Property Casualty Corp. (Class
A) .................................... 147,077 151,525 0.1
34,000 UNUM Corporation ....................... 1,082,210 1,428,000 0.5
------------ ------------ -----
4,647,197 6,189,925 2.3
- ----------------------------------------------------------------------------------------------------------------------
LEISURE/TOURISM 41,000 Brunswick Corporation .................. 1,022,290 1,281,250 0.5
11,284 TCI Pacific Communications (Convertible
Preferred) ............................ 1,030,418 1,156,610 0.4
------------ ------------ -----
2,052,708 2,437,860 0.9
- ----------------------------------------------------------------------------------------------------------------------
MACHINERY 24,000 +American Standard Companies, Inc. ..... 785,202 1,074,000 0.4
26,000 Ingersoll-Rand Co. ..................... 1,170,297 1,605,500 0.6
------------ ------------ -----
1,955,499 2,679,500 1.0
- ----------------------------------------------------------------------------------------------------------------------
MEDICAL 50,000 +Tenet Healthcare Corp. ................ 1,303,661 1,478,125 0.6
- ----------------------------------------------------------------------------------------------------------------------
NATURAL GAS 22,000 El Paso Natural Gas Co. ................ 1,116,188 1,210,000 0.5
27,300 Enron Corp. ............................ 1,020,884 1,114,181 0.4
------------ ------------ -----
2,137,072 2,324,181 0.9
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
20
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS COST (NOTE 1a) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OIL SERVICES 36,000 Dresser Industries, Inc. ............... $ 742,806 $ 1,341,000 0.5%
5,000 Schlumberger Ltd. ...................... 394,050 625,000 0.2
17,400 +Smith International, Inc. ............. 794,052 1,057,050 0.4
------------ ------------ -----
1,930,908 3,023,050 1.1
- ----------------------------------------------------------------------------------------------------------------------
PAPER 27,600 Kimberly-Clark Corp. ................... 1,059,908 1,373,100 0.5
- ----------------------------------------------------------------------------------------------------------------------
PETROLEUM 9,000 Pennzoil Co. ........................... 356,750 690,750 0.3
22,000 Unocal Corp. ........................... 734,608 853,875 0.3
------------ ------------ -----
1,091,358 1,544,625 0.6
- ----------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 13,900 Abbott Laboratories .................... 571,188 927,825 0.4
19,000 American Home Products Corporation ..... 1,117,543 1,453,500 0.5
15,200 Merck & Co., Inc. ...................... 562,012 1,573,200 0.6
------------ ------------ -----
2,250,743 3,954,525 1.5
- ----------------------------------------------------------------------------------------------------------------------
RAILROADS 11,000 Burlington Northern Santa Fe, Inc. ..... 918,861 988,625 0.4
- ----------------------------------------------------------------------------------------------------------------------
REAL ESTATE 26,700 Prentiss Properties Trust .............. 543,761 684,188 0.3
INVESTMENT TRUSTS 22,150 Starwood Lodging Trust ................. 583,207 945,528 0.3
------------ ------------ -----
1,126,968 1,629,716 0.6
- ----------------------------------------------------------------------------------------------------------------------
RETAIL 27,465 Rite Aid Corporation ................... 911,608 1,369,817 0.5
28,000 Sears, Roebuck & Co. ................... 1,295,833 1,505,000 0.6
------------ ------------ -----
2,207,441 2,874,817 1.1
- ----------------------------------------------------------------------------------------------------------------------
SOFTWARE 28,800 +BMC Software, Inc. .................... 1,119,737 1,594,800 0.6
22,900 Computer Associates International, Inc.. 930,184 1,275,244 0.5
3,000 +Microsoft Corp. ....................... 309,009 379,312 0.1
16,550 +Oracle Corp. .......................... 504,360 832,672 0.3
------------ ------------ -----
2,863,290 4,082,028 1.5
- ----------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 24,000 +Airtouch Communications, Inc. ......... 676,576 657,000 0.3
13,000 +Tele-Communications, Inc. (Class A) ... 186,771 192,562 0.1
36,000 +WorldCom, Inc. ........................ 901,722 1,149,750 0.4
------------ ------------ -----
1,765,069 1,999,312 0.8
- ----------------------------------------------------------------------------------------------------------------------
TOBACCO 16,500 Philip Morris Companies, Inc. .......... 549,858 732,187 0.3
- ----------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 39,000 Carnival Corp. (Class A) ............... 1,110,553 1,608,750 0.6
- ----------------------------------------------------------------------------------------------------------------------
UTILITIES 53,000 Edison International, Inc. ............. 988,391 1,318,375 0.5
- ----------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS 48,185,739 62,213,266 23.5
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
COUNTRY FOREIGN STOCKS++
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
ARGENTINA 90,000 Yaciementos Petroliferos Fiscales S.A.
(YPF) (ADR)* (24)...................... 2,029,393 2,767,500 1.0
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ARGENTINA 2,029,393 2,767,500 1.0
- ----------------------------------------------------------------------------------------------------------------------
AUSTRALIA 200,000 Broken Hill Proprietary Co., Ltd. (10).. 2,631,462 2,920,502 1.1
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN AUSTRALIA 2,631,462 2,920,502 1.1
- ----------------------------------------------------------------------------------------------------------------------
BRAZIL 3,500,000 Companhia Cervejaria Brahma S.A. PN
(Preferred) (4)........................ 1,997,953 2,666,047 1.0
20,800 Telecomunicacoes Brasileiras S.A.-
Telebras (ADR)* (32)................... 1,117,293 3,156,400 1.2
37,000 +Uniao de Bancos Brasileiros S.A.
(Unibanco) (GDR)** (3)................. 1,248,880 1,373,625 0.5
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BRAZIL 4,364,126 7,196,072 2.7
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
21
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRY HELD FOREIGN STOCKS++ COST (NOTE 1a) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CANADA 113,000 Canadian Pacific, Ltd. (21)............. $ 2,133,360 $ 3,213,437 1.2%
73,600 +Imax Corporation (36) ................. 1,171,835 1,794,000 0.7
53,000 Magna International Inc. (Class A) (2).. 2,417,720 3,189,937 1.2
34,900 Potash Corp of Saskatchewan, Inc.
(20)................................... 2,495,230 2,619,681 1.0
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 8,218,145 10,817,055 4.1
- ----------------------------------------------------------------------------------------------------------------------
FINLAND 65,000 +Amer Group Ltd. (10)................... 1,181,497 1,190,844 0.4
50,000 Finnlines OY (9)........................ 923,284 1,533,151 0.6
30,000 Orion-yhtymae OY (Class B) (25)......... 1,178,334 1,131,060 0.4
121,000 UPM-Kymmene OY (23)..................... 2,526,040 2,800,170 1.1
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 5,809,155 6,655,225 2.5
- ----------------------------------------------------------------------------------------------------------------------
FRANCE 42,600 +SGS-Thomson Microelectronics N.V.
(NY Registered Shares) (30)............ 1,563,091 3,408,000 1.3
67,000 Scor S.A. (28).......................... 2,619,355 2,698,293 1.0
153,000 Usinor-Sacilor S.A. (19)................ 2,412,086 2,760,558 1.1
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 6,594,532 8,866,851 3.4
- ----------------------------------------------------------------------------------------------------------------------
GERMANY 4,000 Henkel KGaA (8)......................... 177,789 212,326 0.1
36,000 Henkel KGaA (Preferred) (8)............. 1,529,763 2,045,220 0.8
6,900 Mannesmann AG (17)...................... 1,957,449 3,076,610 1.2
50,600 Siemens AG (12)......................... 2,406,021 3,006,789 1.1
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 6,071,022 8,340,945 3.2
- ----------------------------------------------------------------------------------------------------------------------
HONG KONG 112,800 HSBC Holdings PLC (3)................... 1,767,488 3,392,678 1.3
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN HONG KONG 1,767,488 3,392,678 1.3
- ----------------------------------------------------------------------------------------------------------------------
INDONESIA 79,450 P.T. Indonesian Satellite Corp. (ADR)*
(32)................................... 2,730,318 2,378,534 0.9
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 2,730,318 2,378,534 0.9
- ----------------------------------------------------------------------------------------------------------------------
ITALY 200,000 Arnoldo Mondadori Editore S.p.A. (26)... 1,688,035 1,155,226 0.4
431,000 Danieli & Co. Officine Meccaniche
S.p.A. (17)............................ 1,590,085 1,508,411 0.6
40,000 Gucci Group N.V. (NY Registered Shares)
(1).................................... 2,902,966 2,575,000 1.0
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 6,181,086 5,238,637 2.0
- ----------------------------------------------------------------------------------------------------------------------
JAPAN 37,000 Amway Japan Ltd. (18)................... 1,419,100 1,254,128 0.5
17,000 Autobacs Seven Co., Ltd. (2)............ 1,174,683 1,348,476 0.5
124,000 Bridgestone Corporation (34)............ 2,149,127 2,881,454 1.1
103,000 Canon, Inc. (12)........................ 1,733,499 2,807,373 1.1
165,000 Maeda Corp. (5)......................... 1,668,260 926,837 0.3
154,000 Matsushita Electric Industrial Co., Ltd.
(12)................................... 2,451,049 3,107,714 1.2
124,000 Matsushita Electric Works, Ltd. (6)..... 1,411,454 1,408,229 0.5
398,000 Mitsubishi Electric Corp. (11).......... 2,524,065 2,228,689 0.8
414,000 Mitsubishi Heavy Industries, Ltd. (12).. 2,671,797 3,179,051 1.2
245,000 Mitsui-Soko Co., Ltd. (35).............. 2,105,369 1,710,099 0.6
187,000 Okumura Corp. (5)....................... 1,557,500 991,605 0.4
34,000 Rohm Co. Ltd. (12)...................... 1,915,392 3,504,848 1.3
32,000 Sony Corporation (12)................... 2,349,329 2,792,697 1.1
257,000 Tokio Marine and Fire Insurance Co.,
Ltd. (15).............................. 2,992,990 3,367,695 1.3
443,000 Toray Industries, Inc. (33)............. 2,909,401 3,161,798 1.2
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 31,033,015 34,670,693 13.1
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
22
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRY HELD FOREIGN STOCKS++ COST (NOTE 1a) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MEXICO 150,000 Grupo Carso, S.A. de C.V. (ADR)* (21) $ 2,203,406 $ 2,025,000 0.8%
95,000 Panamerican Beverages, Inc.
(Class A) (4).......................... 1,944,520 3,123,125 1.2
61,000 Telefonos de Mexico, S.A. de C.V.
(Telmex) (ADR)* (32)................... 2,324,962 2,912,750 1.1
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 6,472,888 8,060,875 3.1
- ----------------------------------------------------------------------------------------------------------------------
NETHERLANDS 124,000 ABN AMRO Holding N.V. (3)............... 1,738,232 2,314,093 0.9
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
NETHERLANDS 1,738,232 2,314,093 0.9
- ----------------------------------------------------------------------------------------------------------------------
NORWAY 212,000 Color Line ASA (9)...................... 826,832 955,307 0.4
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 826,832 955,307 0.4
- ----------------------------------------------------------------------------------------------------------------------
PHILIPPINES 949,850 San Miguel Corp. (Class B) (4).......... 2,799,316 2,505,297 0.9
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
PHILIPPINES 2,799,316 2,505,297 0.9
- ----------------------------------------------------------------------------------------------------------------------
SOUTH AFRICA 69,000 De Beers Consolidated Mines Ltd. (ADR)*
(20).................................... 2,342,339 2,544,375 1.0
226,000 Sasol Ltd. (10)......................... 2,658,519 2,965,814 1.1
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH AFRICA 5,000,858 5,510,189 2.1
- ----------------------------------------------------------------------------------------------------------------------
SOUTH KOREA 44,064 +Hyundai Engineering & Construction Co.,
Ltd.(GDR)** (13)(a).................... 565,502 181,764 0.1
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH KOREA 565,502 181,764 0.1
- ----------------------------------------------------------------------------------------------------------------------
SPAIN 58,300 Repsol S.A. (ADR)* (24)................. 1,720,869 2,474,106 0.9
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 1,720,869 2,474,106 0.9
- ----------------------------------------------------------------------------------------------------------------------
SWEDEN 120,600 Bure Investment AB (16)................. 1,058,077 1,520,876 0.6
59,800 +Castellum AB (27)...................... 401,163 448,612 0.1
1,200 Perstorp AB (Class B) (8)............... 21,250 21,264 0.0
94,000 Sparbanken Sverige AB (Class A) (3)..... 1,208,588 2,091,212 0.8
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 2,689,078 4,081,964 1.5
- ----------------------------------------------------------------------------------------------------------------------
SWITZERLAND 2,180 ABB AG (7).............................. 1,966,277 3,305,070 1.3
1,800 Novartis AG (Registered Shares) (25).... 1,748,593 2,882,074 1.1
270 Roche Holding AG (25)................... 2,268,066 2,445,874 0.9
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWITZERLAND 5,982,936 8,633,018 3.3
- ----------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 234,000 Boots Company PLC (29).................. 2,307,747 2,741,505 1.0
736,000 British Steel PLC (31).................. 1,824,029 1,829,832 0.7
275,700 Grand Metropolitan PLC (10)............. 1,946,319 2,650,067 1.0
209,000 Imperial Chemical Industries PLC (22)... 2,740,964 2,898,709 1.1
420,000 LucasVarity PLC (2)..................... 1,444,766 1,452,797 0.5
150,000 Rio Tinto PLC (20)...................... 2,238,796 2,610,494 1.0
538,000 Vodafone Group PLC (32)................. 1,884,137 2,621,453 1.0
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
UNITED KINGDOM 14,386,758 16,804,857 6.3
- ----------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 119,613,011 144,766,162 54.8
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
23
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
COUNTRY AMOUNT FOREIGN BONDS++ COST (NOTE 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
AUSTRALIA A$ 2,375,000 Government of Australia, 7.50% due
7/15/2005 (14)......................... $ 1,835,067 $ 1,839,517 0.7%
- -------------------------------------------------------------------------------------------------------------------------------
CANADA C$ 2,350,000 Canadian Government Bonds, 7% due
12/01/2006 (14)........................ 1,785,347 1,784,944 0.7
- -------------------------------------------------------------------------------------------------------------------------------
DENMARK Dkr 21,500,000 Government of Denmark, 7% due 11/15/2007
(14)................................... 3,434,844 3,403,834 1.3
- -------------------------------------------------------------------------------------------------------------------------------
FINLAND Fmk 17,000,000 Finnish Government Bonds, 7.25% due
4/18/2006 (14)......................... 3,836,506 3,556,873 1.3
- -------------------------------------------------------------------------------------------------------------------------------
GERMANY Bundesrepublik Deutschland (14):
DM 1,850,000 7.125% due 12/20/2002............... 1,284,789 1,173,953 0.4
2,400,000 6.50% due 10/14/2005................ 1,547,155 1,461,953 0.6
11,950,000 6% due 1/04/2007.................... 7,101,596 7,033,123 2.7
2,200,000 Treuhandanstalt, 6.875% due 6/11/2003
(14)................................... 1,463,044 1,382,417 0.5
------------ ------------ -----
11,396,584 11,051,446 4.2
- -------------------------------------------------------------------------------------------------------------------------------
ITALY Lit 5,540,000,000 Buoni Poliennali del Tesoro (Italian
Government Bonds), 8.50% due 1/01/2004
(14)................................... 3,533,952 3,566,898 1.3
- -------------------------------------------------------------------------------------------------------------------------------
SPAIN Pta 500,000,000 Spanish Government Bonds, 7.90% due
2/28/2002 (14)......................... 4,051,905 3,718,845 1.4
- -------------------------------------------------------------------------------------------------------------------------------
SWEDEN Government of Sweden (14):
Skr 13,100,000 10.25% due 5/05/2000................ 2,240,194 1,916,744 0.7
15,900,000 8% due 8/15/2007.................... 2,353,338 2,259,777 0.9
------------ ------------ -----
4,593,532 4,176,521 1.6
- -------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM L 3,250,000 UK Treasury Gilt, 7.25% due 12/07/2007
(14)................................... 5,379,426 5,467,242 2.1
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN BONDS 39,847,163 38,566,120 14.6
- -------------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT OBLIGATIONS US$ 4,700,000 US Treasury Bonds, 6.625% due
2/15/2027.............................. 4,408,859 4,598,668 1.7
US Treasury Notes:
3,200,000 6% due 8/15/1999.................... 3,197,750 3,192,000 1.2
2,750,000 6.50% due 5/31/2002................. 2,768,477 2,761,165 1.1
3,500,000 6.625% due 5/15/2007................ 3,525,430 3,528,980 1.3
------------ ------------ -----
9,491,657 9,482,145 3.6
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT OBLIGATIONS 13,900,516 14,080,813 5.3
- -------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES
- -------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER*** 2,488,000 General Motors Acceptance Corp., 6.25%
due 7/01/1997.......................... 2,488,000 2,488,000 0.9
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 2,488,000 2,488,000 0.9
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS....................... $224,034,429 262,114,361 99.1
------------
------------
UNREALIZED APPRECIATION ON
FORWARD FOREIGN
EXCHANGE CONTRACTS****.................. 515,226 0.2
OTHER ASSETS LESS LIABILITIES........... 1,969,556 0.7
------------ -----
NET ASSETS.............................. $264,599,143 100.0%
------------ -----
------------ -----
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
* American Depositary Receipts (ADR).
** Global Depositary Receipts (GDR).
*** Commercial Paper is traded on a discount basis; the interest rate shown is
the discount rate paid at the time of purchase by the Portfolio.
24
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1997 (Concluded)
- --------------------------------------------------------------------------------
**** Forward foreign exchange contracts as of June 30, 1997 were as follows:
<TABLE>
<CAPTION>
- ------------------------------------------------------
UNREALIZED
APPRECIATION
FOREIGN EXPIRATION (DEPRECIATION)
CURRENCY SOLD DATE (NOTE 1e)
- ------------------------------------------------------
<S> <C> <C>
A$ 5,750,000 July 1997 $ 11,822
Chf 12,350,000 July 1997 153,165
Dkr 22,920,000 July 1997 23,113
DM 36,170,000 July 1997 230,226
Fim 52,000,000 July 1997 43,268
Frf 49,500,000 July 1997 81,519
L 13,825,000 August 1997 59,841
Lit 15,700,000,000 July 1997 67,859
Pta 900,000,000 July 1997 85,102
Skr 60,000,000 July 1997 28,095
Y 3,825,000,000 July 1997 (268,784)
- ------------------------------------------------------
TOTAL UNREALIZED APPRECIATION FORWARD
FOREIGN EXCHANGE CONTRACTS-NET (US$
COMMITMENT-$135,546,223) $ 515,226
--------------
--------------
- ------------------------------------------------------
</TABLE>
+ Non-income producing security.
++ Corresponding industry groups for foreign stocks and bonds:
<TABLE>
<C> <S>
(1) Apparel
(2) Auto Parts
(3) Banking
(4) Beverages
(5) Building & Construction
(6) Building Products
(7) Capital Goods
(8) Chemicals
(9) Cruise Lines
(10) Diversified
(11) Electrical Equipment
(12) Electronics
(13) Engineering & Construction
(14) Government (Bonds)
(15) Insurance
(16) Investment Management
(17) Machinery & Equipment
(18) Merchandising
(19) Metals
(20) Mining
(21) Multi-Industry
(22) Oil-Integrated
(23) Paper & Forest Products
(24) Petroleum
(25) Pharmaceuticals
(26) Publishing
(27) Real Estate
(28) Reinsurance
(29) Retail
(30) Semiconductors
(31) Steel
(32) Telecommunications
(33) Textiles
(34) Tires & Rubber
(35) Warehouse & Storage
(36) Entertainment
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of June 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES SHARES HELD STOCKS COST (NOTE 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
ADVERTISING 40,000 Interpublic Group of Companies, Inc..... $ 1,684,681 $ 2,452,500 0.8%
- ----------------------------------------------------------------------------------------------------------------------
BANKING 195,000 Banc One Corp........................... 9,033,142 9,445,313 3.2
22,000 Citicorp................................ 2,533,172 2,652,375 0.9
40,000 State Street Corporation................ 1,074,822 1,850,000 0.6
------------ ------------ -----
12,641,136 13,947,688 4.7
- ----------------------------------------------------------------------------------------------------------------------
BEVERAGES 160,000 Coca-Cola Co. (The)..................... 6,777,686 10,800,000 3.6
- ----------------------------------------------------------------------------------------------------------------------
COMMUNICATION EQUIPMENT 165,000 +Cisco Systems, Inc..................... 9,427,161 11,075,625 3.7
180,000 +FORE Systems, Inc...................... 4,349,840 2,441,250 0.8
135,000 Lucent Technologies, Inc................ 7,092,049 9,728,438 3.3
130,000 +Newbridge Networks Corp................ 4,839,831 5,655,000 1.9
90,000 Northern Telecom Ltd.................... 7,108,939 8,190,000 2.7
90,000 Telefonaktiebolaget LM Ericsson
(ADR)*................................. 3,042,634 3,543,750 1.2
------------ ------------ -----
35,860,454 40,634,063 13.6
- ----------------------------------------------------------------------------------------------------------------------
COMPUTERS 105,000 +Compaq Computer Corp................... 8,954,956 10,421,250 3.5
35,000 Hewlett-Packard Co...................... 1,948,550 1,960,000 0.6
------------ ------------ -----
10,903,506 12,381,250 4.1
- ----------------------------------------------------------------------------------------------------------------------
COSMETICS 125,000 Gillette Co. (The)...................... 6,074,339 11,843,750 3.9
10,000 International Flavors & Fragrances,
Inc.................................... 485,470 505,000 0.2
------------ ------------ -----
6,559,809 12,348,750 4.1
- ----------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 20,000 Emerson Electric Co..................... 658,040 1,101,250 0.3
150,000 General Electric Co..................... 5,753,043 9,806,250 3.3
15,000 Honeywell, Inc.......................... 1,083,581 1,138,125 0.4
------------ ------------ -----
7,494,664 12,045,625 4.0
- ----------------------------------------------------------------------------------------------------------------------
ELECTRONICS 65,000 Intel Corporation....................... 8,981,768 9,201,563 3.1
- ----------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 110,000 +Viacom, Inc. (Class A)................. 5,426,147 3,265,625 1.1
40,000 Walt Disney Co.......................... 2,661,838 3,210,000 1.1
------------ ------------ -----
8,087,985 6,475,625 2.2
- ----------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 20,000 American Express Company................ 1,501,200 1,490,000 0.5
60,000 Federal National Mortgage Association... 2,355,348 2,617,500 0.9
90,000 Travelers Group, Inc.................... 4,574,896 5,675,625 1.9
------------ ------------ -----
8,431,444 9,783,125 3.3
- ----------------------------------------------------------------------------------------------------------------------
FOOD 25,000 ConAgra Inc............................. 1,141,500 1,603,125 0.5
25,000 Wrigley (Wm.) Jr. Company (Class B)..... 1,504,620 1,675,000 0.6
------------ ------------ -----
2,646,120 3,278,125 1.1
- ----------------------------------------------------------------------------------------------------------------------
FOOD MERCHANDISING 100,000 Albertsons, Inc......................... 3,960,922 3,650,000 1.2
- ----------------------------------------------------------------------------------------------------------------------
HOTELS 15,000 Marriott International, Inc............. 703,815 920,625 0.3
- ----------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 10,000 Colgate-Palmolive Co.................... 374,261 652,500 0.2
20,000 Kimberly-Clark Corp..................... 1,078,644 995,000 0.3
35,000 Procter & Gamble Co..................... 3,309,290 4,943,750 1.7
------------ ------------ -----
4,762,195 6,591,250 2.2
- ----------------------------------------------------------------------------------------------------------------------
INFORMATION SERVICES 100,000 First Data Corp......................... 3,934,355 4,393,750 1.5
- ----------------------------------------------------------------------------------------------------------------------
INSURANCE 10,000 Aetna Inc............................... 822,491 1,023,750 0.4
20,000 American International Group, Inc....... 2,480,388 2,987,500 1.0
------------ ------------ -----
3,302,879 4,011,250 1.4
- ----------------------------------------------------------------------------------------------------------------------
LEISURE 105,000 PolyGram N.V. (NY Registered Shares).... 5,039,807 5,650,313 1.9
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
26
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of June 30, 1997 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES SHARES HELD STOCKS COST (NOTE 1a) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MEDICAL TECHNOLOGY 90,000 +Boston Scientific Corp................. $ 4,846,691 $ 5,529,375 1.9%
95,000 Johnson & Johnson....................... 3,637,555 6,115,625 2.0
------------ ------------ -----
8,484,246 11,645,000 3.9
- ----------------------------------------------------------------------------------------------------------------------
NATURAL GAS 125,000 El Paso Natural Gas Co.................. 5,682,670 6,875,000 2.3
185,000 Enron Corp.............................. 7,877,437 7,550,312 2.5
------------ ------------ -----
13,560,107 14,425,312 4.8
- ----------------------------------------------------------------------------------------------------------------------
OIL SERVICES 110,000 Baker Hughes, Inc....................... 4,078,438 4,255,625 1.5
85,000 +Diamond Offshore Drilling, Inc......... 5,827,699 6,640,625 2.2
65,000 Schlumberger Ltd........................ 7,199,778 8,125,000 2.7
------------ ------------ -----
17,105,915 19,021,250 6.4
- ----------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 140,000 Amgen, Inc.............................. 5,492,242 8,128,750 2.7
90,000 Bristol-Myers Squibb Co................. 5,653,198 7,290,000 2.4
100,000 Merck & Co., Inc........................ 6,007,254 10,350,000 3.5
105,000 Pfizer, Inc............................. 5,608,589 12,547,500 4.2
------------ ------------ -----
22,761,283 38,316,250 12.8
- ----------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 15,000 Eastman Kodak Co........................ 953,578 1,151,250 0.4
- ----------------------------------------------------------------------------------------------------------------------
POLLUTION CONTROL 20,000 Waste Management Inc.................... 591,174 642,500 0.2
- ----------------------------------------------------------------------------------------------------------------------
RESTAURANTS 15,000 McDonald's Corp......................... 684,747 724,687 0.2
- ----------------------------------------------------------------------------------------------------------------------
RETAIL-SPECIALTY 5,000 +Staples Inc............................ 79,583 115,625 0.0
- ----------------------------------------------------------------------------------------------------------------------
RETAIL-STORES 90,000 +Meyer (Fred), Inc...................... 3,342,380 4,651,875 1.6
100,000 Wal-Mart Stores, Inc.................... 2,422,563 3,381,250 1.1
85,000 Walgreen Co............................. 3,794,892 4,558,125 1.5
------------ ------------ -----
9,559,835 12,591,250 4.2
- ----------------------------------------------------------------------------------------------------------------------
SOFTWARE 90,000 +Baan Company, N.V...................... 4,386,797 6,193,125 2.1
95,000 +Microsoft Corp......................... 8,092,510 12,011,562 4.0
55,000 +Oracle Corp............................ 2,318,595 2,767,187 0.9
90,000 SAP AG (Systeme, Anwendungen, Produkte
in der Datenverarbeitung) (ADR)*....... 4,978,125 6,187,500 2.1
------------ ------------ -----
19,776,027 27,159,374 9.1
- ----------------------------------------------------------------------------------------------------------------------
TOYS 95,000 Hasbro, Inc............................. 2,390,077 2,695,625 0.9
- ----------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 20,000 Carnival Corp. (Class A)................ 467,500 825,000 0.3
- ----------------------------------------------------------------------------------------------------------------------
TOTAL STOCKS 228,187,298 287,878,625 96.3
- ----------------------------------------------------------------------------------------------------------------------
FACE AMOUNT SHORT-TERM SECURITIES
- ----------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER** $11,448,000 General Motors Acceptance Corp., 6.25%
due 7/01/1997.......................... 11,446,013 11,446,013 3.8
- ----------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 11,446,013 11,446,013 3.8
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS....................... $239,633,311 299,324,638 100.1
------------
------------
LIABILITIES IN EXCESS OF OTHER
ASSETS.................................. (170,753) (0.1)
------------ -----
NET ASSETS.............................. $299,153,885 100.0%
------------ -----
------------ -----
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
* American Depositary Receipts (ADR).
** Commercial Paper is traded on a discount basis; the interest rate shown is
the discount rate paid at the time of purchase by the Portfolio.
+ Non-income producing security.
See Notes to Financial Statements.
27
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1a)
- ------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE-2.8% B- Ba $ 500,000 L-3 Communications Corp., 10.375% due
5/01/2007.............................. $ 500,000 $ 530,000
B+ B1 1,500,000 Tracor Inc., 8.50% due
3/01/2007.............................. 1,494,030 1,511,250
BB B1 1,500,000 UNC Incorporated, 9.125% due
7/15/2003.............................. 1,515,000 1,571,250
------------ ------------
3,509,030 3,612,500
- ------------------------------------------------------------------------------------------------------------------------------
AIRLINES-0.6% B+ B1 750,000 US Airways Group Inc., 10.375% due
3/01/2013.............................. 750,000 810,000
- ------------------------------------------------------------------------------------------------------------------------------
BROADCASTING-RADIO & B B2 1,000,000 Sinclair Broadcasting Group Inc., 10%
TELEVISION-0.8% due 12/15/2003......................... 935,000 1,030,000
- ------------------------------------------------------------------------------------------------------------------------------
CABLE-DOMESTIC-5.8% CCC+ Caa 2,075,790 American Telecasting, Inc., 29.862%**
due 6/15/2004.......................... 746,102 620,142
BB- Ba3 2,000,000 Century Communications Corp., 9.50% due
3/01/2005.............................. 1,977,500 2,050,000
B B2 1,500,000 Intermedia Capital Partners, 11.25% due
8/01/2006.............................. 1,493,750 1,635,000
BB+ Ba3 1,000,000 Lenfest Communications, Inc., 8.375% due
11/01/2005............................. 931,250 985,000
B B1 1,000,000 Olympus Communications L.P., 10.625% due
11/15/2006............................. 1,000,000 1,050,000
BB+ Ba3 1,000,000 TCI Communications Inc., 9.65% due
3/31/2027.............................. 1,026,250 1,057,010
------------ ------------
7,174,852 7,397,152
- ------------------------------------------------------------------------------------------------------------------------------
CABLE-INTERNATIONAL-5.4% CCC+ Ca 2,000,000 Australis Media Ltd., 8.45%** due
5/15/2003.............................. 1,301,041 1,440,000
BB- Baa3 1,850,000 Bell Cablemedia PLC, 11.875%** due
9/15/2005.............................. 1,277,599 1,544,750
B B3 2,000,000 NTL Incorporated, Series B, 10.688%**
due 2/01/2006.......................... 1,414,894 1,385,000
BB- B2 1,000,000 Rogers Communications Inc., 10.875% due
4/15/2004.............................. 1,007,500 1,047,500
BB B1 2,000,000 Telewest Communications PLC, 11.489%**
due 10/01/2007......................... 1,360,292 1,440,000
------------ ------------
6,361,326 6,857,250
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL GOODS-1.3% B- B3 1,500,000 International Wire Group, Inc., 11.75%
due 6/01/2005.......................... 1,486,875 1,631,250
- ------------------------------------------------------------------------------------------------------------------------------
CHEMICALS-0.6% BB- Ba3 744,000 ISP Holdings Inc., 9.75% due
2/15/2002.............................. 744,000 788,640
- ------------------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES-3.2% BB- Ba1 1,500,000 Advanced Micro Devices, Inc., 11% due
8/01/2003.............................. 1,500,000 1,670,625
B- B2 1,500,000 Amphenol Corporation, 9.875% due
5/15/2007.............................. 1,500,000 1,548,750
B- B3 1,000,000 Dictaphone Corp., 11.75% due
8/01/2005.............................. 968,750 920,000
------------ ------------
3,968,750 4,139,375
- ------------------------------------------------------------------------------------------------------------------------------
CONGLOMERATES-1.4% NR* NR* 761,000 MacAndrew & Forbes Group, Inc., 13% due
3/01/1999.............................. 757,195 762,903
B+ B3 1,000,000 Sequa Corp., 9.375% due 12/15/2003...... 1,030,938 1,020,000
------------ ------------
1,788,133 1,782,903
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
28
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1a)
- ------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS-4.2% NR* NR* $2,000,000 Coleman Escrow Corp., 11.573%** due
5/15/2001 (f) $ 1,295,380 $ 1,265,000
B+ Ba3 500,000 Coty Inc., 10.25% due
5/01/2005............................... 500,000 530,000
B+ Ba2 1,900,000 International Semi-Tech
Microelectronics, Inc., 12.792%** due
8/15/2003.............................. 1,244,282 1,130,500
B- B1 831,000 Samsonite Corp., 11.125%
due 7/15/2005........................... 805,031 926,565
B+ B1 1,400,000 Sealy Corp., 10.25% due 5/01/2003....... 1,414,000 1,470,000
------------ ------------
5,258,693 5,322,065
- ------------------------------------------------------------------------------------------------------------------------------
ENERGY-8.8% B- B3 1,000,000 Bellwether Exploration Co., 10.875% due
4/01/2007.............................. 1,000,000 1,060,000
B B2 2,000,000 Energy Corp. of America, 9.50% due
5/15/2007 (f).......................... 2,000,000 1,980,000
B+ B1 1,000,000 Parker Drilling Corp., 9.75% due
11/15/2006............................. 992,150 1,051,250
BB- B1 1,500,000 Petroleo Brasileiro S.A.-Petrobras, 10%
due 10/17/2006 (f)..................... 1,500,000 1,586,250
BB- Ba3 1,000,000 Pride Petroleum Services Inc., 9.375%
due 5/01/2007.......................... 1,000,000 1,045,000
Transamerican Energy (f):
B+ B3 245,000 11.50% due 6/15/2002.................... 245,000 237,038
B+ B3 4,797,000 13.085%** due 6/15/2002................. 3,735,621 3,465,833
B+ B1 1,000,000 Trizec Hahn Corp., 10.40%** due
2/15/2000.............................. 767,386 748,750
------------ ------------
11,240,157 11,174,121
- ------------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT-1.1% B- B2 2,000,000 AMF Group Inc., 12.082%** due
3/15/2006.............................. 1,301,682 1,422,500
- ------------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES-1.2% BB- B1 1,500,000 Reliance Group Holdings Inc., 9.75% due
11/15/2003............................. 1,449,375 1,590,000
- ------------------------------------------------------------------------------------------------------------------------------
FOOD & BEVERAGE-4.3% B+ B1 2,000,000 Chiquita Brands International, 9.125%
due 3/01/2004.......................... 2,001,250 2,040,000
B B2 1,500,000 Colorado Prime Corp., 12.50% due
5/01/2004 (f).......................... 1,482,900 1,507,500
NR* NR* 445,000 Cumberland Farms, Inc., 10.50% due
10/01/2003............................. 435,544 438,325
B- B3 500,000 Envirodyne Industries Inc., 10.25% due
12/01/2001............................. 509,375 501,875
CCC+ Caa 1,000,000 Fresh Del Monte Corp., 10% due
5/01/2003.............................. 976,250 1,032,500
------------ ------------
5,405,319 5,520,200
- ------------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BB B1 1,500,000 Republic of Argentina, Global Bonds, 11%
OBLIGATIONS-1.3% due 10/09/2006......................... 1,543,125 1,665,000
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
29
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1a)
- ------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
GAMING-5.1% B+ B2 $1,000,000 Greate Bay Properties, Inc., 10.875% due
1/15/2004.............................. $ 845,000 $ 890,000
D Caa 2,000,000 Harrah's Jazz Company, 14.25% due
11/15/2001(d).......................... 1,971,250 760,000
B+ B2 1,000,000 Hollywood Casino Corp., 12.75% due
11/01/2003............................. 930,645 1,062,500
B+ B2 1,000,000 Station Casinos Inc., 9.75% due
4/15/2007 (f).......................... 969,160 991,250
BB- B1 2,000,000 Trump Atlantic City, 11.25% due
5/01/2006.............................. 1,997,500 1,950,000
NR* Caa 1,000,000 Trump Castle Funding, Inc., 11.75% due
11/15/2003............................. 931,547 890,000
------------ ------------
7,645,102 6,543,750
- ------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE-1.7% B+ B1 1,000,000 Beverly Enterprises, Inc., 9% due
2/15/2006.............................. 933,750 1,028,750
B+ B2 1,000,000 Quest Diagnostic Inc., 10.75% due
12/15/2006............................. 1,000,000 1,087,500
------------ ------------
1,933,750 2,116,250
- ------------------------------------------------------------------------------------------------------------------------------
HOTELS-1.6% BB- Ba3 2,000,000 HMC Acquisition Properties, 9% due
12/15/2007............................. 2,000,000 2,032,500
- ------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER Midland Cogeneration Venture L.P.:
PRODUCERS-1.6% BB- Ba3 736,069 10.33% due 7/23/2002(e)................. 762,291 787,593
B- B2 1,000,000 13.25% due 7/23/2006.................... 1,108,750 1,217,460
------------ ------------
1,871,041 2,005,053
- ------------------------------------------------------------------------------------------------------------------------------
MEDIA & COMMUNICATIONS- BB- B1 500,000 Comtel Brasileira Ltd., 10.75% due
INTERNATIONAL-4.0% 9/26/2004 (f).......................... 500,000 535,000
BB- B2 1,000,000 Globo Communicacoes Participacoes,
10.50% due 12/20/2006 (f).............. 1,003,750 1,062,500
BB Ba3 1,000,000 Grupo Televisa S.A. de C.V., 11.375% due
5/15/2003.............................. 1,010,000 1,093,750
BBB- B1 2,000,000 Telefonica de Argentina S.A., 11.875%
due 11/01/2004......................... 1,978,830 2,390,000
------------ ------------
4,492,580 5,081,250
- ------------------------------------------------------------------------------------------------------------------------------
METAL & MINING-2.1% B- B2 1,000,000 Kaiser Aluminum & Chemical Corp., 12.75%
due 2/01/2003.......................... 1,045,000 1,086,250
B- B3 1,750,000 Maxxam Group, Inc., 12.25%** due
8/01/2003.............................. 1,537,589 1,601,250
------------ ------------
2,582,589 2,687,500
- ------------------------------------------------------------------------------------------------------------------------------
PACKAGING-2.9% BB- Ba2 1,500,000 Owens-Illinois, Inc., 9.95% due
10/15/2004............................. 1,488,750 1,586,250
B B2 1,000,000 Portola Packaging Inc., 10.75% due
10/01/2005............................. 1,000,000 1,073,750
B B1 1,000,000 Silgan Corp., 9% due 6/01/2009 (f)...... 1,000,000 1,003,750
------------ ------------
3,488,750 3,663,750
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
30
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1a)
- ------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST BB- Ba3 $1,000,000 Doman Industries Ltd., 8.75% due
PRODUCTS-4.6% 3/15/2004.............................. $ 919,000 $ 965,000
B+ B3 1,500,000 Pacific Lumber Co., 10.50% due
3/01/2003.............................. 1,450,313 1,545,000
CC Caa 1,000,000 Repap New Brunswick, Inc., 10.625% due
4/15/2005.............................. 1,008,750 942,500
BB- B2 1,000,000 Repap Wisconsin, Inc., 9.25% due
2/01/2002.............................. 900,000 1,010,000
B B3 1,000,000 Riverwood International Corp., 10.875%
due 4/01/2008.......................... 973,750 902,500
B+ B1 500,000 S.D. Warren Co., 12% due 12/15/2004..... 500,000 555,000
------------ ------------
5,751,813 5,920,000
- ------------------------------------------------------------------------------------------------------------------------------
PRINTING & BB- B1 1,000,000 Hollinger International, Inc., 9.25% due
PUBLISHING-0.8% 2/01/2006.............................. 956,250 1,020,000
- ------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE-1.1% NR* NR* 2,000,000 Rockefeller Center Properties, Inc.
(Convertible), 11.04%** due
12/31/2000............................. 1,380,595 1,365,000
- ------------------------------------------------------------------------------------------------------------------------------
RESTAURANTS & FOOD B- B1 1,000,000 Foodmaker, Inc., 9.25% due 3/01/1999.... 1,002,500 1,030,000
SERVICES-0.8%
- ------------------------------------------------------------------------------------------------------------------------------
RETAIL SPECIALTY-0.1% D Caa 1,000,000 Bradlees, Inc., 11% due 8/01/2002(d).... 1,023,750 70,000
- ------------------------------------------------------------------------------------------------------------------------------
STEEL-0.8% B+ B2 1,000,000 WCI Steel Inc., 10% due 12/01/2004...... 1,000,000 1,035,000
- ------------------------------------------------------------------------------------------------------------------------------
SUPERMARKETS-1.8% CCC+ Caa 1,137,000 Grand Union Co., 12% due 9/01/2004...... 1,100,659 830,010
B B3 500,000 Penn Traffic Co., 8.625% due
12/15/2003............................. 417,500 405,000
B B1 1,000,000 Ralph's Grocery Co., 10.45% due
6/15/2004.............................. 950,932 1,073,750
------------ ------------
2,469,091 2,308,760
- ------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS-1.4% NR* NR* 2,000,000 Brooks Fiber Properties, Inc., 10.573%**
due 11/01/2006......................... 1,342,010 1,300,000
B B1 500,000 Teleport Communications Group Inc.,
9.875% due 7/01/2006................... 527,750 532,500
------------ ------------
1,869,760 1,832,500
- ------------------------------------------------------------------------------------------------------------------------------
TEXTILES-2.1% BB- Ba3 1,000,000 Tultex Corp., 10.625% due 3/15/2005..... 1,007,500 1,101,250
B+ B2 1,500,000 Westpoint Stevens Industries, Inc.,
9.375% due 12/15/2005.................. 1,465,000 1,567,500
------------ ------------
2,472,500 2,668,750
- ------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION-3.0% NR* B3 1,000,000 Central Transport Rental Group, PLC,
9.50% due 4/30/2003.................... 967,500 960,000
BB- B1 1,000,000 Sea Containers Ltd., 12.50% due
12/01/2004............................. 1,095,000 1,130,000
B- B3 2,000,000 Transtar Holdings L.P., 11.065%** due
12/15/2003............................. 1,544,267 1,680,000
------------ ------------
3,606,767 3,770,000
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
31
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1a)
- ------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
UTILITIES-1.7% BB- B1 $1,000,000 Metrogas S.A., 12% due 8/15/2000........ $ 983,750 $ 1,115,000
BBB- NR* 995,800 Trans Gas de Occidente S.A., 9.79% due
11/01/2010 (e)(f)...................... 995,800 1,051,160
------------ ------------
1,979,550 2,166,160
- ------------------------------------------------------------------------------------------------------------------------------
WIRELESS
COMMUNICATIONS- BB+ B1 2,000,000 Comcast Cellular, 9.50% due 5/01/2007
DOMESTIC-5.1% (f).................................... 1,996,740 2,005,000
CCC- B3 2,000,000 Nextel Communications, Inc., 14.085%**
due 8/15/2004.......................... 1,322,277 1,530,000
B B2 2,000,000 Paging Network, Inc., 10% due
10/15/2008............................. 1,990,625 1,942,500
B+ B1 1,000,000 Vanguard Cellular Systems, Inc., 9.375%
due 4/15/2006.......................... 1,000,000 1,010,000
------------ ------------
6,309,642 6,487,500
- ------------------------------------------------------------------------------------------------------------------------------
WIRELESS B- B3 2,000,000 Millicom International Cellular S.A.,
COMMUNICATIONS- 13.116%** due 6/01/2006................ 1,226,361 1,460,000
INTERNATIONAL-1.1%
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS-86.2% 107,978,708 110,006,679
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
HELD
- ------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS & WARRANTS
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
CABLE-0.0% 5,000 American Telecasting, Inc. (Warrants)
(b).................................... 4,776 2,000
- ------------------------------------------------------------------------------------------------------------------------------
GAMING-0.0% 10,000 Goldriver Hotel & Casino Corp. (Class B)
(c)(d)................................. 65,657 0
1,000 + Goldriver Hotel & Casino Corp.,
Liquidating Trust (d).................. 24,040 0
------------ ------------
89,697 0
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL-SERVICES-0.0% 1,036 Thermadyne Industries, Inc.............. 15,022 31,209
- ------------------------------------------------------------------------------------------------------------------------------
SUPERMARKETS-0.0% 17,674 Grand Union Co.......................... 1,000,000 38,662
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS & WARRANTS-0.0% 1,109,495 71,871
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
PREFERRED STOCKS
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
BROADCASTING-RADIO & 1,071 Paxson Communications Corp.
TELEVISION-0.9% (Convertible) (a)(f)................... 951,958 1,124,550
- ------------------------------------------------------------------------------------------------------------------------------
CABLE-0.9% 11,157 Cablevision Systems Corp. (Series M)
(a).................................... 935,000 1,121,278
- ------------------------------------------------------------------------------------------------------------------------------
CABLE-INTERNATIONAL-0.8% 1,034 NTL, Inc. (Preferred) (a)(f)............ 1,027,498 1,074,934
- ------------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT-1.5% 1,695 Time Warner Inc. (Series M) (a)......... 1,702,563 1,872,975
- ------------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES-0.8% 40,000 California Federal Preferred Capital
Corp. (Series A)....................... 1,010,000 1,032,500
- ------------------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING-1.0% 11,457 K-III Communications Corp., Series B
(a).................................... 1,157,781 1,237,397
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS-5.9% 6,784,800 7,463,634
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
32
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1997 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE
AMOUNT SHORT-TERM SECURITIES COST (NOTE 1a)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMERCIAL PAPER***-3.9% $3,000,000 Atlantic Asset Securitization Corp.,
5.57% due 7/14/1997.................... $2,993,502 $ 2,993,502
2,000,000 Preferred Receivables Funding Corp.,
5.56% due 7/09/1997.................... 1,997,220 1,997,220
------------ ------------
4,990,722 4,990,722
- ------------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & 2,445,000 Federal National Mortgage Association,
AGENCY OBLIGATIONS***-1.9% 5.40% due 7/29/1997.................... 2,434,364 2,434,364
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES-5.8% 7,425,086 7,425,086
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-97.9%................. $123,298,089 124,967,270
------------
------------
OTHER ASSETS LESS LIABILITIES-2.1%...... 2,672,923
------------
NET ASSETS-100.0%....................... $127,640,193
------------
------------
- ------------------------------------------------------------------------------------------------------------------------------
</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.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
VALUE
ISSUE ACQUISITION DATE COST (NOTE 1a)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
Goldriver Hotel & Casino Corp.,
Liquidating Trust 8/31/1992 $24,040 $ 0
- -----------------------------------------------------------------------------------
TOTAL $24,040 $ 0
------- ---------
------- ---------
- -----------------------------------------------------------------------------------
</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.
(f) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
See Notes to Financial Statements.
33
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of June 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
FACE AMOUNT ISSUE COST (NOTE 1a)
- ----------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY OBLIGATIONS
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
FEDERAL HOME $ 5,000,000 Federal Home Loan Mortgage Corporation,
LOAN MORTGAGE 7.90% due 9/19/2001................................. $ 5,000,000 $ 5,246,100
CORPORATION-2.5%
- ----------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION 5,000,000 5,246,100
- ----------------------------------------------------------------------------------------------------------------------
FEDERAL NATIONAL 5,000,000 Federal National Mortgage Association:
MORTGAGE 6,000,000 7.55% due 4/22/2002.............................. 5,226,550 5,195,300
ASSOCIATION-19.1% 7.40% due 7/01/2004.............................. 6,248,520 6,254,040
10,000,000 7.85% due 9/10/2004.............................. 9,824,469 10,221,900
9,000,000 7.65% due 3/10/2005.............................. 8,990,156 9,493,560
10,000,000 6.35% due 6/10/2005.............................. 10,000,000 9,732,800
- ----------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION 40,289,695 40,897,600
- ----------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED 410,950 Federal National Mortgage Association, 9% due
SECURITIES-0.2% 1/01/2002 (a)....................................... 396,566 426,031
- ----------------------------------------------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES 396,566 426,031
- ----------------------------------------------------------------------------------------------------------------------
PRIVATE EXPORT 7,000,000 Private Export Funding Corporation:
FUNDING 10,000,000 8.35% due 1/31/2001.............................. 7,083,590 7,414,540
CORPORATION-8.6% 8.75% due 6/30/2003.............................. 10,410,681 11,037,500
- ----------------------------------------------------------------------------------------------------------------------
TOTAL PRIVATE EXPORT FUNDING CORPORATION 17,494,271 18,452,040
- ----------------------------------------------------------------------------------------------------------------------
STUDENT LOAN 13,000,000 Student Loan Marketing Association, 7.50% due
MARKETING 3/08/2000........................................... 13,176,719 13,359,580
ASSOCIATION-6.3%
- ----------------------------------------------------------------------------------------------------------------------
TOTAL STUDENT LOAN MARKETING ASSOCIATION 13,176,719 13,359,580
- ----------------------------------------------------------------------------------------------------------------------
US TREASURY BONDS 16,000,000 US Treasury Bonds, 12% due 5/15/2005................. 22,772,500 21,304,960
& NOTES-56.8% US Treasury Notes:
10,000,000 6.75% due 4/30/2000.............................. 10,070,312 10,131,200
32,000,000 6.625% due 6/30/2001............................. 32,040,000 32,299,840
15,000,000 6.375% due 8/15/2002............................. 15,015,895 14,995,350
5,500,000 6.25% due 2/15/2003.............................. 5,479,805 5,457,045
12,500,000 6.50% due 5/15/2005.............................. 12,398,030 12,476,500
10,000,000 10.75% due 8/15/2005............................. 13,385,937 12,612,500
9,000,000 7% due 7/15/2006................................. 9,562,500 9,258,750
3,000,000 6.625% due 5/15/2007............................. 2,992,410 3,024,840
- ----------------------------------------------------------------------------------------------------------------------
TOTAL US TREASURY BONDS & NOTES 123,717,389 121,560,985
- ----------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY
OBLIGATIONS-93.5% 200,074,640 199,942,336
- ----------------------------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES
- ----------------------------------------------------------------------------------------------------------------------
REPURCHASE 11,055,000 J.P. Morgan Securities Inc., purchased on 6/30/1997
AGREEMENTS*-5.2% to yield 6% to 7/01/1997............................ 11,055,000 11,055,000
- ----------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES-5.2% 11,055,000 11,055,000
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-98.7%.............................. $ 211,129,640 210,997,336
-------------
-------------
OTHER ASSETS LESS LIABILITIES-1.3%................... 2,861,817
-------------
NET ASSETS-100.0%.................................... $ 213,859,153
-------------
-------------
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) US Government Agency Mortgage-Backed Obligations are subject to principal
paydowns as a result of prepayments or refinancings of the underlying
mortgage instrument. As a result, the average life may be substantially less
than the original maturity.
* Repurchase Agreements are fully collateralized by US Government Obligations.
See Notes to Financial Statements.
34
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE
RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1a)
- --------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT OBLIGATIONS
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
US TREASURY US Treasury Notes:
NOTES-8.4% AAA Aaa $2,000,000 7.25% due 2/15/1998................. $ 1,994,440 $ 2,018,440
AAA Aaa 1,000,000 5.875% due 2/15/2004................ 980,312 968,910
AAA Aaa 6,000,000 6.50% due 5/15/2005................. 5,863,107 5,988,720
AAA Aaa 1,000,000 6.625% due 5/15/2007................ 1,012,969 1,008,280
- --------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT OBLIGATIONS-8.4% 9,850,828 9,984,350
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
INDUSTRIES CORPORATE BONDS & NOTES
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED AAA Aaa 2,000,000 Arcadia, 6.10% due 6/15/2000............ 1,999,611 2,002,500
SECURITIES**-5.2% AAA Aaa 1,000,000 Citibank, Credit Card Master Trust I,
5.932% due 12/10/2008.................. 999,610 997,180
AAA Aaa 2,500,000 First Bank, Corporate Card Master Trust,
6.40% due 2/15/2003.................... 2,496,931 2,474,275
AAA Aaa 690,857 GMAC Grantor Trust, 6.50% due
4/15/2002.............................. 690,664 695,306
------------ ------------
6,186,816 6,169,261
- --------------------------------------------------------------------------------------------------------------------------
BANKING-10.8% BBB+ A3 1,250,000 BB&T Corporation, 7.25% due 6/15/2007... 1,244,162 1,252,800
A A2 1,000,000 Bank of New York Co., Inc., 7.625% due
7/15/2002.............................. 1,076,500 1,033,190
A+ A1 1,000,000 BankAmerica Corp., 7.125% due
5/12/2005.............................. 985,500 1,000,850
A- A2 2,000,000 First Interstate Bancorp, 9.90% due
11/15/2001............................. 2,270,480 2,226,980
BBB A2 1,750,000 Fleet Capital Trust II, 7.92% due
12/11/2026............................. 1,732,285 1,722,420
A- Baa1 1,000,000 HSBC Americas Inc., 7% due 11/01/2006... 991,600 982,030
BBB A1 500,000 Keycorp Institutional Capital, Series A,
7.826% due 12/01/2026.................. 471,875 485,605
A- A3 2,000,000 Mellon Bank Corp., 6.875% due
3/01/2003.............................. 1,822,480 1,991,060
BBB+ A2 2,000,000 Mellon Capital II, 7.995% due
1/15/2027.............................. 1,906,940 1,997,600
------------ ------------
12,501,822 12,692,535
- --------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- Chrysler Financial Corp.:
CAPTIVE-7.3% A- A3 2,000,000 10.95% due 8/01/2017................ 2,202,640 2,116,140
A- A3 1,000,000 7.45% due 3/01/2027................. 995,140 987,040
A+ A1 2,500,000 Ford Motor Credit Co., 7% due
9/25/2001.............................. 2,490,050 2,521,100
General Motors Acceptance Corp.:
A- A3 2,000,000 7.125% due 5/11/1998................ 2,022,560 2,016,520
A- A3 1,000,000 7.125% due 5/01/2003................ 994,890 1,010,880
------------ ------------
8,705,280 8,651,680
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
35
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1a)
- --------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- A+ A1 $2,000,000 American General Finance Corp., 7.70%
CONSUMER-8.3% due 11/15/1997......................... $ 1,977,660 $ 2,011,760
Associates Corp. of North America:
AA- Aa3 2,300,000 5.25% due 9/01/1998................. 2,230,057 2,275,758
AA- Aa3 1,000,000 7.25% due 9/01/1999................. 987,620 1,016,240
A A2 1,000,000 Beneficial Corp., 6.42% due 1/15/2002... 983,090 984,810
A Aa3 1,000,000 CIT Capital Trust I, 7.70% due
2/15/2027.............................. 995,440 973,760
A+ Aa3 1,500,000 CIT Group Holdings, Inc., 6.50% due
7/13/1998.............................. 1,505,400 1,504,260
A+ A2 1,000,000 Transamerica Financial Corp., 6.80% due
3/15/1999.............................. 999,730 1,007,170
------------ ------------
9,678,997 9,773,758
- --------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- A A2 500,000 Bear Stearns Companies, Inc., 6.50% due
OTHER-10.6% 7/05/2000.............................. 499,090 499,090
A A2 1,000,000 Equitable Companies, Inc., 9% due
12/15/2004............................. 1,104,050 1,106,370
A A2 1,000,000 ++Equitable Life Assurance Society of
the US, 7.70% due 12/01/2015........... 993,160 998,700
AAA Aaa 500,000 General Electric Capital Corp., 8.125%
due 5/15/2012.......................... 531,640 545,905
A+ A1 1,000,000 Morgan Stanley Group Inc., 6.875% due
3/01/2007.............................. 996,410 981,830
BBB+ Baa1 2,500,000 PaineWebber Group Inc., 7.99% due
6/09/2017.............................. 2,500,000 2,516,750
A A2 3,000,000 Smith Barney Holdings, Inc., 6.50% due
10/15/2002............................. 2,987,520 2,950,260
A+ Aa3 2,000,000 Travelers Capital II, 7.75% due
12/01/2036............................. 2,003,400 1,940,080
A+ A1 1,000,000 Travelers Group, Inc., 7.875% due
5/15/2025.............................. 999,420 1,025,320
------------ ------------
12,614,690 12,564,305
- --------------------------------------------------------------------------------------------------------------------------
FOREIGN+-10.0% A- A3 600,000 ++British Aerospace PLC, 7.50% due
7/01/2027 (6).......................... 595,542 592,806
A+ NR* 2,000,000 China Light & Power Co., Ltd., 7.50% due
4/15/2006 (5).......................... 1,994,910 2,033,500
AA- A1 1,000,000 Korea Development Bank, 6.625% due
11/21/2003 (3)......................... 995,280 972,870
A A1 1,000,000 Midland Bank PLC, 7.625% due 6/15/2006
(3).................................... 992,340 1,029,850
A+ A1 2,000,000 ++Petroliam Nasional BHD, 6.875% due
7/01/2003 (4).......................... 1,977,680 1,995,632
Province of Quebec (Canada) (2):
A+ A2 1,000,000 8.80% due 4/15/2003................. 1,129,480 1,088,230
A+ A2 1,500,000 13% due 10/01/2013.................. 1,959,060 1,687,365
A+ A2 1,000,000 7.125% due 2/09/2024................ 902,520 940,560
A A2 1,500,000 Western Mining Corp. Holdings Ltd.,
7.25% due 11/15/2013 (1)............... 1,519,575 1,471,680
------------ ------------
12,066,387 11,812,493
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
36
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1a)
- --------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL-CONSUMER- A+ A1 $3,500,000 Bass America, Inc., 8.125% due
8.6% 3/31/2002.............................. $ 3,532,070 $ 3,695,125
A A2 996,158 ++Disney Enterprises, Inc., 6.85% due
1/10/2007**............................ 995,471 987,292
A+ A2 1,000,000 Grand Metropolitan Investment Corp.,
6.50% due 9/15/1999.................... 1,000,000 1,002,230
A- A3 1,000,000 IBP, Inc., 6.125% due 2/01/2006......... 918,780 937,690
AAA Aaa 2,000,000 Johnson & Johnson, 8.72% due
11/01/2024............................. 2,019,140 2,191,180
BBB- Baa3 800,000 Kroger Co., 7.65% due 4/15/2007......... 798,696 818,840
A A2 500,000 Philip Morris Companies, Inc., 7.25% due
1/15/2003.............................. 503,440 504,220
------------ ------------
9,767,597 10,136,577
- --------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- AA Aa3 2,000,000 BP America Inc., 10% due 7/01/2018...... 2,156,880 2,152,680
ENERGY-3.5%
A- Aa3 500,000 Dresser Industries, Inc., 7.60% due
8/15/2096.............................. 498,545 509,305
BBB Baa3 500,000 Husky Oil Ltd., 7.125% due 11/15/2006... 497,765 494,195
A+ A1 1,000,000 Texaco Capital Inc., 6.875% due
7/15/1999.............................. 998,060 1,010,670
------------ ------------
4,151,250 4,166,850
- --------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- A- A2 500,000 Columbia/HCA Healthcare Corp.,
OTHER-7.5% 6.41% due 6/15/2000..................... 499,700 496,700
A+ A1 1,000,000 ++Electronic Data Systems, Inc., 6.85%
due 5/15/2000.......................... 999,210 1,007,840
BBB Baa2 2,500,000 Federal Express Corp., 9.65% due
6/15/2012.............................. 2,758,750 2,944,600
BBB+ A3 1,000,000 Lockheed Martin Corp., 6.625% due
6/15/1998.............................. 999,870 1,004,930
BBB+ A3 500,000 Martin Marietta Corp., 7.375% due
4/15/2013.............................. 480,805 497,440
A- Baa1 1,000,000 McDonnell Douglas Corp., 6.13% due
12/23/1998............................. 997,940 980,430
BBB Baa3 2,000,000 Seagate Technology, Inc., 7.125% due
3/01/2004.............................. 1,996,500 1,996,940
------------ ------------
8,732,775 8,928,880
- --------------------------------------------------------------------------------------------------------------------------
TRANSPORT SERVICES- BBB+ Baa1 500,000 Norfolk Southern Corp., 7.80% due
3.2% 5/15/2027.............................. 499,370 513,550
2,000,000
Southwest Airlines, Inc.:
A- A3 9.40% due 7/01/2001................. 2,407,120 2,174,820
A- A3 1,000,000 7.875% due 9/01/2007................ 998,750 1,050,950
------------ ------------
3,905,240 3,739,320
- --------------------------------------------------------------------------------------------------------------------------
UTILITIES- A+ A2 1,000,000 ALLTEL Corporation, 6.75% due
COMMUNICATIONS-4.8% 9/15/2005........................... 984,600 984,550
GTE Corp.:
A A3 1,000,000 8.85% due 3/01/1998................. 1,027,000 1,017,610
A A3 2,000,000 9.375% due 12/01/2000............... 2,189,690 2,162,100
A A3 500,000 9.10% due 6/01/2003................. 548,730 553,055
AA Aa3 1,000,000 Southwestern Bell Telecommunications
Co., 6.125% due 3/01/2000.............. 978,880 991,160
------------ ------------
5,728,900 5,708,475
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
37
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1997 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1a)
- --------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
UTILITIES-ELECTRIC-2.1% Pennsylvania Power & Light Co.:
A- A3 $1,500,000 5.50% due 4/01/1998................. $ 1,493,055 $ 1,494,150
A- A3 1,000,000 6.875% due 2/01/2003................ 1,016,290 999,740
------------ ------------
2,509,345 2,493,890
- --------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS &
NOTES-81.9% 96,549,099 96,838,024
- --------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS
- --------------------------------------------------------------------------------------------------------------------------
COMMERCIAL 4,500,000 American Express Credit Corp., 5.45% due
PAPER****-3.8% 7/02/1997.............................. 4,498,638 4,498,638
- --------------------------------------------------------------------------------------------------------------------------
REPURCHASE 5,842,000 J.P. Morgan Securities Inc., purchased
AGREEMENTS***-4.9% on 6/30/1997 to yield 6% to
7/01/1997.............................. 5,842,000 5,842,000
- --------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS- 8.7%...... 10,340,638 10,340,638
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-99.0%................. $116,740,565 117,163,012
------------
------------
OTHER ASSETS LESS
LIABILITIES-1.0%........................ 1,140,408
------------
NET ASSETS-100.0%....................... $118,303,420
------------
------------
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Not Rated.
** Subject to principal paydowns.
*** Repurchase Agreements are fully collateralized by US Government
Obligations.
**** Commercial Paper is traded on a discount basis; the interest rate shown
is the discount rate paid at the time of purchase by the Portfolio.
+ Corresponding industry groups for foreign bonds:
(1) Industrial Mining.
(2) Government Entity.
(3) Banking.
(4) Industry-Energy.
(5) Utilities-Electric.
(6) Aerospace.
++ The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
See Notes to Financial Statements.
38
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of June 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTEREST MATURITY VALUE
FACE AMOUNT ISSUE RATE* DATE (NOTE 1a)
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------
BANK NOTES-5.5% $ 6,200,000 Bank of America, N.T. & S.A.+.......... 5.63% 12/30/97 $ 6,189,769
2,650,000 Bank of America, N.T. & S.A.+.......... 5.93 6/24/98 2,647,092
5,000,000 First Bank N.A.+....................... 5.647 11/19/97 4,999,815
6,000,000 First National Bank of Chicago......... 6.02 6/11/98 5,997,815
1,800,000 KeyBank National Association+.......... 5.57 5/06/98 1,799,259
4,000,000 Morgan Guaranty Trust Co. of NY+....... 5.615 2/19/98 3,998,643
2,300,000 Northern Trust Co., Chicago............ 5.96 6/17/98 2,298,009
1,500,000 Northern Trust Co., Chicago............ 5.95 6/24/98 1,498,635
1,000,000 US National Bank+...................... 5.665 4/14/98 999,577
- -------------------------------------------------------------------------------------------------------------------------
TOTAL BANK NOTES (COST-$30,441,295) 30,428,614
- -------------------------------------------------------------------------------------------------------------------------
CERTIFICATES OF 8,000,000 Chase Manhattan Bank USA (Delaware).... 5.53 7/22/97 7,998,884
DEPOSIT-2.9% 7,500,000 Morgan Guaranty Trust Co. of NY........ 5.71 1/06/98 7,488,805
500,000 Morgan Guaranty Trust Co. of NY........ 5.94 3/20/98 499,786
- -------------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT
(COST-$15,998,375) 15,987,475
- -------------------------------------------------------------------------------------------------------------------------
CERTIFICATES OF 1,000,000 ABN-AMRO Bank N.V., Chicago............ 6.03 6/11/98 999,635
DEPOSIT-YANKEE- 2,000,000 Barclays Bank PLC, NY.................. 5.94 6/30/98 1,997,885
1.8% 5,000,000 Deutsche Bank AG, NY................... 5.63 2/26/98 4,987,642
1,900,000 Westdeutsche Landesbank Girozentrale... 5.94 6/29/98 1,897,942
- -------------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT-YANKEE
(COST-$9,895,914) 9,883,104
- -------------------------------------------------------------------------------------------------------------------------
COMMERCIAL 8,088,000 Allomon Funding Corp................... 5.59 7/18/97 8,066,650
PAPER-50.4% 8,870,000 American Home Products Corporation..... 6.30 7/01/97 8,870,000
364,000 American Home Products Corporation..... 5.64 7/24/97 362,686
7,666,000 Associates First Capital Corp.......... 5.60 8/04/97 7,625,455
15,292,000 Atlantic Asset Securitization Corp..... 5.60 7/14/97 15,261,076
1,250,000 Atlantic Asset Securitization Corp..... 5.60 7/17/97 1,246,889
4,000,000 BBL North America Inc.................. 5.60 8/20/97 3,968,833
16,000,000 Bear Stearns Companies, Inc............ 5.65 7/14/97 15,967,356
5,457,000 Bear Stearns Companies, Inc............ 5.65 7/22/97 5,439,015
4,564,000 CSW Credit, Inc........................ 5.56 7/17/97 4,552,722
1,000,000 Caisse des Depots et Consignations..... 5.70 8/06/97 994,330
3,626,000 Chrysler Financial Corp................ 5.60 7/11/97 3,620,360
7,721,000 Corporate Receivables Corp............. 5.65 7/14/97 7,705,247
4,525,000 Countrywide Home Loans, Inc............ 5.67 7/21/97 4,510,797
10,570,000 Countrywide Home Loans, Inc............ 5.61 8/14/97 10,497,525
4,862,000 Eureka Securitization Inc.............. 5.62 8/20/97 4,824,117
6,744,000 Falcon Asset Securitization Corp....... 5.67 7/25/97 6,718,598
13,988,000 Finova Capital Corp.................... 5.62 7/07/97 13,974,898
5,000,000 Finova Capital Corp.................... 5.67 7/09/97 4,993,689
6,000,000 Finova Capital Corp.................... 5.65 7/23/97 5,979,283
5,992,000 Ford Motor Credit Co................... 5.60 7/02/97 5,991,068
10,000,000 General Electric Capital Corp.......... 5.68 11/26/97 9,768,133
8,000,000 General Motors Acceptance Corp......... 5.48 7/09/97 7,989,902
6,500,000 General Motors Acceptance Corp......... 5.40 7/23/97 6,477,557
4,000,000 General Motors Acceptance Corp......... 5.32 8/13/97 3,973,197
6,500,000 General Motors Acceptance Corp......... 5.71 12/01/97 6,343,919
10,000,000 Industrial Bank of Korea............... 5.70 7/15/97 9,978,028
7,000,000 Industrial Bank of Korea............... 5.70 7/17/97 6,982,422
5,000,000 International Lease Finance Corp....... 5.61 7/16/97 4,988,229
10,000,000 Korea Development Bank................. 5.67 7/25/97 9,962,333
11,909,000 Korea Development Bank................. 5.70 8/11/97 11,832,098
5,000,000 Korea Development Bank................. 5.70 8/12/97 4,967,275
5,000,000 Lehman Brothers Holdings Inc........... 5.75 8/04/97 4,973,225
3,227,000 Lehman Brothers Holdings Inc........... 5.70 8/05/97 3,209,211
4,745,000 Lexington Parker Capital Co. LLC....... 5.58 8/11/97 4,714,846
25,631,000 National Fleet Funding Corporation..... 5.59 7/18/97 25,563,341
7,747,000 Preferred Receivables Funding Corp..... 5.60 8/11/97 7,696,974
8,000,000 Windmill Funding Corp.................. 5.68 7/29/97 7,964,844
- -------------------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER 278,556,128
(COST-$278,554,017)
- -------------------------------------------------------------------------------------------------------------------------
CORPORATE 9,000,000 Asset-Backed Securities Investment
NOTES-7.3% Trust (ABSIT) 1996-M+.................. 5.687 10/15/97 9,000,000
10,000,000 CIT Group Holdings, Inc. (The) 5.61 10/27/97 9,997,749
6,109,712 LABS Trust Series 1996-C Senior 5.687 12/29/97 6,109,712
Notes+.................................
15,000,000 SMM Trust 1997-Q+...................... 5.687 1/15/98 15,000,000
- -------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE NOTES 40,107,461
(COST-$40,107,376)
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
39
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of June 30, 1997 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTEREST MATURITY VALUE
FACE AMOUNT ISSUE RATE* DATE (NOTE 1a)
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FUNDING $ 9,000,000 Jackson National Life Insurance Co.+... 5.72% 5/01/98 $ 9,000,000
AGREEMENTS-1.6%
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FUNDING AGREEMENTS (COST-$9,000,000) 9,000,000
- -------------------------------------------------------------------------------------------------------------------------
MASTER 10,000,000 Goldman Sachs Group, L.P.+............. 5.60 1/13/98 10,000,000
NOTES-1.8%
- -------------------------------------------------------------------------------------------------------------------------
TOTAL MASTER NOTES (COST-$10,000,000) 10,000,000
- -------------------------------------------------------------------------------------------------------------------------
MEDIUM-TERM 5,000,000 Abbey National Treasury Services 5.59 2/25/98 4,997,467
PLC+...................................
NOTES-3.4% 1,750,000 Bank of Scotland Treasury Services 5.95 6/18/98 1,748,950
PLC....................................
1,000,000 Goldman Sachs Group, L.P............... 6.10 4/15/98 999,030
4,000,000 International Business Machines 5.67 1/28/98 3,997,179
Corp...................................
7,000,000 International Business Machines 5.93 3/18/98 6,990,760
Corp...................................
- -------------------------------------------------------------------------------------------------------------------------
TOTAL MEDIUM-TERM NOTES (COST-$18,739,173) 18,733,386
- -------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT, 70,000 Federal Home Loan Mortgage Corp........ 5.52 9/18/97 69,161
AGENCY & INSTRUMENTALITY
OBLIGATIONS-
DISCOUNT-0.0%
- -------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT, AGENCY &
INSTRUMENTALITY OBLIGATIONS-DISCOUNT
(COST-$69,152) 69,161
- -------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT, 3,500,000 Federal Farm Credit Bank............... 5.85 10/01/97 3,501,750
AGENCY & INSTRUMENTALITY 10,000,000 Federal Farm Credit Bank+.............. 5.63 11/25/97 9,999,157
OBLIGATIONS- 8,000,000 Federal Home Loan Bank+................ 5.26 12/10/97 7,998,286
NON-DISCOUNT-25.0% 2,000,000 Federal Home Loan Bank................. 6.17 11/06/98 1,994,400
3,000,000 Federal Home Loan Bank................. 5.95 12/29/98 2,993,904
2,000,000 Federal Home Loan Mortgage Corp.+...... 5.58 4/15/98 1,999,238
2,000,000 Federal Home Loan Mortgage Corp.+...... 5.57 4/20/98 1,999,060
1,200,000 Federal Home Loan Mortgage Corp........ 6.36 5/20/99 1,198,140
8,000,000 Federal National Mortgage 5.25 7/16/97 7,999,778
Association+...........................
4,000,000 Federal National Mortgage 5.27 8/01/97 3,999,852
Association+...........................
3,000,000 Federal National Mortgage 5.255 9/03/97 2,999,615
Association+...........................
2,000,000 Federal National Mortgage 5.26 9/09/97 1,999,738
Association+...........................
3,000,000 Federal National Mortgage 5.26 9/29/97 2,999,559
Association+...........................
6,500,000 Federal National Mortgage 5.47 12/30/97 6,489,600
Association............................
4,000,000 Federal National Mortgage 5.19 1/08/98 3,984,400
Association............................
4,000,000 Federal National Mortgage 5.57 3/26/98 3,998,277
Association+...........................
5,000,000 Federal National Mortgage 5.27 3/27/98 4,997,503
Association+...........................
10,000,000 Federal National Mortgage 5.31 4/24/98 9,996,887
Association+...........................
6,000,000 Federal National Mortgage 6.00 5/14/98 6,000,000
Association+...........................
2,000,000 Federal National Mortgage 6.50 4/30/99 1,996,800
Association............................
1,200,000 Federal National Mortgage 6.375 5/21/99 1,200,480
Association............................
10,000,000 Student Loan Marketing Association+.... 5.42 10/30/97 10,000,703
2,000,000 Student Loan Marketing Association+.... 5.80 12/18/98 1,981,000
4,600,000 US Treasury Notes...................... 8.50 7/15/97 4,605,774
3,000,000 US Treasury Notes...................... 6.00 8/31/97 3,002,343
6,750,000 US Treasury Notes...................... 5.75 9/30/97 6,755,272
5,800,000 US Treasury Notes...................... 5.625 10/31/97 5,802,714
6,500,000 US Treasury Notes...................... 5.375 11/30/97 6,494,917
1,650,000 US Treasury Notes...................... 5.25 12/31/97 1,647,937
2,920,000 US Treasury Notes...................... 5.00 1/31/98 2,909,050
2,000,000 US Treasury Notes...................... 7.875 4/15/98 2,032,186
2,600,000 US Treasury Notes...................... 5.625 11/30/98 2,587,406
- -------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT, AGENCY &
INSTRUMENTALITY OBLIGATIONS-
NON-DISCOUNT
(COST-$138,225,214) 138,165,726
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(COST-$551,030,516)-99.7%.............. 550,931,055
OTHER ASSETS LESS LIABILITIES-0.3%..... 1,466,621
-------------
NET ASSETS-100.0%...................... $ 552,397,676
-------------
-------------
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commercial Paper and certain US Government & Agency Obligations are traded on
a discount basis; the interest rates shown are the discount rates paid at the
time of purchase by the Portfolio. Other securities bear interest at the
rates shown, payable at fixed rates or upon maturity. Interest rates on
variable rate securities are adjusted periodically based on appropriate
indexes. The interest rates shown are the rates in effect at June 30, 1997.
+ Variable Rate Notes.
See Notes to Financial Statements.
40
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS & WARRANTS COST (NOTE 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
AEROSPACE & 163,000 AlliedSignal, Inc....................... $ 11,919,792 $ 13,692,000 1.0%
DEFENSE 157,000 United Technologies Corp................ 7,352,061 13,031,000 1.0
-------------- -------------- -----
19,271,853 26,723,000 2.0
- ------------------------------------------------------------------------------------------------------------------------
AIRLINES 95,000 +US Airways Group Inc................... 3,342,965 3,325,000 0.3
- ------------------------------------------------------------------------------------------------------------------------
APPLIANCES 327,000 Sunbeam Corp............................ 12,440,625 12,344,250 0.9
- ------------------------------------------------------------------------------------------------------------------------
AUTOMOBILE RENTAL 204,400 +Hertz Corp. (Class A).................. 6,059,706 7,358,400 0.6
- ------------------------------------------------------------------------------------------------------------------------
BANKING 292,641 Banc One Corp........................... 12,777,957 14,174,794 1.1
225,000 Bank of New York Co., Inc............... 4,596,993 9,787,500 0.8
57,000 Bank of New York Co., Inc. (Warrants)
(c).................................... 521,250 6,426,750 0.5
252,000 BankAmerica Corp........................ 13,343,852 16,269,750 1.2
72,000 Chase Manhattan Corp.................... 7,392,495 6,988,500 0.5
-------------- -------------- -----
38,632,547 53,647,294 4.1
- ------------------------------------------------------------------------------------------------------------------------
CHEMICALS 220,000 duPont (E.I.) de Nemours & Co........... 11,990,865 13,832,500 1.1
- ------------------------------------------------------------------------------------------------------------------------
COMPUTER 219,700 +Cabletron Systems, Inc................. 7,573,849 6,220,256 0.5
SERVICES 380,000 First Data Corp......................... 13,532,869 16,696,250 1.2
-------------- -------------- -----
21,106,718 22,916,506 1.7
- ------------------------------------------------------------------------------------------------------------------------
COMPUTERS 155,000 +Compaq Computer Corp................... 11,500,618 15,383,750 1.2
52,000 International Business Machines Corp.... 3,794,075 4,689,750 0.3
-------------- -------------- -----
15,294,693 20,073,500 1.5
- ------------------------------------------------------------------------------------------------------------------------
CONTAINERS 385,300 +Owens-Illinois, Inc.................... 11,153,944 11,944,300 0.9
- ------------------------------------------------------------------------------------------------------------------------
ELECTRONICS 102,000 Intel Corporation....................... 14,113,338 14,439,375 1.1
- ------------------------------------------------------------------------------------------------------------------------
FERTILIZERS 163,000 IMC Global, Inc......................... 6,497,141 5,705,000 0.4
- ------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 213,500 American Express Company................ 9,968,781 15,905,750 1.2
334,000 MGIC Investment Corp.................... 12,688,428 16,011,125 1.2
102,800 Nationwide Financial Services Inc.
(Class A).............................. 2,440,277 2,730,625 0.2
-------------- -------------- -----
25,097,486 34,647,500 2.6
- ------------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 175,700 Black & Decker Corporation.............. 5,890,960 6,533,844 0.5
- ------------------------------------------------------------------------------------------------------------------------
HEALTHCARE-MANAGED CARE 199,000 +Oxford Health Plans, Inc............... 12,367,725 14,278,250 1.1
- ------------------------------------------------------------------------------------------------------------------------
INSURANCE 130,000 Aetna Inc............................... 9,534,450 13,308,750 1.0
189,500 Allstate Corp........................... 6,593,893 13,833,500 1.0
89,460 +Hartford Life, Inc. (Class A).......... 2,902,425 3,354,750 0.3
244,000 Travelers Group, Inc.................... 12,953,954 15,387,250 1.2
37,300 Travelers Property Casualty Corp. (Class
A)..................................... 1,443,579 1,487,338 0.1
368,000 UNUM Corporation........................ 11,752,522 15,456,000 1.2
-------------- -------------- -----
45,180,823 62,827,588 4.8
- ------------------------------------------------------------------------------------------------------------------------
LEISURE & TOURISM 387,000 Brunswick Corporation................... 9,628,968 12,093,750 0.9
103,620 TCI Pacific Communications (Convertible
Preferred)............................. 9,519,227 10,621,050 0.8
-------------- -------------- -----
19,148,195 22,714,800 1.7
- ------------------------------------------------------------------------------------------------------------------------
MACHINERY 232,000 +American Standard
Companies, Inc......................... 8,467,660 10,382,000 0.8
253,400 Ingersoll-Rand Co....................... 11,406,353 15,647,450 1.2
-------------- -------------- -----
19,874,013 26,029,450 2.0
- ------------------------------------------------------------------------------------------------------------------------
MEDICAL 491,000 +Tenet Healthcare Corp.................. 12,788,283 14,515,188 1.1
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
41
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS & WARRANTS COST (NOTE 1a) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NATURAL GAS 238,000 El Paso Natural Gas Co.................. $ 12,196,998 $ 13,090,000 1.0%
266,000 Enron Corp.............................. 10,291,602 10,856,125 0.8
-------------- -------------- -----
22,488,600 23,946,125 1.8
- ------------------------------------------------------------------------------------------------------------------------
OIL SERVICES 366,000 Dresser Industries, Inc................. 9,372,864 13,633,500 1.0
50,000 Schlumberger Ltd. ...................... 4,211,528 6,250,000 0.5
162,600 +Smith International, Inc............... 7,428,829 9,877,950 0.8
-------------- -------------- -----
21,013,221 29,761,450 2.3
- ------------------------------------------------------------------------------------------------------------------------
PAPER 244,000 Kimberly-Clark Corp..................... 9,342,622 12,139,000 0.9
- ------------------------------------------------------------------------------------------------------------------------
PETROLEUM 97,200 Pennzoil Co............................. 4,141,490 7,460,100 0.6
215,000 Unocal Corp............................. 7,215,684 8,344,688 0.6
-------------- -------------- -----
11,357,174 15,804,788 1.2
- ------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 129,700 Abbott Laboratories..................... 5,343,109 8,657,475 0.7
197,000 American Home Products Corporation...... 11,590,778 15,070,500 1.1
153,000 Merck & Co., Inc........................ 9,799,209 15,835,500 1.2
-------------- -------------- -----
26,733,096 39,563,475 3.0
- ------------------------------------------------------------------------------------------------------------------------
RAILROADS 115,500 Burlington Northern
Santa Fe, Inc.......................... 9,335,621 9,976,125 0.8
- ------------------------------------------------------------------------------------------------------------------------
REAL ESTATE 284,100 Prentiss Properties Trust............... 5,999,193 7,280,063 0.6
INVESTMENT TRUSTS 198,150 Starwood Lodging Trust.................. 5,208,407 8,458,528 0.6
-------------- -------------- -----
11,207,600 15,738,591 1.2
- ------------------------------------------------------------------------------------------------------------------------
RETAIL 316,350 Rite Aid Corporation.................... 10,336,910 15,777,956 1.2
261,000 Sears, Roebuck & Co..................... 9,437,012 14,028,750 1.1
-------------- -------------- -----
19,773,922 29,806,706 2.3
- ------------------------------------------------------------------------------------------------------------------------
SOFTWARE 270,400 +BMC Software, Inc...................... 10,346,652 14,973,400 1.2
233,900 Computer Associates International,
Inc.................................... 9,499,308 13,025,306 1.0
35,000 +Microsoft Corp......................... 3,604,701 4,425,313 0.3
188,500 +Oracle Corp............................ 6,987,455 9,483,906 0.7
-------------- -------------- -----
30,438,116 41,907,925 3.2
- ------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 243,000 +Airtouch Communications, Inc........... 6,884,154 6,652,125 0.5
213,000 +Tele-Communications, Inc. (Class A).... 3,060,117 3,155,062 0.2
388,000 +WorldCom, Inc.......................... 9,728,048 12,391,750 1.0
-------------- -------------- -----
19,672,319 22,198,937 1.7
- ------------------------------------------------------------------------------------------------------------------------
TOBACCO 170,000 Philip Morris Companies, Inc............ 6,125,944 7,543,750 0.6
- ------------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 386,800 Carnival Corp. (Class A)................ 11,103,051 15,955,500 1.2
- ------------------------------------------------------------------------------------------------------------------------
UTILITIES 561,100 Edison International, Inc............... 10,636,756 13,957,362 1.1
- ------------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS & WARRANTS 509,479,922 652,155,479 49.7
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
COUNTRY FOREIGN STOCKS+++++
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
ARGENTINA 171,000 Yacimientos Petroliferos Fiscales S.A.
(YPF) (ADR) (a) (23)................... 3,530,098 5,258,250 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ARGENTINA 3,530,098 5,258,250 0.4
- ------------------------------------------------------------------------------------------------------------------------
AUSTRALIA 363,000 Broken Hill Proprietary
Co., Ltd. (9).......................... 4,776,103 5,300,711 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN AUSTRALIA 4,776,103 5,300,711 0.4
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
42
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRY HELD FOREIGN STOCKS+++++ 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 $ 5,332,095 0.4%
42,000 Telecomunicacoes Brasileiras
S.A.-Telebras (ADR) (a) (31)........... 2,181,757 6,373,500 0.5
73,000 +Uniao de Bancos Brasileiros S.A.
(Unibanco) (GDR) (b) (3)............... 2,464,011 2,710,125 0.2
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BRAZIL 8,649,945 14,415,720 1.1
- ------------------------------------------------------------------------------------------------------------------------
CANADA 208,300 Canadian Pacific, Ltd. (20)............. 4,268,930 5,923,531 0.5
163,400 +Imax Corporation (35).................. 2,595,998 3,982,875 0.3
89,000 Magna International Inc.
(Class A) (2).......................... 4,145,911 5,356,687 0.4
61,000 Potash Corp. of Saskatchewan,
Inc. (19).............................. 4,262,368 4,578,812 0.3
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 15,273,207 19,841,905 1.5
- ------------------------------------------------------------------------------------------------------------------------
FINLAND 130,000 +Amer Group Ltd. (9).................... 2,362,805 2,381,687 0.2
115,000 Finnlines OY (8)........................ 2,300,583 3,526,247 0.3
65,000 Orion-yhtymae OY (Class B) (24)......... 2,552,981 2,450,631 0.2
240,000 UPM-Kymmene OY (22)..................... 4,973,923 5,554,056 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 12,190,292 13,912,621 1.1
- ------------------------------------------------------------------------------------------------------------------------
FRANCE 70,300 +SGS-Thomson Microelectronics N.V. (NY
Registered Shares) (29)................ 2,629,734 5,624,000 0.4
122,000 Scor S.A. (27).......................... 4,751,120 4,913,309 0.4
294,000 Usinor-Sacilor S.A. (18)................ 4,946,286 5,304,601 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 12,327,140 15,841,910 1.2
- ------------------------------------------------------------------------------------------------------------------------
GERMANY 14,000 Henkel KGaA (7)......................... 622,324 743,142 0.1
101,000 Henkel KGaA (Preferred) (7)............. 4,296,760 5,737,978 0.4
12,500 Mannesmann AG (16)...................... 4,363,987 5,573,568 0.4
85,000 Siemens AG (11)......................... 4,774,685 5,050,930 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 14,057,756 17,105,618 1.3
- ------------------------------------------------------------------------------------------------------------------------
HONG KONG 213,200 HSBC Holdings PLC (3)................... 3,432,930 6,412,403 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN HONG KONG 3,432,930 6,412,403 0.5
- ------------------------------------------------------------------------------------------------------------------------
INDONESIA 149,400 P.T. Indonesian Satellite Corp. (ADR)
(a) (31)............................... 5,500,791 4,472,662 0.3
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 5,500,791 4,472,662 0.3
- ------------------------------------------------------------------------------------------------------------------------
ITALY 450,000 Arnoldo Mondadori Editore S.p.A. (25)... 3,797,870 2,599,259 0.2
306,100 Danieli & Co. Officine Meccaniche S.p.A.
(16)................................... 1,203,809 1,071,287 0.1
78,000 Gucci Group N.V. (NY Registered Shares)
(1).................................... 5,660,847 5,021,250 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 10,662,526 8,691,796 0.7
- ------------------------------------------------------------------------------------------------------------------------
JAPAN 71,000 Amway Japan Ltd (17).................... 2,723,787 2,406,569 0.2
36,000 Autobacs Seven Co., Ltd. (2)............ 2,488,047 2,855,595 0.2
278,000 Bridgestone Corporation (33)............ 4,818,776 6,460,033 0.5
239,000 Canon, Inc. (11)........................ 4,385,459 6,514,196 0.5
256,000 Matsushita Electric Industrial Co., Ltd.
(11)................................... 4,058,469 5,166,070 0.4
235,000 Matsushita Electric Works, Ltd. (5)..... 2,674,886 2,668,822 0.2
725,000 Mitsubishi Electric Corp. (10).......... 5,240,071 4,059,797 0.3
541,000 Mitsubishi Heavy Industries, Ltd.
(11)................................... 4,419,386 4,154,267 0.3
386,000 Mitsui-Soko Co., Ltd. (34).............. 3,426,243 2,694,278 0.2
57,000 Rohm Co., Ltd. (11)..................... 3,174,431 5,875,775 0.4
70,000 Sony Corporation (11)................... 5,139,157 6,109,024 0.5
435,000 Tokio Marine & Fire Insurance Co., Ltd.
(14)................................... 4,760,187 5,700,183 0.4
675,000 Toray Industries, Inc. (32)............. 4,704,797 4,817,638 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 52,013,696 59,482,247 4.5
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
43
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRY HELD FOREIGN STOCKS+++++ COST (NOTE 1a) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MEXICO 433,200 Grupo Carso, S.A. de C.V. (ADR) (a)
(20)................................... $ 3,851,655 $ 5,848,200 0.4%
182,000 Panamerican Beverages, Inc. (Class A)
(4).................................... 3,564,198 5,983,250 0.5
135,000 Telefonos de Mexico, S.A. de C.V.
(Telemax) (ADR) (a) (31)............... 5,145,509 6,446,250 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 12,561,362 18,277,700 1.4
- ------------------------------------------------------------------------------------------------------------------------
NETHERLANDS 328,000 ABN AMRO Holding N.V. (3)............... 4,598,704 6,121,150 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE NETHERLANDS 4,598,704 6,121,150 0.5
- ------------------------------------------------------------------------------------------------------------------------
NORWAY 469,000 Color Line ASA (8)...................... 1,829,151 2,113,391 0.2
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 1,829,151 2,113,391 0.2
- ------------------------------------------------------------------------------------------------------------------------
PHILIPPINES 1,749,000 San Miguel Corp. (Class B) (4).......... 5,348,755 4,613,112 0.3
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE PHILIPPINES 5,348,755 4,613,112 0.3
- ------------------------------------------------------------------------------------------------------------------------
SOUTH AFRICA 127,500 De Beers Consolidated Mines Ltd. (ADR)
(a) (19)............................... 4,249,507 4,701,562 0.4
417,000 Sasol Ltd. (9).......................... 4,899,575 5,472,320 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH AFRICA 9,149,082 10,173,882 0.8
- ------------------------------------------------------------------------------------------------------------------------
SOUTH KOREA 205,903 +Hyundai Engineering & Construction Co.,
Ltd. (GDR) (b) (12)++.................. 2,642,484 849,350 0.1
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH KOREA 2,642,484 849,350 0.1
- ------------------------------------------------------------------------------------------------------------------------
SPAIN 139,000 Repsol S.A. (ADR) (a) (23).............. 4,898,863 5,898,812 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 4,898,863 5,898,812 0.4
- ------------------------------------------------------------------------------------------------------------------------
SWEDEN 265,200 Bure Investment AB (15)................. 2,355,271 3,344,414 0.2
117,200 +Castellum AB (26)...................... 786,225 879,220 0.1
2,400 Perstorp AB (Class B) (7)............... 42,500 42,528 0.0
209,000 Sparbanken Sverige AB (Class A) (3)..... 2,691,626 4,649,611 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 5,875,622 8,915,773 0.7
- ------------------------------------------------------------------------------------------------------------------------
SWITZERLAND 3,700 ABB AG (6).............................. 4,492,198 5,609,522 0.4
3,900 Novartis AG (Registered Shares) (24).... 3,386,800 6,244,495 0.5
600 Roche Holding AG (24)................... 5,040,147 5,435,275 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWITZERLAND 12,919,145 17,289,292 1.3
- ------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 475,000 Boots Company PLC (28).................. 4,502,607 5,565,022 0.4
1,603,200 British Steel PLC (30).................. 4,002,509 3,985,852 0.3
557,400 Grand Metropolitan PLC (9).............. 3,858,615 5,357,807 0.4
373,900 Imperial Chemical Industries PLC (21)... 5,135,037 5,185,776 0.4
819,900 LucasVarity PLC (2)..................... 2,820,716 2,836,067 0.2
335,000 Rio Tinto PLC (19)...................... 4,999,987 5,830,104 0.5
1,140,000 Vodafone Group PLC (31)................. 3,993,140 5,554,753 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
UNITED KINGDOM 29,312,611 34,315,381 2.6
- ------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 231,550,263 279,303,686 21.3
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
44
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
COUNTRY AMOUNT FOREIGN BONDS+++++ COST (NOTE 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
AUSTRALIA A$ 4,750,000 Government of Australia, 7.50%
due 7/15/2005 (13)............. $ 3,670,134 $ 3,679,033 0.3%
- ------------------------------------------------------------------------------------------------------------------------
CANADA C$ 11,200,000 Canadian Government Bonds, 7%
due 12/01/2006 (13)............ 8,511,722 8,506,966 0.6
- ------------------------------------------------------------------------------------------------------------------------
DENMARK Dkr 20,000,000 Government of Denmark, 7% due
11/15/2007 (13)................ 3,195,204 3,166,357 0.2
- ------------------------------------------------------------------------------------------------------------------------
FINLAND Fim 33,000,000 Finnish Government Bonds, 7.25%
due 4/18/2006 (13)............. 7,034,450 6,904,518 0.5
- ------------------------------------------------------------------------------------------------------------------------
GERMANY DM 12,500,000 Bundesrepublik Deutschland,
7.125% due 12/20/2002 (13)..... 8,815,113 7,932,113 0.6
- ------------------------------------------------------------------------------------------------------------------------
ITALY Lit 10,900,000,000 Buoni Poliennali del Tesoro
(Italian Government Bonds),
8.50% due 1/01/2004 (13)....... 7,722,200 7,017,905 0.5
- ------------------------------------------------------------------------------------------------------------------------
SWEDEN Government of Sweden (13):
Skr 35,400,000 10.25% due 5/05/2000........ 6,001,621 5,179,598 0.4
7,000,000 8% due 8/15/2007............ 1,098,868 994,870 0.1
-------------- -------------- -----
7,100,489 6,174,468 0.5
- ------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM L 3,550,000 UK Treasury Gilt, 7.25% due
12/07/2007 (13)................ 5,875,988 5,971,911 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN BONDS 51,925,300 49,353,271 3.7
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
US CORPORATE BONDS
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
US$ 3,000,000 General Electric Capital Corp.,
8.75% due 5/21/2007 3,373,650 3,378,120 0.2
- ------------------------------------------------------------------------------------------------------------------------
TOTAL US CORPORATE BONDS 3,373,650 3,378,120 0.2
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
US GOVERNMENT & AGENCY OBLIGATIONS
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT AGENCY Federal National Mortgage
OBLIGATIONS Association+++:
6,320,093 6% due 11/01/2000............... 6,256,892 6,301,512 0.5
14,179,291 6% due 6/01/2001................ 14,035,282 13,946,662 1.1
8,214,991 6% due 2/01/2004................ 8,117,438 8,107,950 0.6
-------------- -------------- -----
28,409,612 28,356,124 2.2
- ------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT 85,000,000 US Treasury Bonds, 6.625% due
OBLIGATIONS 2/15/2027...................... 79,638,281 83,167,400 6.3
US Treasury Notes:
3,000,000 5% due 1/31/1998................ 2,973,516 2,989,230 0.2
42,000,000 6% due 8/15/1999................ 41,970,469 41,895,000 3.2
50,000,000 6.50% due 5/31/2002............. 50,335,938 50,203,000 3.8
75,000,000 6.625% due 5/15/2007............ 75,398,437 75,621,000 5.8
-------------- -------------- -----
250,316,641 253,875,630 19.3
- ------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY
OBLIGATIONS 278,726,253 282,231,754 21.5
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHORT-TERM SECURITIES
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER* 29,951,000 General Motors Acceptance Corp.,
6.25% due 7/01/1997............ 29,951,000 29,951,000 2.3
- ------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 29,951,000 29,951,000 2.3
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS............... $1,105,006,388 1,296,373,310 98.7
--------------
--------------
UNREALIZED APPRECIATION ON
FORWARD FOREIGN EXCHANGE
CONTRACTS++++................... 734,524 0.1
OTHER ASSETS LESS LIABILITIES... 15,947,159 1.2
-------------- -----
NET ASSETS...................... $1,313,054,993 100.0%
-------------- -----
-------------- -----
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commercial Paper is traded on a discount basis; the interest rate shown is
the discount rate paid at the time of purchase by the Portfolio.
45
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1997 (Concluded)
- --------------------------------------------------------------------------------
(a) American Depositary Receipts (ADR).
(b) Global Depositary Receipts (GDR).
(c) Warrants entitle the Portfolio to purchase a predetermined number of
shares of Common Stock. The purchase price and number of shares are
subject to adjustment under certain conditions until the expiration date.
+ Non-income producing security.
++ The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
+++ Subject to principal paydowns.
++++ Forward foreign exchange contracts sold as of June 30, 1997 were as
follows:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
UNREALIZED
APPRECIATION
FOREIGN EXPIRATION (DEPRECIATION)
CURRENCY SOLD DATE (NOTE 1E)
- ---------------------------------------------------------------
<S> <C> <C> <C>
A$ 10,850,000 July 1997 $ 22,308
Chf 24,900,000 July 1997 308,810
DM 51,120,000 July 1997 283,623
Dkr 21,320,000 July 1997 21,499
Fim 104,000,000 July 1997 86,536
Frf 85,700,000 July 1997 141,135
L 25,000,000 August 1997 108,725
Lit 28,325,000,000 July 1997 122,426
Pta 887,000,000 July 1997 83,872
Skr 109,000,000 July 1997 51,040
Y 7,050,000,000 July 1997 (495,450)
- ---------------------------------------------------------------
TOTAL UNREALIZED APPRECIATION ON FORWARD
FOREIGN
EXCHANGE CONTRACTS-NET (US$
COMMITMENT-$233,211,606) $ 734,524
-------------
-------------
- ---------------------------------------------------------------
</TABLE>
+++++ Corresponding industry groups for foreign stocks and bonds:
<TABLE>
<S> <C> <C>
(1) Apparel (13) Government Bonds (25) Publishing
(2) Auto-Parts (14) Insurance (26) Real Estate
(3) Banking (15) Investment Management (27) Reinsurance
(4) Beverages (16) Machinery & Equipment (28) Retail
(5) Building Products (17) Merchandising (29) Semiconductors
(6) Capital Goods (18) Metals (30) Steel
(7) Chemicals (19) Mining (31) Telecommunications
(8) Cruise Lines (20) Multi-Industry (32) Textiles
(9) Diversified (21) Oil-Integrated (33) Tires & Rubber
(10) Electrical Equipment (22) Paper & Forest Products (34) Warehouse & Storage
(11) Electronics (23) Petroleum (35) Entertainment
(12) Engineering & Construction (24) Pharmaceuticals
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of June 30, 1997
- --------------------------------------------------------------------------------
<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 $ 208,125 0.9%
6,600 +Alumax, Inc........................ 231,314 250,388 1.0
2,100 Aluminum Co. of America............. 115,567 158,288 0.7
----------- ----------- -----
495,301 616,801 2.6
- -----------------------------------------------------------------------------------------------------------------
CHEMICALS 2,300 Air Products & Chemicals, Inc....... 131,548 186,875 0.8
3,100 BASF AG............................. 77,701 114,653 0.5
1,400 Dow Chemical Co..................... 96,473 121,975 0.5
6,000 duPont (E.I.) de Nemours & Co....... 177,875 377,250 1.5
----------- ----------- -----
483,597 800,753 3.3
- -----------------------------------------------------------------------------------------------------------------
DIAMONDS 8,600 +Aber Resources, Ltd................ 141,731 120,319 0.5
14,000 +SouthernEra Resources Ltd.......... 86,682 79,159 0.3
----------- ----------- -----
228,413 199,478 0.8
- -----------------------------------------------------------------------------------------------------------------
DIVERSIFIED RESOURCES 10,000 Asahi Glass Co., Ltd................ 120,000 99,589 0.4
COMPANIES 3,300 Ashland Inc......................... 139,803 153,037 0.6
2,700 Coastal Corp........................ 78,701 143,606 0.6
12,000 Cyprus Amax Minerals Co............. 330,538 294,000 1.2
3,800 Freeport-McMoRan Copper & Gold, Inc.
(Class B).......................... 130,928 118,275 0.5
5,400 Norcen Energy Resources Ltd......... 87,553 128,786 0.6
32,500 North Ltd........................... 123,126 123,012 0.5
27,400 RGC Ltd............................. 108,532 99,601 0.4
----------- ----------- -----
1,119,181 1,159,906 4.8
- -----------------------------------------------------------------------------------------------------------------
GOLD 76,000 +Acacia Resources Ltd............... 151,876 99,114 0.4
22,900 +Amax Gold, Inc..................... 136,859 140,263 0.6
9,700 Ashanti Goldfields Co. Ltd.
(GDR)**............................ 237,979 113,490 0.5
12,500 Cambior, Inc........................ 170,092 142,262 0.6
13,500 +Casmyn Corp........................ 124,286 99,563 0.4
100,000 Delta Gold N.L...................... 192,923 165,640 0.7
15,500 Driefontein Consolidated Ltd........ 239,913 104,268 0.4
7,300 +Getchell Gold Corp................. 323,394 257,325 1.0
87,000 Great Central Mines N.L............. 259,108 164,451 0.7
44,900 +Miramar Mining Corp................ 225,975 162,740 0.7
13,413 Newmont Mining Corp................. 553,959 523,107 2.2
22,500 Placer Dome Inc..................... 544,234 368,438 1.5
13,100 Prime Resources Group, Inc.......... 128,069 94,962 0.4
128,000 Resolute Ltd........................ 267,743 226,409 0.9
14,200 +Sutton Resources Ltd............... 127,816 115,803 0.5
17,300 +TVX Gold Inc....................... 138,365 91,906 0.4
28,667 +William Resources Ltd.............. 86,539 44,678 0.2
----------- ----------- -----
3,909,130 2,914,419 12.1
- -----------------------------------------------------------------------------------------------------------------
METALS & MINING 5,800 ASARCO, Inc......................... 155,180 177,625 0.7
170,000 +Centaur Mining & Exploration
Ltd................................ 256,033 216,605 0.9
14,100 Falconbridge Ltd.................... 311,454 276,992 1.2
3,600 Inco Ltd............................ 119,083 108,225 0.4
34,200 Industrias Penoles, S.A. de C.V..... 148,340 163,144 0.7
278,000 M.I.M. Holdings Ltd................. 543,339 408,388 1.7
17,188 Minsur S.A.......................... 55,784 65,120 0.3
45,000 Mitsubishi Materials Corp........... 225,928 180,047 0.7
11,300 Noranda Inc......................... 205,635 243,693 1.0
19,000 Outokumpu OY........................ 347,398 377,406 1.6
5,400 P.T. Tambang Timah (GDR)**(a)....... 66,782 82,350 0.3
75,600 Pasminco Ltd........................ 102,704 152,421 0.6
2,800 Phelps Dodge Corp................... 191,427 238,525 1.0
61,000 QNI Ltd............................. 122,703 109,270 0.5
3,100 Rio Algom Ltd....................... 60,087 75,730 0.3
26,900 Rio Tinto PLC....................... 350,458 468,149 1.9
180,000 Savage Resources Ltd................ 135,304 161,892 0.7
20,500 Savage Resources Ltd. (Warrants)
(b)................................ 2,720 4,225 0.0
26,000 Sumitomo Metal Mining Co., Ltd...... 216,870 183,978 0.8
10,500 Trelleborg 'B' Fria................. 132,795 172,478 0.7
</TABLE>
47
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of June 30, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE (NOTE PERCENT OF
INDUSTRIES HELD STOCKS COST 1a) NET ASSETS
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
METALS & MINING 80,600 WMC Ltd............................. $ 467,844 $ 504,421 2.1%
(CONCLUDED) 25,000 +Westmin Resources Ltd.............. 131,104 119,609 0.5
----------- ----------- -----
4,348,972 4,490,293 18.6
- -----------------------------------------------------------------------------------------------------------------
OIL & GAS PRODUCERS 9,900 Apache Corp......................... 264,664 321,750 1.3
8,400 +Benton Oil & Gas Co................ 128,100 126,000 0.5
23,000 +Chauvco Resources Ltd.............. 271,708 329,286 1.4
5,400 +Chieftain International, Inc....... 120,561 118,462 0.5
19,300 +Enserch Exploration, Inc........... 187,297 211,094 0.9
22,400 Enterprise Oil PLC.................. 149,053 250,701 1.0
40,800 +Gulf Canada Resources Ltd.
(Ordinary)......................... 305,195 339,150 1.4
3,800 Louisiana Land and Exploration Co.
(The).............................. 149,992 217,075 0.9
11,100 Mitchell Energy & Development Corp.
(Class B).......................... 193,975 241,425 1.0
15,000 +Northrock Resources Ltd............ 119,611 192,461 0.8
10,300 +Oryx Energy Co..................... 171,762 217,587 0.9
4,200 PanCanadian Petroleum Ltd........... 79,720 88,293 0.4
35,200 Ranger Oil Ltd...................... 239,316 327,800 1.4
6,100 Sonat, Inc.......................... 232,458 312,625 1.3
----------- ----------- -----
2,613,412 3,293,709 13.7
- -----------------------------------------------------------------------------------------------------------------
OIL-INTEGRATED 4,300 Amerada Hess Corp................... 230,276 238,919 1.0
2,600 Amoco Corp.......................... 143,530 226,037 0.9
8,400 British Petroleum Co. PLC (ADR)*.... 320,502 628,950 2.6
6,700 ENI Societa per Azioni (ADR)*....... 313,225 381,062 1.6
1,200 OMV AG.............................. 128,441 153,771 0.6
14,600 Petro-Canada........................ 159,357 237,250 1.0
2,800 Repsol, S.A......................... 81,060 118,465 0.5
5,000 Societe Nationale Elf Aquitaine S.A.
(ADR)*............................. 183,332 272,187 1.1
5,100 Total, S.A. (Class B)............... 318,812 515,651 2.2
6,100 Yacimentos Petroliferas Fiscales
S.A. (YPF) (ADR)*.................. 149,103 187,575 0.8
----------- ----------- -----
2,027,638 2,959,867 12.3
- -----------------------------------------------------------------------------------------------------------------
OIL SERVICES 6,700 Coflexip Stena Offshore, Inc.
(ADR)*............................. 138,682 201,837 0.8
4,400 +Petroleum Geo-Services ASA (ADR)*.. 131,275 215,050 0.9
3,200 Schlumberger Ltd.................... 206,483 400,000 1.7
5,300 Smedvig ASA (ADR)*.................. 112,625 135,150 0.6
3,700 Transocean Offshore Drilling Inc.... 226,546 268,712 1.1
----------- ----------- -----
815,611 1,220,749 5.1
- -----------------------------------------------------------------------------------------------------------------
PAPER & PULP 7,200 Aracruz Celulose S.A. (ADR)*........ 115,506 146,700 0.6
21,000 Avenor Inc.......................... 410,812 407,974 1.7
3,500 Champion International Corp......... 180,195 193,375 0.8
8,100 Empresa Nacional de Cellulosas
S.A................................ 119,536 143,022 0.6
2,800 Georgia-Pacific Corp................ 224,196 239,050 1.0
5,000 International Paper Co.............. 167,987 242,812 1.0
3,200 James River Corp.................... 97,571 118,400 0.5
30,000 Metsa Serla OY 'B'.................. 262,339 244,726 1.0
5,900 Mo Och Domsjo AB Co................. 133,744 193,833 0.8
27,000 Slocan Forest Products Ltd.......... 272,565 269,119 1.1
7,500 Stone Container Corp................ 92,300 107,344 0.4
6,800 Weyerhaeuser Co..................... 290,316 353,600 1.5
4,000 Willamette Industries, Inc.......... 189,875 280,000 1.2
----------- ----------- -----
2,556,942 2,939,955 12.2
- -----------------------------------------------------------------------------------------------------------------
PLANTATIONS 73,000 Golden Hope Plantations BHD......... 131,880 125,538 0.5
70,000 Kuala Lumpur Kepong BHD............. 111,705 173,357 0.7
----------- ----------- -----
243,585 298,895 1.2
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
48
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of June 30, 1997 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE (NOTE PERCENT OF
INDUSTRIES HELD STOCKS COST 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
REFINING 10,000 Sun Co., Inc........................ $ 268,120 $ 310,000 1.3%
22,500 Total Petroleum (North America),
Ltd................................ 331,454 222,187 0.9
----------- ----------- -----
599,574 532,187 2.2
- -----------------------------------------------------------------------------------------------------------------
STEEL 41,000 British Steel PLC................... 107,778 101,934 0.4
4,900 Koninklijke Nederlandsche Hoogovens
en Staalfabrienken N.V............. 190,933 273,333 1.1
83,000 Nippon Steel Corp................... 281,181 265,380 1.1
127,000 Sumitomo Metal Industries, Ltd...... 396,360 361,684 1.5
----------- ----------- -----
976,252 1,002,331 4.1
- -----------------------------------------------------------------------------------------------------------------
WOOD 8,600 Louisiana-Pacific Corp.............. 218,816 181,675 0.8
8,000 +Pacific Forest Products Ltd........ 138,700 146,430 0.6
13,900 Riverside Forest Products Ltd....... 183,006 154,165 0.6
----------- ----------- -----
540,522 482,270 2.0
- -----------------------------------------------------------------------------------------------------------------
TOTAL STOCKS 20,958,130 22,911,613 95.0
- -----------------------------------------------------------------------------------------------------------------
FACE
AMOUNT SHORT-TERM SECURITIES
- -----------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER*** $1,132,000 General Motors Acceptance Corp.,
6.25% due 7/01/1997................ 1,131,803 1,131,803 4.7
- -----------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 1,131,803 1,131,803 4.7
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS................... $22,089,933 24,043,416 99.7
-----------
-----------
OTHER ASSETS LESS LIABILITIES....... 63,016 0.3
----------- -----
NET ASSETS.......................... $24,106,432 100.0%
----------- -----
----------- -----
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
* American Depositary Receipts (ADR).
** Global Depositary Receipts (GDR).
*** Commercial Paper is traded on a discount basis; the interest rate shown is
the discount rate paid at the time of the purchase by the Portfolio.
(a) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(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.
See Notes to Financial Statements.
49
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Assets and Liabilities as of June 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------
ASSETS:
Investments, at value* (Note 1a).................. $ 102,640,954 $ 328,750,102 $ 262,114,361
Unrealized appreciation on forward foreign
exchange contracts (Note 1e).................... -- 124,367 515,226
Cash.............................................. 160 555 315
Foreign cash (Note 1f)............................ -- 44,644 99,064
Receivable for securities sold.................... 789,449 5,140,793 1,591,936
Interest receivable............................... 532,579 -- 1,232,354
Dividends receivable.............................. 41,317 485,434 551,140
Receivable for capital shares sold................ 652 41,103 81,302
Receivable for loaned securities (Note 7)......... -- -- --
Prepaid registration fees and other assets (Note
1d)............................................. 4,978 15,107 10,146
------------- ------------- -------------
Total assets.................................... 104,010,089 334,602,105 266,195,844
------------- ------------- -------------
LIABILITIES:
Payable for securities purchased.................. 595,684 2,280,504 772,436
Payable for capital shares redeemed............... 16,509 229,489 611,605
Payable to investment adviser (Note 2)............ 28,620 91,404 72,526
Payable for forward foreign exchange contracts
(Note 1e)....................................... -- 27,043 73,149
Accrued expenses and other liabilities............ 21,681 74,888 66,985
------------- ------------- -------------
Total liabilities............................... 662,494 2,703,328 1,596,701
------------- ------------- -------------
NET ASSETS........................................ $ 103,347,595 $ 331,898,777 $ 264,599,143
------------- ------------- -------------
------------- ------------- -------------
NET ASSETS CONSIST OF:
Common Stock, $0.10 par value+.................... $ 710,668 $ 1,296,237 $ 1,479,965
Paid-in capital in excess of par.................. 89,391,443 247,691,273 207,451,975
Undistributed investment income -- net............ 1,834,271 2,151,406 4,273,912
Undistributed (accumulated) realized capital gains
(losses) on investments and foreign currency
transactions -- net (Note 5).................... 1,027,959 13,898,606 12,825,139
Unrealized appreciation (depreciation) on
investments and foreign currency transactions --
net............................................. 10,383,254 66,861,255 38,568,152
------------- ------------- -------------
NET ASSETS........................................ $ 103,347,595 $ 331,898,777 $ 264,599,143
------------- ------------- -------------
------------- ------------- -------------
Capital shares outstanding........................ 7,106,677 12,962,370 14,799,652
------------- ------------- -------------
------------- ------------- -------------
Net asset value, offering and redemption price per
share........................................... $ 14.54 $ 25.60 $ 17.88
------------- ------------- -------------
------------- ------------- -------------
*Identified cost.................................. $ 92,257,700 $ 262,006,091 $ 224,034,429
------------- ------------- -------------
------------- ------------- -------------
+Authorized shares................................ 100,000,000 100,000,000 100,000,000
------------- ------------- -------------
------------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GROWTH HIGH GOVERNMENT CORPORATE
STOCK YIELD BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at value* (Note 1a).................. $ 299,324,638 $ 124,967,270 $ 210,997,336 $ 117,163,012
Unrealized appreciation on forward foreign
exchange contracts (Note 1e).................... -- -- -- --
Cash.............................................. 566 1,437 891 429
Foreign cash (Note 1f)............................ -- -- -- --
Receivable for securities sold.................... -- 1,090,835 -- 583,524
Interest receivable............................... -- 1,843,146 3,085,763 1,839,409
Dividends receivable.............................. 178,747 -- -- --
Receivable for capital shares sold................ 54,737 25,346 -- 7,993
Receivable for loaned securities (Note 7)......... -- -- 1,679 456
Prepaid registration fees and other assets (Note
1d)............................................. 9,472 5,482 11,295 6,012
------------- ------------- ------------- -------------
Total assets.................................... 299,568,160 127,933,516 214,096,964 119,600,835
------------- ------------- ------------- -------------
LIABILITIES:
Payable for securities purchased.................. -- 156,520 -- 1,094,632
Payable for capital shares redeemed............... 292,149 74,319 133,756 140,282
Payable to investment adviser (Note 2)............ 81,299 38,308 59,550 32,698
Payable for forward foreign exchange contracts
(Note 1e)....................................... -- -- -- --
Accrued expenses and other liabilities............ 40,827 24,176 44,505 29,803
------------- ------------- ------------- -------------
Total liabilities............................... 414,275 293,323 237,811 1,297,415
------------- ------------- ------------- -------------
NET ASSETS........................................ $ 299,153,885 $ 127,640,193 $ 213,859,153 $ 118,303,420
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
NET ASSETS CONSIST OF:
Common Stock, $0.10 par value+.................... $ 1,005,422 $ 1,381,160 $ 1,980,495 $ 1,033,341
Paid-in capital in excess of par.................. 210,822,931 128,376,366 221,023,494 118,362,613
Undistributed investment income -- net............ 1,270,651 1,123,434 1,222,232 688,021
Undistributed (accumulated) realized capital gains
(losses) on investments and foreign currency
transactions -- net (Note 5).................... 26,363,554 (4,909,948) (10,234,764) (2,203,002)
Unrealized appreciation (depreciation) on
investments and foreign currency transactions --
net............................................. 59,691,327 1,669,181 (132,304) 422,447
------------- ------------- ------------- -------------
NET ASSETS........................................ $ 299,153,885 $ 127,640,193 $ 213,859,153 $ 118,303,420
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
Capital shares outstanding........................ 10,054,219 13,811,603 19,804,948 10,333,411
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
Net asset value, offering and redemption price per
share........................................... $ 29.75 $ 9.24 $ 10.80 $ 11.45
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
*Identified cost.................................. $ 239,633,311 $ 123,298,089 $ 211,129,640 $ 116,740,565
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
+Authorized shares................................ 100,000,000 100,000,000 100,000,000 100,000,000
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
<CAPTION>
MONEY MULTIPLE NATURAL
RESERVE STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- --------------------------------------------------
ASSETS:
Investments, at value* (Note 1a).................. $ 550,931,055 $ 1,296,373,310 $ 24,043,416
Unrealized appreciation on forward foreign
exchange contracts (Note 1e).................... -- 734,524 --
Cash.............................................. -- 434,146 49,824
Foreign cash (Note 1f)............................ -- 320,400 7,848
Receivable for securities sold.................... -- 15,481,080 --
Interest receivable............................... 2,650,742 5,292,921 --
Dividends receivable.............................. -- 1,793,132 48,469
Receivable for capital shares sold................ 100,988 14,599 20,532
Receivable for loaned securities (Note 7)......... -- -- --
Prepaid registration fees and other assets (Note
1d)............................................. 6,863 50,127 1,523
--------------- --------------- -------------
Total assets.................................... 553,689,648 1,320,494,239 24,171,612
--------------- --------------- -------------
LIABILITIES:
Payable for securities purchased.................. -- 5,458,595 --
Payable for capital shares redeemed............... 968,131 1,020,709 43,741
Payable to investment adviser (Note 2)............ 141,409 362,397 6,711
Payable for forward foreign exchange contracts
(Note 1e)....................................... -- 164,032 --
Accrued expenses and other liabilities............ 182,432 433,513 14,728
--------------- --------------- -------------
Total liabilities............................... 1,291,972 7,439,246 65,180
--------------- --------------- -------------
NET ASSETS........................................ $ 552,397,676 $ 1,313,054,993 $ 24,106,432
--------------- --------------- -------------
--------------- --------------- -------------
NET ASSETS CONSIST OF:
Common Stock, $0.10 par value+.................... $ 55,249,714 $ 7,298,744 $ 253,629
Paid-in capital in excess of par.................. 497,247,423 1,046,214,716 24,456,436
Undistributed investment income -- net............ -- 18,573,686 211,380
Undistributed (accumulated) realized capital gains
(losses) on investments and foreign currency
transactions -- net (Note 5).................... -- 48,757,536 (2,767,788)
Unrealized appreciation (depreciation) on
investments and foreign currency transactions --
net............................................. (99,461) 192,210,311 1,952,775
--------------- --------------- -------------
NET ASSETS........................................ $ 552,397,676 $ 1,313,054,993 $ 24,106,432
--------------- --------------- -------------
--------------- --------------- -------------
Capital shares outstanding........................ 552,497,137 72,987,441 2,536,289
--------------- --------------- -------------
--------------- --------------- -------------
Net asset value, offering and redemption price per
share........................................... $ 1.00 $ 17.99 $ 9.50
--------------- --------------- -------------
--------------- --------------- -------------
*Identified cost.................................. $ 551,030,516 $ 1,105,006,388 $ 22,089,933
--------------- --------------- -------------
--------------- --------------- -------------
+Authorized shares................................ 2,000,000,000 300,000,000 100,000,000
--------------- --------------- -------------
--------------- --------------- -------------
</TABLE>
51
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Operations for the Six Months Ended June 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME (NOTES 1b & 1c):
Interest and discount earned*.................................... $ 1,713,124 $ 378,280 $ 1,705,484
Dividends*....................................................... 314,815 2,711,968 2,655,206
Other income..................................................... -- -- --
----------- ------------ ------------
Total income..................................................... 2,027,939 3,090,248 4,360,690
----------- ------------ ------------
EXPENSES:
Investment advisory fees (Note 2)................................ 162,443 496,713 398,010
Custodian fees................................................... 11,364 40,173 78,647
Accounting services (Note 2)..................................... 10,338 29,473 22,500
Professional fees................................................ 4,132 8,182 6,535
Transfer agent fees (Note 2)..................................... 2,572 2,525 2,439
Printing and shareholder reports................................. -- 3,654 2,909
Pricing services................................................. -- 4,775 2,614
Registration fees (Note 1d)...................................... 1,356 862 --
Directors' fees and expenses..................................... 435 1,216 963
Interest expense................................................. -- -- --
Other............................................................ 1,026 6,565 9,758
----------- ------------ ------------
Total expenses before reimbursement.............................. 193,666 594,138 524,375
Reimbursement of expenses (Note 2)............................... -- -- --
----------- ------------ ------------
Expenses after reimbursement..................................... 193,666 594,138 524,375
----------- ------------ ------------
Investment income -- net......................................... 1,834,273 2,496,110 3,836,315
----------- ------------ ------------
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS & FOREIGN
CURRENCY
TRANSACTIONS -- NET (NOTES 1c, 1e, 1f & 3):
Realized gain (loss) on investments -- net....................... 1,060,200 12,301,562 10,593,313
Realized gain (loss) on foreign currency transactions -- net..... -- 1,114,542 2,249,862
Change in unrealized appreciation/depreciation on investments --
net............................................................ 4,634,662 32,412,644 15,636,111
Change in unrealized appreciation/depreciation on foreign
currency transactions -- net................................... -- 452,298 1,323,266
----------- ------------ ------------
Total realized and unrealized gain (loss) on investments and
foreign currency transactions -- net........................... 5,694,862 46,281,046 29,802,552
----------- ------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............. $ 7,529,135 $ 48,777,156 $ 33,638,867
----------- ------------ ------------
----------- ------------ ------------
*Net of withholding tax.......................................... -- $ 129,255 $ 257,737
----------- ------------ ------------
----------- ------------ ------------
</TABLE>
See Notes to Financial Statements.
52
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GROWTH HIGH GOVERNMENT CORPORATE
STOCK YIELD BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME (NOTES 1b & 1c):
Interest and discount earned*.................................... $ 350,088 $ 6,289,971 $ 7,707,522 $4,265,540
Dividends*....................................................... 1,430,008 315,934 -- --
Other income..................................................... -- -- 22,132 1,767
------------ ----------- ------------ -----------
Total income..................................................... 1,780,096 6,605,905 7,729,654 4,267,307
------------ ----------- ------------ -----------
EXPENSES:
Investment advisory fees (Note 2)................................ 429,247 205,999 351,373 191,059
Custodian fees................................................... 13,625 11,128 14,045 9,497
Accounting services (Note 2)..................................... 24,327 13,630 22,018 12,150
Professional fees................................................ 6,836 4,420 7,561 4,980
Transfer agent fees (Note 2)..................................... 2,358 2,430 2,830 2,879
Printing and shareholder reports................................. 2,256 -- -- --
Pricing services................................................. 120 3,223 -- 3,110
Registration fees (Note 1d)...................................... 3,647 1,745 -- --
Directors' fees and expenses..................................... 989 549 1,111 84
Interest expense................................................. -- -- -- --
Other............................................................ 3,205 835 665 733
------------ ----------- ------------ -----------
Total expenses before reimbursement.............................. 486,610 243,959 399,603 224,492
Reimbursement of expenses (Note 2)............................... -- -- -- --
------------ ----------- ------------ -----------
Expenses after reimbursement..................................... 486,610 243,959 399,603 224,492
------------ ----------- ------------ -----------
Investment income -- net......................................... 1,293,486 6,361,946 7,330,051 4,042,815
------------ ----------- ------------ -----------
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS & FOREIGN
CURRENCY
TRANSACTIONS -- NET (NOTES 1c, 1e, 1f & 3):
Realized gain (loss) on investments -- net....................... 26,379,604 843,234 487,962 (282,105)
Realized gain (loss) on foreign currency transactions -- net..... -- -- -- --
Change in unrealized appreciation/depreciation on investments --
net............................................................ 23,833,348 624,182 (3,062,137) (503,637)
Change in unrealized appreciation/depreciation on foreign
currency transactions -- net................................... -- -- -- --
------------ ----------- ------------ -----------
Total realized and unrealized gain (loss) on investments and
foreign currency transactions -- net........................... 50,212,952 1,467,416 (2,574,175) (785,742)
------------ ----------- ------------ -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............. $ 51,506,438 $ 7,829,362 $ 4,755,876 $3,257,073
------------ ----------- ------------ -----------
------------ ----------- ------------ -----------
*Net of withholding tax.......................................... $ 23,568 -- -- --
------------ ----------- ------------ -----------
------------ ----------- ------------ -----------
<CAPTION>
MONEY MULTIPLE NATURAL
RESERVE STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- -----------------------------------------------------------------
INVESTMENT INCOME (NOTES 1b & 1c):
Interest and discount earned*.................................... $ 15,431,197 $ 10,178,717 $ 36,502
Dividends*....................................................... -- 9,403,422 236,763
Other income..................................................... -- 19,411 --
------------ ------------- -----------
Total income..................................................... 15,431,197 19,601,550 273,265
------------ ------------- -----------
EXPENSES:
Investment advisory fees (Note 2)................................ 903,059 2,024,664 40,353
Custodian fees................................................... 11,953 171,226 10,246
Accounting services (Note 2)..................................... 51,856 115,463 3,214
Professional fees................................................ 3,809 27,647 2,577
Transfer agent fees (Note 2)..................................... 2,544 2,546 2,692
Printing and shareholder reports................................. 5,508 11,065 311
Pricing services................................................. -- 2,891 6,154
Registration fees (Note 1d)...................................... -- 14,577 --
Directors' fees and expenses..................................... 2,182 4,797 39
Interest expense................................................. 166 -- --
Other............................................................ 3,594 23,329 614
------------ ------------- -----------
Total expenses before reimbursement.............................. 984,671 2,398,205 66,200
Reimbursement of expenses (Note 2)............................... -- -- (4,483)
------------ ------------- -----------
Expenses after reimbursement..................................... 984,671 2,398,205 61,717
------------ ------------- -----------
Investment income -- net......................................... 14,446,526 17,203,345 211,548
------------ ------------- -----------
REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS & FOREIGN
CURRENCY
TRANSACTIONS -- NET (NOTES 1c, 1e, 1f & 3):
Realized gain (loss) on investments -- net....................... 15,352 43,863,567 936,904
Realized gain (loss) on foreign currency transactions -- net..... -- 5,538,188 (1,328)
Change in unrealized appreciation/depreciation on investments --
net............................................................ (69,329) 84,940,869 (126,623)
Change in unrealized appreciation/depreciation on foreign
currency transactions -- net................................... -- 2,549,604 (785)
------------ ------------- -----------
Total realized and unrealized gain (loss) on investments and
foreign currency transactions -- net........................... (53,977) 136,892,228 808,168
------------ ------------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............. $ 14,392,549 $ 154,095,573 $1,019,716
------------ ------------- -----------
------------ ------------- -----------
*Net of withholding tax.......................................... -- $ 527,824 $ 25,183
------------ ------------- -----------
------------ ------------- -----------
</TABLE>
53
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO
----------------------------- ------------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED
INCREASE (DECREASE) IN NET JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
ASSETS: 1997 1996 1997 1996
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 1,834,273 $ 3,578,627 $ 2,496,110 $ 5,747,305
Realized gain (loss) on
investments and foreign
currency transactions --
net......................... 1,060,200 10,123,967 13,416,104 14,653,340
Change in unrealized
appreciation/depreciation on
investments -- net.......... 4,634,662 (4,709,010) 32,412,644 21,343,267
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- -- 452,298 (334,683)
------------- ------------ ------------- -------------
Net increase in net assets
resulting from operations... 7,529,135 8,993,584 48,777,156 41,409,229
------------- ------------ ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS (NOTE 1g):
Investment income -- net...... (1,769,755) (3,754,719) (2,802,893) (5,548,969)
Realized gain on investments
-- net...................... (10,156,193) (1,979,516) (14,170,818) (36,850,216)
------------- ------------ ------------- -------------
Net decrease in net assets
resulting from dividends and
distributions to
shareholders................ (11,925,948) (5,734,235) (16,973,711) (42,399,185)
------------- ------------ ------------- -------------
CAPITAL SHARE TRANSACTIONS
(NOTE 4):
Net increase (decrease) in net
assets derived from capital
share transactions.......... 8,891,656 (1,587,274) 10,399,263 37,729,131
------------- ------------ ------------- -------------
NET ASSETS:
Total increase in net
assets...................... 4,494,843 1,672,075 42,202,708 36,739,175
Beginning of period........... 98,852,752 97,180,677 289,696,069 252,956,894
------------- ------------ ------------- -------------
End of period*................ $103,347,595 $98,852,752 $331,898,777 $289,696,069
------------- ------------ ------------- -------------
------------- ------------ ------------- -------------
*Undistributed investment
income -- net............... $ 1,834,271 $ 1,769,753 $ 2,151,406 $ 2,458,189
------------- ------------ ------------- -------------
------------- ------------ ------------- -------------
</TABLE>
See Notes to Financial Statements.
54
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL STRATEGY PORTFOLIO GROWTH STOCK PORTFOLIO HIGH YIELD PORTFOLIO
------------------------------ ------------------------------ ------------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED MONTHS ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1997 1996 1997 1996 1997 1996
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 3,836,315 $ 6,775,983 $ 1,293,486 $ 2,721,855 $ 6,361,946 $ 10,963,073
Realized gain (loss) on
investments and foreign
currency transactions --
net......................... 12,843,175 17,848,788 26,379,604 26,418,543 843,234 (2,249,032)
Change in unrealized
appreciation/depreciation on
investments -- net.......... 15,636,111 8,986,014 23,833,348 8,765,971 624,182 4,434,110
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... 1,323,266 (4,745,969) -- -- -- --
------------- ------------- ------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations... 33,638,867 28,864,816 51,506,438 37,906,369 7,829,362 13,148,151
------------- ------------- ------------- ------------- ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS (NOTE 1g):
Investment income -- net...... (7,598,726) (5,458,261) (1,545,546) (1,964,991) (6,301,372) (10,832,795)
Realized gain on investments
-- net...................... (8,739,339) (1,312,483) (26,338,683) (4,499,465) -- --
------------- ------------- ------------- ------------- ------------- -------------
Net decrease in net assets
resulting from dividends and
distributions to
shareholders................ (16,338,065) (6,770,744) (27,884,229) (6,464,456) (6,301,372) (10,832,795)
------------- ------------- ------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
(NOTE 4):
Net increase (decrease) in net
assets derived from capital
share transactions.......... 14,768,757 (2,247,227) 34,865,971 25,071,360 2,468,808 13,949,891
------------- ------------- ------------- ------------- ------------- -------------
NET ASSETS:
Total increase in net
assets...................... 32,069,559 19,846,845 58,488,180 56,513,273 3,996,798 16,265,247
Beginning of period........... 232,529,584 212,682,739 240,665,705 184,152,432 123,643,395 107,378,148
------------- ------------- ------------- ------------- ------------- -------------
End of period*................ $264,599,143 $232,529,584 $299,153,885 $240,665,705 $127,640,193 $123,643,395
------------- ------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- ------------- -------------
*Undistributed investment
income -- net............... $ 4,273,912 $ 8,036,323 $ 1,270,651 $ 1,522,711 $ 1,123,434 $ 1,062,860
------------- ------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- ------------- -------------
</TABLE>
55
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT BOND LONG TERM
PORTFOLIO CORPORATE BOND PORTFOLIO
------------------------------ ------------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED
INCREASE (DECREASE) IN NET JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
ASSETS: 1997 1996 1997 1996
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 7,330,051 $ 15,660,907 $ 4,042,815 $ 8,329,370
Realized gain (loss) on
investments and foreign
currency transactions --
net......................... 487,962 (1,979,485) (282,105) 920,219
Change in unrealized
appreciation/depreciation on
investments -- net.......... (3,062,137) (8,361,032) (503,637) (6,179,230)
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- -- -- --
------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations... 4,755,876 5,320,390 3,257,073 3,070,359
------------- ------------- ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS (NOTE 1g):
Investment income -- net...... (7,430,543) (15,606,904) (4,080,707) (8,263,502)
Realized gain on investments
-- net...................... -- -- -- --
------------- ------------- ------------- -------------
Net decrease in net assets
resulting from dividends and
distributions to
shareholders................ (7,430,543) (15,606,904) (4,080,707) (8,263,502)
------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
(NOTE 4):
Net increase (decrease) in net
assets derived from capital
share transactions.......... (5,329,189) (7,190,485) 1,139,076 (1,851,763)
------------- ------------- ------------- -------------
NET ASSETS:
Total increase (decrease) in
net assets.................. (8,003,856) (17,476,999) 315,442 (7,044,906)
Beginning of period........... 221,863,009 239,340,008 117,987,978 125,032,884
------------- ------------- ------------- -------------
End of period*................ $ 213,859,153 $221,863,009 $ 118,303,420 $117,987,978
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
*Undistributed investment
income -- net............... $ 1,222,232 $ 1,322,724 $ 688,021 $ 725,913
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
56
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTIPLE STRATEGY PORTFOLIO
MONEY RESERVE PORTFOLIO ----------------------------------
------------------------------ FOR THE SIX
FOR THE SIX FOR THE YEAR MONTHS
MONTHS ENDED ENDED ENDED FOR THE YEAR
JUNE 30, DECEMBER 31, JUNE 30, ENDED DECEMBER
1997 1996 1997 31, 1996
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net.................................... $ 14,446,526 $ 29,126,650 $ 17,203,345 $ 38,414,192
Realized gain (loss) on investments and foreign currency
transactions -- net....................................... 15,352 32,716 49,401,755 67,574,916
Change in unrealized appreciation/depreciation on
investments -- net........................................ (69,329) (271,048) 84,940,869 53,357,529
Change in unrealized appreciation/depreciation on foreign
currency transactions -- net.............................. -- -- 2,549,604 (1,704,878)
------------- ------------- --------------- ---------------
Net increase in net assets resulting from operations........ 14,392,549 28,888,318 154,095,573 157,641,759
------------- ------------- --------------- ---------------
DIVIDENDS & DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1g):
Investment income -- net.................................... (14,446,526) (29,126,650) (20,339,089) (42,049,050)
Realized gain on investments -- net......................... (15,352) (32,716) (64,589,168) (113,303,779)
------------- ------------- --------------- ---------------
Net decrease in net assets resulting from dividends and
distributions to shareholders............................. (14,461,878) (29,159,366) (84,928,257) (155,352,829)
------------- ------------- --------------- ---------------
CAPITAL SHARE TRANSACTIONS (NOTE 4):
Net increase (decrease) in net assets derived from capital
share transactions........................................ (5,222,659) (10,478,219) 32,702,798 39,539,413
------------- ------------- --------------- ---------------
NET ASSETS:
Total increase (decrease) in net assets..................... (5,291,988) (10,749,267) 101,870,114 41,828,343
Beginning of period......................................... 557,689,664 568,438,931 1,211,184,879 1,169,356,536
------------- ------------- --------------- ---------------
End of period*.............................................. $ 552,397,676 $557,689,664 $ 1,313,054,993 $ 1,211,184,879
------------- ------------- --------------- ---------------
------------- ------------- --------------- ---------------
*Undistributed investment income -- net..................... -- -- $ 18,573,686 $ 21,709,430
------------- ------------- --------------- ---------------
------------- ------------- --------------- ---------------
<CAPTION>
NATURAL RESOURCES PORTFOLIO
----------------------------
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
JUNE 30, DECEMBER 31,
1997 1996
<S> <C> <C>
- ------------------------------------------------------------
OPERATIONS:
Investment income -- net.................................... $ 211,548 $ 427,894
Realized gain (loss) on investments and foreign currency
transactions -- net....................................... 935,576 1,250,205
Change in unrealized appreciation/depreciation on
investments -- net........................................ (126,623) 1,446,535
Change in unrealized appreciation/depreciation on foreign
currency transactions -- net.............................. (785) (407)
------------ ------------
Net increase in net assets resulting from operations........ 1,019,716 3,124,227
------------ ------------
DIVIDENDS & DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1g):
Investment income -- net.................................... (188,225) (441,716)
Realized gain on investments -- net......................... -- --
------------ ------------
Net decrease in net assets resulting from dividends and
distributions to shareholders............................. (188,225) (441,716)
------------ ------------
CAPITAL SHARE TRANSACTIONS (NOTE 4):
Net increase (decrease) in net assets derived from capital
share transactions........................................ (1,754,499) 1,312,192
------------ ------------
NET ASSETS:
Total increase (decrease) in net assets..................... (923,008) 3,994,703
Beginning of period......................................... 25,029,440 21,034,737
------------ ------------
End of period*.............................................. $ 24,106,432 $25,029,440
------------ ------------
------------ ------------
*Undistributed investment income -- net..................... $ 211,380 $ 188,057
------------ ------------
------------ ------------
</TABLE>
57
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED PORTFOLIO
--------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED -----------------------------------
JUNE 30,
INCREASE (DECREASE) IN NET ASSET VALUE: 1997 1996 1995 1994 1993
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN THE FINANCIAL STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period........................ $ 15.36 $ 14.86 $ 13.27 $ 14.62 $ 13.70
------------ -------- ------- ------- -------
Investment income -- net.................................... .26 .54 .60 .61 .50
Realized and unrealized gain (loss) on investments and
foreign currency transactions -- net...................... .77 .83 2.07 (1.21) 1.35
------------ -------- ------- ------- -------
Total from investment operations............................ 1.03 1.37 2.67 (.60) 1.85
------------ -------- ------- ------- -------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income -- net.................................... (.27) (.57) (.62) (.53) (.75)
Realized gain on investments -- net......................... (1.58) (.30) (.46) (.22) (.18)
------------ -------- ------- ------- -------
Total dividends and distributions........................... (1.85) (.87) (1.08) (.75) (.93)
------------ -------- ------- ------- -------
Net asset value, end of period.............................. $ 14.54 $ 15.36 $ 14.86 $ 13.27 $ 14.62
------------ -------- ------- ------- -------
------------ -------- ------- ------- -------
TOTAL INVESTMENT RETURN:**
Based on net asset value per share.......................... 7.74%++ 9.76% 21.59% (4.28%) 14.31%
------------ -------- ------- ------- -------
------------ -------- ------- ------- -------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of reimbursement.............................. .39%* .39% .38% .40% .43%
------------ -------- ------- ------- -------
------------ -------- ------- ------- -------
Expenses.................................................... .39%* .39% .38% .40% .43%
------------ -------- ------- ------- -------
------------ -------- ------- ------- -------
Investment income -- net.................................... 3.70%* 3.63% 4.47% 4.28% 3.72%
------------ -------- ------- ------- -------
------------ -------- ------- ------- -------
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands).................... $103,348 $ 98,853 $97,181 $75,893 $88,018
------------ -------- ------- ------- -------
------------ -------- ------- ------- -------
Portfolio turnover.......................................... 104.92% 234.79% 32.92% 46.94% 25.38%
------------ -------- ------- ------- -------
------------ -------- ------- ------- -------
Average commission rate paid+++............................. $ .0604 $ .0611 -- -- --
------------ -------- ------- ------- -------
------------ -------- ------- ------- -------
</TABLE>
- ---------------
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the period.
++ Aggregate total investment return.
+++ For fiscal years beginning on or after September 1, 1995, each Portfolio 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.
58
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL STOCK PORTFOLIO
-----------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED --------------------------------------
JUNE 30,
1997+ 1996+ 1995 1994 1993
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN THE FINANCIAL STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period........................ $ 23.25 $ 23.88 $ 21.64 $ 25.73 $ 23.22
------------ -------- -------- -------- --------
Investment income -- net.................................... .19 .46 .41 .29 .33
Realized and unrealized gain (loss) on investments and
foreign currency transactions -- net...................... 3.52 2.86 3.70 (1.50) 3.41
------------ -------- -------- -------- --------
Total from investment operations............................ 3.71 3.32 4.11 (1.21) 3.74
------------ -------- -------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income -- net.................................... (.22) (.47) (.34) (.28) (.59)
Realized gain on investments -- net......................... (1.14) (3.48) (1.53) (2.60) (.64)
------------ -------- -------- -------- --------
Total dividends and distributions........................... (1.36) (3.95) (1.87) (2.88) (1.23)
------------ -------- -------- -------- --------
Net asset value, end of period.............................. $ 25.60 $ 23.25 $ 23.88 $ 21.64 $ 25.73
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
TOTAL INVESTMENT RETURN:**
Based on net asset value per share.......................... 17.03%++ 16.54% 20.73% (5.12%) 17.01%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of reimbursement.............................. .41%* .40% .41% .39% .38%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Expenses.................................................... .41%* .40% .41% .39% .38%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Investment income -- net.................................... 1.72%* 2.11% 1.98% 1.32% 1.43%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands).................... $331,899 $289,696 $252,957 $206,647 $223,971
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Portfolio turnover.......................................... 39.17% 74.30% 130.54% 71.19% 100.12%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Average commission rate paid+++............................. $ .0217 $ .0264 -- -- --
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
<CAPTION>
GLOBAL STRATEGY PORTFOLIO
-----------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED --------------------------------------
JUNE 30,
1997+ 1996+ 1995+ 1994 1993
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN THE FINANCIAL STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period........................ $ 16.80 $ 15.25 $ 14.54 $ 15.42 $ 13.23
------------ -------- -------- -------- --------
Investment income -- net.................................... .26 .47 .52 .47 .36
Realized and unrealized gain (loss) on investments and
foreign currency transactions -- net...................... 2.00 1.56 .94 (.71) 2.61
------------ -------- -------- -------- --------
Total from investment operations............................ 2.26 2.03 1.46 (.24) 2.97
------------ -------- -------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income -- net.................................... (.55) (.39) (.55) (.41) (.60)
Realized gain on investments -- net......................... (.63) (.09) (.20) (.23) (.18)
------------ -------- -------- -------- --------
Total dividends and distributions........................... (1.18) (.48) (.75) (.64) (.78)
------------ -------- -------- -------- --------
Net asset value, end of period.............................. $ 17.88 $ 16.80 $ 15.25 $ 14.54 $ 15.42
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
TOTAL INVESTMENT RETURN:**
Based on net asset value per share.......................... 14.54%++ 13.78% 10.44% (1.62%) 23.73%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of reimbursement.............................. .43%* .42% .44% .48% .45%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Expenses.................................................... .43%* .42% .44% .48% .46%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Investment income -- net.................................... 3.16%* 3.02% 3.59% 3.22% 3.27%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands).................... $264,599 $232,530 $212,683 $223,493 $182,672
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Portfolio turnover.......................................... 60.28% 160.89% 26.81% 27.31% 30.53%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Average commission rate paid+++............................. $ .0117 $ .0160 -- -- --
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the period.
++ Aggregate total investment return.
+++ For fiscal years beginning on or after September 1, 1995, each Portfolio 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.
59
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH STOCK PORTFOLIO
-----------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED --------------------------------------
JUNE 30,
INCREASE (DECREASE) IN NET ASSET VALUE: 1997 1996 1995 1994 1993
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS HAVE BEEN
DERIVED FROM INFORMATION PROVIDED IN THE FINANCIAL
STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period.............. $ 27.79 $ 24.06 $ 19.20 $ 24.65 $ 23.98
------------ -------- -------- -------- --------
Investment income -- net.......................... .13 .32 .15 .31 .32
Realized and unrealized gain (loss) on investments
and foreign currency
transactions -- net............................. 5.05 4.24 6.13 (1.81) 1.63
------------ -------- -------- -------- --------
Total from investment operations.................. 5.18 4.56 6.28 (1.50) 1.95
------------ -------- -------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income -- net.......................... (.18) (.24) (.23) (.30) (.41)
Realized gain on investments -- net............... (3.04) (.59) (1.19) (3.65) (.87)
------------ -------- -------- -------- --------
Total dividends and distributions................. (3.22) (.83) (1.42) (3.95) (1.28)
------------ -------- -------- -------- --------
Net asset value, end of period.................... $ 29.75 $ 27.79 $ 24.06 $ 19.20 $ 24.65
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
TOTAL INVESTMENT RETURN:**
Based on net asset value per share................ 21.24%++ 19.57% 35.35% (6.93%) 8.63%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses.......................................... .37%* .38% .38% .40% .38%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Investment income -- net.......................... .98%* 1.25% .82% 1.53% 1.35%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands).......... $299,154 $240,666 $184,152 $101,702 $122,836
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Portfolio turnover................................ 55.15% 78.04% 87.66% 102.96% 160.29%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Average commission rate paid+++................... $ .0628 $ .0625 -- -- --
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
</TABLE>
- ---------------
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the period.
++ Aggregate total investment return.
+++ For fiscal years beginning on or after September 1, 1995, each Portfolio is
required to disclose its average commission rate per share for purchases
and sales of equity securities.
See Notes to Financial Statements.
60
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD PORTFOLIO
-----------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
FOR THE SIX ------------------------------------
MONTHS ENDED
JUNE 30, 1997+ 1996+ 1995+ 1994 1993
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS HAVE BEEN
DERIVED FROM INFORMATION PROVIDED IN THE FINANCIAL
STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period.............. $ 9.15 $ 8.99 $ 8.53 $ 9.68 $ 9.10
-------------- -------- -------- ------- -------
Investment income -- net.......................... .46 .89 .93 1.00 .94
Realized and unrealized gain (loss) on investments
and foreign currency
transactions -- net............................. .09 .16 .46 (1.17) .62
-------------- -------- -------- ------- -------
Total from investment operations.................. .55 1.05 1.39 (.17) 1.56
-------------- -------- -------- ------- -------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income -- net.......................... (.46) (.89) (.93) (.98) (.98)
Realized gain on investments -- net............... -- -- -- -- --
-------------- -------- -------- ------- -------
Total dividends and distributions................. (.46) (.89) (.93) (.98) (.98)
-------------- -------- -------- ------- -------
Net asset value, end of period.................... $ 9.24 $ 9.15 $ 8.99 $ 8.53 $ 9.68
-------------- -------- -------- ------- -------
-------------- -------- -------- ------- -------
TOTAL INVESTMENT RETURN:**
Based on net asset value per share................ 6.16%++ 12.32% 17.12% (1.88%) 18.11%
-------------- -------- -------- ------- -------
-------------- -------- -------- ------- -------
RATIOS TO AVERAGE NET ASSETS:
Expenses.......................................... .39%* .39% .38% .41% .43%
-------------- -------- -------- ------- -------
-------------- -------- -------- ------- -------
Investment income -- net.......................... 10.11%* 9.77% 10.25% 10.88% 10.17%
-------------- -------- -------- ------- -------
-------------- -------- -------- ------- -------
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands).......... $127,640 $123,643 $107,378 $82,421 $94,739
-------------- -------- -------- ------- -------
-------------- -------- -------- ------- -------
Portfolio turnover................................ 31.13% 50.48% 63.39% 63.43% 73.01%
-------------- -------- -------- ------- -------
-------------- -------- -------- ------- -------
Average commission rate paid+++................... -- -- -- -- --
-------------- -------- -------- ------- -------
-------------- -------- -------- ------- -------
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the period.
++ Aggregate total investment return.
+++ For fiscal years beginning on or after September 1, 1995, each Portfolio is
required to disclose its average commission rate per share for purchases
and sales of equity securities.
61
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT PORTFOLIO
-----------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED --------------------------------------
JUNE 30,
INCREASE (DECREASE) IN NET ASSET VALUE: 1997+ 1996+ 1995+ 1994+ 1993
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS HAVE BEEN
DERIVED FROM INFORMATION PROVIDED IN THE FINANCIAL
STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period.............. $ 10.93 $ 11.41 $ 10.32 $ 12.02 $ 11.75
------------ -------- -------- -------- --------
Investment income -- net.......................... .37 .76 .78 .75 .83
Realized and unrealized gain (loss) on investments
and foreign currency
transactions -- net............................. (.13) (.49) 1.10 (1.30) .50
------------ -------- -------- -------- --------
Total from investment operations.................. .24 .27 1.88 (.55) 1.33
------------ -------- -------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income -- net.......................... (.37) (.75) (.79) (.75) (.84)
Realized gain on investments -- net............... -- -- -- (.39) (.22)
In excess of realized gain on investments --
net............................................. -- -- -- (.01) --
------------ -------- -------- -------- --------
Total dividends and distributions................. (.37) (.75) (.79) (1.15) (1.06)
------------ -------- -------- -------- --------
Net asset value, end of period.................... $ 10.80 $ 10.93 $ 11.41 $ 10.32 $ 12.02
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
TOTAL INVESTMENT RETURN:**
Based on net asset value per share................ 2.26%++ 2.61% 18.87% (4.78%) 11.20%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses.......................................... .38%* .38% .38% .37% .36%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Investment income -- net.......................... 6.94%* 6.85% 7.22% 6.89% 6.42%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Investment income -- net, and realized gain on
investments -- net.............................. -- -- -- -- --
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands).......... $213,859 $221,863 $239,340 $218,611 $284,495
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Portfolio turnover................................ 22.30% 29.35% 57.38% 140.55% 113.61%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
</TABLE>
- ---------------
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the period.
++ Aggregate total investment return.
+++ Amount is less than $.01 per share.
See Notes to Financial Statements.
62
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LONG TERM CORPORATE BOND PORTFOLIO
-----------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED --------------------------------------
JUNE 30,
1997+ 1996+ 1995+ 1994+ 1993
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS HAVE BEEN
DERIVED FROM INFORMATION PROVIDED IN THE FINANCIAL
STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period.............. $ 11.53 $ 12.02 $ 10.72 $ 12.59 $ 12.07
------------ -------- -------- -------- --------
Investment income -- net.......................... .39 .80 .83 .81 .83
Realized and unrealized gain (loss) on investments
and foreign currency
transactions -- net............................. (.07) (.50) 1.30 (1.42) .68
------------ -------- -------- -------- --------
Total from investment operations.................. .32 .30 2.13 (.61) 1.51
------------ -------- -------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income -- net.......................... (.40) (.79) (.83) (.82) (.83)
Realized gain on investments -- net............... -- -- -- (.44) (.16)
In excess of realized gain on investments --
net............................................. -- -- -- -- --
------------ -------- -------- -------- --------
Total dividends and distributions................. (.40) (.79) (.83) (1.26) (.99)
------------ -------- -------- -------- --------
Net asset value, end of period.................... $ 11.45 $ 11.53 $ 12.02 $ 10.72 $ 12.59
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
TOTAL INVESTMENT RETURN:**
Based on net asset value per share................ 2.82%++ 2.77% 20.66% (5.14%) 13.01%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses.......................................... .39%* .39% .40% .39% .38%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Investment income -- net.......................... 7.00%* 6.90% 7.32% 7.16% 6.65%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Investment income -- net, and realized gain on
investments -- net.............................. -- -- -- -- --
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands).......... $118,303 $117,988 $125,033 $111,878 $139,321
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Portfolio turnover................................ 46.79% 92.45% 110.49% 134.53% 110.53%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
<CAPTION>
MONEY RESERVE PORTFOLIO
-----------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED --------------------------------------
JUNE 30,
1997 1996 1995 1994 1993
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS HAVE BEEN
DERIVED FROM INFORMATION PROVIDED IN THE FINANCIAL
STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period.............. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ -------- -------- -------- --------
Investment income -- net.......................... .03 .05 .06 .04 .03
Realized and unrealized gain (loss) on investments
and foreign currency
transactions -- net............................. -- -- -- -- --
------------ -------- -------- -------- --------
Total from investment operations.................. .03 .05 .06 .04 .03
------------ -------- -------- -------- --------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income -- net.......................... (.03) (.05) (.06) (.04) (.03)
Realized gain on investments -- net............... --+++ --+++ -- -- --
In excess of realized gain on investments --
net............................................. -- -- -- -- --
------------ -------- -------- -------- --------
Total dividends and distributions................. (.03) (.05) (.06) (.04) (.03)
------------ -------- -------- -------- --------
Net asset value, end of period.................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
TOTAL INVESTMENT RETURN:**
Based on net asset value per share................ 5.24%* 5.33% 5.81% 4.04% 3.08%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses.......................................... .36%* .36% .35% .36% .36%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Investment income -- net.......................... -- -- -- -- --
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Investment income -- net, and realized gain on
investments -- net.............................. 5.24%* 5.16% 5.67% 4.00% 3.03%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands).......... $552,398 $557,690 $568,439 $583,992 $546,710
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Portfolio turnover................................ -- -- -- -- --
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the period.
++ Aggregate total investment return.
+++ Amount is less than $.01 per share.
63
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTIPLE STRATEGY PORTFOLIO
-------------------------------------------------------------
FOR THE SIX
MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED ----------------------------------------------
JUNE 30,
INCREASE (DECREASE) IN NET ASSET VALUE: 1997+ 1996+ 1995+ 1994+ 1993
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS HAVE BEEN
DERIVED FROM INFORMATION PROVIDED IN THE FINANCIAL
STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period.............. $ 17.13 $ 17.24 $ 16.22 $ 19.84 $ 18.70
------------ ---------- ---------- ---------- ----------
Investment income -- net.......................... .23 .53 .56 .50 .54
Realized and unrealized gain (loss) on investments
and foreign currency transactions -- net........ 1.83 1.63 2.03 (1.39) 2.30
------------ ---------- ---------- ---------- ----------
Total from investment operations.................. 2.06 2.16 2.59 (.89) 2.84
------------ ---------- ---------- ---------- ----------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income -- net.......................... (.29) (.60) (.48) (.57) (.88)
Realized gain on investments -- net............... (.91) (1.67) (1.09) (2.16) (.82)
------------ ---------- ---------- ---------- ----------
Total dividends and distributions................. (1.20) (2.27) (1.57) (2.73) (1.70)
------------ ---------- ---------- ---------- ----------
Net asset value, end of period.................... $ 17.99 $ 17.13 $ 17.24 $ 16.22 $ 19.84
------------ ---------- ---------- ---------- ----------
------------ ---------- ---------- ---------- ----------
TOTAL INVESTMENT RETURN:**
Based on net asset value per share................ 13.01%++ 14.32% 17.55% (5.05%) 16.66%
------------ ---------- ---------- ---------- ----------
------------ ---------- ---------- ---------- ----------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of reimbursement.................... .39%* .39% .38% .38% .36%
------------ ---------- ---------- ---------- ----------
------------ ---------- ---------- ---------- ----------
Expenses.......................................... .39%* .39% .38% .38% .36%
------------ ---------- ---------- ---------- ----------
------------ ---------- ---------- ---------- ----------
Investment income -- net.......................... 2.78%* 3.26% 3.44% 2.97% 2.91%
------------ ---------- ---------- ---------- ----------
------------ ---------- ---------- ---------- ----------
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands).......... $ 1,313,055 $1,211,185 $1,169,357 $1,082,083 $1,237,336
------------ ---------- ---------- ---------- ----------
------------ ---------- ---------- ---------- ----------
Portfolio turnover................................ 67.07% 143.82% 140.83% 68.12% 91.08%
------------ ---------- ---------- ---------- ----------
------------ ---------- ---------- ---------- ----------
Average commission rate paid+++................... $ .0178 $ .0246 -- -- --
------------ ---------- ---------- ---------- ----------
------------ ---------- ---------- ---------- ----------
</TABLE>
- ---------------
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the period.
++ Aggregate total investment return.
+++ For fiscal years beginning on or after September 1, 1995, each Portfolio 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>
NATURAL RESOURCES PORTFOLIO
------------------------------------------------
FOR THE SIX
MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED ----------------------------------
JUNE 30,
1997+ 1996+ 1995 1994 1993
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS HAVE BEEN
DERIVED FROM INFORMATION PROVIDED IN THE FINANCIAL
STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period.............. $ 9.19 $ 8.17 $ 7.43 $ 7.53 $ 7.01
----------- ------- ------- ------- -------
Investment income -- net.......................... .08 .16 .17 .17 .13
Realized and unrealized gain (loss) on investments
and foreign currency transactions -- net........ .30 1.03 .73 (.10) .66
----------- ------- ------- ------- -------
Total from investment operations.................. .38 1.19 .90 .07 .79
----------- ------- ------- ------- -------
LESS DIVIDENDS AND DISTRIBUTIONS:
Investment income -- net.......................... (.07) (.17) (.16) (.17) (.27)
Realized gain on investments -- net............... -- -- -- -- --
----------- ------- ------- ------- -------
Total dividends and distributions................. (.07) (.17) (.16) (.17) (.27)
----------- ------- ------- ------- -------
Net asset value, end of period.................... $ 9.50 $ 9.19 $ 8.17 $ 7.43 $ 7.53
----------- ------- ------- ------- -------
----------- ------- ------- ------- -------
TOTAL INVESTMENT RETURN:**
Based on net asset value per share................ 4.16%++ 14.72% 12.22% .88% 11.65%
----------- ------- ------- ------- -------
----------- ------- ------- ------- -------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of reimbursement.................... .50%* .50% .47% .50% .50%
----------- ------- ------- ------- -------
----------- ------- ------- ------- -------
Expenses.......................................... .54%* .57% .47% .59% .59%
----------- ------- ------- ------- -------
----------- ------- ------- ------- -------
Investment income -- net.......................... 1.72%* 1.79% 1.99% 2.23% 2.00%
----------- ------- ------- ------- -------
----------- ------- ------- ------- -------
SUPPLEMENTAL DATA:
Net assets, end of period (in thousands).......... $24,106 $25,029 $21,035 $21,455 $18,437
----------- ------- ------- ------- -------
----------- ------- ------- ------- -------
Portfolio turnover................................ 14.66% 31.29% 38.50% 48.16% 65.26%
----------- ------- ------- ------- -------
----------- ------- ------- ------- -------
Average commission rate paid+++................... $ .0303 $ .0231 -- -- --
----------- ------- ------- ------- -------
----------- ------- ------- ------- -------
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding during the period.
++ Aggregate total investment return.
+++ For fiscal years beginning on or after September 1, 1995, each Portfolio 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>
(This page has been left blank intentionally.)
66
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES:
Merrill Lynch Series Fund, Inc. (the "Fund") is registered under the Investment
Company Act of 1940 as a diversified, open-end management investment company,
with the exceptions of Global Strategy Portfolio and Natural Resources
Portfolio, which are classified as non-diversified. These unaudited financial
statements reflect all adjustments which are, in the opinion of management,
necessary to a fair statement of the results for the interim period presented.
All such adjustments are of a normal recurring nature. The Fund offers its
shares to Merrill Lynch Life Insurance Company, ML Life Insurance Company of New
York (indirect wholly-owned subsidiaries of Merrill Lynch & Co., Inc. ("ML &
Co.") and Monarch Life Insurance Company (an insurance company not affiliated
with ML & Co.)) separate accounts to fund benefits under certain variable life
insurance contracts. The following is a summary of significant accounting
policies followed by the Fund.
(a) VALUATION OF INVESTMENTS -- Money Reserve and Multiple Strategy Portfolios:
Investments maturing more than sixty days after the valuation date are valued at
the most recent bid price or yield equivalent as obtained from dealers that make
markets in such securities. When such securities are valued with sixty days or
less to maturity, the difference between the valuation existing on the
sixty-first day before maturity and maturity value is amortized on a
straight-line basis to maturity. Investments maturing within sixty days from
their date of acquisition are valued at amortized cost, which approximates
market value. For the purpose of valuation, the maturity of a variable rate
certificate of deposit is deemed to be the next coupon date on which the
interest rate is to be adjusted.
Balanced, Capital Stock, Global Strategy, Growth Stock, High Yield, Intermediate
Government Bond, Long Term Corporate Bond, Multiple Strategy and Natural
Resources Portfolios: Portfolio securities which are traded on stock exchanges
are valued at the last sale price as of the close of business on the day the
securities are being valued or, lacking any sales, at the closing bid price.
Securities other than money market securities traded in the over-the-counter
market are valued at the last available bid price prior to the time of
valuation. Portfolio securities which are traded both in the over-the-counter
market and on a stock exchange are valued according to the broadest and most
representative market, and it is expected that for debt securities this
ordinarily will be the over-the-counter market. Short-term securities are valued
at amortized cost, which approximates market value.
Options written are valued at the last sale price in the case of exchange-traded
options or, in the case of options traded in the over-the-counter market, the
last asked price. Options purchased are valued at the last sale price in the
case of exchange-traded options or, in the case of options traded in the over-
the-counter market, the last bid price. Futures contracts are valued at
settlement price at the close of the applicable exchange. Securities and assets
for which market quotations are not readily available are valued at fair value
as determined in good faith by or under the direction of the Board of Directors
of the Fund.
(b) INCOME TAXES -- It is the Fund's policy to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to its shareholders.
Therefore, no Federal income tax provision is required. Under the applicable
foreign tax law, a withholding tax may be imposed on interest, dividends and
capital gains at various rates.
(c) SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
recorded on the dates the transactions are entered into (the trade dates).
Dividend income is recorded on the ex-dividend dates. 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.
67
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
(d) PREPAID REGISTRATION FEES -- Prepaid registration fees are charged to
expense as the related shares are issued.
(e) DERIVATIVE FINANCIAL INSTRUMENTS -- The Fund may engage in various portfolio
strategies to seek to increase its return by hedging its portfolio against
adverse movements in the equity, debt and currency markets. Losses may arise due
to changes in the value of the contract or if the counterparty does not perform
under the contract.
- - 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.
68
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
(g) DIVIDENDS AND DISTRIBUTIONS -- Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates.
2. INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH AFFILIATES:
The Fund has entered into an Investment Advisory Agreement with Merrill Lynch
Asset Management, L.P. ("MLAM"). The general partner of MLAM is Princeton
Services, Inc. ("PSI"), an indirect wholly-owned subsidiary of ML & Co., which
is the limited partner. The Fund has also entered into a Distribution Agreement
and Distribution Plan with Merrill Lynch Funds Distributor, Inc. ("MLFD" or
"Distributor"), a wholly-owned subsidiary of Merrill Lynch Group, Inc. MLAM is
responsible for the management of the Fund's portfolios and provides the
necessary personnel, facilities, equipment and certain other services necessary
to the operations of the Fund. For such services, the Fund pays a monthly fee
based upon the aggregate average daily value of the ten combined Portfolios' net
assets at the following annual rates: 0.50% of the Fund's average daily net
assets not exceeding $250 million, 0.45% of the next $50 million, 0.40% of the
next $100 million, 0.35% of the next $400 million, and 0.30% of average daily
net assets in excess of $800 million.
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 six months ended June 30, 1997, the Natural Resources Portfolio was
reimbursed in the amount of $4,483.
Merrill Lynch, Pierce, Fenner & Smith Inc. ("MLPF&S"), a subsidiary of ML & Co.,
earned commissions on the execution of portfolio security transactions
aggregating $66 in the Balanced Portfolio, $6,141 in the Capital Stock
Portfolio, $9,379 in the Global Strategy Portfolio, $4,320 in the Growth Stock
Portfolio, $23,200 in the Multiple Strategy Portfolio, and $923 in the Natural
Resources Portfolio.
Merrill Lynch Financial Data Services, Inc. ("MLFDS"), a wholly-owned subsidiary
of ML & Co., is the Fund's transfer agent.
During the six months ended June 30, 1997, Merrill Lynch Security Pricing
Service, an affiliate of MLPF&S, was paid by Balanced Portfolio $88; Growth
Stock Portfolio $18; High Yield Portfolio $2,293; Intermediate Government
Portfolio $663; Long-Term Corporate Bond Portfolio $2,244; and Multiple Strategy
Portfolio $113 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, PSI, and/or ML & Co.
3. INVESTMENTS:
Purchases and sales of investments, excluding short-term securities, for the six
months ended June 30, 1997 were as follows:
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY GROWTH STOCK HIGH YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Total Purchases................................... $86,860,735 $119,809,714 $148,463,497 $148,313,716 $40,872,449
----------- ------------ ------------ ------------ -----------
----------- ------------ ------------ ------------ -----------
Total Sales....................................... $87,846,140 $134,149,584 $140,639,464 $138,729,028 $33,666,035
----------- ------------ ------------ ------------ -----------
----------- ------------ ------------ ------------ -----------
<CAPTION>
INTERMEDIATE LONG TERM
GOVERNMENT CORPORATE MULTIPLE NATURAL
BOND BOND STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- -------------------------------------------------- ----------------------------------------------------
<S> <C> <C> <C> <C>
Total Purchases................................... $45,102,723 $50,247,340 $767,418,341 $3,430,107
------------ ----------- ------------ ----------
------------ ----------- ------------ ----------
Total Sales....................................... $57,532,681 $55,701,398 $828,011,756 $4,928,325
------------ ----------- ------------ ----------
------------ ----------- ------------ ----------
</TABLE>
69
<PAGE>
- --------------------------------------------------------------------------------
Merrill Lynch Series Fund, Inc.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
As of June 30, 1997, unrealized appreciation/depreciation for Federal income tax
purposes were as follows:
<TABLE>
<CAPTION>
CAPITAL GLOBAL GROWTH HIGH
BALANCED STOCK STRATEGY STOCK YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
Appreciated securities........ $ 10,686,608 $ 69,842,884 $ 44,104,755 $ 64,493,330 $ 6,194,509
Depreciated securities........ (303,354) (3,098,873) (6,024,823) (4,802,003) (4,525,328)
------------ ------------- ------------- ------------- -------------
Net unrealized appreciation
(depreciation).............. $ 10,383,254 $ 66,744,011 $ 38,079,932 $ 59,691,327 $ 1,669,181
------------ ------------- ------------- ------------- -------------
------------ ------------- ------------- ------------- -------------
Cost for Federal income tax
purposes.................... $ 92,257,700 $ 262,006,091 $ 224,034,429 $ 239,633,311 $ 123,298,089
------------ ------------- ------------- ------------- -------------
------------ ------------- ------------- ------------- -------------
</TABLE>
Net realized and unrealized gains (losses) as of June 30, 1997 were as follows:
<TABLE>
<CAPTION>
GLOBAL STRATEGY
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO 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.......... $1,060,207 $10,383,254 $12,301,562 $66,744,011 $10,593,245 $38,079,932
Short-term securities......... (7) -- -- -- 68 --
Forward foreign exchange
contracts................... -- -- 1,140,409 124,367 4,231,956 515,226
Foreign currency
transactions................ -- -- (25,867) (7,123) (1,982,094) (27,006)
---------- ----------- ----------- ----------- ----------- -----------
Total......................... $1,060,200 $10,383,254 $13,416,104 $66,861,255 $12,843,175 $38,568,152
---------- ----------- ----------- ----------- ----------- -----------
---------- ----------- ----------- ----------- ----------- -----------
<CAPTION>
GROWTH STOCK PORTFOLIO HIGH YIELD PORTFOLIO
------------------------ ----------------------
REALIZED
REALIZED UNREALIZED GAINS UNREALIZED
GAINS GAINS (LOSSES) GAINS
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
Long-term securities.......... $26,379,320 $59,691,327 $844,345 $1,669,181
Short-term securities......... 284 -- (1,111) --
Forward foreign exchange
contracts................... -- -- -- --
Foreign currency
transactions................ -- -- -- --
----------- ----------- --------- ----------
Total......................... $26,379,604 $59,691,327 $843,234 $1,669,181
----------- ----------- --------- ----------
----------- ----------- --------- ----------
</TABLE>
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares were as follows:
<TABLE>
<CAPTION>
GROWTH
GLOBAL STRATEGY STOCK
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO PORTFOLIO PORTFOLIO
------------------------- -------------------------- --------------------------- -----------
FOR THE SIX MONTHS ENDED DOLLAR DOLLAR DOLLAR
JUNE 30, 1997 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES
<S> <C> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------------
Shares sold................... 278,288 $ 3,857,386 669,313 $ 15,572,304 964,714 $ 15,929,984 1,600,070
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 889,332 11,925,948 782,920 16,973,711 1,054,749 16,338,065 1,147,971
---------- ------------ ---------- ------------- ----------- ------------- -----------
Total issued.................. 1,167,620 15,783,334 1,452,233 32,546,015 2,019,463 32,268,049 2,748,041
Shares redeemed............... (498,406) (6,891,678) (947,276) (22,146,752) (1,058,674) (17,499,292) (1,354,139)
---------- ------------ ---------- ------------- ----------- ------------- -----------
Net increase (decrease)....... 669,214 $ 8,891,656 504,957 $ 10,399,263 960,789 $ 14,768,757 1,393,902
---------- ------------ ---------- ------------- ----------- ------------- -----------
---------- ------------ ---------- ------------- ----------- ------------- -----------
<CAPTION>
FOR THE SIX MONTHS ENDED DOLLAR
JUNE 30, 1997 AMOUNT
<S> <C>
- ------------------------------
Shares sold................... $ 42,427,877
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 27,884,229
-------------
Total issued.................. 70,312,106
Shares redeemed............... (35,446,135)
-------------
Net increase (decrease)....... $ 34,865,971
-------------
-------------
</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>
GROWTH STOCK PORTFOLIO
---------------------------
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>
70
<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........ $ 2,754,178 $ 1,516,813 $ 17,051 $ 205,393,667 $ 3,648,589
Depreciated securities........ (2,886,482) (1,094,366) (116,512) (14,026,745) (1,695,106)
------------- ------------- ------------- --------------- ------------
Net unrealized appreciation
(depreciation).............. $ (132,304) $ 422,447 $ (99,461) $ 191,366,922 $ 1,953,483
------------- ------------- ------------- --------------- ------------
------------- ------------- ------------- --------------- ------------
Cost for Federal income tax
purposes.................... $ 211,129,640 $ 116,740,565 $ 551,030,516 $ 1,105,006,388 $ 22,089,933
------------- ------------- ------------- --------------- ------------
------------- ------------- ------------- --------------- ------------
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE
GOVERNMENT BOND LONG TERM CORPORATE MONEY RESERVE
PORTFOLIO BOND PORTFOLIO PORTFOLIO
-------------------- ----------------------- --------------------
REALIZED UNREALIZED REALIZED UNREALIZED REALIZED UNREALIZED
GAINS LOSSES LOSSES GAINS GAINS LOSSES
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------
Long-term securities.......... $487,962 $(132,304 ) $ (282,105) $ 422,447 -- --
Short-term securities......... -- -- -- -- $15,352 $ (99,461)
Forward foreign exchange
contracts................... -- -- -- -- -- --
Foreign currency
transactions................ -- -- -- -- -- --
-------- ---------- ---------- ---------- -------- ----------
Total......................... $487,962 $(132,304 ) $ (282,105) $ 422,447 $15,352 $ (99,461)
-------- ---------- ---------- ---------- -------- ----------
-------- ---------- ---------- ---------- -------- ----------
<CAPTION>
MULTIPLE STRATEGY NATURAL RESOURCES
PORTFOLIO PORTFOLIO
------------------------- --------------------
GAINS UNREALIZED GAINS GAINS
(LOSSES) GAINS (LOSSES) (LOSSES)
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
Long-term securities.......... $43,861,192 $191,366,922 $936,896 $1,953,483
Short-term securities......... 2,375 -- 8 --
Forward foreign exchange
contracts................... 8,659,229 734,524 -- --
Foreign currency
transactions................ (3,121,041) 108,865 (1,328 ) (708 )
----------- ------------ -------- ----------
Total......................... $49,401,755 $192,210,311 $935,576 $1,952,775
----------- ------------ -------- ----------
----------- ------------ -------- ----------
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM CORPORATE
GOVERNMENT BOND
HIGH YIELD PORTFOLIO PORTFOLIO BOND PORTFOLIO
---------------------------- ---------------------------- -------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
Shares sold................... 3,855,466 $ 35,104,946 273,124 $ 2,934,721 427,495 $ 4,874,951
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 694,978 6,301,372 692,653 7,430,543 359,533 4,080,708
----------- ------------- ----------- ------------- --------- ------------
Total issued.................. 4,550,444 41,406,318 965,777 10,365,264 787,028 8,955,659
Shares redeemed............... (4,250,372) (38,937,510) (1,459,892) (15,694,453) (688,019) (7,816,583)
----------- ------------- ----------- ------------- --------- ------------
Net increase (decrease)....... 300,072 $ 2,468,808 (494,115) $ (5,329,189) 99,009 $ 1,139,076
----------- ------------- ----------- ------------- --------- ------------
----------- ------------- ----------- ------------- --------- ------------
<CAPTION>
MULTIPLE STRATEGY NATURAL RESOURCES
MONEY RESERVE PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------ --------------------------- ------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
Shares sold................... 124,135,239 $ 124,135,239 499,170 $ 8,243,719 569,383 $ 5,269,316
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 14,461,619 14,461,619 5,378,610 84,928,258 20,775 188,225
------------- -------------- ----------- ------------- --------- ------------
Total issued.................. 138,596,858 138,596,858 5,877,780 93,171,977 590,158 5,457,541
Shares redeemed............... (143,819,517) (143,819,517) (3,595,891) (60,469,179) (777,943) (7,212,040)
------------- -------------- ----------- ------------- --------- ------------
Net increase (decrease)....... (5,222,659) $ (5,222,659) 2,281,889 $ 32,702,798 (187,785) $ (1,754,499)
------------- -------------- ----------- ------------- --------- ------------
------------- -------------- ----------- ------------- --------- ------------
</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 MULTIPLE STRATEGY PORTFOLIO NATURAL RESOURCES 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>
71
<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;
$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 June 30, 1997, each of the Capital Stock Portfolio, the Global Strategy
Portfolio and 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 $11,000, $21,250 and $42,500, respectively; each of the
Capital Stock Portfolio, the Global Strategy Portfolio, and the Multiple
Strategy Portfolio had entered into forward foreign exchange contracts under
which it agreed to sell various foreign currencies with values of approximately
$1,210,000, $673,031 and $5,634,000, respectively.
7. LOANED SECURITIES:
At June 30, 1997, the Intermediate Government Bond Portfolio held US Treasury
Notes having an aggregate value of approximately $6,193,000 as collateral for
portfolio securities loaned having a market value of approximately $6,019,000;
the Long Term Corporate Bond Portfolio held US Treasury Notes having an
aggregate value of approximately $7,157,000 as collateral for portfolio
securities loaned having a market value of approximately $6,968,000; the
Multiple Strategy Portfolio held US Treasury Notes having an aggregate value of
approximately $6,084,000 as collateral for portfolio securities loaned having a
market value of approximately $5,899,000.
72
<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
JOSEPH T. MONAGLE JR.-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
JENNIFER L. SAWIN-Secretary
PRINCIPAL OFFICE OF THE FUND
Box 9011
Princeton, NJ 08453-9011
CUSTODIAN
The Bank of New York
90 Washington Street
New York, NY 10286
TRANSFER AGENT
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
(800) 637-3863
73
