<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
- -----------------------------------------
1998 SEMI-ANNUAL REPORT
JUNE 30, 1998
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1998
- --------------------------------------------------------------------------------
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 page 11 of this report to shareholders.
BALANCED PORTFOLIO
As of June 30, 1998, the Portfolio's asset allocation was: US stocks, 58% of net
assets; US bonds, 30%; and cash reserves, 12%.
During the first half of 1998, we slightly increased the Portfolio's allocation
to US equities from 54% of net assets to 58%. Within the US equity commitment,
we continued to place emphasis on the shares of companies that we believe can
benefit from a healthy US economy and a high level of consumer confidence. We
also preferred companies that we believe have limited exposure to the economic
problems of Asia. The Portfolio's largest weightings at June 30, 1998 were in
the consumer-related sectors, both cyclicals and staples. Other sectors with
significant representation were financial services and technology. We reduced
the Portfolio's representation in the largest-capitalization issues through the
sales of positions in American Express Company, Microsoft Corp. and Pfizer, Inc.
While reducing the Portfolio's allocation to US bonds from 39% of net assets to
30% during the six months ended June 30, 1998, we also decreased the average
duration from 5.9 years to 5.2 years. Our increasingly cautious view on US bonds
reflected our belief that there was limited potential for a significant further
decline in US interest rates. By June 30, 1998, strength in domestic consumer
demand in the United States seemed to be offsetting the impact that the weakness
in Asian economies was having on US exports. While US inflation remained
subdued, we believed that conditions for a significant further deceleration in
inflation, a prerequisite for a meaningful additional decline in long-term US
interest rates, were absent.
CAPITAL STOCK PORTFOLIO
As of June 30, 1998, the Portfolio's asset allocation was: US stocks, 78% of net
assets; foreign stocks, 18%; and cash reserves, 4%.
During the first half of 1998, we increased the Portfolio's commitment to
foreign stocks while reducing the commitment to US equities. By enlarging the
foreign equity commitment from 12% of net assets to 18% during the six months
ended June 30, 1998, we continued to emphasize European issues, given the
favorable economic fundamentals and prospects for corporate restructuring. On
the other hand, concerns regarding the Japanese economy led us to remain
underweighted in Japanese equities relative to the unmanaged Morgan Stanley
Europe, Australia, Far East Index. In emerging markets, we continued to prefer
Latin American companies, and in particular, those of Mexico, over Asian
companies.
Within the US equity commitment, we continued to place emphasis on the shares of
companies that we believed could benefit from a healthy US economy and a high
level of consumer confidence. We also preferred companies that we believe have
limited exposure to the economic problems of Asia. The Portfolio's largest
weightings at June 30, 1998 were in the consumer-related sectors, both cyclicals
and staples. Representation in these sectors included Carnival Corp. in leisure
and tourism, Wal-Mart Stores, Inc. in the merchandising sector and Bristol-Myers
Squibb Co. in the health and personal care sector. Other sectors with
significant representation were financial services, specifically insurance
1
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
and technology. We reduced the Portfolio's representation in the
largest-capitalization issues through the sales of positions in American Express
Company, Microsoft Corp. and Pfizer, Inc.
GLOBAL STRATEGY PORTFOLIO
As of June 30, 1998, the Portfolio's asset allocation was: foreign stocks, 43%
of net assets; US stocks, 30%; foreign bonds, 14%; US bonds, 11%; and cash
reserves, 2%.
During the first half of 1998, we increased the Portfolio's commitment to
foreign stocks while reducing the commitment to bonds and cash reserves. In
enlarging the foreign equity commitment from 31% of net assets to 43% during the
six months ended June 30, 1998, we continued to emphasize European issues, given
the favorable economic fundamentals and prospects for corporate restructuring.
On the other hand, concerns regarding the Japanese economy led us to remain
underweighted in Japanese equities relative to the unmanaged Morgan Stanley
Europe, Australia, Far East Index. In emerging markets, we continued to prefer
Latin American companies, and in particular, those of Mexico, over Asian
companies.
Within the US equity commitment, we continued to place emphasis on the shares of
companies that we believed could benefit from a healthy US economy and a high
level of consumer confidence. We also preferred companies that we believe have
limited exposure to the economic problems of Asia. The Portfolio's largest
weighting at June 30, 1998 was in the consumer-related sectors, both cyclicals
and staples. Other sectors with significant representation were financial
services and technology. We reduced the Portfolio's representation to the
largest-capitalization issues through the sales of positions in American Express
Company, Microsoft Corp. and Pfizer, Inc.
Within the foreign bond sector, we took advantage of price strength to eliminate
the commitments to Danish, Spanish, French and Italian bonds. Portfolio
representation in Europe was limited mainly to Germany and the United Kingdom,
which we regarded as attractive safe-haven investments during a time of
instability in Asia and Eastern Europe. We also retained a position in Swedish
bonds, where yields remained relatively attractive compared to the remainder of
Europe. Given our expectation of renewed strength in the US dollar relative to
European currencies, we restored the hedges against commitments in European
stocks and bonds. We also retained the hedge against Japanese yen exposure.
While reducing the Portfolio's allocation to US bonds from 15% of net assets to
11% during the six months ended June 30, 1998, we also shortened the average
duration from 5.9 years to 5.3 years. Our increasingly cautious view on US bonds
reflected our belief that there was limited potential for a significant further
decline in US interest rates. By June 30, 1998, strength in domestic consumer
demand in the United States seemed to be offsetting the impact that the weakness
in Asian economies was having on US exports. While US inflation remained
subdued, we believed that conditions for a significant further deceleration in
inflation, a prerequisite for a meaningful additional decline in long-term US
interest rates, were absent.
GROWTH STOCK PORTFOLIO
Growth Stock Portfolio's total return for the six months ended June 30, 1998 was
+23.72%. Equity investments in Cisco Systems, Inc., Microsoft Corp., SAP AG and
Wal-Mart Stores, Inc., all of which were among the Portfolio's top ten equity
holdings at June 30, 1998, contributed significantly to performance in the last
six months. In addition, equity holdings in Bristol-Myers Squibb Co., General
Electric Company, Lucent Technologies, Inc., Mellon Bank Corp., Morgan Stanley
Dean Witter, Discover & Co., Northern Telecom Ltd., Pfizer, Inc., Staples, Inc.,
Telefonaktiebolaget LM Ericsson and WorldCom Inc. were meaningful contributors
to Portfolio returns for the first half of 1998.
2
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
During the six months ended June 30, 1998, we made several modest changes to our
investment strategy. When the Iraqi government agreed to abide by the United
Nations sanctions in order to gain access to the world oil markets, we reduced
the exposure of the Portfolio to oil service companies. The potential increase
in world oil supplies, in conjunction with the slowdown in real economic growth
worldwide stemming from the emerging recessions in the Asian economies, did not
appear to be a favorable environment for the continuation of above-average rates
of growth in energy exploration expenditures. Also, during the first half of
1998, there was a recovery of the stock prices of many of the major
communications equipment companies to new record levels and valuations, which
prompted us to reduce the importance of most of these companies in the
Portfolio. The largest industry position at June 30, 1998 was computer software
at 9.8% of net assets. Holdings in the top ten industries were equal to
approximately 62% of net assets, while the top ten equity holdings were equal to
31.6% of net assets. During the six months ended June 30, 1998, we followed a
policy of maintaining a relatively low cash reserve, which, at June 30, 1998,
was slightly over 4% of net assets.
Our investment focus was on large-capitalization, high-quality, global growth
companies where we anticipate above-average earnings growth and where stock
valuations appeared reasonable relative to the projected growth rates in
earnings.
HIGH YIELD PORTFOLIO
For the six months ended June 30, 1998, the high-yield market registered a total
return of +4.31% as measured by the unmanaged CS First Boston High Yield Index,
which marginally exceeded a strong ten-year US Treasury return of +4.24%.
Returns in the high-yield market were hampered by a very heavy new-issue
calendar and the poor performance of emerging markets issues (particularly
Indonesian credits), while the Treasury market benefited from a flight to
quality and an economy characterized by solid growth and low inflation. As a
result, yield spreads between the Index and US Treasury securities of similar
maturity widened to 417 basis points (4.17%) at June 30, 1998, compared to 386
basis points at year-end 1997.
A record dollar volume of new high-yield issues ($94.7 billion) came to market
during the first half of 1998, an astounding 67% increase from the year-ago
period. In addition to high-yield mutual funds, which enjoyed strong inflows
during the first half of 1998, crossover investors (those buyers who generally
buy investment-grade issues but who have chosen to buy below investment-grade
issues), insurance companies, pension funds and collateralized bond obligations
were active investors during the six-month period. As a result, new issues
tended to trade quite well in the secondary market. In that regard, the
unmanaged Bear Stearns New Issues Index, which consists of a rolling basket of
the most recent 25 issues, recorded a total return of +13.6% for the six months
ended June 30, 1998. In addition to the robust funds flows, the high-yield
market has continued to benefit from declining Treasury interest rates, strong
economic growth with low inflation, buoyant equity markets, tenders,
credit-enhancing mergers and acquisitions, and low default rates.
The Moody's Investors Service Inc.'s trailing 12-month default rate, which
includes worldwide defaults, equaled 2.58% (on an issuer basis) through June 30,
1998. This figure represents an increase from the year-ago rate of 1.58%, but is
still below the 1971-1997 annual average of 3.36%. The uptick represents
defaults by issuers domiciled in Asian countries and less forbearance on the
part of commercial banks. We expect the default rate to gradually trend upward,
reflecting an increase in high-risk offerings. In that regard, issues rated B-
or lower by any of the major rating agencies (on a senior equivalent basis)
accounted for a growing percentage of noninvestment-grade new issuance during
the first half of 1998. This growth in the most default-prone segment of the
market reflects heavy new issuance by telecommunications companies, many of
which are build-out phase enterprises with no cash flow.
3
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
Against this backdrop, the Portfolio underperformed the Index with a total
return of +2.92% for the six-month period ended June 30, 1998. The Portfolio's
results were penalized by our relatively high exposure to emerging markets
issues (15.3% as compared to 7.1% for the Index), which have been hurt by the
Asian economic crisis, and our overweighting in energy credits, which have
suffered from the downdraft in oil and natural gas prices. In addition, for much
of the six-month period, it was difficult for us to fully invest the Portfolio
because of the abundance of new buyers in the high-yield market. On a brighter
note, several of the Portfolio's holdings benefited from positive event risk.
Among them were two acquisition targets of AT&T Corp. (rated Aa3/AA by Moody's
Investors Service, Inc. and Standard & Poor's Corp., respectively) -- Teleport
Communications Group Inc. and TCI Communications Inc. -- which saw their
securities rise sharply after AT&T announced details of the transactions. The
high-yield securities of TCI affiliates -- Cablevision Systems Corp., Century
Communications Corp. and Lenfest Communications, Inc. (all of which were
Portfolio holdings) -- also advanced on the news.
During the first half of 1998, we focused most of our purchasing activity in the
new-issue market because we believed there was better relative value there. We
had only limited participation in the media/telecommunications sector,
preferring to focus primarily on established US-based consumer and industrial
firms with leading positions in mature markets. Recent purchases for the
Portfolio included the bonds of Thermadyne Holdings Corp., a leading global
manufacturer of cutting and welding products; Numatics Inc., a leading
manufacturer of pneumatic valves and related products; and Indesco
International, the largest manufacturer of plastic trigger sprayers in the
world. All of these credits have strong cash flow margins, a key criterion in
our credit selection process. We selectively sold bond issues trading at
premiums to par or with limited call protection because we believe these
securities have moderate yields and capital appreciation potential compared to
the issues that replaced them.
We are somewhat cautious about the near-term outlook for the high-yield market,
as the technical situation has deteriorated. Inflows into high-yield mutual
funds have slowed from $2.1 billion in January to only $864 million in June. The
forward calendar, while down from its peak in May, is still sizeable. In
addition, continued fundamental problems in the financial systems of Japan,
Russia and Southeast Asia appear likely to weigh on the high-yield market.
Finally, in addition to the aforementioned increase in the growth of highly
speculative bonds, we have noted a trend toward weaker covenants in new issues.
Hence, we will continue to be highly selective in this heavy new-issue
environment.
Communications and media remained our largest broad industry category, totaling
28.8% of total long-term investments. Of the more narrowly classified sectors,
the largest industries were: energy, 10.1% of long-term investments; domestic
wireless communications, 7.4%; domestic cable, 6.9%; and transportation, 5.4%.
Non-US bonds totaled 21.5% of the Portfolio, with emerging markets issues
(primarily Latin American corporate bonds) accounting for 15.3% of long-term
investments. At June 30, 1998, the average portfolio maturity was 7 years, 2
months, and cash and cash equivalents equaled 4.2% of net assets, compared with
12% of net assets at year-end 1997.
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
During January, the bond market traded within a very narrow range as investors
tried to assess the impact of the Asian financial crisis on US economic growth.
The yield curve steepened from 24 basis points (0.24%) to 52 basis points as the
yield on long-term Treasury bonds dropped from 5.92% to 5.80%. In February, the
bond market backed up to 6% on long-term Treasury bonds, despite some favorable
news. Most significantly, the Federal Government ran a $17 billion budget
surplus for the 12 months ended January 1998. Commodity prices trended down, and
there was no change in the rate
4
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
of increase of the Consumer Price Index. However, investors were concerned with
rapid money supply growth fueling a continuing record-high stock market against
a background of full employment. In March, long-term bonds traded within a very
narrow range, starting at a yield of 6.01% and finishing the month at 5.93%.
This decline was the result of mounting evidence of a continuing strong domestic
economy. Consumer spending, employment and production data remained in a growth
trend. The Federal Reserve Board reported in its March "beige book" that many US
firms were desperate to find workers and were being forced to offer large wage
increases. Nevertheless, the stock market, as measured by the Dow Jones
Industrial Average (DJIA), soared more than 400 points during March, and the
bond market's reaction to these concerns was clearly muted.
After a strong first quarter of 1998, in which the economy grew at a rate of
5.4%, there were signs that a slower growth pattern was emerging. Three of the
major factors that fueled the first quarter growth slowed during the spring.
These were consumer spending, inventory accumulation and capital expenditures.
In addition, data on job growth, hours worked and industrial production further
indicated slower growth for the second quarter. In April, the DJIA reached the
9,200 level and left investors concerned about inflated stock prices. Each new
release of economic data was examined under the assumption that the Federal
Reserve Board would raise interest rates at its May meeting, but no such
decision was made. Instead, the combination of low energy prices, a strong
dollar and weak demand in Asia pushed interest rates lower. With inflation
almost nonexistent, the yield on the long-term bond fell below 5.80% in May and
continued its rally to below 5.60% in June.
During the six-month period ended June 30, 1998, we kept the duration of the
Portfolio at approximately 4.4 years, which is 1.1 years longer than the
duration of the Treasury/Agency 1-15 Year Index. The reason for this is that we
chose to position 42% of the Portfolio's net assets in issues at the long-term
end of the intermediate range in order to seek to enhance Portfolio return.
LONG TERM CORPORATE BOND PORTFOLIO
During January, the bond market traded within a very narrow range as investors
tried to assess the impact of the Asian financial crisis on US economic growth.
The yield curve steepened from 24 basis points (0.24%) to 52 basis points as the
yield on long-term Treasury bonds dropped from 5.92% to 5.80%. In February, the
bond market backed up to 6% on long-term Treasury bonds, despite some favorable
news. Most significantly, the Federal Government ran a $17 billion budget
surplus for the 12 months ended January 1998. Commodity prices trended down, and
there was no change in the rate of increase of the Consumer Price Index.
However, investors were concerned with rapid money supply growth fueling a
continuing record-high stock market against a background of full employment. In
March, long-term bonds traded within a very narrow range, starting at a yield of
6.01% and finishing the month at 5.93%. This decline was the result of mounting
evidence of a continuing strong domestic economy. Consumer spending, employment
and production data remained in a growth trend. The Federal Reserve Board
reported in its March "beige book" that many US firms were desperate to find
workers and were being forced to offer large wage increases. Nevertheless, the
stock market, as measured by the Dow Jones Industrial Average (DJIA), soared
more than 400 points during March, and the bond market's reaction to these
concerns was clearly muted.
After a strong first quarter of 1998, in which the economy grew at a rate of
5.4%, there were signs that a slower growth pattern was emerging. Three of the
major factors that fueled the first quarter growth slowed during the spring.
These were consumer spending, inventory accumulation and capital expenditures.
In addition, data on job growth, hours worked and industrial production further
indicated slower growth for the second quarter. In April, the DJIA reached the
9,200 level and left investors concerned about inflated stock prices. Each new
release of economic data was examined under the assumption that the Federal
Reserve Board would raise interest rates at its May meeting, but no such
5
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
decision was made. Instead, the combination of low energy prices, a strong
dollar and weak demand in Asia pushed interest rates lower. With inflation
almost nonexistent, the yield on the long-term bond fell below 5.80% in May and
continued its rally to below 5.60% in June.
During the six-month period ended June 30, 1998, we kept the duration of the
Portfolio in the 5.8-year -- 5.9-year range, which was consistent with the
duration of the Merrill Lynch Corporate Master Index. Structured securities
comprised 10.5% of the Portfolio's net assets by June 30, 1998. The average
quality rating of the Portfolio was A+, as rated by Standard & Poor's Corp.,
which was slightly higher than the Merrill Lynch Corporate Master Index average
of A. During the period, we reduced the Portfolio's position in cash and
Treasury holdings and purchased floating rate notes as well as added to
asset-backed obligations and real estate investment trusts as yield spreads
widened. In addition, we kept the Portfolio slightly underweighted in utilities
and maintained little exposure to Yankee issues because their values were being
impacted by the deteriorating situation in Asia. The Portfolio remains
overweighted in super regional banks, brokerage companies and insurance
companies.
MONEY RESERVE PORTFOLIO
For the six-month period ended June 30, 1998, the Money Reserve Portfolio's net
annualized yield was 5.36%.* The Portfolio's 7-day yield as of June 30, 1998 was
5.33%*. The average portfolio maturity was 78 days at June 30, 1998, compared to
71 days at June 30, 1997.
The Portfolio's composition at the end of June and as of our last report is
detailed below:
<TABLE>
<CAPTION>
ISSUE 6/30/98 12/31/97
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
Bank Notes...................................................................................... 17.5% 10.3%
Certificates of Deposit......................................................................... 0.9 2.5
Certificates of Deposit -- Yankee............................................................... 1.9 3.9
Commercial Paper................................................................................ 45.7 48.9
Corporate Notes................................................................................. 13.9 5.3
Funding Agreements.............................................................................. 2.6 1.7
Master Notes.................................................................................... 1.8 1.9
Medium-Term Notes............................................................................... -- 7.5
Repurchase Agreements........................................................................... -- 2.4
US Government Agency & Instrumentality Obligations -- Discount.................................. 0.1 3.0
US Government Agency & Instrumentality Obligations -- Non-Discount.............................. 15.2 13.7
Other Assets Less Liabilities/(Liabilities in Excess of Other Assets)........................... 0.4 (1.1)
----- -----
Total........................................................................................... 100.0% 100.0%
----- -----
----- -----
</TABLE>
MULTIPLE STRATEGY PORTFOLIO
As of June 30, 1998, the Portfolio's asset allocation was: foreign stocks, 20%
of net assets; US stocks, 52%; foreign bonds, 3%; US bonds, 20%; and cash
reserves, 5%.
During the first half of 1998, we increased the Portfolio's commitment to
foreign stocks while reducing the commitment to bonds and cash reserves. By
enlarging the foreign equity commitment from 10% of net assets to 20% during the
six months ended June 30, 1998, we continued to emphasize European issues, given
the favorable economic fundamentals and prospects for corporate restructuring.
- ------------
*Based on a constant investment throughout the period, with dividends compounded
daily, and reflecting a net return to the investor after all expenses with the
exception of insurance exposure.
6
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
On the other hand, concerns regarding the Japanese economy led us to remain
underweighted in Japanese equities relative to the unmanaged Morgan Stanley
Europe, Australia, Far East Index. In emerging markets, we continued to prefer
Latin American companies, and in particular, those of Mexico, over Asian
companies.
Within the US equity commitment, we continued to place emphasis on the shares of
companies that we believed could benefit from a healthy US economy and a high
level of consumer confidence. We also preferred companies that we believe have
limited exposure to the economic problems of Asia. The Portfolio's largest
weightings at June 30, 1998 were in the consumer-related sectors, both cyclicals
and staples. Other sectors with significant representation were financial
services and technology. We reduced the Portfolio's representation to the
largest-capitalization issues through the sales of positions in American Express
Company, Microsoft Corp. and Pfizer, Inc.
Within the foreign bond sector, we took advantage of price strength to eliminate
the commitments to Danish, Spanish, French and Italian bonds. Portfolio
representation in Europe was limited mainly to Germany and the United Kingdom,
which we regarded as attractive safe-haven investments during a time of
instability in Asia and Eastern Europe. We also retained a position in Swedish
bonds, where yields remained relatively attractive compared to the remainder of
Europe. Given our expectation of renewed strength in the US dollar relative to
European currencies, we restored the hedges against commitments in European
stocks and bonds. We also retained the hedge against Japanese yen exposure.
While reducing the Portfolio's allocation to US bonds from 27% of net assets to
20% during the six months ended June 30, 1998, we also shortened the average
duration from 5.8 years to 5.2 years. Our increasingly cautious view on US bonds
reflected our belief that there was limited potential for a significant further
decline in US interest rates. By June 30, 1998, strength in domestic consumer
demand in the United States seemed to be offsetting the impact that the weakness
in Asian economies was having on US exports. While US inflation remained
subdued, we believed that conditions for a significant further deceleration in
inflation, a prerequisite for a meaningful additional decline in long-term US
interest rates, were absent.
NATURAL RESOURCES PORTFOLIO
The six-month period ended June 30, 1998 was difficult for natural resource
investments. While the Portfolio showed improved performance relative to its
peer group of broad-based natural resource funds, it suffered losses during May
and June and lost ground against other relevant benchmarks as economic
conditions continued to deteriorate in Asia. The collapse of Asian currencies
(particularly the Japanese yen) has been translated into near-universal
commodity price declines. As we discussed in our last letter to shareholders,
the impact of stagnation in Asian economies was a major concern in the outlook
for natural resource investments. However, the actual results have been much
worse than our expectations, with severe contractions likely for several
economies in the region in 1998. The near-collapse of the Japanese yen could
lead to another round of currency depreciation, and a possible devaluation of
the Chinese yuan. In the absence of concrete fiscal reform by Japanese
authorities, this remains a risk with highly negative consequences.
We continued to migrate to holdings that we believe have less earnings risk
exposure, or we believe may be positioned to take advantage of declining prices
in the feedstock used in their operations. However, the investment environment
was unique over the period in that there were no safe havens, with natural
resource stocks suffering declines in virtually all commodity segments. This was
particularly true for energy-related stocks. After rallying on preliminary
production cuts by the Organization of Petroleum Exporting Countries (OPEC) and
non-OPEC producers, crude oil prices retraced their gains
7
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
and tested lows not seen in 12 years. A second round of cuts brought prices back
to the $14 per barrel range. However, this is far below the earlier consensus
expectations, and oil company shares have been battered by earnings estimate
cuts. We continue to expect the remainder of 1998 to be volatile, as strict OPEC
quota compliance will be necessary to work off inventories that were as much as
160 million barrels above year-ago levels. Even this may be difficult since we
believe that Asian oil demand has fallen more than prevailing industry
estimates.
The shares of oil service stocks were particularly hard-hit over the six months,
as lower oil company revenues have resulted in curtailed drilling plans. The
Portfolio benefited from reducing energy holdings to less than 40% of total
assets from a 44% peak early in the year. However, we subsequently increased
energy exposure to 46% of total assets at June 30, 1998, with emphasis on major
integrated oil stocks, natural gas-leveraged production companies, and
deep-water drilling and construction stocks. We believe that North American
natural gas capacity utilization is close to full capacity as demand continues
to increase and current production becomes more difficult to replace from mature
fields. Summer prices currently in the $2.40 per thousand cubic feet range are
strong despite a rapid build in North American gas storage levels. We believe
that extensive fuel switching to residual oil for electricity generation is
responsible for the inventory build, and this may limit further near-term
strength in gas prices. We increased the Portfolio's holdings in Canadian gas
producers, where realized prices are at steep discounts to US prices as a result
of pipeline constraints. As two new export pipeline projects are completed this
winter, we expect this differential to close.
New stocks purchased to capitalize on our positive natural gas outlook included
Alberta Energy Co. Ltd., Snyder Oil Corp., Vastar Resources Inc. and Enron Oil
and Gas Co. We also took new positions in larger integrated oil companies
including Mobil Corp., Chevron Corp. and Unocal Corp., all of which traded at
attractive valuation levels and had defensive characteristics.
We continued to have substantial exposure to gold shares, despite the sale of
nearly one-quarter of the Portfolio's gold mining company stocks. Gold mining
stocks rallied early in the year on expectations that gold's role as an asset
backing the currency of the European Economic and Monetary Union (EMU) would be
above extremely bearish estimates that existed in late 1997. Consensus
expectations for gold's role as an asset backing the EMU moved above our
estimate. This created a negative surprise for the commodity when European
central bank head Wim Duisenberg announced that the gold weighting of European
monetary reserves would be only in the 10%--15% range. While this was on target
with our estimate, gold fell given the perceived shortfall. In addition, weak
Asian currencies and economies resulted in sharply reduced demand for jewelry
fabrication and hoarding for investment purposes. The Portfolio was particularly
hurt by its exposure to Australian gold mining stocks. While many of these
companies sold gold forward and enjoyed rising margins as costs of production
declined in local currency terms, the stock prices have been devastated by the
declining Australian equity market and currency. The companies could be
attractive acquisition candidates at current levels, but we are worried that
further demand shortfalls and currency depreciation could drive these shares
back to their 1997 lows. We continue to be concerned about gold's failure to act
as a safe haven in times of economic turmoil. Unless the gold price shows better
performance in the face of widespread currency declines, we anticipate a further
review of gold's investment role in the Portfolio.
We reduced the Portfolio's exposure to steel and metals stocks with sales across
all metals groups. We eliminated our shares of Falconbridge Ltd., Inco Ltd., QNI
Ltd. and RGC Ltd., and reduced our positions in Nippon Steel Corp., Rio Tinto
PLC, Sumitomo Metal Industries Inc. and Industrias Penoles, S.A. de C.V. We also
took partial profits in the shares of Alumax Inc., which received a merger offer
from Aluminum Company of America, but maintained positions in Centaur Mining
Ltd. and Resolute Ltd. for their exposures to laterite nickel mines. These
projects are in the start-up phase, and we
8
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
believe the shares offer significant upside potential should commissioning be
successful. Unfortunately, the stocks were tainted by the collapse of the
Australian stock market. While global inventories of most metals are at
relatively low levels, we doubt that there will be any near-term catalysts for
base metals stocks until resumption of Asian economic growth appears visible.
Paper and forest products stocks rallied significantly during the first half of
the six-month period. Capacity utilization trends appeared better balanced, as
demand continued to absorb capacity added in the last cycle and as industry
consolidation accelerated with several mergers in the group. Unfortunately, the
steep declines in Asian demand and export of some grades into European and
American markets resulted in the group giving up all of its earlier share price
gains. We sold shares in Avenor Inc. after the company received a takeover bid
from Abitibi Consolidated Holdings, and also made partial sales in Slocan Forest
Products Ltd., Weyerhaeuser Co. and Willamette Industries Inc. Nonetheless, the
Portfolio remains overweighted in the forest products group relative to natural
resource benchmarks. However, it is difficult to see a catalyst for stock
appreciation within our investment time horizon. Therefore, we plan to reduce
positions should any selling opportunities present themselves.
Chemical stocks continued to register the best returns in the natural resource
sector, but showed signs of weakening as the first half of 1998 came to a close.
Many chemical stocks have reported a series of positive earnings surprises
resulting from declining feedstock costs resulting from low oil and natural gas
prices. However, capacity utilization is forecast to fall with new production
from newly completed chemical projects and plant expansions over the coming 18
months. Given our forecast for rising natural gas prices and a trough in oil
prices, we expect to maintain our underweighted position in the commodity
chemical area. During the period, we maintained a position in E.I. duPont de
Nemours & Co. DuPont had strong first half performance in response to the
announcement of its upcoming initial public offering of 20% of its interest in
its Conoco energy subsidiary, and its eventual spin-off to shareholders. In
addition, investors held out expectations of a potential upward price/ earnings
ratio revision, as the company's life sciences division becomes a larger
component of its earnings. Unfortunately, the company reported that it
anticipated an earnings shortfall in the second quarter as a result of low oil
prices and lower demand in its seed businesses subsequent to the end of the
first half of the year, erasing some of the stock's earlier gains.
We reduced the Portfolio's exposure to the gold mining and base metals groups,
with the proceeds used to increase the weighting of the energy group. In
addition, we increased the Portfolio's cash position from 2% of net assets to
nearly 12% as of June 30. We intend to maintain higher cash balances in light of
the weak resource environment, as well as to exploit buying opportunities as
they become available.
Progress was made in restructuring the Portfolio. During the six months ended
June 30, 1998, we reduced Portfolio holdings to 93 positions from 110 at
December 31, 1997. Our goal continues to be the creation of a more focused fund.
In addition, new positions in the Portfolio were concentrated in companies that
we believe have solid ongoing operations, and away from companies that, in our
view, are highly dependent on exploration successes.
The investment environment for natural resources has been extremely difficult
since the onset of the Asian financial crisis one year ago. While the
Portfolio's performance has improved relative to other natural resource funds,
we share our investors' frustration over the negative returns. However, we
believe that continued progress has been made in repositioning the Portfolio.
Many of the Portfolio's shortfalls had been in smaller-capitalization companies
with an emphasis on exploration. As we shift to more established companies
supported by underlying production and cash flow, the Portfolio should be better
positioned to avoid some of the problems that have hindered past performance.
9
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1998 (Concluded)
- --------------------------------------------------------------------------------
The outlook for natural resource investments is expected to remain highly
volatile. While we believed that the effects of Asian financial distress were
being underestimated, the outcome has surpassed our bearish expectations.
Despite remedial steps by governments to address the situation, it is difficult
to see that commodities have reached a trough in terms of demand and prices. We
continue to seek opportunities to invest in companies that can exploit declining
commodity prices, or companies whose share prices already discount the economic
turmoil. In addition, we believe that the energy sector is poised for a rebound,
particularly in natural gas leveraged stocks. We hope to improve the Portfolio's
performance relative to other natural resource funds with continued
restructuring of the Portfolio.
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 10, 1998
10
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Performance Information
June 30, 1998
- --------------------------------------------------------------------------------
RECENT PERFORMANCE RESULTS*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
12 MONTH 6 MONTH
TOTAL TOTAL
RETURN RETURN
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO +20.47% +11.00%
- ----------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO +20.03 +14.70
- ----------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO + 8.13 +10.86
- ----------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +36.49 +23.72
- ----------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO + 7.36 + 2.92
- ----------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 9.51 + 3.29
- ----------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO +10.20 + 4.15
- ----------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO +17.38 +11.32
- ----------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO -16.64 - 2.48
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
* Total investment returns are based on changes in net asset value for the
periods shown, and assume reinvestment of all dividends and capital gains
distributions at net asset value on the ex-dividend/payable date.
Insurance-related fees and expenses are not reflected in these returns.
Past results shown should not be considered a representation of future
performance.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIVE YEARS TEN YEARS
YEAR ENDED ENDED ENDED
6/30/98 6/30/98 6/30/98
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO +20.47% +11.60% +11.94%
- -------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO +20.03 +16.17 +14.64
- -------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO + 8.13 +11.13 +11.71
- -------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +36.49 +22.20 +15.27
- -------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO + 7.36 + 9.43 +11.22
- -------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 9.51 + 5.93 + 8.48
- -------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO +10.20 + 6.68 + 9.20
- -------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO +17.38 +13.42 +13.04
- -------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO -16.64 + 1.74 + 2.86
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
11
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
INDUSTRIES AMOUNT BONDS & NOTES COST (NOTE 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES $2,000,000 General Electric Capital Corp., 8.75%
due 5/21/2007....................... $ 2,306,650 $ 2,370,000 2.0%
- -----------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY 1,251,991 Federal Home Loan Mortgage Corp.,
OBLIGATIONS 7.50% due 6/01/2007++............... 1,275,857 1,288,111 1.0
1,000,000 Federal National Mortgage
Association, 5.75% due
2/15/2008++......................... 982,299 995,310 0.8
12,170,000 US Treasury Bonds, 6.625% due
2/15/2027........................... 13,007,120 13,742,607 11.4
US Treasury Notes:
6,000,000 6% due 8/15/1999................. 6,016,406 6,030,960 5.0
6,200,000 6.125% due 9/30/2000............. 6,313,344 6,276,508 5.2
5,650,000 6.50% due 5/31/2002.............. 5,710,180 5,838,032 4.8
------------- ------------- -----
33,305,206 34,171,528 28.2
- -----------------------------------------------------------------------------------------------------------------------
TOTAL BONDS & NOTES 35,611,856 36,541,528 30.2
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES
HELD COMMON STOCKS
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 23,700 GenCorp Inc.......................... 693,088 598,425 0.5
7,800 +Orbital Sciences Corporation........ 229,032 291,525 0.2
------------- ------------- -----
922,120 889,950 0.7
- -----------------------------------------------------------------------------------------------------------------------
AIRLINES 16,500 +US Airways Group, Inc............... 657,181 1,307,625 1.1
- -----------------------------------------------------------------------------------------------------------------------
AUTOMOBILE PARTS 24,500 Federal-Mogul Corporation............ 1,030,061 1,653,750 1.4
- -----------------------------------------------------------------------------------------------------------------------
AUTOMOBILE RENTAL 30,900 +Avis Rent-A-Car, Inc................ 682,819 764,775 0.6
21,900 Hertz Corp. (Class A)................ 764,710 970,444 0.8
------------- ------------- -----
1,447,529 1,735,219 1.4
- -----------------------------------------------------------------------------------------------------------------------
BANKING 27,700 Bank of New York Co., Inc............ 762,172 1,681,044 1.4
12,000 BankAmerica Corp..................... 720,159 1,037,250 0.9
------------- ------------- -----
1,482,331 2,718,294 2.3
- -----------------------------------------------------------------------------------------------------------------------
BANKING & FINANCIAL 25,300 First Union Corporation.............. 1,256,762 1,473,725 1.2
- -----------------------------------------------------------------------------------------------------------------------
BROADCASTING-MEDIA 17,900 +Chancellor Media Corp. (Class A).... 610,329 888,288 0.7
- -----------------------------------------------------------------------------------------------------------------------
BROADCASTING-RADIO 52,300 +Capstar Broadcasting Corp. (Class
A).................................. 993,700 1,314,038 1.1
- -----------------------------------------------------------------------------------------------------------------------
CHEMICALS 25,700 Great Lakes Chemical Corporation..... 1,074,213 1,013,544 0.8
- -----------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES 42,300 +Gartner Group, Inc. (Class A)....... 1,415,394 1,477,856 1.2
- -----------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 13,150 +Cisco Systems, Inc.................. 797,352 1,210,622 1.0
- -----------------------------------------------------------------------------------------------------------------------
COMPUTERS 45,700 COMPAQ Computer Corporation.......... 1,363,112 1,296,738 1.1
7,800 International Business Machines
Corp................................ 822,475 895,538 0.7
------------- ------------- -----
2,185,587 2,192,276 1.8
- -----------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS 54,000 Dial Corporation (The)............... 1,092,837 1,400,625 1.2
- -----------------------------------------------------------------------------------------------------------------------
CONTAINERS 30,800 +Owens-Illinois, Inc................. 951,763 1,378,300 1.1
- -----------------------------------------------------------------------------------------------------------------------
COSMETICS 17,000 Gillette Company (The)............... 959,347 963,688 0.8
- -----------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 13,800 General Electric Company............. 1,008,608 1,255,800 1.0
- -----------------------------------------------------------------------------------------------------------------------
ELECTRONICS 10,850 Intel Corporation.................... 882,981 803,578 0.7
13,900 Texas Instruments Inc................ 890,508 810,544 0.7
------------- ------------- -----
1,773,489 1,614,122 1.4
- -----------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 27,400 +Premier Parks Inc................... 1,541,749 1,825,525 1.5
- -----------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 32,000 +Heller Financial, Inc............... 892,584 960,000 0.8
- -----------------------------------------------------------------------------------------------------------------------
FOODS 20,700 +Keebler Foods Co.................... 587,188 569,250 0.5
- -----------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 17,000 Black & Decker Corporation........... 615,095 1,037,000 0.9
- -----------------------------------------------------------------------------------------------------------------------
HEALTHCARE-PRODUCTS & 26,300 Columbia/HCA Healthcare Corporation.. 830,187 765,988 0.6
SERVICES
- -----------------------------------------------------------------------------------------------------------------------
INSURANCE 19,800 Allmerica Financial Corporation...... 1,219,984 1,287,000 1.1
25,100 Equitable Companies Inc. (The)....... 1,335,713 1,880,931 1.6
19,800 Providian Financial Corporation...... 1,264,397 1,555,538 1.3
26,700 Travelers Group, Inc................. 1,194,224 1,618,687 1.3
8,500 UNUM Corporation..................... 276,297 471,750 0.4
------------- ------------- -----
5,290,615 6,813,906 5.7
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
12
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of June 30, 1998 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD COMMON STOCKS COST (NOTE 1a) NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MACHINERY 24,900 Ingersoll-Rand Co.................... $ 803,081 $ 1,097,156 0.9%
- -----------------------------------------------------------------------------------------------------------------------
MANUFACTURING 19,500 Tyco International Ltd............... 1,019,704 1,228,500 1.0
- -----------------------------------------------------------------------------------------------------------------------
MEDICAL 19,400 Beckman Coulter Inc.................. 1,156,035 1,130,050 0.9
- -----------------------------------------------------------------------------------------------------------------------
MEDICAL SERVICES 53,877 +HEALTHSOUTH Corporation............. 1,472,579 1,437,842 1.2
- -----------------------------------------------------------------------------------------------------------------------
NATURAL GAS 32,100 El Paso Natural Gas Co............... 886,870 1,227,825 1.0
24,200 Enron Corp........................... 1,107,693 1,308,312 1.1
------------- ------------- -----
1,994,563 2,536,137 2.1
- -----------------------------------------------------------------------------------------------------------------------
OIL SERVICE 9,700 Schlumberger Ltd..................... 713,630 662,631 0.5
- -----------------------------------------------------------------------------------------------------------------------
PETROLEUM 27,800 Unocal Corporation................... 1,006,546 993,850 0.8
- -----------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 12,700 Bristol-Myers Squibb Co.............. 1,218,756 1,459,706 1.2
24,300 Warner-Lambert Company............... 1,181,734 1,685,812 1.4
------------- ------------- -----
2,400,490 3,145,518 2.6
- -----------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING 31,500 +World Color Press, Inc.............. 946,683 1,102,500 0.9
- -----------------------------------------------------------------------------------------------------------------------
RAILROADS 12,500 Burlington Northern Santa Fe, Inc.... 1,092,345 1,227,344 1.0
- -----------------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT 13,000 Starwood Hotels & Resorts............ 582,360 628,062 0.5
TRUSTS
- -----------------------------------------------------------------------------------------------------------------------
RETAIL 48,110 Rite Aid Corporation................. 893,452 1,807,132 1.5
33,300 +Safeway Inc......................... 977,725 1,354,894 1.1
23,100 Sears, Roebuck & Co.................. 1,228,839 1,410,544 1.2
29,100 Wal-Mart Stores, Inc................. 1,219,658 1,767,825 1.5
------------- ------------- -----
4,319,674 6,340,395 5.3
- -----------------------------------------------------------------------------------------------------------------------
RETAIL SPECIALTY 25,800 Lowe's Companies, Inc................ 936,222 1,046,512 0.9
- -----------------------------------------------------------------------------------------------------------------------
SOFTWARE 25,700 +BMC Software, Inc................... 584,981 1,334,794 1.1
16,900 Computer Associates International,
Inc................................. 533,858 939,006 0.8
------------- ------------- -----
1,118,839 2,273,800 1.9
- -----------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 18,200 +SmarTalk TeleServices, Inc.......... 501,444 257,075 0.2
38,571 +Tele-Communications, Inc. (Class
A).................................. 915,822 1,480,162 1.2
60,158 +Tele-Communications TCI Ventures
Group (Class A)..................... 601,389 1,203,160 1.0
44,500 +WorldCom Inc........................ 1,260,813 2,149,906 1.8
------------- ------------- -----
3,279,468 5,090,303 4.2
- -----------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 38,200 Carnival Corp. (Class A)............. 623,628 1,513,675 1.3
8,500 Royal Caribbean Cruises Ltd.......... 385,033 675,750 0.6
------------- ------------- -----
1,008,661 2,189,425 1.9
- -----------------------------------------------------------------------------------------------------------------------
WASTE MANAGEMENT 31,950 USA Waste Services, Inc.............. 1,341,656 1,577,531 1.3
- -----------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS 54,608,557 70,166,947 58.1
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SHORT-TERM SECURITIES
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER* $4,460,000 Finova Capital Corp., 5.90% due
7/02/1998........................... 4,458,538 4,458,538 3.7
3,975,000 General Motors Acceptance Corp.,
6.50% due 7/01/1998................. 3,974,282 3,974,282 3.3
5,000,000 New Center Asset Trust, 5.75% due
7/07/1998........................... 4,994,410 4,994,410 4.1
- -----------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 13,427,230 13,427,230 11.1
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS.................... $ 103,647,643 120,135,705 99.4
-------------
-------------
OTHER ASSETS LESS LIABILITIES........ 723,909 0.6
------------- -----
NET ASSETS........................... $ 120,859,614 100.0%
------------- -----
------------- -----
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commercial Paper is traded on a discount basis; the interest rates shown are
the discount rates paid at the time of purchase by the Portfolio.
+ Non-income producing security.
++ 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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS & WARRANTS COST (NOTE 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 90,000 GenCorp, Inc...................... $ 2,627,014 $ 2,272,500 0.6%
28,800 +Orbital Sciences Corporation..... 739,683 1,076,400 0.3
------------- ------------- -----
3,366,697 3,348,900 0.9
- -------------------------------------------------------------------------------------------------------------------
AIRLINES 57,000 +US Airways Group, Inc............ 2,103,999 4,517,250 1.2
- -------------------------------------------------------------------------------------------------------------------
AUTOMOBILE PARTS 109,500 Federal-Mogul Corporation......... 4,482,172 7,391,250 2.0
- -------------------------------------------------------------------------------------------------------------------
AUTOMOBILE RENTAL 131,100 +Avis Rent-A-Car, Inc............. 2,858,008 3,244,725 0.9
96,000 Hertz Corp. (Class A)............. 3,475,683 4,254,000 1.1
------------- ------------- -----
6,333,691 7,498,725 2.0
- -------------------------------------------------------------------------------------------------------------------
BANKING 96,000 Bank of New York Co., Inc......... 1,766,630 5,826,000 1.6
15,000 Bank of New York Co., Inc.
(Warrants)(a).................... 168,750 2,700,000 0.7
52,800 BankAmerica Corp.................. 2,756,854 4,563,900 1.2
111,900 First Union Corporation........... 5,504,283 6,518,175 1.7
------------- ------------- -----
10,196,517 19,608,075 5.2
- -------------------------------------------------------------------------------------------------------------------
BROADCASTING-MEDIA 75,000 +Chancellor Media Corp. (Class
A)............................... 2,479,703 3,721,875 1.0
- -------------------------------------------------------------------------------------------------------------------
BROADCASTING-RADIO 215,600 +Capstar Broadcasting Corp. (Class
A)............................... 4,096,400 5,416,950 1.4
- -------------------------------------------------------------------------------------------------------------------
CHEMICALS 90,900 Great Lakes Chemical Corp......... 3,882,470 3,584,869 1.0
- -------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES 168,000 +Gartner Group, Inc. (Class A).... 5,631,981 5,869,500 1.6
- -------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 57,550 +Cisco Systems, Inc............... 3,410,843 5,298,197 1.4
- -------------------------------------------------------------------------------------------------------------------
COMPUTERS 170,000 COMPAQ Computer Corporation....... 5,510,641 4,823,750 1.3
31,400 International Business Machines
Corp............................. 3,270,319 3,605,113 0.9
------------- ------------- -----
8,780,960 8,428,863 2.2
- -------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS 240,700 Dial Corporation (The)............ 4,807,377 6,243,156 1.7
- -------------------------------------------------------------------------------------------------------------------
CONTAINERS 114,100 +Owens-Illinois, Inc.............. 3,316,266 5,105,975 1.4
- -------------------------------------------------------------------------------------------------------------------
COSMETICS 43,200 Gillette Company (The)............ 2,428,890 2,448,900 0.7
- -------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 56,000 General Electric Company.......... 4,079,469 5,096,000 1.4
- -------------------------------------------------------------------------------------------------------------------
ELECTRONICS 45,600 Intel Corporation................. 3,741,499 3,377,250 0.9
57,600 Texas Instruments Inc............. 3,742,055 3,358,800 0.9
------------- ------------- -----
7,483,554 6,736,050 1.8
- -------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 119,000 +Premier Parks Inc................ 6,706,383 7,928,375 2.1
- -------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 121,600 +Heller Financial, Inc............ 3,383,518 3,648,000 1.0
- -------------------------------------------------------------------------------------------------------------------
FOODS 90,000 +Keebler Foods Co................. 2,544,251 2,475,000 0.7
- -------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 73,200 Black & Decker Corporation........ 2,451,987 4,465,200 1.2
- -------------------------------------------------------------------------------------------------------------------
HEALTHCARE-PRODUCTS/ 105,000 Columbia/HCA Healthcare
SERVICES Corporation...................... 3,336,628 3,058,125 0.8
- -------------------------------------------------------------------------------------------------------------------
INSURANCE 71,000 Allmerica Financial Corporation... 4,362,249 4,615,000 1.2
105,300 Equitable Companies Inc. (The).... 5,534,770 7,890,919 2.1
83,000 Providian Financial Corporation... 5,285,816 6,520,688 1.7
115,500 Travelers Group, Inc.............. 4,616,996 7,002,188 1.9
54,800 UNUM Corporation.................. 1,738,348 3,041,400 0.8
------------- ------------- -----
21,538,179 29,070,195 7.7
- -------------------------------------------------------------------------------------------------------------------
MACHINERY 136,500 Ingersoll-Rand Co................. 4,095,877 6,014,531 1.6
- -------------------------------------------------------------------------------------------------------------------
MANUFACTURING 78,000 Tyco International Ltd............ 4,034,192 4,914,000 1.3
- -------------------------------------------------------------------------------------------------------------------
MEDICAL 76,700 Beckman Coulter Inc............... 4,585,968 4,467,775 1.2
- -------------------------------------------------------------------------------------------------------------------
MEDICAL SERVICES 225,967 +HEALTHSOUTH Corporation.......... 6,112,619 6,030,494 1.6
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
14
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1998 (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 68,000 El Paso Natural Gas Co............ $ 2,330,180 $ 2,601,000 0.7%
82,500 Enron Corp........................ 3,570,638 4,460,156 1.2
------------- ------------- -----
5,900,818 7,061,156 1.9
- -------------------------------------------------------------------------------------------------------------------
OIL SERVICES 36,000 Schlumberger Ltd.................. 2,110,698 2,459,250 0.7
- -------------------------------------------------------------------------------------------------------------------
PETROLEUM 160,000 Unocal Corp....................... 6,011,876 5,720,000 1.5
- -------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 56,000 Bristol-Myers Squibb Co........... 5,320,186 6,436,500 1.7
91,500 Warner-Lambert Company............ 4,363,330 6,347,813 1.7
------------- ------------- -----
9,683,516 12,784,313 3.4
- -------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING 141,000 +World Color Press, Inc........... 4,237,516 4,935,000 1.3
- -------------------------------------------------------------------------------------------------------------------
RAILROADS 21,600 Burlington Northern Santa Fe,
Inc.............................. 1,987,349 2,120,850 0.5
- -------------------------------------------------------------------------------------------------------------------
REAL ESTATE 61,000 Starwood Hotels & Resorts......... 1,598,323 2,947,063 0.8
INVESTMENT TRUSTS
- -------------------------------------------------------------------------------------------------------------------
RETAIL 171,430 Rite Aid Corporation.............. 2,963,948 6,439,339 1.7
152,000 +Safeway Inc...................... 4,413,480 6,184,500 1.6
98,600 Sears, Roebuck & Co............... 4,932,453 6,020,763 1.6
134,000 Wal-Mart Stores, Inc.............. 5,523,596 8,140,500 2.2
------------- ------------- -----
17,833,477 26,785,102 7.1
- -------------------------------------------------------------------------------------------------------------------
RETAIL SPECIALTY 110,400 Lowe's Companies, Inc............. 3,977,889 4,478,100 1.2
- -------------------------------------------------------------------------------------------------------------------
SOFTWARE 99,200 +BMC Software, Inc................ 1,860,393 5,152,200 1.4
75,750 Computer Associates International,
Inc.............................. 2,071,481 4,208,859 1.1
------------- ------------- -----
3,931,874 9,361,059 2.5
- -------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 91,000 +SmarTalk TeleServices, Inc....... 2,507,360 1,285,375 0.3
122,857 +Tele-Communications, Inc. (Class
A)............................... 2,206,314 4,714,637 1.3
234,286 +Tele-Communications TCI Ventures
Group............................ 1,957,736 4,685,720 1.2
162,000 +WorldCom Inc..................... 4,850,834 7,826,625 2.1
------------- ------------- -----
11,522,244 18,512,357 4.9
- -------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 167,200 Carnival Corp. (Class A).......... 2,409,395 6,625,300 1.8
39,800 Royal Caribbean Cruises Ltd....... 1,791,657 3,164,100 0.8
------------- ------------- -----
4,201,052 9,789,400 2.6
- -------------------------------------------------------------------------------------------------------------------
WASTE MANAGEMENT 142,500 USA Waste Services, Inc........... 5,946,664 7,035,937 1.9
- -------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS & WARRANTS 214,613,887 286,375,817 76.4
- -------------------------------------------------------------------------------------------------------------------
<CAPTION>
COUNTRIES FOREIGN STOCKS++++
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
ARGENTINA 51,500 Yacimientos Petroliferos Fiscales
S.A. (ADR)* (18)................. 1,625,922 1,548,219 0.4
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ARGENTINA 1,625,922 1,548,219 0.4
- -------------------------------------------------------------------------------------------------------------------
CANADA 31,000 +Imax Corporation (9)............. 737,385 697,500 0.2
60,500 Magna International Inc. (Class A)
(1).............................. 4,044,791 4,151,812 1.1
129,900 Seagram Company Ltd. (The) (3).... 5,565,903 5,317,781 1.4
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 10,348,079 10,167,093 2.7
- -------------------------------------------------------------------------------------------------------------------
FINLAND 45,500 +Amer Group Ltd. (6).............. 809,605 888,202 0.2
23,700 Finnlines OY (5).................. 473,846 1,470,089 0.4
87,660 Orion-Yhtymae OY (Class B) (19)... 2,556,237 2,702,742 0.7
237,100 UPM-Kymmene OY (17)............... 6,836,999 6,531,680 1.8
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 10,676,687 11,592,713 3.1
- -------------------------------------------------------------------------------------------------------------------
FRANCE 205,500 +Alstom (ADR)* (13)............... 7,007,738 6,766,691 1.8
49,600 +ST Microelectronics N.V. (NY
Registered Shares) (22).......... 3,760,798 3,465,800 0.9
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 10,768,536 10,232,491 2.7
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
15
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRIES HELD FOREIGN STOCKS++++ COST (NOTE 1a) NET ASSETS
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
GERMANY 10,700 Bayerische Vereinsbank AG (2)..... $ 645,305 $ 906,880 0.3%
50,600 Daimler-Benz AG (1)............... 4,949,694 4,975,349 1.3
59,700 Henkel KGaA (Preferred) (4)....... 4,353,603 5,903,196 1.6
19,000 Mannesmann AG (13)................ 663,326 1,952,415 0.5
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 10,611,928 13,737,840 3.7
- -------------------------------------------------------------------------------------------------------------------
ITALY 109,000 Arnoldo Mondadori Editore S.p.A.
(20)............................. 920,007 1,288,126 0.3
170,100 Danieli & Co. Officine Meccaniche
S.p.A. (13)...................... 655,636 789,716 0.2
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 1,575,643 2,077,842 0.5
- -------------------------------------------------------------------------------------------------------------------
JAPAN 2,500 Amway Japan Ltd. (14)............. 80,580 26,340 0.0
25,000 Rohm Co., Ltd. (7)................ 2,362,978 2,570,903 0.7
9,000 Sony Corporation (7).............. 664,765 776,142 0.2
43,000 Tokio Marine and Fire Insurance
Co., Ltd. (10)................... 420,696 442,506 0.1
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 3,529,019 3,815,891 1.0
- -------------------------------------------------------------------------------------------------------------------
MEXICO 224,900 Grupo Carso, S.A. de C.V. (ADR)*
(15)............................. 2,667,877 1,814,943 0.5
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 2,667,877 1,814,943 0.5
- -------------------------------------------------------------------------------------------------------------------
NETHERLANDS 102,700 Royal Dutch Petroleum Co. (NY
Registered Shares) (16).......... 5,716,117 5,629,244 1.5
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
NETHERLANDS 5,716,117 5,629,244 1.5
- -------------------------------------------------------------------------------------------------------------------
NORWAY 83,100 Color Line ASA (5)................ 361,466 260,247 0.1
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 361,466 260,247 0.1
- -------------------------------------------------------------------------------------------------------------------
SOUTH KOREA 59,700 +Hyundai Engineering &
Construction Co., Ltd. (GDR)**
(8)++............................ 766,170 18,805 0.0
1,167 +Hyundai Engineering &
Construction Co., Ltd. (New
Shares) (GDR)** (8)++............ 14,981 368 0.0
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH KOREA 781,151 19,173 0.0
- -------------------------------------------------------------------------------------------------------------------
SPAIN 49,400 Repsol, S.A. (ADR)* (18).......... 2,261,741 2,717,000 0.7
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 2,261,741 2,717,000 0.7
- -------------------------------------------------------------------------------------------------------------------
SWEDEN 115,100 Bure Investment AB (11)........... 1,501,867 1,833,055 0.5
28,400 +Castellum AB (21)................ 190,519 334,767 0.1
49,000 Perstorp AB (Class B) (4)......... 917,814 915,543 0.2
49,000 Sparbanken Sverige AB (Class A)
(2).............................. 625,430 1,474,701 0.4
19,000 Spectra-Physics AB (Class A)
(12)............................. 579,661 303,781 0.1
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 3,815,291 4,861,847 1.3
- -------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 79,142 Diageo PLC (3).................... 633,271 937,544 0.3
56,900 Diageo PLC (New Shares) (ADR)*
(3).............................. 2,744,594 2,741,869 0.7
290,900 LucasVarity PLC (1)............... 957,092 1,155,173 0.3
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
UNITED KINGDOM 4,334,957 4,834,586 1.3
- -------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 69,074,414 73,309,129 19.5
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
16
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1998 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
AMOUNT SHORT-TERM SECURITIES COST (NOTE 1a) NET ASSETS
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMMERCIAL PAPER*** $10,602,000 General Motors Acceptance Corp.,
6.50% due 7/01/1998.............. $ 10,600,086 $ 10,600,086 2.8%
3,000,000 Goldman Sachs Group L.P., 5.60%
due 7/01/1998.................... 2,999,533 2,999,533 0.8
2,000,000 Lexington Parker Capital Co. LLC,
5.65% due 7/01/1998.............. 1,999,686 1,999,686 0.5
- -------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 15,599,305 15,599,305 4.1
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS................. $ 299,287,606 375,284,251 100.0
-------------
-------------
UNREALIZED APPRECIATION ON FORWARD
FOREIGN EXCHANGE CONTRACTS+++..... 309,165 0.1
LIABILITIES IN EXCESS OF OTHER
ASSETS............................ (454,237) (0.1)
------------- -----
NET ASSETS........................ $ 375,139,179 100.0%
------------- -----
------------- -----
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Warrants entitle the Portfolio to purchase a predetermined number of shares
of common stock and are non-income producing. 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 rates shown
are the discount rates 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, 1998 were as follows:
<TABLE>
<CAPTION>
- --------------------------------------------------
UNREALIZED
APPRECIATION
FOREIGN EXPIRATION (DEPRECIATION)
CURRENCY SOLD DATE (NOTE 1f)
- --------------------------------------------------
<S> <C> <C>
C$ 13,500,000 July 1998 $ (3,565)
DM 33,500,000 July 1998 246,043
Fim 57,900,000 September 1998 48,300
Frf 59,600,000 July 1998 16,751
L 2,750,000 July 1998 (3,108)
Lit 3,360,000,000 August 1998 9,100
Pta 394,700,000 August 1998 8,484
Skr 36,900,000 September 1998 (38,880)
Y 489,300,000 September 1998 26,040
- --------------------------------------------------
TOTAL UNREALIZED APPRECIATION ON
FORWARD FOREIGN
EXCHANGE CONTRACTS (US$ COMMITMENT
- -- $65,826,703) $ 309,165
--------------
--------------
- --------------------------------------------------
</TABLE>
++++ Corresponding industry groups for foreign stocks:
(1) Auto-Parts
(2) Banking
(3) Beverages
(4) Chemicals
(5) Cruise Lines
(6) Diversified
(7) Electronics
(8) Engineering & Construction
(9) Entertainment
(10) Insurance
(11) Investment Management
(12) Laser Components
(13) Machinery & Equipment
(14) Merchandising
(15) Multi-Industry
(16) Oil-Integrated
(17) Paper & Forest Products
(18) Petroleum
(19) Pharmaceuticals
(20) Publishing
(21) Real Estate
(22) Semiconductors
See Notes to Financial Statements.
17
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS COST (NOTE 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 30,000 GenCorp Inc........................... $ 850,080 $ 757,500 0.3%
7,200 +Orbital Sciences Corporation......... 184,823 269,100 0.1
------------- ------------- ------
1,034,903 1,026,600 0.4
- -----------------------------------------------------------------------------------------------------------------------
AIRLINES 17,350 +US Airways Group, Inc................ 805,569 1,374,988 0.5
- -----------------------------------------------------------------------------------------------------------------------
AUTOMOBILE PARTS 27,500 Federal-Mogul Corporation............. 1,115,913 1,856,250 0.7
- -----------------------------------------------------------------------------------------------------------------------
AUTOMOBILE RENTAL 38,000 +Avis Rent-A-Car, Inc................. 902,560 940,500 0.4
23,800 Hertz Corp. (Class A)................. 882,597 1,054,638 0.4
------------- ------------- ------
1,785,157 1,995,138 0.8
- -----------------------------------------------------------------------------------------------------------------------
BANKING 25,200 Bank of New York Co., Inc............. 810,339 1,529,325 0.6
13,100 BankAmerica Corp...................... 899,982 1,132,331 0.5
28,000 First Union Corporation............... 1,388,138 1,631,000 0.6
------------- ------------- ------
3,098,459 4,292,656 1.7
- -----------------------------------------------------------------------------------------------------------------------
BROADCASTING-MEDIA 16,600 +Chancellor Media Corp. (Class A)..... 549,799 823,775 0.3
- -----------------------------------------------------------------------------------------------------------------------
BROADCASTING-RADIO 60,500 +Capstar Broadcasting Corp. (Class
A)................................... 1,149,500 1,520,063 0.6
- -----------------------------------------------------------------------------------------------------------------------
CHEMICALS 38,700 Great Lakes Chemical Corporation...... 1,666,443 1,526,231 0.6
- -----------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES 35,100 +Gartner Group, Inc. (Class A)........ 1,223,303 1,226,306 0.5
- -----------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 14,600 +Cisco Systems, Inc................... 868,447 1,344,113 0.5
- -----------------------------------------------------------------------------------------------------------------------
COMPUTERS 47,700 COMPAQ Computer Corporation........... 1,694,477 1,353,488 0.5
8,600 International Business Machines
Corp................................. 894,779 987,388 0.4
------------- ------------- ------
2,589,256 2,340,876 0.9
- -----------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS 60,800 Dial Corporation (The)................ 1,216,675 1,577,000 0.6
- -----------------------------------------------------------------------------------------------------------------------
CONTAINERS 30,100 +Owens-Illinois, Inc.................. 920,441 1,346,975 0.5
- -----------------------------------------------------------------------------------------------------------------------
COSMETICS 12,000 Gillette Company (The)................ 686,008 680,250 0.3
- -----------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 14,300 General Electric Company.............. 1,048,476 1,301,300 0.5
- -----------------------------------------------------------------------------------------------------------------------
ELECTRONICS 12,850 Intel Corporation..................... 1,054,228 951,703 0.3
16,600 Texas Instruments Inc................. 1,078,507 967,988 0.4
------------- ------------- ------
2,132,735 1,919,691 0.7
- -----------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 33,600 +Premier Parks Inc.................... 1,893,463 2,238,600 0.9
- -----------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 34,800 +Heller Financial, Inc................ 968,379 1,044,000 0.4
- -----------------------------------------------------------------------------------------------------------------------
FOODS 24,000 +Keebler Foods Co..................... 678,184 660,000 0.3
- -----------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 32,400 Black & Decker Corporation............ 1,115,098 1,976,400 0.8
- -----------------------------------------------------------------------------------------------------------------------
HEALTHCARE-PRODUCTS & 29,400 Columbia/HCA Healthcare Corporation... 934,245 856,275 0.3
SERVICES
- -----------------------------------------------------------------------------------------------------------------------
INSURANCE 25,800 Allmerica Financial Corporation....... 1,582,959 1,677,000 0.7
23,500 Equitable Companies Inc. (The)........ 1,238,710 1,761,031 0.7
24,000 Providian Financial Corporation....... 1,530,452 1,885,500 0.7
26,000 Travelers Group, Inc.................. 1,149,489 1,576,250 0.6
11,500 UNUM Corporation...................... 365,007 638,250 0.2
------------- ------------- ------
5,866,617 7,538,031 2.9
- -----------------------------------------------------------------------------------------------------------------------
MACHINERY 35,000 Ingersoll-Rand Co..................... 1,119,986 1,542,188 0.6
- -----------------------------------------------------------------------------------------------------------------------
MANUFACTURING 22,000 Tyco International Ltd................ 1,137,798 1,386,000 0.5
- -----------------------------------------------------------------------------------------------------------------------
MEDICAL EQUIPMENT 15,200 Beckman Coulter Inc................... 917,097 885,400 0.3
- -----------------------------------------------------------------------------------------------------------------------
MEDICAL SERVICES 56,000 +HEALTHSOUTH Corporation.............. 1,495,900 1,494,500 0.6
- -----------------------------------------------------------------------------------------------------------------------
NATURAL GAS 42,800 El Paso Natural Gas Co................ 1,139,738 1,637,100 0.6
22,600 Enron Corp............................ 921,503 1,221,813 0.5
------------- ------------- ------
2,061,241 2,858,913 1.1
- -----------------------------------------------------------------------------------------------------------------------
OIL SERVICES 12,000 Schlumberger Ltd...................... 779,503 819,750 0.3
- -----------------------------------------------------------------------------------------------------------------------
PETROLEUM 32,000 Unocal Corp........................... 1,132,893 1,144,000 0.4
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
18
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS COST (NOTE 1a) NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PHARMACEUTICALS 14,400 Bristol-Myers Squibb Co............... $ 1,369,945 $ 1,655,100 0.6%
27,600 Warner-Lambert Company................ 1,272,652 1,914,750 0.8
------------- ------------- ------
2,642,597 3,569,850 1.4
- -----------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING 40,000 +World Color Press, Inc............... 1,202,120 1,400,000 0.5
- -----------------------------------------------------------------------------------------------------------------------
RAILROADS 11,000 Burlington Northern Santa Fe Inc...... 918,861 1,080,063 0.4
- -----------------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT 12,950 Starwood Hotels & Resorts............. 350,270 625,647 0.3
TRUSTS
- -----------------------------------------------------------------------------------------------------------------------
RETAIL 46,930 Rite Aid Corporation.................. 799,700 1,762,808 0.7
39,400 +Safeway Inc.......................... 1,162,028 1,603,088 0.6
24,800 Sears, Roebuck & Co................... 1,341,470 1,514,350 0.6
34,300 Wal-Mart Stores, Inc.................. 1,413,835 2,083,725 0.8
------------- ------------- ------
4,717,033 6,963,971 2.7
- -----------------------------------------------------------------------------------------------------------------------
RETAIL SPECIALTY 31,200 Lowe's Companies, Inc................. 1,124,202 1,265,550 0.5
- -----------------------------------------------------------------------------------------------------------------------
SOFTWARE 34,000 +BMC Software, Inc.................... 800,735 1,765,875 0.7
18,850 Computer Associates International,
Inc.................................. 635,220 1,047,353 0.4
------------- ------------- ------
1,435,955 2,813,228 1.1
- -----------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 23,500 +SmarTalk TeleServices, Inc........... 646,944 331,938 0.1
39,713 +Tele-Communications, Inc. (Class
A)................................... 798,417 1,523,986 0.6
74,574 +Tele-Communications TCI Ventures
Group (Class A)...................... 696,707 1,491,480 0.6
34,500 +WorldCom Inc......................... 1,005,583 1,666,781 0.6
------------- ------------- ------
3,147,651 5,014,185 1.9
- -----------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 39,400 Carnival Corp. (Class A).............. 683,428 1,561,225 0.6
15,400 Royal Caribbean Cruises Ltd........... 750,333 1,224,300 0.5
------------- ------------- ------
1,433,761 2,785,525 1.1
- -----------------------------------------------------------------------------------------------------------------------
WASTE MANAGEMENT 33,200 USA Waste Services, Inc............... 1,396,975 1,639,250 0.6
- -----------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS 60,360,913 77,753,538 30.0
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
COUNTRIES FOREIGN STOCKS+++
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
ARGENTINA 71,200 Yacimientos Petroliferos Fiscales S.A.
(ADR)* (23).......................... 1,971,965 2,140,450 0.8
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ARGENTINA 1,971,965 2,140,450 0.8
- -----------------------------------------------------------------------------------------------------------------------
CANADA 33,100 +Imax Corporation (12)................ 533,452 744,750 0.3
31,300 Magna International Inc. (Class A)
(2).................................. 1,693,391 2,147,963 0.8
14,000 Seagram Company Ltd. (The) (4)........ 601,236 573,125 0.2
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 2,828,079 3,465,838 1.3
- -----------------------------------------------------------------------------------------------------------------------
FINLAND 85,000 +Amer Group Ltd. (9).................. 1,566,827 1,659,278 0.7
50,000 Finnlines OY (8)...................... 923,284 3,101,454 1.2
42,000 Orion-Yhtymae OY (Class B) (24)....... 1,178,334 1,294,948 0.5
23,000 Sampro Insurance Co. (A Shares)
(15)................................. 1,063,535 1,090,982 0.4
76,940 +Sponda Oyj (26)...................... 531,230 540,417 0.2
96,000 UPM-Kymmene Oyj (22).................. 2,073,861 2,644,628 1.0
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 7,337,071 10,331,707 4.0
- -----------------------------------------------------------------------------------------------------------------------
FRANCE 24,400 AXA-UAP (15).......................... 2,771,870 2,745,429 1.1
61,100 +Alstom S.A. (ADR)* (18).............. 2,083,563 2,011,897 0.8
23,200 Elf Aquitaine S.A. (21)............... 2,752,529 3,263,010 1.3
33,300 +ST Microelectronics N.V. (NY
Registered Shares) (29).............. 1,821,157 2,326,837 0.9
44,000 Scor S.A. (27)........................ 1,707,560 2,792,091 1.1
67,900 Thomson CSF (10)...................... 2,312,231 2,584,099 1.0
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 13,448,910 15,723,363 6.2
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
19
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRIES HELD FOREIGN STOCKS+++ COST (NOTE 1a) NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
GERMANY 27,000 Bayerische Vereinsbank AG (3)......... $ 1,747,796 $ 2,288,389 0.9%
26,700 Daimler-Benz AG (2)................... 2,620,972 2,625,332 1.0
4,000 Henkel KGaA (7)....................... 177,789 331,930 0.1
36,000 Henkel KGaA (Preferred) (7)........... 1,529,763 3,559,716 1.4
41,850 Mannesmann AG (18).................... 1,440,270 4,300,451 1.6
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 7,516,590 13,105,818 5.0
- -----------------------------------------------------------------------------------------------------------------------
INDONESIA 101,250 P.T. Indonesian Satellite Corp. (ADR)*
(30)................................. 2,454,470 1,126,406 0.4
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 2,454,470 1,126,406 0.4
- -----------------------------------------------------------------------------------------------------------------------
IRELAND 26,600 Bank of Ireland (3)................... 554,472 545,012 0.2
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN IRELAND 554,472 545,012 0.2
- -----------------------------------------------------------------------------------------------------------------------
ITALY 246,000 Arnoldo Mondadori Editore S.p.A.
(25)................................. 1,990,308 2,907,147 1.1
431,000 Danieli & Co. Officine Meccaniche
S.p.A. (18).......................... 1,590,085 2,000,985 0.8
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 3,580,393 4,908,132 1.9
- -----------------------------------------------------------------------------------------------------------------------
JAPAN 6,600 Amway Japan Ltd. (19)................. 145,219 69,539 0.0
177,000 Bank of Tokyo-Mitsubishi, Ltd. (3).... 2,413,784 1,876,402 0.7
33,000 Ito-Yokado Co., Ltd. (28)............. 1,804,597 1,555,099 0.6
216,000 Makino Milling Machine Co., Ltd.
(18)................................. 1,550,989 1,522,927 0.6
115,000 Matsushita Electric Industrial Co.,
Ltd. (10)............................ 1,827,427 1,850,689 0.7
41,000 Matsushita Electric Works, Ltd. (6)... 418,408 331,385 0.1
17,000 Rohm Co., Ltd. (10)................... 1,254,700 1,748,214 0.7
221,000 Sanwa Bank, Ltd. (3).................. 1,926,313 1,979,223 0.8
22,000 Sony Corporation (10)................. 1,620,901 1,897,236 0.7
152,000 Tokio Marine and Fire Insurance Co.,
Ltd. (15)............................ 1,615,279 1,564,206 0.6
32,000 Tokyo Electron Limited (10)........... 1,187,916 981,453 0.4
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 15,765,533 15,376,373 5.9
- -----------------------------------------------------------------------------------------------------------------------
MEXICO 120,000 Grupo Carso, S.A. de C.V. (ADR)*
(20)................................. 1,586,267 968,400 0.4
52,750 Panamerican Beverages, Inc. (Class A)
(4).................................. 1,582,904 1,658,328 0.6
44,200 Telefonos de Mexico, S.A. de C.V.
(Telmex) (ADR)* (30)................. 2,178,576 2,124,362 0.8
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 5,347,747 4,751,090 1.8
- -----------------------------------------------------------------------------------------------------------------------
NETHERLANDS 48,100 Royal Dutch Petroleum Co. (NY
Registered Shares) (21).............. 2,662,112 2,636,481 1.0
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE NETHERLANDS 2,662,112 2,636,481 1.0
- -----------------------------------------------------------------------------------------------------------------------
NORWAY 86,700 Color Line ASA (8).................... 341,311 271,521 0.1
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 341,311 271,521 0.1
- -----------------------------------------------------------------------------------------------------------------------
SINGAPORE 228,000 Overseas Chinese Banking Corp. Ltd.
(3).................................. 1,085,267 776,429 0.3
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SINGAPORE 1,085,267 776,429 0.3
- -----------------------------------------------------------------------------------------------------------------------
SOUTH KOREA 34,000 +Hyundai Engineering & Construction
Co., Ltd. (GDR)** (11)(a)............ 436,344 10,710 0.0
664 +Hyundai Engineering & Construction
Co., Ltd. (New Shares) (GDR)**
(11)(a).............................. 8,522 209 0.0
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH KOREA 444,866 10,919 0.0
- -----------------------------------------------------------------------------------------------------------------------
SPAIN 51,000 +Dinamia Capital Privado. Sociedad de
Capital Riesgo, S.A. (9)............. 958,809 882,929 0.4
35,200 Inmobiliaria Metropolitana Vasco
Central, S.A. (26)................... 1,098,525 1,037,120 0.4
25,119 Inmobiliaria Metropolitana Vasco
Central, S.A. (Rights)(b) (26)....... 0 35,282 0.0
46,700 Repsol, S.A. (ADR)* (23).............. 1,449,107 2,568,500 1.0
79,200 Uralita, S.A. (5)..................... 1,109,687 1,130,542 0.4
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 4,616,128 5,654,373 2.2
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
20
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRIES HELD FOREIGN STOCKS+++ COST (NOTE 1a) NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SWEDEN 36,700 Autoliv AB (2)........................ $ 1,190,513 $ 1,173,553 0.5%
91,900 Bure Investment AB (16)............... 817,581 1,463,578 0.6
109,800 +Castellum AB (26).................... 939,878 1,294,275 0.5
19,100 Custos AB (Class A) (9)............... 491,939 486,212 0.2
19,100 Custos AB (Class B) (9)............... 503,438 481,422 0.2
38,600 Fastighets AB Tornet (26)............. 635,452 619,575 0.2
58,600 Haldex AB (2)......................... 1,034,796 1,058,173 0.4
314,500 Nordbanken Holding AB (3)............. 1,847,852 2,307,135 0.9
82,000 Perstorp AB (Class B) (7)............. 1,535,983 1,532,134 0.6
1,420 Schindler Holding AG (18)............. 2,444,911 2,164,006 0.8
94,000 Sparbanken Sverige AB (Class A) (3)... 1,194,802 2,829,017 1.1
39,000 Spectra-Physics AB (Class A) (17)..... 1,190,058 623,550 0.2
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 13,827,203 16,032,630 6.2
- -----------------------------------------------------------------------------------------------------------------------
SWITZERLAND 7,350 +UBS-AG (Registered Shares) (3)....... 2,455,804 2,734,794 1.1
2,000 Valora Holding AG (19)................ 540,904 527,774 0.2
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWITZERLAND 2,996,708 3,262,568 1.3
- -----------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 312,000 British Aerospace PLC (1)............. 2,338,755 2,389,425 0.9
131,500 Devro PLC (13)........................ 881,268 1,101,427 0.4
191,548 Diageo PLC (ADR)* (4)................. 1,577,114 2,269,145 0.9
137,100 Imperial Chemical Industries PLC
(7).................................. 1,778,872 2,200,588 0.9
533,000 LucasVarity PLC (2)................... 1,754,009 2,116,559 0.8
819,000 +Thomson Travel Group PLC (31)........ 2,473,338 2,555,358 1.0
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
UNITED KINGDOM 10,803,356 12,632,502 4.9
- -----------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 97,582,181 112,751,612 43.5
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT FOREIGN BONDS+++
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
GERMANY Bundesrepublik Deutschland (14):
DM 2,400,000 6.50% due 10/14/2005.............. 1,547,155 1,476,667 0.6
9,000,000 6% due 7/04/2007.................. 5,263,778 5,428,318 2.1
2,200,000 6% due 6/20/2016.................. 1,223,974 1,342,643 0.5
6,000,000 5.625% due 1/04/2028.............. 3,376,600 3,451,363 1.3
2,200,000 Treuhandanstalt, 6.875% due 6/11/2003
(14)................................. 1,463,044 1,347,884 0.5
------------- ------------- ------
12,874,551 13,046,875 5.0
- ----------------------------------------------------------------------------------------------------------------------
SWEDEN Government of Sweden (14):
Skr 69,000,000 5.50% due 4/12/2002............... 8,765,214 8,942,095 3.4
31,500,000 8% due 8/15/2007.................. 4,600,941 4,824,483 1.9
------------- ------------- ------
13,366,155 13,766,578 5.3
- ----------------------------------------------------------------------------------------------------------------------
UNITED UK Treasury Gilt (14):
KINGDOM
L 1,300,000 8% due 12/07/2000................. 2,196,880 2,220,565 0.9
3,250,000 7.25% due 12/07/2007.............. 5,379,426 5,958,109 2.3
------------- ------------- ------
7,576,306 8,178,674 3.2
- ----------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN BONDS 33,817,012 34,992,127 13.5
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
US GOVERNMENT OBLIGATIONS
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
US US$ 7,590,000 US Treasury Bonds, 6.625% due
GOVERNMENT 2/15/2027............................. 8,223,952 8,570,780 3.3
OBLIGATIONS US Treasury Notes:
9,200,000 6% due 8/15/1999.................. 9,224,469 9,247,472 3.6
7,240,000 6.50% due 5/31/2002............... 7,467,381 7,480,947 2.9
2,300,000 6.25% due 2/15/2007............... 2,292,266 2,408,537 0.9
1,775,000 6.625% due 5/15/2007.............. 1,798,574 1,906,456 0.7
- ----------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT OBLIGATIONS 29,006,642 29,614,192 11.4
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
21
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1998 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
AMOUNT SHORT-TERM SECURITIES COST (NOTE 1a) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMMERCIAL $ 3,264,000 General Motors Acceptance Corp., 6.50%
PAPER*** due 7/01/1998........................ $ 3,264,000 $ 3,264,000 1.3%
- ----------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 3,264,000 3,264,000 1.3
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS..................... $ 224,030,748 258,375,469 99.7
-------------
-------------
UNREALIZED APPRECIATION ON FORWARD
FOREIGN EXCHANGE CONTRACTS++.......... 265,412 0.1
OTHER ASSETS LESS LIABILITIES......... 385,167 0.2
------------- ------
NET ASSETS............................ $ 259,026,048 100.0%
------------- ------
------------- ------
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
* 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.
(a) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(b) The rights may be exercised until 7/24/1998.
+ Non-income producing security.
++ Forward foreign exchange contracts as of June 30, 1998 were as follows:
<TABLE>
<CAPTION>
- ---------------------------------------------------
UNREALIZED
APPRECIATION
FOREIGN EXPIRATION (DEPRECIATION)
CURRENCY SOLD DATE (NOTE 1f)
- ---------------------------------------------------
<S> <C> <C>
C$ 4,600,000 July 1998 $ (1,215)
Chf 7,900,000 July 1998 133,173
DM 50,900,000 July 1998 183,522
Fim 49,100,000 September 1998 40,959
Frf 91,400,000 July 1998 51,696
L 12,100,000 July 1998 (42,923)
Lit 8,100,000,000 August 1998 22,325
Pta 829,000,000 August 1998 9,790
Skr 207,000,000 September 1998 (219,185)
Y 1,896,000,000 September 1998 87,270
- ---------------------------------------------------
TOTAL UNREALIZED APPRECIATION ON
FORWARD FOREIGN EXCHANGE CONTRACTS
(US$ COMMITMENT -- $131,007,454) $ 265,412
--------------
--------------
- ---------------------------------------------------
</TABLE>
+++ Corresponding industry groups for foreign stocks and bonds:
<TABLE>
<C> <S>
(1) Aerospace
(2) Auto-Parts
(3) Banking
(4) Beverages
(5) Building & Construction
(6) Building Products
(7) Chemicals
(8) Cruise Lines
(9) Diversified
(10) Electronics
(11) Engineering & Construction
(12) Entertainment
(13) Food
(14) Government (Bonds)
(15) Insurance
(16) Investment Management
(17) Laser Components
(18) Machinery & Equipment
(19) Merchandising
(20) Multi-Industry
(21) Oil-Integrated
(22) Paper & Forest Products
(23) Petroleum
(24) Pharmaceuticals
(25) Publishing
(26) Real Estate
(27) Reinsurance
(28) Retail
(29) Semiconductors
(30) Telecommunications
(31) Travel & Lodging
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES SHARES HELD STOCKS COST (NOTE 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
ADVERTISING 50,000 Interpublic Group of Companies,
Inc.............................. $ 1,418,134 $ 3,034,375 0.7%
- ------------------------------------------------------------------------------------------------------------------
BANKING & FINANCIAL 110,000 Banc One Corporation.............. 5,114,378 6,139,375 1.5
40,000 BankAmerica Corp.................. 2,822,830 3,457,500 0.8
20,000 Citicorp.......................... 2,803,428 2,985,000 0.7
100,000 Mellon Bank Corporation........... 5,582,673 6,962,500 1.7
70,000 State Street Corporation.......... 3,613,537 4,865,000 1.2
------------- ------------- -----
19,936,846 24,409,375 5.9
- ------------------------------------------------------------------------------------------------------------------
BEVERAGES 115,000 Coca-Cola Co. (The)............... 9,009,172 9,832,500 2.4
25,000 Seagram Company Ltd. (The)........ 1,063,229 1,023,438 0.2
------------- ------------- -----
10,072,401 10,855,938 2.6
- ------------------------------------------------------------------------------------------------------------------
BROADCASTING-MEDIA 80,000 +Chancellor Media Corp............ 3,787,238 3,970,000 1.0
57,000 +Clear Channel Communications,
Inc.............................. 4,878,520 6,220,125 1.5
------------- ------------- -----
8,665,758 10,190,125 2.5
- ------------------------------------------------------------------------------------------------------------------
CHEMICALS 60,000 duPont (E.I.) de Nemours &
Company.......................... 4,847,006 4,477,500 1.1
- ------------------------------------------------------------------------------------------------------------------
COMMUNICATION 148,000 +Cisco Systems, Inc............... 8,888,821 13,625,250 3.3
EQUIPMENT 185,000 +FORE Systems, Inc................ 4,122,170 4,890,938 1.2
70,000 Lucent Technologies, Inc.......... 2,438,507 5,823,125 1.4
140,000 +Newbridge Networks Corporation... 5,279,181 3,351,250 0.8
30,000 Northern Telecom Ltd.............. 1,480,653 1,702,500 0.4
80,000 Telefonaktiebolaget LM Ericsson
(ADR)*........................... 1,833,750 2,290,000 0.5
------------- ------------- -----
24,043,082 31,683,063 7.6
- ------------------------------------------------------------------------------------------------------------------
COMPUTER-SOFTWARE 50,000 +Baan Company, N.V. (US Registered
Shares).......................... 1,627,863 1,781,250 0.4
140,000 +Microsoft Corp................... 11,202,185 15,172,500 3.7
170,000 +Peoplesoft, Inc.................. 7,198,404 7,979,375 1.9
70,000 +SAP AG (Systeme, Anwendungen,
Produkte in der
Datenverarbeitung) (ADR)*........ 4,297,500 15,819,510 3.8
------------- ------------- -----
24,325,952 40,752,635 9.8
- ------------------------------------------------------------------------------------------------------------------
COMPUTERS 395,000 COMPAQ Computer Corporation....... 7,233,835 11,208,125 2.7
60,000 Dell Computer Corporation......... 4,032,297 5,565,000 1.3
50,000 Hewlett-Packard Co................ 3,211,916 2,993,750 0.7
------------- ------------- -----
14,478,048 19,766,875 4.7
- ------------------------------------------------------------------------------------------------------------------
COSMETICS 100,000 Gillette Company (The)............ 4,548,970 5,668,750 1.4
10,000 International Flavors &
Fragrances, Inc.................. 485,470 434,375 0.1
------------- ------------- -----
5,034,440 6,103,125 1.5
- ------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 20,000 Emerson Electric Co............... 658,040 1,207,500 0.3
162,000 General Electric Company.......... 8,526,563 14,742,000 3.6
7,000 Honeywell, Inc.................... 505,671 584,938 0.1
------------- ------------- -----
9,690,274 16,534,438 4.0
- ------------------------------------------------------------------------------------------------------------------
ELECTRONICS 110,000 Intel Corporation................. 8,018,099 8,146,875 2.0
30,000 ST Microelectronics N.V. (NY
Registered Shares)............... 2,194,843 2,096,250 0.5
125,000 Texas Instruments Inc............. 7,297,795 7,289,063 1.7
------------- ------------- -----
17,510,737 17,532,188 4.2
- ------------------------------------------------------------------------------------------------------------------
ENERGY 60,000 El Paso Natural Gas Company....... 1,425,235 2,295,000 0.6
40,000 Enron Corp........................ 1,757,484 2,162,500 0.5
------------- ------------- -----
3,182,719 4,457,500 1.1
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
23
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES SHARES HELD STOCKS COST (NOTE 1a) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ENTERTAINMENT 50,000 +Viacom, Inc. (Class A)........... $ 2,361,182 $ 2,925,000 0.7%
90,000 Walt Disney Company (The)......... 8,254,765 9,455,625 2.3
------------- ------------- -----
10,615,947 12,380,625 3.0
- ------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 20,000 American Express Company.......... 1,773,450 2,280,000 0.5
50,000 Federal National Mortgage
Association...................... 2,512,330 3,037,500 0.7
50,000 Franklin Resources, Inc........... 2,832,854 2,700,000 0.7
80,000 Morgan Stanley Dean Witter,
Discover & Co.................... 5,177,813 7,310,000 1.8
65,000 Travelers Group, Inc.............. 3,027,884 3,940,625 1.0
------------- ------------- -----
15,324,331 19,268,125 4.7
- ------------------------------------------------------------------------------------------------------------------
FOOD 25,000 ConAgra, Inc...................... 553,250 792,188 0.2
25,000 Wrigley (Wm.) Jr. Company (Class
B)............................... 1,504,620 2,450,000 0.6
------------- ------------- -----
2,057,870 3,242,188 0.8
- ------------------------------------------------------------------------------------------------------------------
FOOD MERCHANDISING 25,000 Albertson's, Inc.................. 1,029,287 1,295,313 0.3
75,000 +Meyer (Fred), Inc................ 1,595,984 3,187,500 0.8
------------- ------------- -----
2,625,271 4,482,813 1.1
- ------------------------------------------------------------------------------------------------------------------
HOME FURNISHINGS 110,000 Ethan Allen Interiors, Inc........ 5,989,533 5,493,125 1.3
- ------------------------------------------------------------------------------------------------------------------
HOTELS 65,000 Marriott International, Inc....... 1,853,742 2,104,375 0.5
- ------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 15,000 Colgate-Palmolive Co.............. 1,051,050 1,320,000 0.3
40,000 Kimberly-Clark Corp............... 2,083,098 1,835,000 0.5
120,000 Procter & Gamble Co. (The)........ 8,503,420 10,927,500 2.6
90,000 Unilever N.V. (NY Registered
Shares).......................... 6,246,939 7,104,375 1.7
------------- ------------- -----
17,884,507 21,186,875 5.1
- ------------------------------------------------------------------------------------------------------------------
INFORMATION SERVICES 150,000 First Data Corp................... 5,680,095 4,996,875 1.2
- ------------------------------------------------------------------------------------------------------------------
INSURANCE 10,000 Aetna, Inc........................ 822,491 761,250 0.2
50,000 American International Group,
Inc.............................. 4,820,344 7,300,000 1.8
------------- ------------- -----
5,642,835 8,061,250 2.0
- ------------------------------------------------------------------------------------------------------------------
LEISURE 115,000 PolyGram N.V. (NY Registered
Shares).......................... 5,599,741 5,850,625 1.4
- ------------------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 55,000 +Boston Scientific Corp........... 2,728,383 3,939,375 0.9
45,000 Guidant Corporation............... 2,917,779 3,209,062 0.8
10,000 Johnson & Johnson................. 471,880 737,500 0.2
------------- ------------- -----
6,118,042 7,885,937 1.9
- ------------------------------------------------------------------------------------------------------------------
OIL SERVICES 50,000 Baker Hughes, Inc................. 1,993,239 1,728,125 0.4
38,000 Diamond Offshore Drilling, Inc.... 1,148,962 1,520,000 0.4
25,000 Schlumberger Ltd.................. 1,435,091 1,707,812 0.4
------------- ------------- -----
4,577,292 4,955,937 1.2
- ------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 15,000 +Amgen, Inc....................... 961,875 980,625 0.2
80,000 Bristol-Myers Squibb Co........... 7,513,084 9,195,000 2.2
60,000 Merck & Co., Inc.................. 4,430,891 8,025,000 2.0
117,000 Pfizer, Inc....................... 8,217,714 12,716,437 3.1
------------- ------------- -----
21,123,564 30,917,062 7.5
- ------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 15,000 Eastman Kodak Co.................. 953,578 1,095,938 0.3
- ------------------------------------------------------------------------------------------------------------------
POLLUTION CONTROL 20,000 WMX Technologies, Inc. (a)........ 591,174 700,000 0.2
- ------------------------------------------------------------------------------------------------------------------
PUBLISHING 25,600 Gannett Co., Inc.................. 1,780,330 1,819,200 0.4
- ------------------------------------------------------------------------------------------------------------------
RESTAURANTS 15,000 McDonald's Corp................... 684,747 1,035,000 0.2
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
24
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of June 30, 1998 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES SHARES HELD STOCKS COST (NOTE 1a) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
RETAIL SPECIALTY 160,000 CVS Corporation................... $ 5,064,802 $ 6,230,000 1.5%
80,000 Gap, Inc. (The)................... 3,228,836 4,930,000 1.2
315,000 +Staples, Inc..................... 5,911,139 9,115,312 2.2
105,000 Walgreen Co....................... 2,872,665 4,337,812 1.1
------------- ------------- -----
17,077,442 24,613,124 6.0
- ------------------------------------------------------------------------------------------------------------------
RETAIL STORES 100,000 +Federated Department Stores,
Inc.............................. 4,964,120 5,381,250 1.3
255,000 Wal-Mart Stores, Inc.............. 8,889,590 15,491,250 3.7
------------- ------------- -----
13,853,710 20,872,500 5.0
- ------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS 150,000 +Applied Materials, Inc........... 5,488,995 4,425,000 1.1
- ------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 120,000 AT&T Corp......................... 7,826,062 6,855,000 1.7
157,000 Sprint Corporation................ 9,783,586 11,068,500 2.7
100,000 +WorldCom Inc..................... 4,392,316 4,831,250 1.2
------------- ------------- -----
22,001,964 22,754,750 5.6
- ------------------------------------------------------------------------------------------------------------------
TOYS 35,000 Mattel, Inc....................... 1,276,170 1,480,937 0.4
- ------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 130,000 Carnival Corp. (Class A).......... 3,057,700 5,151,250 1.2
- ------------------------------------------------------------------------------------------------------------------
TOTAL STOCKS 315,063,977 404,570,648 97.8
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SHORT-TERM SECURITIES
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER** $16,937,000 General Motors Acceptance Corp.,
6.50% due 7/01/1998.............. 16,933,942 16,933,942 4.1
- ------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 16,933,942 16,933,942 4.1
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS................. $ 331,997,919 421,504,590 101.9
-------------
-------------
LIABILITIES IN EXCESS OF OTHER
ASSETS............................ (7,829,805) (1.9)
------------- -----
NET ASSETS........................ $ 413,674,785 100.0%
------------- -----
------------- -----
- ------------------------------------------------------------------------------------------------------------------
</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.
(a) Formerly Waste Management, Inc.
See Notes to Financial Statements.
25
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1998
- --------------------------------------------------------------------------------
<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>
- --------------------------------------------------------------------------------------------------------------------------
AIRLINES-0.6% BB Ba2 $ 750,000 US Airways Group Inc., 10.375% due
3/01/2013.............................. $ 750,000 $ 845,865
- --------------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE-1.5% B+ B3 1,000,000 Breed Technologies, Inc., 9.25% due
4/15/2008 (f).......................... 1,000,000 977,500
B+ B2 1,000,000 Venture Holdings Trust, 9.50% due
7/01/2005.............................. 986,204 1,012,500
------------ ------------
1,986,204 1,990,000
- --------------------------------------------------------------------------------------------------------------------------
BROADCASTING-RADIO & CCC+ B3 1,000,000 Cumulus Media Inc., 10.375% due
TELEVISION-3.8% 7/01/2008.............................. 1,000,000 1,000,000
B- B3 1,000,000 Paxson Communications, 11.625% due
10/01/2002............................. 1,073,750 1,072,500
B- B3 1,000,000 Salem Communications Corp., 9.50% due
10/01/2007............................. 1,020,000 1,045,000
B B2 2,000,000 Sinclair Broadcasting Group, Inc., 8.75%
due 12/15/2007......................... 1,992,160 2,060,000
------------ ------------
5,085,910 5,177,500
- --------------------------------------------------------------------------------------------------------------------------
CABLE- CCC Ca 1,417,790 American Telecasting, Inc., 30.325%**
DOMESTIC-5.6% due 6/15/2004.......................... 639,146 354,448
BB- Ba3 2,000,000 Century Communications Corp., 9.50% due
3/01/2005.............................. 1,977,500 2,165,000
B B2 1,500,000 Intermedia Capital Partners L.P., 11.25%
due 8/01/2006.......................... 1,493,750 1,702,500
BB+ Ba3 1,000,000 Lenfest Communications, Inc., 8.375% due
11/01/2005............................. 931,250 1,062,500
B B1 1,000,000 Olympus Communications L.P., 10.625% due
11/15/2006............................. 1,000,000 1,105,000
BB+ Ba2 1,000,000 TCI Communications Inc., 9.65% due
3/31/2027.............................. 1,026,250 1,224,970
------------ ------------
7,067,896 7,614,418
- --------------------------------------------------------------------------------------------------------------------------
CABLE- Australis Media Ltd. (a):
INTERNATIONAL-1.3% D C 34,214 1.75%/15.75% due
5/15/2003............................ 18,823 1,711
D C 2,000,000 1.75%/15.75% due
5/15/2003 (g)........................ 1,366,087 100,000
B- B3 2,000,000 International Cabletel Incorporated,
Series B, 10.688%** due 2/01/2006...... 1,555,123 1,650,000
------------ ------------
2,940,033 1,751,711
- --------------------------------------------------------------------------------------------------------------------------
CAPITAL GOODS-4.2% B+ B1 1,000,000 Bucyrus International, Inc., 9.75% due
9/15/2007.............................. 1,000,000 1,007,500
B B2 1,000,000 Columbus McKinnon Corporation, 8.50% due
4/01/2008 (f).......................... 997,340 980,000
B- B3 1,500,000 International Wire Group, Inc., 11.75%
due 6/01/2005.......................... 1,486,875 1,644,375
B B2 1,250,000 Morris Materials Handling, 9.50% due
4/01/2008 (f).......................... 1,235,000 1,165,625
B- B3 1,000,000 Terex Corporation, 8.875% due 4/01/2008
(f).................................... 982,500 982,500
------------ ------------
5,701,715 5,780,000
- --------------------------------------------------------------------------------------------------------------------------
CHEMICALS-0.6% BB- Ba3 744,000 ISP Holdings Inc., 9.75% due
2/15/2002.............................. 744,000 781,200
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
26
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1998 (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>
- --------------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES-2.2% B Ba3 $1,000,000 Advanced Micro Devices, Inc., 11% due
8/01/2003.............................. $ 1,000,000 $ 1,055,000
CCC Caa1 1,000,000 Dictaphone Corp., 11.75% due
8/01/2005.............................. 968,750 1,005,000
B- B3 1,000,000 PSINet Inc., Senior Notes, 10% due
2/15/2005.............................. 1,000,000 1,020,000
------------ ------------
2,968,750 3,080,000
- --------------------------------------------------------------------------------------------------------------------------
CONGLOMERATES-1.5% B- B3 1,000,000 Eagle-Picher Industries, Inc., 9.375%
due 3/01/2008 (f)...................... 998,360 1,010,000
B+ B1 1,000,000 Sequa Corp., 9.375% due 12/15/2003...... 1,030,938 1,035,000
------------ ------------
2,029,298 2,045,000
- --------------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS-1.2% B+ Ba3 1,000,000 Coty Inc., 10.25% due 5/01/2005......... 1,026,250 1,067,500
B+ B2 1,900,000 International Semi-Tech
Microelectronics, Inc.,
12.792%** due 8/15/2003................ 1,402,295 570,000
------------ ------------
2,428,545 1,637,500
- --------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED-1.5% B- B2 1,000,000 Koppers Industries, Inc., 9.875% due
12/01/2007............................. 1,000,000 1,025,000
B+ B2 1,000,000 RBX Corp., 12% due 1/15/2003 (f)........ 1,000,000 970,000
------------ ------------
2,000,000 1,995,000
- --------------------------------------------------------------------------------------------------------------------------
ENERGY-8.8% B- B3 1,000,000 Bellwether Exploration Co., 10.875% due
4/01/2007.............................. 1,000,000 1,055,000
B+ B1 1,000,000 Chesapeake Energy Corporation, 9.125%
due 4/15/2006.......................... 997,550 985,000
B B2 2,000,000 Energy Corp. of America, 9.50% due
5/15/2007.............................. 2,000,000 1,960,000
B+ B1 1,000,000 Parker Drilling Corp., 9.75% due
11/15/2006............................. 992,150 1,025,000
NR* B1 1,500,000 Petroleo Brasileiro S.A. - Petrobras,
10% due 10/17/2006 (f)................. 1,500,000 1,518,750
B+ B2 500,000 Pool Energy Services Co., 8.625% due
4/01/2008 (f).......................... 500,000 487,500
B- B3 1,000,000 Southwest Royalties Inc., 10.50% due
10/15/2004............................. 987,910 815,000
B+ B3 5,150,000 Transamerican Energy, Series B,
13.163%** due 6/15/2002................ 4,536,913 4,223,000
------------ ------------
12,514,523 12,069,250
- --------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT-0.7% B B2 1,252,000 AMF Group Inc., 12.082%** due
3/15/2006.............................. 914,426 1,007,860
- --------------------------------------------------------------------------------------------------------------------------
FINANCIAL NR* Baa2 1,000,000 IBJ Preferred Capital Co. LLC, 8.79% due
SERVICES-1.0% 12/29/2049 (f)......................... 996,250 913,750
BB- Ba2 480,000 Reliance Group Holdings Inc., 9.75% due
11/15/2003............................. 447,600 504,096
------------ ------------
1,443,850 1,417,846
- --------------------------------------------------------------------------------------------------------------------------
FOOD & BEVERAGE-2.9% B+ B1 2,000,000 Chiquita Brands International,
9.125% due 3/01/2004.................... 2,001,250 2,040,000
B NR* 1,500,000 Colorado Prime Corp., 12.50% due
5/01/2004.............................. 1,469,804 1,477,500
NR* NR* 438,000 Cumberland Farms, Inc., 10.50% due
10/01/2003............................. 428,692 429,240
------------ ------------
3,899,746 3,946,740
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
27
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1998 (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>
- --------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BB Ba3 $1,500,000 Republic of Argentina, Global Bonds, 11%
OBLIGATIONS-1.2% due 10/09/2006......................... $ 1,543,125 $ 1,590,000
- --------------------------------------------------------------------------------------------------------------------------
GAMING-4.1% D Caa1 1,000,000 Greate Bay Properties, Inc., 10.875% due
1/15/2004 (d).......................... 845,000 865,000
D Caa 2,000,000 Harrah's Jazz Company, 14.25% due
11/15/2001 (d)......................... 1,971,250 640,000
B+ B2 1,000,000 Hollywood Casino Corp., 12.75% due
11/01/2003............................. 935,112 1,095,000
BB- B1 2,000,000 Trump Atlantic City Inc., 11.25% due
5/01/2006.............................. 1,997,500 1,940,000
B- B3 1,000,000 Venetian Casino Resort LLC, 12.25% due
11/15/2004............................. 1,011,250 1,032,500
------------ ------------
6,760,112 5,572,500
- --------------------------------------------------------------------------------------------------------------------------
HEALTHCARE-4.3% B+ Ba3 1,000,000 Beverly Enterprises, Inc., 9% due
2/15/2006.............................. 933,750 1,042,500
BBB Ba2 750,000 Columbia/HCA Healthcare Corporation,
7.15% due 3/30/2004.................... 720,000 734,827
B+ Ba3 1,000,000 Fresnius Medical Capital Trust II,
7.875% due 2/01/2008 (f)............... 1,000,000 982,500
B- B3 1,000,000 Magellan Health Services, Inc., 9% due
2/15/2008 (f).......................... 1,000,000 992,500
B- B3 1,000,000 Paragon Health Network, Inc., 9.50% due
11/01/2007............................. 995,540 1,017,500
B+ B2 1,000,000 Quest Diagnostic Inc., 10.75% due
12/15/2006............................. 1,000,000 1,117,500
------------ ------------
5,649,290 5,887,327
- --------------------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER BB- Ba2 1,000,000 Calpine Corporation, 8.75% due
PRODUCERS-2.4% 7/15/2007.............................. 1,003,176 1,027,500
B B2 1,000,000 Midland Cogeneration Venture L.P.,
13.25% due 7/23/2006................... 1,108,750 1,293,430
BB Ba2 1,000,000 Monterrey Power S.A. de C.V., 9.625% due
11/15/2009 (f)......................... 998,160 905,000
------------ ------------
3,110,086 3,225,930
- --------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL-SERVICES-0.2% CCC+ Caa1 500,000 Thermadyne Holdings Corporation,
12.50%** due 6/01/2008 (f)............. 275,409 272,500
- --------------------------------------------------------------------------------------------------------------------------
MACHINERY-0.7% B- B3 1,000,000 Numatics, Inc., 9.625% due 4/01/2008
(f).................................... 1,000,000 1,010,000
- --------------------------------------------------------------------------------------------------------------------------
MEDIA & BB- B1 500,000 Comtel Brasileira Ltd., 10.75% due
COMMUNICATIONS- 9/26/2004 (f).......................... 500,000 461,250
INTERNATIONAL-4.4%
NR* NR* 1,000,000 Facilicom International, 10.50% due
1/15/2008 (f).......................... 1,000,000 985,000
BB- B1 1,000,000 Globo Communicacoes Participacoes, Ltd.,
10.50% due 12/20/2006 (f).............. 1,003,750 900,000
BB Ba2 1,000,000 Grupo Televisa, S.A. de C.V., 11.375%
due 5/15/2003.......................... 1,010,000 1,075,000
B- B3 500,000 Satelites Mexicanos S.A., 10.125% due
11/01/2004 (f)......................... 500,000 486,875
BBB- Ba3 2,000,000 Telefonica de Argentina S.A., 11.875%
due 11/01/2004......................... 1,978,830 2,150,000
------------ ------------
5,992,580 6,058,125
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
28
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1998 (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>
- --------------------------------------------------------------------------------------------------------------------------
METAL & MINING-2.1% CCC+ B2 $1,000,000 Kaiser Aluminum & Chemical Corp., 12.75%
due 2/01/2003.......................... $ 1,045,000 $ 1,062,500
CCC+ B3 1,750,000 Maxxam Group, Inc., 12.25%** due
8/01/2003.............................. 1,731,704 1,793,750
------------ ------------
2,776,704 2,856,250
- --------------------------------------------------------------------------------------------------------------------------
PACKAGING-3.3% B- B3 1,500,000 Indesco International, Inc., 9.75% due
4/15/2008 (f).......................... 1,495,625 1,485,000
B B2 1,000,000 Portola Packaging Inc., 10.75% due
10/01/2005............................. 1,000,000 1,055,000
B B1 1,000,000 Silgan Corp., 9% due 6/01/2009.......... 1,000,000 1,035,000
B- B3 1,000,000 Tekni-Plex Inc., 9.25% due 3/01/2008.... 1,000,000 1,000,000
------------ ------------
4,495,625 4,575,000
- --------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST B B3 1,000,000 Ainsworth Lumber Ltd., 12.50% due
PRODUCTS-2.3% 7/15/2007.............................. 1,005,000 1,017,708
B B2 500,000 Bear Island Paper Co. LLC, 10% due
12/01/2007............................. 500,000 512,500
BB- B1 1,000,000 Doman Industries Ltd., 8.75% due
3/15/2004.............................. 919,000 977,500
CCC+ Caa1 1,000,000 Pindo Deli Finance Mauritius, 10.75% due
10/01/2007............................. 996,980 700,000
------------ ------------
3,420,980 3,207,708
- --------------------------------------------------------------------------------------------------------------------------
PRINTING & BB- B1 1,000,000 Hollinger International, Inc., 9.25% due
PUBLISHING-1.3% 2/01/2006.............................. 956,250 1,046,250
BB- Ba3 750,000 Primedia Inc., 7.625% due 4/01/2008..... 745,687 729,375
------------ ------------
1,701,937 1,775,625
- --------------------------------------------------------------------------------------------------------------------------
PRODUCT B- B3 1,000,000 AmeriServe Food Company, Inc., 10.125%
DISTRIBUTION-0.8% due 7/15/2007.......................... 1,000,000 1,030,000
- --------------------------------------------------------------------------------------------------------------------------
RETAIL SPECIALTY-0.0% D Caa 1,000,000 Bradlees, Inc., 11% due 8/01/2002 (d)... 1,023,750 30,000
- --------------------------------------------------------------------------------------------------------------------------
STEEL-3.4% NR* B1 2,000,000 CSN Iron S.A., 9.125% due 6/01/2007
(f).................................... 1,941,250 1,600,000
B+ B2 1,000,000 WCI Steel Inc., 10% due 12/01/2004...... 1,000,000 1,027,500
BB- B2 2,000,000 Wheeling-Pittsburgh Corp., 9.25% due
11/15/2007............................. 1,980,000 2,040,000
------------ ------------
4,921,250 4,667,500
- --------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS-1.4% B+ B2 1,000,000 GCI Inc., 9.75% due 8/01/2007........... 1,000,000 1,045,000
NR* Caa3 1,000,000 Ionica PLC, 13.50% due 8/15/2006........ 1,113,750 610,000
B B3 500,000 Metronet Communications, 9.95%** due
6/15/2008 (f).......................... 308,912 309,375
------------ ------------
2,422,662 1,964,375
- --------------------------------------------------------------------------------------------------------------------------
TEXTILES-1.8% B+ B3 1,000,000 Anvil Knitwear Inc., Series B, 10.875%
due 3/15/2007.......................... 1,041,250 1,025,000
CCC- Caa3 1,000,000 PT Polysindo International Finance Co.
B.V., 11.375% due 6/15/2006............ 630,000 340,000
B+ B1 1,000,000 Tultex Corp., 10.625% due 3/15/2005..... 1,007,500 1,037,500
------------ ------------
2,678,750 2,402,500
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
29
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1998 (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>
- --------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION-5.2% BB- B1 $1,000,000 Alpha Shipping PLC, 9.50% due 2/15/2008
(f).................................... $ 994,280 $ 955,000
BB- NR* 1,000,000 Autopistas del Sol S.A., 10.25% due
8/01/2009 (f).......................... 1,026,250 930,000
BB Ba3 2,000,000 GS Superhighway Holdings, 10.25% due
8/15/2007.............................. 1,973,750 1,422,500
B NR* 1,000,000 MRS Logistica S.A., 10.625% due
8/15/2005 (f).......................... 988,750 835,000
BB- B1 1,000,000 Sea Containers Ltd., 12.50% due
12/01/2004............................. 1,095,000 1,110,000
B- B3 2,000,000 Transtar Holdings L.P., 11.376%** due
12/15/2003............................. 1,712,146 1,860,000
------------ ------------
7,790,176 7,112,500
- --------------------------------------------------------------------------------------------------------------------------
UTILITIES-3.8% BB- NR* 1,000,000 Companhia de Saneamento Basico do Estado
de Sao-Paulo, 10% due 7/28/2005 (f).... 1,005,000 870,000
BB- B1 1,500,000 Espirito Santo - Escelsa S.A., 10% due
7/15/2007 (f).......................... 1,498,125 1,271,250
BB+ NR* 1,000,000 Inversora de Electrica, 9% due 9/16/2004
(f).................................... 1,000,000 947,500
BBB- Ba3 1,000,000 Metrogas S.A., 12% due 8/15/2000........ 983,750 1,045,000
BBB- Baa3 986,400 Trans Gas de Occidente S.A., 9.79% due
11/01/2010 (e)(f)...................... 986,400 1,039,703
------------ ------------
5,473,275 5,173,453
- --------------------------------------------------------------------------------------------------------------------------
WASTE MANAGEMENT-0.4% B+ B2 500,000 Safety-Kleen Services, 9.25% due
6/01/2008 (f).......................... 500,000 505,000
- --------------------------------------------------------------------------------------------------------------------------
WIRELESS BB+ Ba3 2,000,000 Comcast Cellular Holdings, 9.50% due
COMMUNICATIONS- 5/01/2007.............................. 1,996,740 2,085,000
DOMESTIC-5.2% Nextel Communications, Inc.:
CCC+ B2 1,000,000 8.803%** due 1/15/2004.................. 982,764 982,500
CCC+ B2 2,000,000 14.085%** due 8/15/2004................. 1,493,369 1,945,000
B B2 2,000,000 Paging Network, Inc., 10% due
10/15/2008............................. 1,990,625 2,065,000
------------ ------------
6,463,498 7,077,500
- --------------------------------------------------------------------------------------------------------------------------
WIRELESS CCC+ Caa1 1,995,000 McCaw International Ltd.,
COMMUNICATIONS- 12.469%**due 4/15/2007................. 1,275,473 1,306,725
INTERNATIONAL-2.1% B- B3 2,000,000 Millicom International Cellular S.A.,
13.116%** due 6/01/2006................ 1,387,753 1,560,000
------------ ------------
2,663,226 2,866,725
- --------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS-87.8% 124,137,331 120,000,408
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES
HELD COMMON STOCKS & WARRANTS
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
CABLE-DOMESTIC-0.0% 5,000 American Telecasting, Inc. (Warrants)
(b).................................... 4,776 50
- --------------------------------------------------------------------------------------------------------------------------
FOOD & BEVERAGE-0.0% 1,500 Colorado Prime Corp. (Warrants)
(b)(f)................................. 13,095 1,500
- --------------------------------------------------------------------------------------------------------------------------
GAMING-0.0% 1,000 +Goldriver Hotel & Casino Corp.
(Liquidating Trust) (d)................ 24,040 0
- --------------------------------------------------------------------------------------------------------------------------
SUPERMARKETS-0.0% 17,674 Grand Union Co. (d)..................... 1,000,000 3,181
- --------------------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATIONS-DOMESTIC-0.1% 3,098 Nextel Communications, Inc. (d)......... 49,991 76,869
- --------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS & WARRANTS-0.1% 1,091,902 81,600
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
30
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1998 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
INDUSTRIES HELD ISSUE COST (NOTE 1a)
- --------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
CABLE-DOMESTIC-1.0% 12,448 CSC Holdings Inc. (Series M) (c)........ $ 935,000 $ 1,431,520
- --------------------------------------------------------------------------------------------------------------------------
ENERGY-0.8% 1,057 Clark USA, Inc. (Convertible) (c)....... 1,059,280 1,115,135
- --------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT-1.5% 1,782 Time Warner Inc. (Series M) (c)......... 1,799,895 1,980,248
- --------------------------------------------------------------------------------------------------------------------------
FINANCIAL 40,000 California Federal Preferred Capital
SERVICES-0.8% Corp. (Series A)....................... 1,010,000 1,092,500
- --------------------------------------------------------------------------------------------------------------------------
PRINTING & 7,500 Primedia Inc............................ 745,500 729,375
PUBLISHING-0.5%
- --------------------------------------------------------------------------------------------------------------------------
UTILITIES-0.6% 750 American Tower Corp. (Class A) (c)...... 745,000 755,891
- --------------------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATIONS-DOMESTIC-0.9% 1,097 Nextel Communications, Inc. (c)......... 1,109,360 1,228,640
- --------------------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS-6.1% 7,404,035 8,333,309
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SHORT-TERM SECURITIES
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
COMMERCIAL $5,787,000 General Motors Acceptance Corp., 6.50%
PAPER***4.2% due 7/01/1998.......................... 5,785,955 5,785,955
- --------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES-4.2% 5,785,955 5,785,955
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-98.2%................. $138,419,223 134,201,272
------------
------------
OTHER ASSETS LESS LIABILITIES-1.8%...... 2,511,048
------------
NET ASSETS-100.0%....................... $136,712,320
------------
------------
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Not Rated.
** Represents a zero coupon or step bond; the interest rate shown is the
effective yield at the time of purchase by the Portfolio.
*** Commercial Paper is traded on a discount basis; the interest rate shown is
the discount rate paid at the time of purchase by the Portfolio.
+ Restricted securities as to resale.
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
VALUE
ISSUE ACQUISITION DATE COST (NOTE 1a)
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
Goldriver Hotel & Casino, Liquidating Trust 8/31/1992 $ 24,040 $ 0
- -----------------------------------------------------------------------------------------------------------------------
TOTAL $ 24,040 $ 0
------------ ------------
------------ ------------
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Represents a step bond. Coupon payments are paid-in-kind, in which the
Portfolio receives additional face at an annual rate of 1.75% until
5/15/2000. Subsequently, the Portfolio will receive cash coupon payments at
an annual rate of 15.75% until maturity.
(b) Warrants entitle the Portfolio to purchase a predetermined number of shares
of common stock/face amount of bonds and are non-income producing. The
purchase price and number of shares/face amount are subject to adjustments
under certain conditions until the expiration date.
(c) Represents a pay-in-kind security which may pay interest/dividends in
additional face amount/shares.
(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.
(g) Each $1,000 face amount contains one warrant of Australis Media Ltd.
See Notes to Financial Statements.
31
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE
AMOUNT ISSUE COST (NOTE 1a)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
US GOVERNMENT & AGENCY OBLIGATIONS
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
FEDERAL FARM CREDIT $ 1,500,000 Federal Farm Credit Bank, 6.43% due 7/23/2007................ $ 1,537,350 $ 1,561,410
BANK-0.7%
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL FARM CREDIT BANK 1,537,350 1,561,410
- ---------------------------------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN Federal Home Loan Mortgage Corporation:
MORTGAGE 5,000,000 7.90% due 9/19/2001...................................... 5,000,000 5,315,600
CORPORATION-4.6% 1,685,000 6.42% due 10/03/2005..................................... 1,710,802 1,744,767
3,100,000 6.40% due 12/13/2006..................................... 3,149,817 3,211,879
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION 9,860,619 10,272,246
- ---------------------------------------------------------------------------------------------------------------------------
FEDERAL NATIONAL Federal National Mortgage Association:
MORTGAGE 5,000,000 7.55% due 4/22/2002...................................... 5,226,550 5,307,050
ASSOCIATION-21.5% 6,000,000 7.40% due 7/01/2004...................................... 6,248,520 6,488,460
10,000,000 7.85% due 9/10/2004...................................... 9,824,469 10,231,200
9,000,000 7.65% due 3/10/2005...................................... 8,990,156 9,905,580
10,000,000 6.35% due 6/10/2005...................................... 10,000,000 10,332,800
1,969,345 6.40% due 1/01/2006...................................... 1,988,500 2,012,089
3,000,000 7.12% due 7/03/2006...................................... 3,198,840 3,246,090
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION 45,477,035 47,523,269
- ---------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED Federal Home Loan Mortgage Corporation (a):
SECURITIES-20.4% 10,000,000 6.50% due 1/15/2009...................................... 10,229,688 10,190,600
7,525,000 6% due 3/15/2009......................................... 7,463,271 7,496,781
Federal National Mortgage Association (a):
266,461 9% due 1/01/2002......................................... 257,134 273,804
5,500,000 6.50% due 10/25/2003..................................... 5,594,531 5,565,780
3,295,000 6.48% due 5/01/2005...................................... 3,317,653 3,325,376
18,529,000 6.27% due 11/01/2007..................................... 18,500,049 18,366,872
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES 45,362,326 45,219,213
- ---------------------------------------------------------------------------------------------------------------------------
PRIVATE EXPORT 7,000,000 Private Export Funding Corporation,
FUNDING 8.35% due 1/31/2001......................................... 7,083,590 7,442,960
CORPORATION-3.4%
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL PRIVATE EXPORT FUNDING CORPORATION 7,083,590 7,442,960
- ---------------------------------------------------------------------------------------------------------------------------
STUDENT LOAN 13,000,000 Student Loan Marketing Association,
MARKETING 7.50% due 3/08/2000......................................... 13,176,719 13,379,860
ASSOCIATION-6.0%
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL STUDENT LOAN MARKETING ASSOCIATION 13,176,719 13,379,860
- ---------------------------------------------------------------------------------------------------------------------------
US TREASURY US Treasury Bonds:
BONDS & 16,000,000 12% due 5/15/2005........................................ 22,772,500 21,817,440
NOTES-40.8% 10,000,000 10.75% due 8/15/2005..................................... 13,385,938 13,010,900
US Treasury Notes:
17,500,000 6.625% due 6/30/2001..................................... 17,521,875 18,011,350
9,000,000 6.625% due 4/30/2002..................................... 9,313,594 9,330,480
15,000,000 6.375% due 8/15/2002..................................... 15,035,589 15,459,300
1,500,000 5.875% due 9/30/2002..................................... 1,517,344 1,518,750
1,000,000 5.75% due 8/15/2003...................................... 993,828 1,010,620
6,000,000 7% due 7/15/2006......................................... 6,519,609 6,552,180
3,500,000 5.50% due 2/15/2008...................................... 3,482,773 3,497,795
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL US TREASURY BONDS & NOTES 90,543,050 90,208,815
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY
OBLIGATIONS-97.4% 213,040,689 215,607,773
- ---------------------------------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES
- ---------------------------------------------------------------------------------------------------------------------------
REPURCHASE 2,040,000 Nikko Securities International, Inc., purchased on 6/30/1998
AGREEMENTS*-0.9% to yield 6.15% to 7/01/1998................................. 2,040,000 2,040,000
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES-0.9% 2,040,000 2,040,000
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-98.3%...................................... $215,080,689 217,647,773
------------
------------
OTHER ASSETS LESS LIABILITIES-1.7%........................... 3,730,408
------------
NET ASSETS-100.0%............................................ $221,378,181
------------
------------
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) US Government Agency Mortgage-Backed Obligations are subject to principal
paydowns as a result of prepayments or refinancings of the underlying
mortgage instrument. As a result, the average life may be substantially less
than the original maturity.
* Repurchase Agreements are fully collateralized by US Government Obligations.
See Notes to Financial Statements.
32
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1a)
- ------------------------------------------------------------------------------------------------------------------
US GOVERNMENT OBLIGATIONS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
US TREASURY BONDS & US Treasury Bonds:
NOTES-6.0% AAA Aaa $ 500,000 6.375% due 8/15/2027........... $ 545,469 $ 549,060
AAA Aaa 250,000 6.125% due 11/15/2027.......... 268,359 267,890
US Treasury Notes:
AAA Aaa 2,000,000 5.875% due 2/15/2004........... 2,044,375 2,036,880
AAA Aaa 1,750,000 7.25% due 5/15/2004............ 1,911,465 1,898,750
AAA Aaa 2,700,000 5.875% due 11/15/2005.......... 2,749,992 2,751,462
- ------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT OBLIGATIONS-6.0% 7,519,660 7,504,042
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
CORPORATE BONDS & NOTES
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
ASSET-BACKED/ AAA Aaa 823,948 Arcadia Trust, 6.10% due
6/15/2000......................... 823,788 824,970
COMMERCIAL NR* Baa2 3,500,000 ++Bistro Trust, 6.58% due
3/26/2001......................... 3,499,860 3,510,360
MORTGAGE-BACKED Citibank, Credit Card Master Trust
I:
SECURITIES*-10.6% AAA Aaa 1,000,000 5.85% due 4/10/2003............ 999,730 998,125
AAA Aaa 1,000,000 5.807% due 12/10/2008.......... 999,610 997,180
BBB NR++ 1,000,000 Column-GECA Conduct, 6.91% due
5/10/2010......................... 1,010,469 1,010,000
AAA Aaa 1,000,000 First Bank, Corporate Card Master
Trust, 6.40% due 2/15/2003........ 998,772 1,018,010
AAA Aaa 1,000,000 First Greensboro, 6.55% due
12/25/2029........................ 1,000,000 998,750
AAA Aaa 1,000,000 First Union-Lehman Brothers, 6.56%
due 11/15/2035.................... 1,014,971 1,018,500
AAA Aaa 380,824 GMAC Grantor Trust, 6.50% due
4/15/2002......................... 380,718 382,835
AAA Aaa 1,500,000 IMC-Home Equity, 6.36% due
8/20/2022......................... 1,499,709 1,501,407
NR* A2 1,000,000 Mortgage Capital Funding, 6.726%
due 6/18/2008..................... 1,010,000 1,010,000
------------ ------------
13,237,627 13,270,137
- ------------------------------------------------------------------------------------------------------------------
BANKING-12.6% BBB+ A3 1,250,000 BB&T Corporation, 7.25% due
6/15/2007......................... 1,244,163 1,328,050
A A2 1,000,000 Bank of New York Co., Inc., 7.625%
due 7/15/2002..................... 1,076,500 1,055,690
A+ Aa3 1,000,000 BankAmerica Corp., 7.125% due
5/12/2005......................... 985,500 1,051,210
A- A2 2,000,000 First Interstate Bancorp, 9.90% due
11/15/2001........................ 2,270,480 2,226,400
A- A2 1,000,000 First Union Corporation, 6.30% due
4/15/2028......................... 996,220 1,000,810
A- A3 1,000,000 HSBC Americas Inc., 7% due
11/01/2006........................ 991,600 1,030,050
BBB A1 2,000,000 KeyCorp Capital I, 6.427% due
7/01/2028......................... 1,979,880 1,981,980
BBB+ Baa1 1,000,000 MBNA Corporation, 5.987% due
6/10/2004......................... 984,570 983,130
Mellon Bank Corp.:
A A3 2,000,000 6.875% due 3/01/2003........... 1,822,480 2,056,920
A A3 1,000,000 6.375% due 2/15/2010........... 1,001,550 1,001,910
A- a2 1,000,000 Mellon Capital II, 7.995% due
1/15/2027......................... 953,470 1,086,330
AA- Aa3 1,000,000 Norwest Financial, Inc., 6.625% due
7/15/2004......................... 995,590 1,027,460
------------ ------------
15,302,003 15,829,940
- ------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- General Motors Acceptance Corp.:
CAPTIVE-1.9% A A2 1,000,000 7.125% due 5/01/2003........... 994,890 1,042,610
A A2 1,250,000 7.70% due 4/15/2016............ 1,363,938 1,390,663
------------ ------------
2,358,828 2,433,273
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
33
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1998 (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 A2 $1,000,000 Beneficial Corp., 6.80% due
CONSUMER-4.1% 9/16/2003......................... $ 1,000,000 $ 1,025,669
A aa3 1,000,000 CIT Capital Trust I, 7.70% due
2/15/2027......................... 995,440 1,063,952
A+ Aa3 3,000,000 CIT Group Holdings, Inc., 6.625%
due 6/15/2005..................... 3,010,170 3,076,950
------------ ------------
5,005,610 5,166,571
- ------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- A+ A1 1,000,000 Allstate Corporation (The), 6.75%
OTHER-16.8% due 5/15/2018..................... 999,710 1,018,860
A A2 500,000 Bear Stearns Companies, Inc., 6.50%
due 7/05/2000..................... 499,090 504,510
A+ A1 750,000 Commercial Credit Co., 6.75% due
7/01/2007......................... 771,555 778,283
BBB- Baa2 500,000 Commercial Net Lease Realty, Inc.,
7.125% due 3/15/2008.............. 498,645 500,745
A- A3 1,000,000 Donaldson, Lufkin & Jenrette Inc.,
6.875% due 11/01/2005............. 999,050 1,025,820
A A2 1,000,000 ++Equitable Life Assurance Society
of the US, 7.70% due 12/01/2015... 993,160 1,113,839
AAA Aaa 500,000 General Electric Capital Corp.,
8.125% due 5/15/2012.............. 531,640 578,600
BBB- Baa3 1,000,000 Hospitality Properties Trust, 7%
due 3/01/2008..................... 998,200 999,050
A Baa1 3,000,000 Lehman Brothers Holdings, Inc.,
6.50% due 10/01/2002.............. 2,997,150 3,019,200
AA Aa2 2,350,000 MBIA, Inc., 7.15% due 7/15/2027.... 2,344,243 2,530,832
A+ A1 1,000,000 Morgan Stanley Group, Inc., 6.875%
due 3/01/2007..................... 996,410 1,036,160
BBB+ Baa1 2,500,000 PaineWebber Group, Inc., 7.99% due
6/09/2017......................... 2,500,000 2,729,500
BBB+ Baa1 1,000,000 Simon Debartolo Group, Inc., 7.375%
due 6/15/2018..................... 993,420 992,157
BBB Baa2 1,000,000 Spieker Properties Inc., 7.35% due
12/01/2017........................ 999,950 1,002,541
A+ aa3 2,000,000 Travelers Capital II, 7.75% due
12/01/2036........................ 2,003,400 2,095,760
AA- Aa3 1,000,000 Travelers Group, Inc., 7.875% due
5/15/2025......................... 999,420 1,155,800
------------ ------------
20,125,043 21,081,657
- ------------------------------------------------------------------------------------------------------------------
FOREIGN+-3.7% A Aa3 1,000,000 Midland Bank PLC, 7.625% due
6/15/2006 (2)..................... 992,340 1,069,240
Province of Quebec (Canada) (1):
A+ A2 1,000,000 8.80% due 4/15/2003............ 1,129,480 1,104,380
A+ A2 1,500,000 13% due 10/01/2013............. 1,959,060 1,594,410
AA Aa1 750,000 Swiss Bank Corp.-New York, 7.375%
due 6/15/2017 (2)................. 803,280 817,087
------------ ------------
4,884,160 4,585,117
- ------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- Archer-Daniels-Midland Company:
CONSUMER-10.4% AA- Aa3 500,000 7.125% due 3/01/2013........... 523,280 535,640
AA- Aa3 1,000,000 7.50% due 3/15/2027............ 1,103,140 1,128,610
A A2 3,500,000 Bass America, Inc., 8.125% due
3/31/2002......................... 3,532,070 3,733,520
A A2 927,943 ++Disney Enterprises, Inc., 6.85%
due 1/10/2007*.................... 927,302 952,348
BBB- Baa3 1,000,000 Flowers Industries, Inc., 7.15% due
4/15/2028......................... 994,700 1,027,680
AAA Aaa 2,000,000 Johnson & Johnson, 8.72% due
11/01/2024........................ 2,019,140 2,313,500
</TABLE>
34
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1998 (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- A A2 $ 900,000 Nordstrom, Inc., 6.95% due
CONSUMER 3/15/2028......................... $ 899,775 $ 918,810
(CONCLUDED) A A1 750,000 Pepsico, Inc., 5.75% due 746,205 746,779
1/01/2003.........................
A A2 500,000 Philip Morris Companies, Inc.,
7.25% due 1/15/2003............... 503,440 515,485
BBB- Baa2 1,000,000 Time Warner Entertainment Co.,
8.375% due 3/15/2023.............. 1,070,290 1,171,310
------------ ------------
12,319,342 13,043,682
- ------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- A Aa3 500,000 Dresser Industries, Inc., 7.60% due
ENERGY-0.5% 8/15/2096......................... 498,545 575,335
- ------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- BBB+ A3 500,000 Applied Materials Inc., 6.75% due
OTHER-15.9% 10/15/2007........................ 499,675 510,415
A A2 1,000,000 Chrysler Corporation, 7.45% due
3/01/2027......................... 995,140 1,109,480
A- Baa1 500,000 ++Computer Associates
International, Inc., 6.375% due
4/15/2005......................... 497,355 502,200
AA- Aa3 3,250,000 duPont (E.I.) de Nemours & Co.,
6.75% due 9/01/2007............... 3,356,477 3,385,460
A+ A1 1,000,000 Electronic Data Systems, Inc.,
6.85% due 5/15/2000............... 999,210 1,015,206
BBB Baa2 2,500,000 Federal Express Corp., 9.65% due
6/15/2012......................... 2,758,750 3,176,100
First Data Corp.:
A A2 1,000,000 6.75% due 7/15/2005............ 1,035,820 1,034,120
A A2 1,000,000 6.375% due 12/15/2007.......... 997,430 1,017,580
BBB- Baa2 500,000 Georgia-Pacific Corporation, 7.25%
due 6/01/2028..................... 497,515 509,960
A- Baa1 1,000,000 Goodrich B.F. Company (The), 7% due
4/15/2038......................... 994,110 1,027,500
Martin Marietta Corp.:
BBB+ A3 1,000,000 6.50% due 4/15/2003............ 1,006,130 1,010,680
BBB+ A3 500,000 7.375% due 4/15/2013........... 480,805 544,770
BBB- Baa3 1,000,000 ++News America Inc., 7.30% due
4/30/2028......................... 1,002,020 1,028,740
A A1 1,000,000 PPG Industries, Inc., 6.50% due
11/01/2007........................ 996,940 1,025,370
BBB- Baa2 800,000 Royal Caribbean Cruises Ltd., 6.75%
due 3/15/2008..................... 792,896 802,048
BBB- Baa3 1,000,000 TCI Communications, Inc., 8.75% due
8/01/2015......................... 1,173,060 1,203,920
A- Baa1 1,000,000 Tyco International Group S.A., 7%
due 6/15/2028..................... 992,790 1,011,490
------------ ------------
19,076,123 19,915,039
- ------------------------------------------------------------------------------------------------------------------
TRANSPORT Southwest Airlines, Inc.:
SERVICES-2.6% A- A3 2,000,000 9.40% due 7/01/2001............ 2,407,120 2,172,860
A- A3 1,000,000 7.875% due 9/01/2007........... 998,750 1,116,400
------------ ------------
3,405,870 3,289,260
- ------------------------------------------------------------------------------------------------------------------
UTILITIES- A- A2 1,000,000 ALLTEL Corporation, 6.75% due
COMMUNICATIONS-7.1% 9/15/2005......................... 984,600 1,020,490
AA- A2 2,000,000 GTE California, Inc., 8.07% due
4/15/2024......................... 2,137,460 2,175,140
A Baa1 2,000,000 GTE Corporation, 9.375% due
12/01/2000........................ 2,189,690 2,142,900
</TABLE>
35
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1998 (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- A Baa2 $ 500,000 MCI Communications Corp., 6.125%
COMMUNICATIONS due 4/15/2012..................... $ 498,665 $ 498,140
(CONCLUDED) SBC Communications, Inc.:
AA Aa3 1,000,000 6.125% due 3/01/2000........... 978,880 1,003,260
AA Aa3 1,000,000 6.375% due 11/15/2007.......... 1,004,760 1,014,530
BBB- Baa2 1,000,000 WorldCom, Inc., 7.75% due
4/01/2007......................... 1,088,940 1,084,660
------------ ------------
8,882,995 8,939,120
- ------------------------------------------------------------------------------------------------------------------
UTILITIES- AAA Aaa 750,000 Cleveland Electric/Toledo Edison,
ELECTRIC-3.5% 7.13% due 7/01/2007............... 786,817 804,637
A+ A1 785,000 Consolidated Edison, Inc., 6.25%
due 2/01/2008..................... 785,000 784,333
AA- A1 1,500,000 Pacific Gas and Electric Company,
6.25% due 8/01/2003............... 1,527,975 1,515,705
A- A3 1,000,000 PP&L Resources, Inc., 6.125% due
5/01/2001......................... 999,400 1,002,400
AAA Aaa 300,000 Texas Utilities Company, 6.375% due
10/01/2004........................ 301,545 305,559
------------ ------------
4,400,737 4,412,634
- ------------------------------------------------------------------------------------------------------------------
YANKEE A+ Aa3 1,000,000 Sony Corporation, 6.125% due
CORPORATES-0.8% 3/04/2003......................... 997,880 1,002,330
- ------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES-90.5% 110,494,763 113,544,095
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHORT-TERM INVESTMENTS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
REPURCHASE 546,000 Nikko Securities International Co.,
AGREEMENTS**-0.4% purchased on 6/30/1998 to yield
6.15% to 7/01/1998................ 546,000 546,000
- ------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS-0.4% 546,000 546,000
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-96.9%............ $118,560,423 121,594,137
------------
------------
OTHER ASSETS
LESS LIABILITIES-3.1%.............. 3,926,968
------------
NET ASSETS-100.0%.................. $125,521,105
------------
------------
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
* Subject to principal paydowns.
** Repurchase Agreements are fully collateralized by US Government Obligations.
+ Corresponding industry groups for foreign bonds:
(1) Government Entity
(2) Banking
++ The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
++ Not Rated.
See Notes to Financial Statements.
36
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
AMOUNT ISSUE RATE* DATE (NOTE 1a)
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
BANK NOTES-17.5% $ 7,000,000 American Express Centurion Bank+............ 5.616% 2/12/99 $ 7,000,000
1,500,000 American Express Centurion Bank............. 5.598 3/19/99 1,500,000
3,000,000 Bank of New York (The)...................... 5.85 8/20/98 3,001,950
3,000,000 Comerica Bank, Detroit+..................... 5.566 2/02/99 2,999,314
2,000,000 Comerica Bank, Detroit+..................... 5.556 2/09/99 1,999,410
3,000,000 FCC National Bank........................... 5.65 3/03/99 2,995,908
2,850,000 FNB of Chicago.............................. 5.89 8/26/98 2,852,812
2,800,000 FNB of Chicago.............................. 5.52 2/16/99 2,793,932
6,000,000 FNB of Chicago.............................. 5.63 3/16/99 5,991,071
3,000,000 First Tennessee Bank N.A.................... 5.82 4/30/99 3,000,055
1,900,000 Huntington National Bank+................... 5.546 1/20/99 1,899,482
3,800,000 KeyBank N.A.+............................... 5.52 8/20/98 3,799,619
7,500,000 KeyBank N.A.+............................... 5.52 8/28/98 7,499,194
1,800,000 LaSalle National Bank, Chicago.............. 5.75 10/08/98 1,799,063
3,000,000 LaSalle National Bank, Chicago.............. 5.55 2/05/99 2,994,191
10,000,000 LaSalle National Bank, Chicago.............. 5.55 2/08/99 9,980,434
4,000,000 LaSalle National Bank, Chicago.............. 5.55 2/16/99 3,992,055
1,900,000 LaSalle National Bank, Chicago.............. 5.55 2/22/99 1,896,206
9,400,000 PNC Bank N.A.+.............................. 5.60 10/01/98 9,398,393
15,000,000 PNC Bank N.A.+.............................. 5.57 1/29/99 14,993,921
4,000,000 US Bank N.A.+............................... 5.547 8/28/98 3,999,657
- -----------------------------------------------------------------------------------------------------------------------
TOTAL BANK NOTES (COST-$96,422,996) 96,386,667
- -----------------------------------------------------------------------------------------------------------------------
CERTIFICATES OF 4,000,000 Chase Manhattan Bank USA N.A................ 5.87 7/21/98 4,000,834
DEPOSIT-0.9% 1,000,000 Chase Manhattan Bank USA N.A................ 5.75 10/06/98 999,458
- -----------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT (COST-$5,000,000) 5,000,292
- -----------------------------------------------------------------------------------------------------------------------
CERTIFICATES OF 2,900,000 ABN AMRO Bank N.V., Chicago................. 5.77 7/28/98 2,900,191
DEPOSIT- 3,000,000 ABN-AMRO Bank N.V., Chicago................. 5.92 8/14/98 3,002,099
YANKEE-1.9% 4,750,000 Bayerische Vereinsbank AG, NY............... 5.71 10/06/98 4,747,072
- -----------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT-YANKEE
(COST-$10,648,979) 10,649,362
- -----------------------------------------------------------------------------------------------------------------------
COMMERCIAL 13,034,000 Aesop Funding Corp.......................... 5.54 7/08/98 13,019,959
PAPER-45.7% 5,500,000 Aesop Funding Corp.......................... 5.54 7/23/98 5,481,379
4,166,000 Apreco, Inc................................. 5.54 7/24/98 4,151,228
10,970,000 Atlantic Asset Securitization Corp.......... 5.58 7/16/98 10,944,495
12,760,000 Carnival (UK) PLC........................... 5.52 8/19/98 12,662,740
6,217,000 Carnival (UK) PLC........................... 5.53 8/19/98 6,169,613
5,564,000 Concord Minutemen Capital Co. LLC........... 6.50 7/01/98 5,564,000
5,953,000 Countrywide Home Loans, Inc................. 5.53 7/21/98 5,934,645
494,000 Countrywide Home Loans, Inc................. 5.53 8/03/98 491,487
10,379,000 Countrywide Home Loans, Inc................. 5.54 8/28/98 10,285,358
8,360,000 Countrywide Home Loans, Inc................. 5.535 9/02/98 8,278,072
1,082,000 Countrywide Home Loans, Inc................. 5.53 9/03/98 1,071,228
15,000,000 Credit Suisse First Boston, Inc............. 5.52 8/20/98 14,883,333
5,694,000 Edison Asset Securitization Corp............ 5.52 8/14/98 5,655,376
12,435,000 Edison Asset Securitization Corp............ 5.52 8/31/98 12,315,952
4,631,000 Finova Capital Corp......................... 5.55 7/29/98 4,611,010
3,500,000 Finova Capital Corp......................... 5.57 7/29/98 3,484,892
5,000,000 Finova Capital Corp......................... 5.50 8/13/98 4,966,854
11,673,000 Finova Capital Corp......................... 5.55 9/14/98 11,536,815
5,850,000 General Electric Capital Corp............... 5.47 2/18/99 5,641,142
3,672,000 Lehman Brothers Holdings, Inc............... 5.52 7/15/98 3,664,075
5,947,000 Lehman Brothers Holdings, Inc............... 5.54 9/23/98 5,869,293
10,000,000 Lehman Brothers Holdings, Inc............... 5.54 12/22/98 9,731,267
5,000,000 Lexington Parker Capital Co. LLC............ 5.50 7/24/98 4,982,271
11,000,000 Lexington Parker Capital Co. LLC............ 5.52 8/21/98 10,912,733
9,000,000 Lexington Parker Capital Co. LLC............ 5.53 9/04/98 8,909,000
2,000,000 Morgan Stanley, Dean Witter & Co............ 5.648 12/24/98 2,000,000
3,800,000 Morgan Stanley, Dean Witter & Co............ 5.616 1/22/99 3,800,000
1,500,000 Morgan Stanley, Dean Witter & Co............ 5.616 2/08/99 1,500,000
</TABLE>
37
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
AMOUNT ISSUE RATE* DATE (NOTE 1a)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMMERCIAL $ 4,000,000 New Center Asset Trust...................... 6.45% 7/01/98 $ 4,000,000
PAPER 4,430,000 Park Avenue Receivables Corp................ 5.58 7/23/98 4,414,894
(CONCLUDED) 90,000 PepsiCo, Inc................................ 6.25 7/01/98 90,000
4,597,000 Republic Industries Funding Corp. Inc....... 5.52 7/02/98 4,596,295
12,000,000 Salomon, Smith Barney Holdings, Inc......... 5.48 7/16/98 11,972,250
12,838,000 Salomon, Smith Barney Holdings, Inc......... 5.51 8/14/98 12,750,916
13,020,000 Windmill Funding Corp....................... 5.55 7/28/98 12,965,804
2,000,000 Windmill Funding Corp....................... 5.535 9/01/98 1,980,711
- -----------------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (COST-$251,307,557) 251,289,087
- -----------------------------------------------------------------------------------------------------------------------
CORPORATE 2,140,000 Associates Corp. of N.A..................... 6.25 3/15/99 2,146,206
NOTES-13.9% 650,000 Associates Corp. of N.A..................... 6.75 6/28/99 655,135
5,000,000 CIT Group Holdings, Inc. (The).............. 6.50 7/13/98 5,003,934
1,000,000 CIT Group Holdings, Inc. (The).............. 5.58 8/17/98 999,888
2,100,000 CIT Group Holdings, Inc. (The).............. 5.64 1/12/99 2,099,454
2,000,000 CIT Group Holdings, Inc. (The).............. 5.55 5/24/99 1,998,776
4,000,000 CIT Group Holdings, Inc., (The)............. 5.54 6/28/99 3,996,844
358,636 Chase Manhattan Auto Trust 1998-A, Class 5.549 3/12/99 358,493
A-1++......................................
3,100,000 Chase Manhattan Corp.+...................... 5.598 3/25/99 3,099,777
1,230,448 Ford Credit Auto Owner-Trust 1998-A++....... 5.545 2/16/99 1,228,135
2,400,000 General Electric Capital Corp............... 5.57 6/03/99 2,398,913
1,300,000 General Motors Acceptance Corp.............. 7.375 5/26/99 1,317,290
6,400,000 General Motors Acceptance Corp.............. 6.55 6/04/99 6,440,960
2,000,000 General Motors Acceptance Corp.............. 7.375 6/09/99 2,027,800
1,000,000 General Motors Acceptance Corp.............. 7.25 6/22/99 1,014,320
2,000,000 General Motors Acceptance Corp.+............ 5.701 2/27/01 1,997,860
10,000,000 Goldman Sachs Group, L.P.................... 5.679 3/26/99 10,002,200
1,200,000 Goldman Sachs Group, L.P.................... 5.656 7/13/99 1,200,000
6,000,000 IBM Credit Corp.+........................... 5.868 8/13/98 6,005,618
3,000,000 IBM Credit Corp.+........................... 5.635 11/23/98 2,999,482
3,795,000 IBM Credit Corp............................. 6.625 4/19/99 3,818,150
3,813,902 LABS Trust, Series 1996-4, Senior 5.656 12/28/98 3,813,902
Notes+++...................................
2,571,410 LABS Trust, Series 1997-6, Senior 5.656 10/21/98 2,571,410
Notes+++...................................
1,000,000 Morgan Stanley, Dean Witter & Co............ 5.544 1/15/99 1,000,000
241,367 Newcourt Receivables Asset Trust 1997-1++... 5.815 12/21/98 241,483
4,000,000 Norwest Corporation......................... 6.00 10/13/98 4,002,000
568,420 Premier Auto Trust, Series 1998-1++......... 5.545 11/06/98 568,005
755,454 Premier Auto Trust, Series 1998-2, A-1++.... 5.608 12/06/98 755,031
2,272,252 Premier Auto Trust, Series 1998-3++......... 5.62 2/08/99 2,272,252
- -----------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE NOTES (COST-$76,033,936) 76,033,318
- -----------------------------------------------------------------------------------------------------------------------
FUNDING 9,000,000 Jackson National Life Insurance Co.+........ 5.672 5/03/99 9,000,000
AGREEMENTS-2.6% 5,000,000 Travelers Insurance Company+................ 5.682 1/21/99 5,000,000
- -----------------------------------------------------------------------------------------------------------------------
TOTAL FUNDING AGREEMENTS (COST-$14,000,000) 14,000,000
- -----------------------------------------------------------------------------------------------------------------------
MASTER 10,000,000 Goldman Sachs Group, L.P.+.................. 5.652 2/22/99 10,000,000
NOTES-1.8%
- -----------------------------------------------------------------------------------------------------------------------
TOTAL MASTER NOTES (COST-$10,000,000) 10,000,000
- -----------------------------------------------------------------------------------------------------------------------
US GOVERNMENT, 260,000 Federal National Mortgage Association....... 5.50 7/21/98 259,218
AGENCY & 289,000 Federal National Mortgage Association....... 5.49 9/11/98 285,850
INSTRUMENTALITY 209,000 Federal National Mortgage Association....... 5.50 9/21/98 206,405
OBLIGATIONS-
DISCOUNT-0.1%
- -----------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT, AGENCY & INSTRUMENTALITY
OBLIGATIONS-DISCOUNT (COST-$751,421) 751,473
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
38
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of June 30, 1998 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
AMOUNT ISSUE RATE* DATE (NOTE 1a)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
US GOVERNMENT, $ 5,000,000 Federal Home Loan Bank+..................... 5.592% 10/20/98 $ 4,999,557
AGENCY & 2,000,000 Federal Home Loan Bank...................... 5.99 8/11/99 1,999,800
INSTRUMENTALITY 2,000,000 Federal Home Loan Bank...................... 5.855 1/20/00 1,998,600
OBLIGATIONS-NON- 2,000,000 Federal Home Loan Bank...................... 5.75 1/28/00 1,997,000
DISCOUNT-15.2% 1,250,000 Federal Home Loan Bank...................... 5.865 3/17/00 1,248,875
2,500,000 Federal Home Loan Bank...................... 5.705 3/23/00 2,496,500
1,700,000 Federal Home Loan Bank...................... 5.875 5/18/00 1,700,510
4,000,000 Federal Home Loan Mortgage Corp............. 5.685 8/21/98 4,003,724
1,000,000 Federal Home Loan Mortgage Corp............. 6.10 9/10/99 1,000,100
1,000,000 Federal Home Loan Mortgage Corp............. 5.875 5/19/00 1,000,300
4,700,000 Federal National Mortgage Association+...... 5.596 10/20/98 4,699,377
9,000,000 Federal National Mortgage Association+...... 5.521 1/21/99 8,997,485
2,800,000 Federal National Mortgage Association....... 5.37 2/26/99 2,795,548
20,000,000 Federal National Mortgage Association+...... 5.521 3/03/99 19,994,295
5,000,000 Federal National Mortgage Association+...... 5.601 4/09/99 4,998,068
600,000 Federal National Mortgage Association....... 5.88 8/10/99 599,820
3,700,000 Federal National Mortgage Association+...... 5.631 10/27/99 3,697,696
3,000,000 Student Loan Marketing Association+......... 5.557 10/06/98 2,999,498
3,000,000 Student Loan Marketing Association+......... 5.611 11/25/98 2,999,650
2,000,000 Student Loan Marketing Association.......... 5.80 12/18/98 2,001,500
900,000 Student Loan Marketing Association.......... 5.81 1/27/00 899,100
5,150,000 Student Loan Marketing Association+......... 5.576 2/04/00 5,148,026
1,000,000 US Treasury Notes........................... 5.375 1/31/00 998,125
- -----------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT, AGENCY & INSTRUMENTALITY
OBLIGATIONS-NON-DISCOUNT (COST-$83,266,589) 83,273,154
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS 547,383,353
(COST-$547,431,478)-99.6%..................
OTHER ASSETS LESS LIABILITIES-0.4%.......... 1,955,392
-------------
NET ASSETS-100.0%........................... $ 549,338,745
-------------
-------------
- -----------------------------------------------------------------------------------------------------------------------
</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, 1998.
+ Variable Rate Notes.
++ Subject to principal paydowns.
See Notes to Financial Statements.
39
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS & WARRANTS COST (NOTE 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 240,000 GenCorp, Inc................... $ 7,004,945 $ 6,060,000 0.4%
67,200 +Orbital Sciences Corp......... 1,725,761 2,511,600 0.2
-------------- -------------- -----
8,730,706 8,571,600 0.6
- ------------------------------------------------------------------------------------------------------------------
AIRLINES 176,000 +US Airways Group, Inc......... 6,600,769 13,948,000 1.0
- ------------------------------------------------------------------------------------------------------------------
AUTOMOBILE PARTS 258,000 Federal-Mogul Corp............. 10,520,873 17,415,000 1.2
- ------------------------------------------------------------------------------------------------------------------
AUTOMOBILE RENTAL 316,900 +Avis Rent-A-Car, Inc.......... 6,897,547 7,843,275 0.5
219,600 Hertz Corp. (Class A).......... 8,022,717 9,731,025 0.7
-------------- -------------- -----
14,920,264 17,574,300 1.2
- ------------------------------------------------------------------------------------------------------------------
BANKING 165,000 Bank of New York Co., Inc...... 3,539,931 10,013,438 0.7
57,000 Bank of New York Co., Inc.
(Warrants) (c)................ 521,250 10,260,000 0.7
142,000 BankAmerica Corp............... 7,639,803 12,274,125 0.9
276,300 First Union Corporation........ 13,590,574 16,094,475 1.1
-------------- -------------- -----
25,291,558 48,642,038 3.4
- ------------------------------------------------------------------------------------------------------------------
BROADCASTING-MEDIA 252,600 +Chancellor Media Corp......... 8,266,403 12,535,275 0.9
- ------------------------------------------------------------------------------------------------------------------
CHEMICALS 292,000 Great Lakes Chemical Corp...... 12,271,930 11,515,750 0.8
- ------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES 304,200 +Gartner Group, Inc. (Class
A)............................ 10,321,701 10,627,988 0.7
- ------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 136,500 +Cisco Systems, Inc............ 8,086,764 12,566,531 0.9
- ------------------------------------------------------------------------------------------------------------------
COMPUTERS 403,000 COMPAQ Computer Corporation.... 13,174,310 11,435,125 0.8
80,000 International Business Machines
Corp.......................... 8,317,429 9,185,000 0.6
-------------- -------------- -----
21,491,739 20,620,125 1.4
- ------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS 491,700 Dial Corporation (The)......... 9,548,561 12,753,469 0.9
- ------------------------------------------------------------------------------------------------------------------
CONTAINERS 310,300 +Owens-Illinois, Inc........... 8,990,677 13,885,925 1.0
- ------------------------------------------------------------------------------------------------------------------
COSMETICS 107,200 Gillette Company (The)......... 6,128,331 6,076,900 0.4
- ------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 135,000 General Electric Co............ 9,815,374 12,285,000 0.9
- ------------------------------------------------------------------------------------------------------------------
ELECTRONIC/INSTRUMENTS 113,600 Intel Corporation.............. 9,320,137 8,413,500 0.6
144,000 Texas Instruments Inc.......... 9,355,138 8,397,000 0.6
-------------- -------------- -----
18,675,275 16,810,500 1.2
- ------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 289,300 +Premier Parks Inc............. 16,298,434 19,274,613 1.4
- ------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 303,200 +Heller Financial, Inc......... 8,436,631 9,096,000 0.6
- ------------------------------------------------------------------------------------------------------------------
FOODS 198,000 +Keebler Foods Co.............. 5,593,582 5,445,000 0.4
- ------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 175,700 Black & Decker Corporation..... 5,890,960 10,717,700 0.8
- ------------------------------------------------------------------------------------------------------------------
HEALTHCARE- 264,000 Columbia/HCA Healthcare Corp... 8,389,247 7,689,000 0.5
PRODUCTS/SERVICES
- ------------------------------------------------------------------------------------------------------------------
INSURANCE 230,700 Allmerica Financial Corp....... 14,158,667 14,995,500 1.1
275,000 Equitable Companies Inc.
(The)......................... 14,416,772 20,607,813 1.5
217,500 Providian Financial Corp....... 13,880,184 17,087,344 1.2
310,000 Travelers Group, Inc........... 12,520,244 18,793,750 1.3
123,800 UNUM Corporation............... 3,925,464 6,870,900 0.5
-------------- -------------- -----
58,901,331 78,355,307 5.6
- ------------------------------------------------------------------------------------------------------------------
MACHINERY 300,100 Ingersoll-Rand Co.............. 9,013,935 13,223,156 0.9
- ------------------------------------------------------------------------------------------------------------------
MANUFACTURING 195,000 Tyco International Ltd......... 10,085,418 12,285,000 0.9
- ------------------------------------------------------------------------------------------------------------------
MEDICAL 133,000 Beckman Coulter Inc............ 8,025,080 7,747,250 0.5
- ------------------------------------------------------------------------------------------------------------------
MEDICAL SERVICES 508,513 +HEALTHSOUTH Corporation....... 13,786,004 13,570,941 1.0
- ------------------------------------------------------------------------------------------------------------------
NATURAL GAS 396,000 El Paso Natural Gas Co......... 10,265,714 15,147,000 1.1
210,800 Enron Corp..................... 9,176,073 11,396,375 0.8
-------------- -------------- -----
19,441,787 26,543,375 1.9
- ------------------------------------------------------------------------------------------------------------------
OIL SERVICES 100,000 Schlumberger Ltd............... 5,831,252 6,831,250 0.5
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
40
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS & WARRANTS COST (NOTE 1a) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PETROLEUM 298,000 Unocal Corp.................... $ 10,663,313 $ 10,653,500 0.8%
- ------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 132,000 Bristol-Myers Squibb Co........ 12,540,404 15,171,750 1.1
258,000 Warner-Lambert Company......... 12,303,160 17,898,750 1.3
-------------- -------------- -----
24,843,564 33,070,500 2.4
- ------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING 349,000 +World Color Press, Inc........ 10,488,611 12,215,000 0.9
- ------------------------------------------------------------------------------------------------------------------
RADIO & TELEVISION 540,100 +Capstar Broadcasting Corp.
(Class A)..................... 10,261,900 13,570,013 1.0
- ------------------------------------------------------------------------------------------------------------------
RAILROADS 111,000 Burlington Northern Santa Fe,
Inc........................... 9,335,621 10,898,812 0.8
- ------------------------------------------------------------------------------------------------------------------
REAL ESTATE 145,000 Starwood Lodging Trust......... 3,875,614 7,005,312 0.5
INVESTMENT TRUSTS
- ------------------------------------------------------------------------------------------------------------------
RETAIL 532,700 Rite Aid Corporation........... 8,938,064 20,009,544 1.4
350,000 +Safeway, Inc.................. 10,187,272 14,240,625 1.0
278,400 Sears, Roebuck & Co............ 13,214,426 16,999,800 1.2
316,000 Wal-Mart Stores, Inc........... 13,027,582 19,197,000 1.4
-------------- -------------- -----
45,367,344 70,446,969 5.0
- ------------------------------------------------------------------------------------------------------------------
RETAIL SPECIALTY 273,600 Lowe's Companies, Inc.......... 9,858,019 11,097,900 0.8
- ------------------------------------------------------------------------------------------------------------------
SOFTWARE 289,800 +BMC Software, Inc............. 5,686,093 15,051,487 1.1
180,500 Computer Associates
International, Inc............ 4,936,682 10,029,031 0.7
-------------- -------------- -----
10,622,775 25,080,518 1.8
- ------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 213,000 +SmarTalk TeleServices, Inc.... 5,870,118 3,008,625 0.2
337,766 +Tele-Communications, Inc.
(Class A)..................... 6,082,667 12,961,770 0.9
642,468 +Tele-Communications TCI
Ventures Group................ 5,483,350 12,849,360 0.9
366,000 +WorldCom Inc.................. 9,832,321 17,682,375 1.2
-------------- -------------- -----
27,268,456 46,502,130 3.2
- ------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 420,400 Carnival Corp. (Class A)....... 6,113,393 16,658,350 1.2
96,900 Royal Caribbean Cruises Ltd.... 4,363,950 7,703,550 0.5
-------------- -------------- -----
10,477,343 24,361,900 1.7
- ------------------------------------------------------------------------------------------------------------------
WASTE MANAGEMENT 354,200 +USA Waste Services, Inc....... 14,781,584 17,488,625 1.2
- ------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS & WARRANTS 537,198,730 728,998,172 51.6
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT US CORPORATE BONDS
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES US$3,000,000 General Electric Capital Corp.,
8.75% due 5/21/2007........... 3,373,650 3,555,000 0.3
- ------------------------------------------------------------------------------------------------------------------
TOTAL US CORPORATE BONDS 3,373,650 3,555,000 0.3
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES
COUNTRIES HELD FOREIGN STOCKS+++++
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
ARGENTINA 172,400 Yacimientos Petroliferos
Fiscales S.A. (ADR) (a)(23)... 4,827,983 5,182,775 0.4
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ARGENTINA 4,827,983 5,182,775 0.4
- ------------------------------------------------------------------------------------------------------------------
CANADA 75,600 +Imax Corporation (11)......... 1,596,416 1,701,000 0.1
80,100 Magna International Inc. (Class
A) (2)........................ 4,419,966 5,496,862 0.4
28,900 Seagram Company Ltd.
(The)(4)...................... 1,241,122 1,183,094 0.1
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 7,257,504 8,380,956 0.6
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
41
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRIES HELD FOREIGN STOCKS+++++ COST (NOTE 1a) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FINLAND 156,000 +Amer Group Ltd. (8)........... $ 2,882,144 $ 3,045,263 0.2%
101,000 Finnlines OY (7)............... 2,019,754 6,264,937 0.5
108,000 Orion-Yhtymae OY (Class B)
(24).......................... 3,057,643 3,329,867 0.2
55,000 Sampro Insurance Co.
(Class A) (14)................ 2,543,141 2,608,870 0.2
201,850 +Sponda Oyj (26)............... 1,395,162 1,417,770 0.1
220,000 UPM-Kymmene OY (22)............ 4,873,103 6,060,606 0.4
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 16,770,947 22,727,313 1.6
- ------------------------------------------------------------------------------------------------------------------
FRANCE 64,800 AXA-UAP S.A. (14).............. 7,412,810 7,291,139 0.5
163,300 +Alstom S.A. (17).............. 5,568,672 5,377,132 0.4
51,600 Elf Aquitaine S.A. (21)........ 6,149,421 7,257,384 0.5
83,600 +ST Microelectronics N.V. (NY
Registered Shares) (29)....... 4,757,412 5,841,550 0.4
124,000 Scor S.A. (27)................. 5,681,394 7,868,619 0.6
163,700 Thomson CSF (9)................ 5,611,907 6,229,999 0.4
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 35,181,616 39,865,823 2.8
- ------------------------------------------------------------------------------------------------------------------
GERMANY 61,000 Bayerische Vereinsbank AG (3).. 3,759,274 5,170,064 0.4
69,300 Daimler-Benz AG (2)............ 6,910,156 6,814,065 0.5
14,000 Henkel KGaA (6)................ 622,324 1,161,755 0.1
59,000 Henkel KGaA (Preferred) (6).... 2,514,746 5,833,980 0.4
89,000 Mannesmann AG (17)............. 3,661,317 9,145,524 0.6
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 17,467,817 28,125,388 2.0
- ------------------------------------------------------------------------------------------------------------------
INDONESIA 245,700 PT Indonesian Satellite Corp.
(ADR) (a)(30)................. 6,500,999 2,733,412 0.2
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 6,500,999 2,733,412 0.2
- ------------------------------------------------------------------------------------------------------------------
IRELAND 65,000 Bank of Ireland (3)............ 1,354,913 1,331,797 0.1
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN IRELAND 1,354,913 1,331,797 0.1
- ------------------------------------------------------------------------------------------------------------------
ITALY 450,000 Arnoldo Mondadori Editore
S.p.A. (25)................... 3,797,870 5,317,952 0.4
713,100 Danieli & Co. Officine
Meccaniche S.p.A. (17)........ 3,252,890 3,310,678 0.2
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 7,050,760 8,628,630 0.6
- ------------------------------------------------------------------------------------------------------------------
JAPAN 14,900 Amway Japan Ltd. (18).......... 329,065 156,989 0.0
445,000 Bank of Tokyo-Mitsubishi, Ltd.
(The) (3)..................... 6,131,636 4,717,507 0.3
109,000 Ito-Yokado Co., Ltd. (28)...... 5,931,154 5,136,537 0.4
842,000 Makino Milling Machine Co.,
Ltd. (17)..................... 5,911,297 5,936,595 0.4
366,000 Matsushita Electric Industrial
Co., Ltd. (9)................. 5,759,030 5,890,019 0.4
89,000 Matsushita Electric Works, Ltd.
(5)........................... 908,252 719,348 0.0
50,000 Rohm Co., Ltd. (9)............. 3,806,743 5,141,806 0.4
565,000 Sanwa Bank, Ltd. (3)........... 4,924,593 5,060,006 0.4
70,000 Sony Corporation (9)........... 5,486,280 6,036,660 0.4
513,000 Tokio Marine and Fire Insurance
Co., Ltd. (14)................ 5,296,198 5,279,195 0.4
64,000 Tokyo Electron Limited (9)..... 2,375,832 1,962,907 0.1
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 46,860,080 46,037,569 3.2
- ------------------------------------------------------------------------------------------------------------------
MEXICO 416,100 Grupo Carso, S.A. de C.V. (ADR)
(a)(20)....................... 4,479,399 3,357,927 0.3
174,000 Panamerican Beverages, Inc.
(Class A) (US Registered
Shares) (4)................... 5,452,852 5,470,125 0.4
125,750 Telefonos de Mexico, S.A. de
C.V. (Telmex) (ADR) (a)(30)... 6,132,088 6,043,859 0.4
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 16,064,339 14,871,911 1.1
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
42
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRIES HELD FOREIGN STOCKS+++++ COST (NOTE 1a) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NETHERLANDS 120,700 Royal Dutch Petroleum Co. (NY
Registered Shares) (21)....... $ 6,589,717 $ 6,615,869 0.5%
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
NETHERLANDS 6,589,717 6,615,869 0.5
- ------------------------------------------------------------------------------------------------------------------
NORWAY 191,900 Color Line ASA (7)............. 755,411 600,979 0.0
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 755,411 600,979 0.0
- ------------------------------------------------------------------------------------------------------------------
SINGAPORE 466,000 Overseas Chinese Banking Corp.
Ltd. (3)...................... 2,217,847 1,586,911 0.1
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SINGAPORE 2,217,847 1,586,911 0.1
- ------------------------------------------------------------------------------------------------------------------
SOUTH KOREA 158,900 +Hyundai Engineering &
Construction Co., Ltd.
(GDR) (b)(10)++............... 2,039,265 50,053 0.0
3,102 +Hyundai Engineering &
Construction Co., Ltd. (New
Shares) (GDR) (b)(10)++....... 39,823 977 0.0
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN
SOUTH KOREA 2,079,088 51,030 0.0
- ------------------------------------------------------------------------------------------------------------------
SPAIN 167,000 +Dinamia Capital Privado.
Sociedad de Capital Riesgo,
S.A. (32)..................... 3,090,997 2,891,161 0.2
89,400 Metrovacesa, S.A. (26)......... 2,789,966 2,634,050 0.2
63,798 Metrovacesa, S.A. (Rights)
(d)(26)....................... 0 89,610 0.0
106,800 Repsol, S.A. (ADR) (a)(23)..... 4,085,925 5,874,000 0.4
201,600 Uralita, S.A. (5).............. 2,825,478 2,877,742 0.2
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 12,792,366 14,366,563 1.0
- ------------------------------------------------------------------------------------------------------------------
SWEDEN 111,700 Autoliv AB (2)................. 3,600,448 3,571,823 0.2
204,200 Bure Investment AB (15)........ 2,090,958 3,252,041 0.2
291,200 Castellum AB (26).............. 2,747,504 3,432,541 0.2
42,000 Custos AB (Class A) (8)........ 1,081,750 1,069,158 0.1
42,000 Custos AB (Class B) (8)........ 1,107,064 1,058,624 0.1
79,200 +Fastighets AB Tornet (26)..... 1,303,852 1,271,252 0.1
147,900 Haldex AB (2).................. 2,611,671 2,670,713 0.2
642,000 Nordbanken Holding AB (3)...... 3,611,672 4,709,637 0.3
217,000 Perstorp AB (Class B) (6)...... 4,069,215 4,054,549 0.3
3,518 Schindler Holding AG (17)...... 6,062,298 5,361,248 0.4
171,500 Sparbanken Sverige AB (Class A)
(3)........................... 3,154,660 5,161,452 0.4
168,000 Spectra-Physics AB (Class A)
(16).......................... 4,169,959 2,686,062 0.2
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 35,611,051 38,299,100 2.7
- ------------------------------------------------------------------------------------------------------------------
SWITZERLAND 21,920 +UBS AG (12)................... 7,425,630 8,156,010 0.6
4,900 Valora Holding AG (18)......... 1,324,473 1,293,047 0.1
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN
SWITZERLAND 8,750,103 9,449,057 0.7
- ------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 726,000 British Aerospace PLC (1)...... 5,571,772 5,560,009 0.4
349,100 Devro PLC (19)................. 2,557,767 2,924,016 0.2
647,753 Diageo PLC (4)................. 6,305,609 7,673,509 0.5
393,800 Imperial Chemical Industries
PLC (6)....................... 6,150,301 6,320,872 0.4
1,358,800 LucasVarity PLC (2)............ 4,987,249 5,395,836 0.4
2,028,000 +Thomson Travel Group (31)..... 6,124,443 6,327,553 0.5
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
UNITED KINGDOM 31,697,141 34,201,795 2.4
- ------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 259,829,682 283,056,878 20.0
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
43
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
COUNTRIES AMOUNT FOREIGN BONDS+++++ COST (NOTE 1a) NET ASSETS
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
GERMANY DM Bundesrepublik Deutschland (13):
33,000,000 6% due 7/04/2007............. $ 19,300,519 $ 19,903,833 1.4%
6,400,000 5.625% due 1/04/2028......... 3,653,905 3,681,454 0.3
-------------- -------------- -----
22,954,424 23,585,287 1.7
- ----------------------------------------------------------------------------------------------------------------------------
SWEDEN Skr Government of Sweden (13):
26,500,000 5.50% due 4/12/2002.......... 3,366,350 3,434,283 0.2
49,400,000 8% due 8/15/2007............. 7,207,737 7,566,015 0.5
-------------- -------------- -----
10,574,087 11,000,298 0.7
- ----------------------------------------------------------------------------------------------------------------------------
UNITED L UK Treasury Gilt (13):
KINGDOM 2,500,000 8% due 12/07/2000............ 4,224,770 4,270,317 0.3
3,550,000 7.25% due 12/07/2007......... 5,875,988 6,508,089 0.5
-------------- -------------- -----
10,100,758 10,778,406 0.8
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN BONDS 43,629,269 45,363,991 3.2
- ----------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY OBLIGATIONS
- ----------------------------------------------------------------------------------------------------------------------------
US US $ 9,000,000 Federal National Mortgage 8,840,688 8,957,790 0.6
GOVERNMENT Association, 5.75% due
AGENCY 2/15/2008+++....................
OBLIGATIONS
- ----------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT 73,360,000 US Treasury Bonds, 6.625% due 77,462,322 82,839,579 5.8
OBLIGATIONS 2/15/2027.......................
US Treasury Notes:
92,000,000 6% due 8/15/1999............. 92,107,187 92,474,720 6.5
20,500,000 6.125% due 9/30/2000......... 20,874,766 20,752,970 1.5
44,900,000 6.50% due 5/31/2002.......... 45,569,516 46,394,272 3.3
9,000,000 6.25% due 2/15/2007.......... 8,876,250 9,424,710 0.7
16,650,000 6.625% due 5/15/2007......... 17,336,008 17,883,099 1.3
-------------- -------------- -----
262,226,049 269,769,350 19.1
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY
OBLIGATIONS 271,066,737 278,727,140 19.7
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHORT-TERM SECURITIES
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL 643,000 General Electric Capital Corp., 643,000 643,000 0.0
PAPER* 6.50% due 7/01/1998.............
65,626,000 General Motors Acceptance Corp.,
6.50% due 7/01/1998............. 65,626,000 65,626,000 4.7
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 66,269,000 66,269,000 4.7
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS................ $1,181,367,068 1,405,970,181 99.5
--------------
--------------
UNREALIZED APPRECIATION ON
FORWARD FOREIGN EXCHANGE
CONTRACTS++++.................... 988,329 0.0
OTHER ASSETS LESS LIABILITIES.... 6,707,807 0.5
-------------- -----
NET ASSETS....................... $1,413,666,317 100.0%
-------------- -----
-------------- -----
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
44
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1998 (Concluded)
- --------------------------------------------------------------------------------
* Commercial Paper is traded on a discount basis; the interest rates shown
are the discount rates paid at the time of purchase by the Portfolio.
(a) American Depositary Receipts (ADR).
(b) Global Depositary Receipts (GDR).
(c) Warrants entitle the Portfolio to purchase a predetermined number of shares
of common stock and are non-income producing. The purchase price and number
of shares are subject to adjustment under certain conditions until the
expiration date.
(d) The rights may be exercised until 7/24/1998.
+ Non-income producing security.
++ The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
+++ Subject to principal paydowns.
++++ Forward foreign exchange contracts as of June 30, 1998 were as follows:
<TABLE>
<CAPTION>
- ---------------------------------------------------
UNREALIZED
APPRECIATION
FOREIGN EXPIRATION (DEPRECIATION)
CURRENCY SOLD DATE (NOTE 1f)
- ---------------------------------------------------
<S> <C> <C> <C>
C$ 11,000,000 July 1998 $ (2,905)
Chf 22,200,000 July 1998 405,510
DM 102,600,000 July 1998 403,379
Fim 116,150,000 September 1998 96,892
Frf 205,400,000 July 1998 159,477
L 26,800,000 July 1998 (108,089)
Lit 14,295,000,000 August 1998 38,732
Pta 1,640,000,000 August 1998 35,249
Skr 325,000,000 September 1998 (341,191)
Y 5,480,000,000 September 1998 301,275
- ---------------------------------------------------
TOTAL UNREALIZED APPRECIATION ON
FORWARD FOREIGN
EXCHANGE CONTRACTS -- NET (US$
COMMITMENT-$279,670,955) $ 988,329
-------------
-------------
- --------------------------------------------------
</TABLE>
+++++ Corresponding industry groups for foreign stocks and bonds:
<TABLE>
<S> <C> <C>
(1) Aerospace & Defense (12) Financial Services (23) Petroleum
(2) Auto-Parts (13) Government (Bonds) (24) Pharmaceuticals
(3) Banking (14) Insurance (25) Publishing
(4) Beverages (15) Investment Management (26) Real Estate
(5) Building Products (16) Laser Components (27) Reinsurance
(6) Chemicals (17) Machinery & Equipment (28) Retail
(7) Cruise Lines (18) Merchandising (29) Semiconductors
(8) Diversified (19) Foods (30) Telecommunications
(9) Electronics (20) Multi-Industry (31) Travel & Lodging
(10) Engineering & Construction (21) Oil-Integrated (32) Venture Capital
(11) Entertainment (22) Paper & Forest Products
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD STOCKS COST (NOTE 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
ALUMINUM 1,784 Alumax, Inc........................... $ 67,899 $ 82,733 0.6%
2,100 Aluminum Co. of America............... 115,568 138,469 0.9
3,600 Pechiney, S.A......................... 143,626 145,048 1.0
----------- ----------- -----
327,093 366,250 2.5
- ------------------------------------------------------------------------------------------------------------------
CHEMICALS 3,600 Air Products & Chemicals, Inc......... 102,951 144,000 1.0
3,100 BASF AG............................... 77,701 147,255 1.0
1,000 Dow Chemical Co....................... 68,909 96,688 0.7
4,000 duPont (E.I.) de Nemours & Co......... 129,005 298,500 2.0
----------- ----------- -----
378,566 686,443 4.7
- ------------------------------------------------------------------------------------------------------------------
DIVERSIFIED RESOURCES 10,000 Asahi Glass Co., Ltd.................. 120,000 54,124 0.4
COMPANIES 3,300 Ashland Inc........................... 139,803 170,363 1.2
44,500 North Ltd............................. 166,919 91,525 0.6
----------- ----------- -----
426,722 316,012 2.2
- ------------------------------------------------------------------------------------------------------------------
GOLD 93,100 Acacia Resources Ltd.................. 142,651 99,202 0.7
9,700 Ashanti Goldfields Co. Ltd. (GDR)**... 237,979 74,205 0.5
12,500 Cambior, Inc.......................... 170,092 73,569 0.5
71,300 Delta Gold N.L........................ 126,915 87,457 0.6
9,900 +Getchell Gold Corp................... 394,741 148,500 1.0
102,000 Great Central Mines N.L............... 282,869 97,311 0.7
44,900 +Miramar Mining Corp.................. 225,975 57,740 0.4
9,013 Newmont Mining Corp................... 363,410 212,932 1.4
108,000 Normandy Mining Ltd................... 122,071 88,316 0.6
27,000 Placer Dome, Inc...................... 618,688 317,250 2.2
13,100 Prime Resource Group, Inc............. 128,069 91,808 0.6
128,000 +Resolute Ltd......................... 267,743 77,710 0.5
27,428 Resolute Ltd. (Rights) (b)............ 838 306 0.0
14,200 +Sutton Resources Ltd................. 127,816 80,676 0.5
----------- ----------- -----
3,209,857 1,506,982 10.2
- ------------------------------------------------------------------------------------------------------------------
METALS & MINING 218,698 +Centaur Mining & Exploration Ltd..... 280,055 75,871 0.5
21,300 Industrias Penoles, S.A. de C.V....... 91,801 67,570 0.5
105,700 M.I.M. Holdings Ltd................... 161,049 51,075 0.3
22,163 Minsur S.A............................ 55,784 43,752 0.3
23,000 Mitsubishi Materials Corp............. 113,395 46,973 0.3
9,300 Noranda, Inc.......................... 167,291 160,727 1.1
9,500 Outokumpu OYJ......................... 175,414 121,322 0.8
5,400 P.T. Tambang Timah (GDR)** (a)........ 66,782 24,030 0.2
1,900 Phelps Dodge Corp..................... 138,934 108,656 0.7
12,100 Rio Tinto PLC......................... 162,943 136,275 0.9
205,000 Savage Resources Ltd.................. 158,284 73,659 0.5
13,000 Sumitomo Metal Mining Co., Ltd........ 108,254 52,818 0.4
7,400 Trelleborg 'B' Fria................... 93,589 97,436 0.7
80,600 WMC Ltd............................... 467,844 242,668 1.6
----------- ----------- -----
2,241,419 1,302,832 8.8
- ------------------------------------------------------------------------------------------------------------------
OIL & GAS PRODUCERS 6,900 Alberta Energy Company Ltd............ 150,589 161,972 1.1
5,000 Apache Corp........................... 133,094 157,500 1.1
10,700 +Baytex Energy Ltd. (Class A)......... 139,514 62,611 0.4
2,440 Burlington Resources, Inc............. 63,423 105,073 0.7
5,600 +Chieftain International, Inc......... 126,099 132,650 0.9
2,100 Devon Energy Corp..................... 73,471 73,369 0.5
17,600 +EEX Corp............................. 170,215 165,000 1.1
7,900 Enron Oil & Gas Company............... 174,506 159,975 1.1
5,600 Enterprise Oil PLC.................... 37,668 50,923 0.3
22,600 Gulf Canada Resources Ltd.
(Ordinary)........................... 177,122 111,588 0.8
9,700 +Northrock Resources Ltd.............. 78,984 100,980 0.7
10,700 +Oryx Energy Co....................... 180,922 236,738 1.6
9,600 +Renaissance Energy Ltd............... 173,432 144,029 1.0
7,700 Snyder Oil Corporation................ 162,959 153,519 1.0
2,900 Unocal Corporation.................... 102,853 103,675 0.7
5,200 Vastar Resources, Inc................. 219,437 227,175 1.5
----------- ----------- -----
2,164,288 2,146,777 14.5
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
46
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of June 30, 1998 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD STOCKS COST (NOTE 1a) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OIL-INTEGRATED 2,900 Amerada Hess Corp..................... $ 159,603 $ 157,506 1.1%
5,200 Amoco Corp............................ 143,530 216,450 1.5
7,400 British Petroleum Co. PLC (ADR)*...... 282,347 653,050 4.4
2,300 Chevron Corp.......................... 176,714 191,044 1.3
5,000 Elf Aquitaine S.A. (ADR)*............. 183,332 355,000 2.4
5,300 Ente Nazional Indrocarburi (ENI) S.p.A
(ADR)*............................... 254,169 344,500 2.3
2,300 Mobil Corp............................ 181,551 176,238 1.2
1,200 OMV AG................................ 128,441 160,788 1.1
14,600 Petro-Canada.......................... 159,357 236,338 1.6
4,000 Total, S.A. (Class B)................. 250,320 520,228 3.5
5,100 YPF Sociedad Anonima S.A. (ADR)*...... 124,901 153,319 1.0
----------- ----------- -----
2,044,265 3,164,461 21.4
- ------------------------------------------------------------------------------------------------------------------
OIL SERVICES 3,700 Coflexip Stena Offshore, Inc.
(ADR)*............................... 74,182 225,700 1.5
3,800 +EVI Weatherford Inc.................. 173,309 141,075 1.0
6,600 McDermott International, Inc.......... 245,275 227,288 1.5
5,300 +Noble Drilling Corporation........... 167,986 127,531 0.9
1,400 Schlumberger Ltd...................... 46,099 95,637 0.7
5,500 +Stolt Comex Seaway, S.A.............. 136,371 105,875 0.7
2,750 +Stolt Comex Seaway, S.A. (ADR)*...... 33,867 47,437 0.3
8,500 +TransCoastal Marine Services, Inc.... 155,045 51,266 0.4
4,100 Transocean Offshore, Inc.............. 128,384 182,450 1.2
----------- ----------- -----
1,160,518 1,204,259 8.2
- ------------------------------------------------------------------------------------------------------------------
PAPER & PULP 5,400 Aracruz Celulose S.A. (ADR)*.......... 86,629 61,762 0.4
2,700 Champion International Corp........... 140,847 132,806 0.9
1,800 Georgia-Pacific Corp.................. 101,736 106,087 0.7
6,800 Georgia-Pacific Timber Group Corp..... 170,415 156,825 1.1
3,200 International Paper Co................ 107,512 137,600 0.9
16,400 Metsa Serla OY 'B'.................... 141,828 158,576 1.1
3,900 Mo Och Domsjo AB Co................... 89,671 111,505 0.8
27,000 Slocan Forest Products Ltd............ 272,565 124,923 0.8
7,500 +Stone Container Corp................. 92,300 117,187 0.8
3,500 Weyerhaeuser Co....................... 149,422 161,656 1.1
2,700 Willamette Industries, Inc............ 78,906 86,400 0.6
----------- ----------- -----
1,431,831 1,355,327 9.2
- ------------------------------------------------------------------------------------------------------------------
PLANTATIONS 73,000 Golden Hope Plantations BHD........... 131,880 66,964 0.5
70,000 Kuala Lumpur Kepong BHD............... 111,705 113,217 0.8
----------- ----------- -----
243,585 180,181 1.3
- ------------------------------------------------------------------------------------------------------------------
REFINING 4,800 Sun Co., Inc.......................... 133,901 186,300 1.3
3,245 Ultramar Diamond Shamrock Corp........ 149,467 102,420 0.7
----------- ----------- -----
283,368 288,720 2.0
- ------------------------------------------------------------------------------------------------------------------
STEEL 66,000 British Steel PLC..................... 174,814 145,084 1.0
2,500 Koninklijke Nederlandsche Hoogovens en
Staalfabrienken N.V.................. 95,875 108,374 0.7
42,000 Nippon Steel Corp..................... 142,367 73,955 0.5
40,000 Sumitomo Metal Industries, Ltd........ 123,092 64,372 0.4
----------- ----------- -----
536,148 391,785 2.6
- ------------------------------------------------------------------------------------------------------------------
WOOD 4,800 Louisiana-Pacific Corp................ 113,088 87,600 0.6
13,900 Riverside Forest Products Ltd......... 183,006 94,577 0.6
----------- ----------- -----
296,094 182,177 1.2
- ------------------------------------------------------------------------------------------------------------------
TOTAL STOCKS 14,743,754 13,092,206 88.8
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
47
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of June 30, 1998 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
AMOUNT SHORT-TERM SECURITIES COST (NOTE 1a) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
US GOVERNMENT AGENCY $1,718,000 Federal Home Loan Mortgage Corp.,
OBLIGATIONS*** 5.85% due 7/01/1998................ $ 1,717,721 $ 1,717,721 11.6%
- -----------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 1,717,721 1,717,721 11.6
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS................... $16,461,475 14,809,927 100.4
-----------
-----------
LIABILITIES IN EXCESS OF OTHER
ASSETS............................. (58,330) (0.4)
----------- -----
NET ASSETS.......................... $14,751,597 100.0%
----------- -----
----------- -----
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
* American Depositary Receipts (ADR).
** Global Depositary Receipts (GDR).
*** US Government Agency Obligations are 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) The rights may be exercised until 7/06/1998.
See Notes to Financial Statements.
48
<PAGE>
(This page has been left blank intentionally.)
49
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Assets and Liabilities as of June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- --------------------------------------------------------------------------------
ASSETS:
Investments, at value* (Note
1a)......................... $ 120,135,705 $ 375,284,251 $ 258,375,469
Cash.......................... 228 11,825 874
Foreign cash (Note 1g)........ -- 497,864 844,206
Interest receivable........... 609,169 -- 1,437,749
Receivable for securities
sold........................ -- 957,995 916,747
Dividends receivable.......... 33,353 349,400 398,768
Receivable for capital shares
sold........................ 181,442 3,452 4,991
Receivable for forward foreign
exchange contracts (Note
1f)......................... -- 204,390 96,693
Receivable for paydowns....... -- -- --
Unrealized appreciation on
forward foreign exchange
contracts (Note 1f)......... -- 309,165 265,412
Prepaid expenses and other
assets (Note 1e)............ 5,054 13,072 12,243
------------- ------------- -------------
Total assets................ 120,964,951 377,631,414 262,353,152
------------- ------------- -------------
LIABILITIES:
Payable for securities
purchased................... -- 2,205,619 3,019,043
Payable to investment adviser
(Note 2).................... 33,488 103,679 73,054
Payable for capital shares
redeemed.................... 48,113 51,941 119,776
Payable for forward foreign
exchange contracts (Note
1f)......................... -- 42,405 5,815
Accrued expenses and other
liabilities................. 23,736 88,591 109,416
------------- ------------- -------------
Total liabilities........... 105,337 2,492,235 3,327,104
------------- ------------- -------------
NET ASSETS.................... $ 120,859,614 $ 375,139,179 $ 259,026,048
------------- ------------- -------------
------------- ------------- -------------
NET ASSETS CONSIST OF:
Common Stock, $0.10 par
value+...................... $ 763,567 $ 1,398,258 $ 1,598,859
Paid-in capital in excess of
par......................... 96,652,384 269,204,239 222,353,167
Undistributed investment
income -- net............... 1,505,989 2,080,753 3,675,585
Undistributed (accumulated)
realized capital gains
(losses) on investments and
foreign currency
transactions -- net (Note
5).......................... 5,449,612 26,156,774 (3,194,300)
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions --
net......................... 16,488,062 76,299,155 34,592,737
------------- ------------- -------------
NET ASSETS.................... $ 120,859,614 $ 375,139,179 $ 259,026,048
------------- ------------- -------------
------------- ------------- -------------
Capital shares outstanding.... 7,635,669 13,982,579 15,988,589
------------- ------------- -------------
------------- ------------- -------------
Net asset value, offering and
redemption price per
share....................... $ 15.83 $ 26.83 $ 16.20
------------- ------------- -------------
------------- ------------- -------------
*Identified cost.............. $ 103,647,643 $ 299,287,606 $ 224,030,748
------------- ------------- -------------
------------- ------------- -------------
+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 MONEY
STOCK YIELD BOND BOND RESERVE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at value* (Note
1a)......................... $ 421,504,590 $ 134,201,272 $ 217,647,773 $ 121,594,137 $ 547,383,353
Cash.......................... 885 937 447,147 975 --
Foreign cash (Note 1g)........ -- -- -- -- --
Interest receivable........... -- 2,505,352 3,242,825 1,895,505 4,093,807
Receivable for securities
sold........................ 1,227,823 1,091,500 -- 2,093,200 --
Dividends receivable.......... 218,358 69,597 -- -- --
Receivable for capital shares
sold........................ 117,720 17,676 132,555 -- 661,459
Receivable for forward foreign
exchange contracts (Note
1f)......................... -- -- -- -- --
Receivable for paydowns....... -- 44 -- -- --
Unrealized appreciation on
forward foreign exchange
contracts (Note 1f)......... -- -- -- -- --
Prepaid expenses and other
assets (Note 1e)............ 12,174 24,576 10,553 5,848 10,266
------------- ------------- ------------- ------------- --------------
Total assets................ 423,081,550 137,910,954 221,480,853 125,589,665 552,148,885
------------- ------------- ------------- ------------- --------------
LIABILITIES:
Payable for securities
purchased................... 9,237,564 1,000,000 -- -- 2,364,779
Payable to investment adviser
(Note 2).................... 113,451 39,406 62,811 35,832 147,637
Payable for capital shares
redeemed.................... 2,468 129,737 1,442 9,832 173,167
Payable for forward foreign
exchange contracts (Note
1f)......................... -- -- -- -- --
Accrued expenses and other
liabilities................. 53,283 29,491 38,419 22,896 124,557
------------- ------------- ------------- ------------- --------------
Total liabilities........... 9,406,766 1,198,634 102,672 68,560 2,810,140
------------- ------------- ------------- ------------- --------------
NET ASSETS.................... $ 413,674,784 $ 136,712,320 $ 221,378,181 $ 125,521,105 $ 549,338,745
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
NET ASSETS CONSIST OF:
Common Stock, $0.10 par
value+...................... $ 1,258,882 $ 1,513,742 $ 1,997,794 $ 1,062,563 $ 54,938,687
Paid-in capital in excess of
par......................... 279,556,697 140,197,203 222,875,924 121,712,711 494,448,183
Undistributed investment
income -- net............... 1,221,281 1,177,561 1,253,491 710,984 --
Undistributed (accumulated)
realized capital gains
(losses) on investments and
foreign currency
transactions -- net (Note
5).......................... 42,131,253 (1,958,234) (7,316,112) (998,867) --
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions --
net......................... 89,506,671 (4,217,952) 2,567,084 3,033,714 (48,125)
------------- ------------- ------------- ------------- --------------
NET ASSETS.................... $ 413,674,784 $ 136,712,320 $ 221,378,181 $ 125,521,105 $ 549,338,745
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
Capital shares outstanding.... 12,588,817 15,137,423 19,977,938 10,625,629 549,386,870
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
Net asset value, offering and
redemption price per
share....................... $ 32.86 $ 9.03 $ 11.08 $ 11.81 $ 1.00
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
*Identified cost.............. $ 331,997,919 $ 138,419,223 $ 215,080,689 $ 118,560,423 $ 547,431,478
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
+Authorized shares............ 100,000,000 100,000,000 100,000,000 100,000,000 2,000,000,000
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
<CAPTION>
MULTIPLE NATURAL
STRATEGY RESOURCES
PORTFOLIO PORTFOLIO
<S> <C> <C>
- ------------------------------
ASSETS:
Investments, at value* (Note
1a)......................... $ 1,405,970,181 $ 14,809,927
Cash.......................... 783 196
Foreign cash (Note 1g)........ 1,996,959 4,340
Interest receivable........... 6,973,956 --
Receivable for securities
sold........................ 9,249,146 --
Dividends receivable.......... 1,153,528 44,025
Receivable for capital shares
sold........................ 832 20,077
Receivable for forward foreign
exchange contracts (Note
1f)......................... 254,035 --
Receivable for paydowns....... -- --
Unrealized appreciation on
forward foreign exchange
contracts (Note 1f)......... 988,329 --
Prepaid expenses and other
assets (Note 1e)............ 62,935 794
--------------- ------------
Total assets................ 1,426,650,684 14,879,359
--------------- ------------
LIABILITIES:
Payable for securities
purchased................... 12,102,993 109,216
Payable to investment adviser
(Note 2).................... 394,520 2,683
Payable for capital shares
redeemed.................... 185,026 225
Payable for forward foreign
exchange contracts (Note
1f)......................... 23,070 --
Accrued expenses and other
liabilities................. 278,758 15,638
--------------- ------------
Total liabilities........... 12,984,367 127,762
--------------- ------------
NET ASSETS.................... $ 1,413,666,317 $ 14,751,597
--------------- ------------
--------------- ------------
NET ASSETS CONSIST OF:
Common Stock, $0.10 par
value+...................... $ 7,747,142 $ 190,503
Paid-in capital in excess of
par......................... 1,109,310,690 18,614,749
Undistributed investment
income -- net............... 17,068,385 119,357
Undistributed (accumulated)
realized capital gains
(losses) on investments and
foreign currency
transactions -- net (Note
5).......................... 53,918,910 (2,521,383)
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions --
net......................... 225,621,190 (1,651,629)
--------------- ------------
NET ASSETS.................... $ 1,413,666,317 $ 14,751,597
--------------- ------------
--------------- ------------
Capital shares outstanding.... 77,471,423 1,905,029
--------------- ------------
--------------- ------------
Net asset value, offering and
redemption price per
share....................... $ 18.25 $ 7.74
--------------- ------------
--------------- ------------
*Identified cost.............. $ 1,181,367,068 $ 16,461,475
--------------- ------------
--------------- ------------
+Authorized shares............ 300,000,000 100,000,000
--------------- ------------
--------------- ------------
</TABLE>
51
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Operations for the Six Months Ended June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- -----------------------------------------------------------------------------
INVESTMENT INCOME (NOTES 1c &
1d):
Interest and discount
earned*..................... $ 1,450,931 $ 248,582 $ 2,269,631
Dividends*.................... 270,555 2,516,371 2,480,254
Other income.................. -- -- --
------------ ------------ ------------
Total income.................. 1,721,486 2,764,953 4,749,885
------------ ------------ ------------
EXPENSES:
Investment advisory fees (Note
2).......................... 183,711 574,305 412,008
Custodian fees................ 12,127 36,472 81,712
Accounting services (Note
2).......................... 9,751 31,952 24,514
Professional fees............. 4,578 11,087 9,297
Printing and shareholder
reports..................... -- 7,877 4,143
Registration fees (Note 1e)... 911 6,089 2,429
Transfer agent fees (Note
2).......................... 2,668 2,774 3,044
Pricing services.............. 389 998 1,833
Directors' fees and
expenses.................... 428 1,366 1,040
Other......................... 933 5,987 3,320
------------ ------------ ------------
Total expenses before
reimbursement............... 215,496 678,907 543,340
Reimbursement of expenses
(Note 2).................... -- -- --
------------ ------------ ------------
Expenses after
reimbursement............... 215,496 678,907 543,340
------------ ------------ ------------
Investment income -- net...... 1,505,990 2,086,046 4,206,545
------------ ------------ ------------
REALIZED & UNREALIZED GAIN
(LOSS) ON INVESTMENTS &
FOREIGN CURRENCY
TRANSACTIONS -- NET (NOTES 1d,
1f, 1g & 3):
Realized gain (loss) on
investments -- net.......... 5,541,854 26,083,826 (221,238)
Realized gain (loss) on
foreign currency
transactions -- net......... -- 252,609 222,613
Change in unrealized
appreciation/depreciation on
investments -- net.......... 4,925,350 20,180,536 21,713,544
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- 300,089 312,043
------------ ------------ ------------
Total realized and unrealized
gain (loss) on investments
and foreign currency
transactions -- net......... 10,467,204 46,817,060 22,026,962
------------ ------------ ------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $ 11,973,194 $ 48,903,106 $ 26,233,507
------------ ------------ ------------
------------ ------------ ------------
*Net of foreign withholding
tax......................... $ 245 $ 147,331 $ 205,290
------------ ------------ ------------
------------ ------------ ------------
</TABLE>
See Notes to Financial Statements.
52
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GROWTH HIGH GOVERNMENT CORPORATE MONEY MULTIPLE
STOCK YIELD BOND BOND RESERVE STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME (NOTES 1c &
1d):
Interest and discount
earned*..................... $ 369,612 $ 6,641,401 $ 7,489,823 $4,244,241 $ 15,207,043 $ 12,402,503
Dividends*.................... 1,525,518 346,975 -- -- -- 7,576,465
Other income.................. -- 57,932 29,240 8,450 -- 132,657
------------ ------------ ------------ ----------- ------------ -------------
Total income.................. 1,895,130 7,046,308 7,519,063 4,252,691 15,207,043 20,111,625
------------ ------------ ------------ ----------- ------------ -------------
EXPENSES:
Investment advisory fees (Note
2).......................... 604,695 235,123 356,797 201,673 863,968 2,207,620
Custodian fees................ 16,213 11,065 13,902 11,186 12,267 159,959
Accounting services (Note
2).......................... 25,114 13,197 19,942 11,108 43,171 103,115
Professional fees............. 8,683 5,443 7,200 4,913 16,872 36,195
Printing and shareholder
reports..................... 722 55 129 51 5,918 33,072
Registration fees (Note 1e)... 10,295 -- -- -- -- 12,488
Transfer agent fees (Note
2).......................... 2,337 2,815 2,230 1,974 2,570 2,664
Pricing services.............. 249 4,566 1,004 2,934 -- 4,513
Directors' fees and
expenses.................... 1,137 547 867 470 1,959 5,028
Other......................... 2,467 1,231 1,746 1,120 2,976 8,833
------------ ------------ ------------ ----------- ------------ -------------
Total expenses before
reimbursement............... 671,912 274,042 403,817 235,429 949,701 2,573,487
Reimbursement of expenses
(Note 2).................... -- -- -- -- -- --
------------ ------------ ------------ ----------- ------------ -------------
Expenses after
reimbursement............... 671,912 274,042 403,817 235,429 949,701 2,573,487
------------ ------------ ------------ ----------- ------------ -------------
Investment income -- net...... 1,223,218 6,772,266 7,115,246 4,017,262 14,257,342 17,538,138
------------ ------------ ------------ ----------- ------------ -------------
REALIZED & UNREALIZED GAIN
(LOSS) ON INVESTMENTS &
FOREIGN CURRENCY
TRANSACTIONS -- NET (NOTES 1d,
1f, 1g & 3):
Realized gain (loss) on
investments -- net.......... 42,131,891 1,641,234 1,713,600 641,166 11,613 53,065,852
Realized gain (loss) on
foreign currency
transactions -- net......... -- -- -- -- -- 1,756,789
Change in unrealized
appreciation/depreciation on
investments -- net.......... 35,995,620 (4,092,450) (1,685,866) 441,625 (57,657) 73,743,863
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- -- -- -- -- 1,088,994
------------ ------------ ------------ ----------- ------------ -------------
Total realized and unrealized
gain (loss) on investments
and foreign currency
transactions -- net......... 78,127,511 (2,451,216) 27,734 1,082,791 (46,044) 129,655,498
------------ ------------ ------------ ----------- ------------ -------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $ 79,350,729 $ 4,321,050 $ 7,142,980 $5,100,053 $ 14,211,298 $ 147,193,636
------------ ------------ ------------ ----------- ------------ -------------
------------ ------------ ------------ ----------- ------------ -------------
*Net of foreign withholding
tax......................... $ 31,290 -- -- -- -- $ 498,690
------------ ------------ ------------ ----------- ------------ -------------
------------ ------------ ------------ ----------- ------------ -------------
<CAPTION>
NATURAL
RESOURCES
PORTFOLIO
<S> <C>
- ------------------------------
INVESTMENT INCOME (NOTES 1c &
1d):
Interest and discount
earned*..................... $ 45,230
Dividends*.................... 168,718
Other income.................. --
----------
Total income.................. 213,948
----------
EXPENSES:
Investment advisory fees (Note
2).......................... 26,837
Custodian fees................ 11,466
Accounting services (Note
2).......................... 2,562
Professional fees............. 2,621
Printing and shareholder
reports..................... 676
Registration fees (Note 1e)... 5
Transfer agent fees (Note
2).......................... 2,652
Pricing services.............. 3,389
Directors' fees and
expenses.................... 117
Other......................... 422
----------
Total expenses before
reimbursement............... 50,747
Reimbursement of expenses
(Note 2).................... (9,444)
----------
Expenses after
reimbursement............... 41,303
----------
Investment income -- net...... 172,645
----------
REALIZED & UNREALIZED GAIN
(LOSS) ON INVESTMENTS &
FOREIGN CURRENCY
TRANSACTIONS -- NET (NOTES 1d,
1f, 1g & 3):
Realized gain (loss) on
investments -- net.......... (646,237)
Realized gain (loss) on
foreign currency
transactions -- net......... (2,102)
Change in unrealized
appreciation/depreciation on
investments -- net.......... 220,806
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... 269
----------
Total realized and unrealized
gain (loss) on investments
and foreign currency
transactions -- net......... (427,264)
----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $(254,619)
----------
----------
*Net of foreign withholding
tax......................... $ 18,122
----------
----------
</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 FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED MONTHS ENDED YEAR ENDED
INCREASE (DECREASE) IN NET JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
ASSETS: 1998 1997 1998 1997
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 1,505,990 $ 3,524,793 $ 2,086,046 $ 4,262,769
Realized gain on investments
and foreign currency
transactions -- net......... 5,541,854 6,863,677 26,336,435 38,099,176
Change in unrealized
appreciation/depreciation on
investments -- net.......... 4,925,350 5,814,120 20,180,536 21,484,742
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- -- 300,089 337,475
------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations... 11,973,194 16,202,590 48,903,106 64,184,162
------------- ------------- ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS
(NOTE 1h):
Investment income -- net...... (3,524,792) (1,769,755) (6,269,261) (2,802,893)
Realized gain on investments
-- net...................... (6,923,679) (10,156,193) (36,415,502) (14,170,818)
------------- ------------- ------------- -------------
Net decrease in net assets
resulting from dividends and
distributions to
shareholders................ (10,448,471) (11,925,948) (42,684,763) (16,973,711)
------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
(NOTE 4):
Net increase (decrease) in net
assets derived from capital
share transactions.......... 11,010,873 5,194,624 33,118,401 (1,104,085)
------------- ------------- ------------- -------------
NET ASSETS:
Total increase (decrease) in
net assets.................. 12,535,596 9,471,266 39,336,744 46,106,366
Beginning of period........... 108,324,018 98,852,752 335,802,435 289,696,069
------------- ------------- ------------- -------------
End of period*................ $120,859,614 $108,324,018 $375,139,179 $335,802,435
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
*Undistributed investment
income -- net............... $ 1,505,989 $ 3,524,791 $ 2,080,753 $ 6,263,968
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
54
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL STRATEGY PORTFOLIO GROWTH STOCK PORTFOLIO HIGH YIELD PORTFOLIO
------------------------------ ------------------------------ ------------------------------
FOR THE SIX FOR THE FOR THE SIX FOR THE FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED MONTHS ENDED YEAR ENDED MONTHS ENDED YEAR ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1998 1997 1998 1997 1998 1997
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 4,206,545 $ 6,834,423 $ 1,223,218 $ 2,504,929 $ 6,772,266 $ 12,923,272
Realized gain on investments
and foreign currency
transactions -- net......... 1,375 29,453,287 42,131,891 61,578,644 1,641,234 2,071,929
Change in unrealized
appreciation/depreciation on
investments -- net.......... 21,713,544 (9,812,644) 35,995,620 17,653,072 (4,092,450) (1,170,500)
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... 312,043 771,019 -- -- -- --
------------- ------------- ------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations... 26,233,507 27,246,085 79,350,729 81,736,645 4,321,050 13,824,701
------------- ------------- ------------- ------------- ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS
(NOTE 1h):
Investment income -- net...... (9,908,154) (7,598,726) (2,484,031) (1,545,546) (6,749,093) (12,749,959)
Realized gain on investments
-- net...................... (30,525,752) (8,739,339) (61,563,233) (26,338,683) -- --
------------- ------------- ------------- ------------- ------------- -------------
Net decrease in net assets
resulting from dividends and
distributions to
shareholders................ (40,433,906) (16,338,065) (64,047,264) (27,884,229) (6,749,093) (12,749,959)
------------- ------------- ------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
(NOTE 4):
Net increase (decrease) in net
assets derived from capital
share transactions.......... 24,721,797 5,067,046 65,348,290 38,504,908 (4,624,015) 19,046,241
------------- ------------- ------------- ------------- ------------- -------------
NET ASSETS:
Total increase (decrease) in
net assets.................. 10,521,398 15,975,066 80,651,755 92,357,324 (7,052,058) 20,120,983
Beginning of period........... 248,504,650 232,529,584 333,023,029 240,665,705 143,764,378 123,643,395
------------- ------------- ------------- ------------- ------------- -------------
End of period*................ $259,026,048 $248,504,650 $413,674,784 $333,023,029 $136,712,320 $143,764,378
------------- ------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- ------------- -------------
*Undistributed investment
income -- net............... $ 3,675,585 $ 9,377,194 $ 1,221,281 $ 2,482,094 $ 1,177,561 $ 1,154,388
------------- ------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- ------------- -------------
</TABLE>
55
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT LONG TERM CORPORATE
BOND PORTFOLIO BOND PORTFOLIO
---------------------------- ----------------------------
FOR THE SIX FOR THE FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED MONTHS ENDED YEAR ENDED
INCREASE (DECREASE) IN JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
NET ASSETS: 1998 1997 1998 1997
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------
OPERATIONS:
Investment income --
net................... $ 7,115,246 $ 14,481,029 $ 4,017,262 $ 8,163,686
Realized gain (loss) on
investments and
foreign currency
transactions -- net... 1,713,600 1,693,013 641,166 280,864
Change in unrealized
appreciation/depreciation
on investments --
net................... (1,685,866) 1,323,117 441,625 1,666,005
Change in unrealized
appreciation/depreciation
on foreign currency
transactions -- net... -- -- -- --
------------- ------------- ------------- -------------
Net increase (decrease)
in net assets
resulting from
operations............ 7,142,980 17,497,159 5,100,053 10,110,555
------------- ------------- ------------- -------------
DIVIDENDS &
DISTRIBUTIONS TO
SHAREHOLDERS
(NOTE 1h):
Investment income --
net................... (7,146,849) (14,518,659) (4,118,942) (8,076,935)
Realized gain on
investments -- net.... -- -- -- --
------------- ------------- ------------- -------------
Net decrease in net
assets resulting from
dividends and
distributions to
shareholders.......... (7,146,849) (14,518,659) (4,118,942) (8,076,935)
------------- ------------- ------------- -------------
CAPITAL SHARE
TRANSACTIONS (NOTE 4):
Net increase (decrease)
in net assets derived
from capital share
transactions.......... (829,485) (2,629,974) (206,104) 4,724,500
------------- ------------- ------------- -------------
NET ASSETS:
Total increase
(decrease) in net
assets................ (833,354) 348,526 775,007 6,758,120
Beginning of period..... 222,211,535 221,863,009 124,746,098 117,987,978
------------- ------------- ------------- -------------
End of period*.......... $221,378,181 $222,211,535 $125,521,105 $124,746,098
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
*Undistributed
investment income --
net................... $ 1,253,491 $ 1,285,094 $ 710,984 $ 812,664
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
56
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NATURAL RESOURCES
MONEY RESERVE PORTFOLIO MULTIPLE STRATEGY PORTFOLIO PORTFOLIO
---------------------------- ------------------------------ --------------------------
FOR THE SIX FOR THE FOR THE SIX FOR THE FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED MONTHS ENDED YEAR ENDED MONTHS ENDED YEAR ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1998 1997 1998 1997 1998 1997
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income --
net................... $ 14,257,342 $ 28,827,719 $ 17,538,138 $ 34,097,217 $ 172,645 $ 346,206
Realized gain (loss) on
investments and
foreign currency
transactions -- net... 11,613 25,403 54,822,641 144,713,797 (648,339) 1,502,159
Change in unrealized
appreciation/depreciation
on investments --
net................... (57,657) 39,664 73,743,863 44,433,197 220,806 (3,952,460)
Change in unrealized
appreciation/depreciation
on foreign currency
transactions -- net... -- -- 1,088,994 1,635,298 269 (428)
------------- ------------- -------------- -------------- ------------ ------------
Net increase (decrease)
in net assets
resulting from
operations............ 14,211,298 28,892,786 147,193,636 224,879,509 (254,619) (2,104,523)
------------- ------------- -------------- -------------- ------------ ------------
DIVIDENDS &
DISTRIBUTIONS TO
SHAREHOLDERS
(NOTE 1h):
Investment income --
net................... (14,257,342) (28,827,719) (40,282,464) (20,339,088) (392,712) (188,225)
Realized gain on
investments -- net.... (11,613) (25,403) (140,628,156) (64,589,169) -- --
------------- ------------- -------------- -------------- ------------ ------------
Net decrease in net
assets resulting from
dividends and
distributions to
shareholders.......... (14,268,955) (28,853,122) (180,910,620) (84,928,257) (392,712) (188,225)
------------- ------------- -------------- -------------- ------------ ------------
CAPITAL SHARE
TRANSACTIONS (NOTE 4):
Net increase (decrease)
in net assets derived
from capital share
transactions.......... 23,679,041 (32,011,967) 117,852,297 (21,605,127) (1,953,011) (5,384,753)
------------- ------------- -------------- -------------- ------------ ------------
NET ASSETS:
Total increase
(decrease) in net
assets................ 23,621,384 (31,972,303) 84,135,313 118,346,125 (2,600,342) (7,677,501)
Beginning of period..... 525,717,361 557,689,664 1,329,531,004 1,211,184,879 17,351,939 25,029,440
------------- ------------- -------------- -------------- ------------ ------------
End of period*.......... $549,338,745 $525,717,361 $1,413,666,317 $1,329,531,004 $14,751,597 $17,351,939
------------- ------------- -------------- -------------- ------------ ------------
------------- ------------- -------------- -------------- ------------ ------------
*Undistributed
investment income --
net................... -- -- $ 17,068,385 $ 39,812,711 $ 119,357 $ 339,424
------------- ------------- -------------- -------------- ------------ ------------
------------- ------------- -------------- -------------- ------------ ------------
</TABLE>
57
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED PORTFOLIO
--------------------------------------------------------------
FOR THE
SIX
MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED -------------------------------------------------
INCREASE (DECREASE) IN NET JUNE 30,
ASSET VALUE: 1998 1997 1996 1995 1994
<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...................... $ 15.78 $ 15.36 $ 14.86 $ 13.27 $ 14.62
---------- ---------- ---------- ---------- ----------
Investment income -- net...... .20 .51 .54 .60 .61
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... 1.39 1.76 .83 2.07 (1.21)
---------- ---------- ---------- ---------- ----------
Total from investment
operations.................. 1.59 2.27 1.37 2.67 (.60)
---------- ---------- ---------- ---------- ----------
LESS DIVIDENDS &
DISTRIBUTIONS:
Investment income -- net...... (.51) (.27) (.57) (.62) (.53)
Realized gain on investments
-- net...................... (1.03) (1.58) (.30) (.46) (.22)
---------- ---------- ---------- ---------- ----------
Total dividends and
distributions............... (1.54) (1.85) (.87) (1.08) (.75)
---------- ---------- ---------- ---------- ----------
Net asset value, end of
period...................... $ 15.83 $ 15.78 $ 15.36 $ 14.86 $ 13.27
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... 11.00%++ 16.93% 9.76% 21.59% (4.28%)
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of
reimbursement............... .38%* .39% .39% .38% .40%
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
Expenses...................... .38%* .39% .39% .38% .40%
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
Investment income -- net...... 2.66%* 3.40% 3.63% 4.47% 4.28%
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $120,860 $ 108,324 $ 98,853 $ 97,181 $ 75,893
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
Portfolio turnover............ 54.94% 143.20% 234.79% 32.92% 46.94%
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
</TABLE>
- ---------------
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
See Notes to Financial Statements.
58
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL STOCK PORTFOLIO GLOBAL STRATEGY PORTFOLIO
------------------------------------------------- --------------------------------------------------
FOR THE FOR THE
SIX SIX
MONTHS FOR THE YEAR ENDED DECEMBER 31, MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED -------------------------------------- ENDED --------------------------------------
JUNE 30, JUNE 30,
1998+ 1997+ 1996 1995 1994 1998+ 1997+ 1996+ 1995 1994
<S> <C> <C> <C> <C> <C> <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...................... $ 26.79 $ 23.25 $ 23.88 $ 21.64 $ 25.73 $ 17.44 $ 16.80 $ 15.25 $ 14.54 $ 15.42
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
Investment income -- net...... .15 .33 .46 .41 .29 .26 .47 .47 .52 .47
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... 3.30 4.57 2.86 3.70 (1.50) 1.34 1.35 1.56 .94 (.71)
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
Total from investment
operations.................. 3.45 4.90 3.32 4.11 (1.21) 1.60 1.82 2.03 1.46 (.24)
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
LESS DIVIDENDS &
DISTRIBUTIONS:
Investment income -- net...... (.50) (.22) (.47) (.34) (.28) (.70) (.55) (.39) (.55) (.41)
Realized gain on investments
-- net...................... (2.91) (1.14) (3.48) (1.53) (2.60) (2.14) (.63) (.09) (.20) (.23)
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
Total dividends and
distributions............... (3.41) (1.36) (3.95) (1.87) (2.88) (2.84) (1.18) (.48) (.75) (.64)
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
Net asset value, end of
period...................... $ 26.83 $ 26.79 $ 23.25 $ 23.88 $ 21.64 $ 16.20 $ 17.44 $ 16.80 $ 15.25 $ 14.54
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... 14.70%++ 22.47% 16.54% 20.73% (5.12%) 10.86%++ 11.72% 13.78% 10.44% (1.62%)
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of
reimbursement............... .38%* .41% .40% .41% .39% .43%* .45% .42% .44% .48%
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
Expenses...................... .38%* .41% .40% .41% .39% .43%* .45% .42% .44% .48%
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
Investment income -- net...... 1.18%* 1.38% 2.11% 1.98% 1.32% 3.32%* 2.69% 3.02% 3.59% 3.22%
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $375,139 $335,802 $289,696 $252,957 $206,647 $259,026 $248,505 $232,530 $212,683 $223,493
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
Portfolio turnover............ 55.13% 90.19% 74.30% 130.54% 71.19% 49.78% 108.04% 160.89% 26.81% 27.31%
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
59
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH STOCK PORTFOLIO
---------------------------------------------------
FOR THE
SIX
MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED --------------------------------------
INCREASE (DECREASE) IN NET JUNE 30,
ASSET VALUE: 1998 1997 1996 1995 1994
<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...................... $ 32.82 $ 27.79 $ 24.06 $ 19.20 $ 24.65
---------- -------- -------- -------- --------
Investment income -- net...... .10 .24 .32 .15 .31
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... 6.25 8.01 4.24 6.13 (1.81)
---------- -------- -------- -------- --------
Total from investment
operations.................. 6.35 8.25 4.56 6.28 (1.50)
---------- -------- -------- -------- --------
LESS DIVIDENDS &
DISTRIBUTIONS:
Investment income -- net...... (.24) (.18) (.24) (.23) (.30)
Realized gain on investments
-- net...................... (6.07) (3.04) (.59) (1.19) (3.65)
---------- -------- -------- -------- --------
Total dividends and
distributions............... (6.31) (3.22) (.83) (1.42) (3.95)
---------- -------- -------- -------- --------
Net asset value, end of
period...................... $ 32.86 $ 32.82 $ 27.79 $ 24.06 $ 19.20
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... 23.72%++ 33.75% 19.57% 35.35% (6.93%)
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .36%* .37% .38% .38% .40%
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
Investment income -- net...... .66%* .86% 1.25% .82% 1.53%
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $ 413,675 $333,023 $240,666 $184,152 $101,702
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
Portfolio turnover............ 43.65% 84.90% 78.04% 87.66% 102.96%
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
</TABLE>
- ---------------
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
See Notes to Financial Statements.
60
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD PORTFOLIO
---------------------------------------------------
FOR THE
SIX
MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED --------------------------------------
JUNE 30,
1998+ 1997+ 1996+ 1995 1994
<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 $ 9.15 $ 8.99 $ 8.53 $ 9.68
---------- -------- -------- -------- --------
Investment income -- net...... .43 .90 .89 .93 1.00
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... (.16) .04 .16 .46 (1.17)
---------- -------- -------- -------- --------
Total from investment
operations.................. .27 .94 1.05 1.39 (.17)
---------- -------- -------- -------- --------
LESS DIVIDENDS &
DISTRIBUTIONS:
Investment income -- net...... (.43) (.90) (.89) (.93) (.98)
Realized gain on investments
-- net...................... -- -- -- -- --
---------- -------- -------- -------- --------
Total dividends and
distributions............... (.43) (.90) (.89) (.93) (.98)
---------- -------- -------- -------- --------
Net asset value, end of
period...................... $ 9.03 $ 9.19 $ 9.15 $ 8.99 $ 8.53
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... 2.92%++ 10.74% 12.32% 17.12% (1.88%)
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .38%* .39% .39% .38% .41%
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
Investment income -- net...... 9.47%* 9.67% 9.77% 10.25% 10.88%
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $ 136,712 $143,764 $123,643 $107,378 $ 82,421
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
Portfolio turnover............ 20.37% 60.94% 50.48% 63.39% 63.43%
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
61
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
---------------------------------------------------
FOR THE
SIX
MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED --------------------------------------
INCREASE (DECREASE) IN NET JUNE 30,
ASSET VALUE: 1998+ 1997+ 1996+ 1995+ 1994+
<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...................... $ 11.08 $ 10.93 $ 11.41 $ 10.32 $ 12.02
---------- -------- -------- -------- --------
Investment income -- net...... .36 .73 .76 .78 .75
Realized and unrealized gain
(loss) on
investments and foreign
currency
transactions -- net......... --++ .15 (.49) 1.10 (1.30)
---------- -------- -------- -------- --------
Total from investment
operations.................. .36 .88 .27 1.88 (.55)
---------- -------- -------- -------- --------
LESS DIVIDENDS &
DISTRIBUTIONS:
Investment income -- net...... (.36) (.73) (.75) (.79) (.75)
Realized gain on investments
-- net...................... -- -- -- -- (.39)
In excess of realized gain
on investments -- net....... -- -- -- -- (.01)
---------- -------- -------- -------- --------
Total dividends and
distributions............... (.36) (.73) (.75) (.79) (1.15)
---------- -------- -------- -------- --------
Net asset value, end of
period...................... $ 11.08 $ 11.08 $ 10.93 $ 11.41 $ 10.32
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... 3.29%++ 8.42% 2.61% 18.87% (4.78%)
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .38%* .37% .38% .38% .37%
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
Investment income -- net...... 6.61%* 6.74% 6.85% 7.22% 6.89%
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
Investment income--net, and
realized gain
(loss) on investments --
net......................... -- -- -- -- --
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $ 221,378 $222,212 $221,863 $239,340 $218,611
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
Portfolio turnover............ 41.95% 41.23% 29.35% 57.38% 140.55%
---------- -------- -------- -------- --------
---------- -------- -------- -------- --------
</TABLE>
- ---------------
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Amount is less than $.01 per share.
++ Aggregrate total investment return.
See Notes to Financial Statements.
62
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LONG TERM CORPORATE BOND PORTFOLIO MONEY RESERVE PORTFOLIO
------------------------------------------------- --------------------------------------------------
FOR THE FOR THE
SIX SIX
MONTHS FOR THE YEAR ENDED DECEMBER 31, MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED -------------------------------------- ENDED --------------------------------------
JUNE 30, JUNE 30,
1998+ 1997+ 1996+ 1995+ 1994+ 1998 1997 1996 1995 1994
<S> <C> <C> <C> <C> <C> <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...................... $ 11.72 $ 11.53 $ 12.02 $ 10.72 $ 12.59 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
Investment income -- net...... .38 .79 .80 .83 .81 .03 .05 .05 .06 .04
Realized and unrealized gain
(loss) on
investments and foreign
currency
transactions -- net......... .10 .18 (.50) 1.30 (1.42) -- -- -- -- --
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
Total from investment
operations.................. .48 .97 .30 2.13 (.61) .03 .05 .05 .06 .04
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
LESS DIVIDENDS &
DISTRIBUTIONS:
Investment income -- net...... (.39) (.78) (.79) (.83) (.82) (.03) (.05) (.05) (.06) (.04)
Realized gain on investments
-- net...................... -- -- -- -- (.44) --++ --++ --++ -- --
In excess of realized gain
on investments -- net....... -- -- -- -- -- -- -- -- -- --
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
Total dividends and
distributions............... (.39) (.78) (.79) (.83) (1.26) (.03) (.05) (.05) (.06) (.04)
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
Net asset value, end of
period...................... $ 11.81 $ 11.72 $ 11.53 $ 12.02 $ 10.72 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... 4.15%++ 8.80% 2.77% 20.66% (5.13%) 5.36%* 5.43% 5.33% 5.81% 4.04%
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .38%* .38% .39% .40% .39% .36%* .36% .36% .35% .36%
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
Investment income -- net...... 6.47%* 6.87% 6.90% 7.32% 7.16% -- -- -- -- --
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
Investment income--net, and
realized gain
(loss) on investments --
net......................... -- -- -- -- -- 5.36%* 5.30% 5.16% 5.67% 4.00%
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $125,521 $124,746 $117,988 $125,033 $111,878 $549,339 $525,717 $557,690 $568,439 $583,992
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
Portfolio turnover............ 62.89% 107.02% 92.45% 110.49% 134.53% -- -- -- -- --
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
--------- -------- -------- -------- -------- --------- -------- -------- -------- --------
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Amount is less than $.01 per share.
++ Aggregrate total investment return.
63
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTIPLE STRATEGY PORTFOLIO
-------------------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED ----------------------------------------------
INCREASE (DECREASE) IN NET JUNE 30,
ASSET VALUE: 1998+ 1997+ 1996+ 1995+ 1994+
<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...................... $ 18.97 $ 17.13 $ 17.24 $ 16.22 $ 19.84
------------ ---------- ---------- ---------- ----------
Investment income -- net...... .23 .47 .53 .56 .50
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... 1.63 2.57 1.63 2.03 (1.39)
------------ ---------- ---------- ---------- ----------
Total from investment
operations.................. 1.86 3.04 2.16 2.59 (.89)
------------ ---------- ---------- ---------- ----------
LESS DIVIDENDS &
DISTRIBUTIONS:
Investment income -- net...... (.57) (.29) (.60) (.48) (.57)
Realized gain on investments
-- net...................... (2.01) (.91) (1.67) (1.09) (2.16)
------------ ---------- ---------- ---------- ----------
Total dividends and
distributions............... (2.58) (1.20) (2.27) (1.57) (2.73)
------------ ---------- ---------- ---------- ----------
Net asset value, end of
period...................... $ 18.25 $ 18.97 $ 17.13 $ 17.24 $ 16.22
------------ ---------- ---------- ---------- ----------
------------ ---------- ---------- ---------- ----------
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... 11.32%++ 19.17% 14.32% 17.55% (5.05%)
------------ ---------- ---------- ---------- ----------
------------ ---------- ---------- ---------- ----------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of
reimbursement............... .38%* .39% .39% .38% .38%
------------ ---------- ---------- ---------- ----------
------------ ---------- ---------- ---------- ----------
Expenses...................... .38%* .39% .39% .38% .38%
------------ ---------- ---------- ---------- ----------
------------ ---------- ---------- ---------- ----------
Investment income -- net...... 2.58%* 2.65% 3.26% 3.44% 2.97%
------------ ---------- ---------- ---------- ----------
------------ ---------- ---------- ---------- ----------
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $ 1,413,666 $1,329,531 $1,211,185 $1,169,357 $1,082,083
------------ ---------- ---------- ---------- ----------
------------ ---------- ---------- ---------- ----------
Portfolio turnover............ 50.02% 108.41% 143.82% 140.83% 68.12%
------------ ---------- ---------- ---------- ----------
------------ ---------- ---------- ---------- ----------
</TABLE>
- ---------------
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
See Notes to Financial Statements.
64
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NATURAL RESOURCES PORTFOLIO
-----------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED --------------------------------------
JUNE 30,
1998+ 1997+ 1996+ 1995+ 1994+
<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...................... $ 8.12 $ 9.19 $ 8.17 $ 7.43 $ 7.53
------------ -------- -------- -------- --------
Investment income -- net...... .08 .14 .16 .17 .17
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... (.28) (1.14) 1.03 .73 (.10)
------------ -------- -------- -------- --------
Total from investment
operations.................. (.20) (1.00) 1.19 .90 .07
------------ -------- -------- -------- --------
LESS DIVIDENDS &
DISTRIBUTIONS:
Investment income -- net...... (.18) (.07) (.17) (.16) (.17)
Realized gain on investments
-- net...................... -- -- -- -- --
------------ -------- -------- -------- --------
Total dividends and
distributions............... (.18) (.07) (.17) (.16) (.17)
------------ -------- -------- -------- --------
Net asset value, end of
period...................... $ 7.74 $ 8.12 $ 9.19 $ 8.17 $ 7.43
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... (2.48%)++ (10.97%) 14.72% 12.22% .88%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of
reimbursement............... .50%* .50% .50% .47% .50%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Expenses...................... .61%* .59% .57% .47% .59%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Investment income -- net...... 2.09%* 1.65% 1.79% 1.99% 2.23%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $ 14,752 $ 17,352 $ 25,029 $ 21,035 $ 21,455
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
Portfolio turnover............ 13.38% 24.10% 31.29% 38.50% 48.16%
------------ -------- -------- -------- --------
------------ -------- -------- -------- --------
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
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 ("Monarch") (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) REPURCHASE AGREEMENTS -- The Fund invests in US Government securities
pursuant to repurchase agreements. Under such agreements, the counterparty
agrees to repurchase the security at a mutually agreed upon time and price. The
Fund takes possession of the underlying securities, marks to market such
securities and, if necessary, receives additional securities daily to ensure
that the contract is fully collateralized.
(c) 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.
(d) 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
67
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
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.
(e) PREPAID REGISTRATION FEES -- Prepaid registration fees are charged to
expense as the related shares are issued.
(f) 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 -- Capital Stock, Global Strategy, Multiple
Strategy and Natural Resources Portfolios are authorized to enter into forward
foreign exchange contracts as a hedge against either specific transactions or
portfolio positions. Such contracts are not entered on the Portfolio's records.
However, the effect on operations is recorded from the date the Portfolio enters
into such contracts. Premium or discount is amortized over the life of the
contracts.
- - OPTIONS -- Certain Portfolios are authorized to write and purchase call and
put options. When a Portfolio writes an option, an amount equal to the premium
received by the Portfolio is reflected as an asset and an equivalent liability.
The amount of the liability is subsequently marked to market to reflect the
current market value of the option written. When a security is purchased or sold
through an exercise of an option, the related premium paid (or received) is
added to (or deducted from) the basis of the security acquired or deducted from
(or added to) the proceeds of the security sold. When an option expires (or the
Portfolio enters into a closing transaction), the Portfolio realizes a gain or
loss on the option to the extent of the premiums received or paid (or gain or
loss to the extent the cost of the closing transaction exceeds the premium paid
or received).
Written and purchased options are non-income producing investments.
- - FINANCIAL FUTURES CONTRACTS -- Multiple Strategy and Natural Resources
Portfolios may purchase or sell financial 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.
(g) 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
68
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
dollars. Realized and unrealized gains or losses from investments include the
effects of foreign exchange rates on investments.
(h) 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 ("MLFD" or
"Distributor"), a division of Princeton Funds Distributor, Inc. ("PFD"), which
is 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 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, 1998, the Natural Resources Portfolio was
reimbursed in the amount of $9,444.
Merrill Lynch, Pierce, Fenner & Smith Inc. ("MLPF&S"), a subsidiary of ML & Co.,
earned commissions on the execution of portfolio security transactions
aggregating $3,465 in the Balanced Portfolio, $34,953 in the Capital Stock
Portfolio, $25,075 in the Global Strategy Portfolio, $7,056 in the Growth Stock
Portfolio, $1,250 in the High Yield Portfolio, $98,029 in the Multiple Strategy
Portfolio, and $522 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, 1998, Merrill Lynch Security Pricing
Service, an affiliate of MLPF&S, was paid by Balanced Portfolio $257; Global
Strategy $59; High Yield Portfolio $2,202; Intermediate Government Portfolio
$1,029; Long Term Corporate Bond Portfolio $2,931; and Multiple Strategy
Portfolio $86 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, PFD, and/or ML & Co.
3. INVESTMENTS:
Purchases and sales of investments, excluding short-term securities, for the six
months ended June 30, 1998 were as follows:
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
CAPITAL GLOBAL GOVERNMENT CORPORATE MULTIPLE NATURAL
BALANCED STOCK STRATEGY GROWTH STOCK HIGH YIELD BOND BOND STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------------
Total Purchases.... $56,381,127 $192,364,013 $131,682,583 $172,063,786 $31,384,239 $92,227,095 $75,815,572 $653,359,962 $2,176,160
----------- ------------ ------------ ------------ ----------- ----------- ----------- ------------ ----------
----------- ------------ ------------ ------------ ----------- ----------- ----------- ------------ ----------
Total Sales........ $60,521,044 $203,096,463 $121,304,632 $159,251,529 $27,077,695 $90,236,555 $76,659,904 $656,871,054 $5,023,669
----------- ------------ ------------ ------------ ----------- ----------- ----------- ------------ ----------
----------- ------------ ------------ ------------ ----------- ----------- ----------- ------------ ----------
</TABLE>
69
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
As of June 30, 1998, unrealized appreciation/depreciation for Federal income tax
<TABLE>
<CAPTION>
purposes were as follows:
CAPITAL GLOBAL GROWTH HIGH
BALANCED STOCK STRATEGY STOCK YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
Appreciated securities............. $ 17,356,895 $ 83,490,281 $ 41,038,675 $ 96,142,479 $ 5,414,913
Depreciated securities............. (868,833) (7,493,636) (6,693,954) (6,635,808) (9,632,865)
------------ ------------ ------------ ------------ ------------
Net unrealized appreciation
(depreciation)................... $ 16,488,062 $ 75,996,645 $ 34,344,721 $ 89,506,671 $ (4,217,952)
------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------
Cost for Federal income tax
purposes......................... $103,647,643 $299,287,606 $224,030,748 $331,997,919 $138,419,223
------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------
Net realized gains (losses) for the six months ended June 30, 1998 and net unrealized gains (losses)
as of June 30, 1998 were as follows:
</TABLE>
<TABLE>
<CAPTION>
GLOBAL STRATEGY
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO PORTFOLIO
----------------------- ------------------------ ----------------------
REALIZED UNREALIZED REALIZED UNREALIZED
REALIZED UNREALIZED GAINS GAINS GAINS GAINS
GAINS GAINS (LOSSES) (LOSSES) (LOSSES) (LOSSES)
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
Long-term securities.......... $5,541,846 $16,488,062 $26,083,826 $75,996,645 $(221,238) $34,344,721
Short-term securities......... 8 -- -- -- -- --
Forward foreign exchange
contracts................... -- -- 265,795 309,165 741,367 265,412
Foreign currency
transactions................ -- -- (13,186) (6,655) (518,754) (17,396)
---------- ----------- ----------- ----------- --------- -----------
Total......................... $5,541,854 $16,488,062 $26,336,435 $76,299,155 $ 1,375 $34,592,737
---------- ----------- ----------- ----------- --------- -----------
---------- ----------- ----------- ----------- --------- -----------
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares were as follows:
<CAPTION>
GROWTH STOCK PORTFOLIO HIGH YIELD PORTFOLIO
------------------------ -----------------------
REALIZED UNREALIZED REALIZED UNREALIZED
GAINS GAINS GAINS LOSSES
<S> <C> <C> <C> <C>
- ------------------------------
Long-term securities.......... $42,131,832 $89,506,671 $1,641,234 $(4,217,952)
Short-term securities......... 59 -- -- --
Forward foreign exchange
contracts................... -- -- -- --
Foreign currency
transactions................ -- -- -- --
----------- ----------- ---------- -----------
Total......................... $42,131,891 $89,506,671 $1,641,234 $(4,217,952)
----------- ----------- ---------- -----------
----------- ----------- ---------- -----------
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares
</TABLE>
<TABLE>
<CAPTION>
GLOBAL STRATEGY
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO PORTFOLIO GROWTH STOCK PORTFOLIO
------------------------ ------------------------ ------------------------ ------------------------
FOR THE SIX MONTHS ENDED DOLLAR DOLLAR DOLLAR DOLLAR
JUNE 30, 1998 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
Shares sold............. 884,800 $ 12,909,453 554,766 $ 13,973,159 611,067 $ 9,598,360 1,044,624 $ 30,998,375
Shares issued to
shareholders in
reinvestment of
dividends and
distributions......... 246,662 3,524,791 1,821,223 42,684,762 2,756,230 40,433,906 2,391,608 64,047,263
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
Total issued............ 1,131,462 16,434,244 2,375,989 56,657,921 3,367,297 50,032,266 3,436,232 95,045,638
Shares redeemed......... (362,274) (5,423,371) (925,942) (23,539,520) (1,625,656) (25,310,469) (993,852) (29,697,348)
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
Net increase
(decrease)............ 769,188 $ 11,010,873 1,450,047 $ 33,118,401 1,741,641 $ 24,721,797 2,442,380 $ 65,348,290
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
GLOBAL STRATEGY
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO PORTFOLIO GROWTH STOCK PORTFOLIO
------------------------ ------------------------ ------------------------ ------------------------
FOR THE YEAR ENDED DOLLAR DOLLAR DOLLAR DOLLAR
DECEMBER 31, 1997 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
Shares sold............. 568,078 $ 8,310,784 1,321,032 $ 33,221,813 1,636,636 $ 28,134,560 2,701,024 $ 78,345,898
Shares issued to
shareholders in
reinvestment of
dividends and
distributions......... 889,333 11,925,948 782,920 16,973,711 1,054,749 16,338,065 1,147,972 27,884,229
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
Total issued............ 1,457,411 20,236,732 2,103,952 50,195,524 2,691,385 44,472,625 3,848,996 106,230,127
Shares redeemed......... (1,028,393) (15,042,108) (2,028,833) (51,299,609) (2,283,300) (39,405,579) (2,362,876) (67,725,219)
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
Net increase
(decrease)............ 429,018 $ 5,194,624 75,119 $ (1,104,085) 408,085 $ 5,067,046 1,486,120 $ 38,504,908
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
</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............. $ 4,098,198 $ 3,817,982 $ 36,884 $ 248,296,078 $ 2,145,400
Depreciated securities............. (1,531,114) (784,268) (85,009) (23,692,965) (3,796,948)
------------ ------------ ------------ -------------- -----------
Net unrealized appreciation
(depreciation)................... $ 2,567,084 $ 3,033,714 $ (48,125) $ 224,603,113 $(1,651,548)
------------ ------------ ------------ -------------- -----------
------------ ------------ ------------ -------------- -----------
Cost for Federal income tax
purposes......................... $215,080,689 $118,560,423 $547,431,478 $1,181,367,068 $16,461,475
------------ ------------ ------------ -------------- -----------
------------ ------------ ------------ -------------- -----------
Net realized gains (losses) for the six months ended June 30, 1998 and net unrealized gains (losses)
as of June 30, 1998 were as follows:
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT LONG TERM CORPORATE MONEY RESERVE MULTIPLE STRATEGY
BOND PORTFOLIO BOND PORTFOLIO PORTFOLIO PORTFOLIO
----------------------- -------------------- ------------------ -------------------------
REALIZED
REALIZED UNREALIZED REALIZED UNREALIZED REALIZED UNREALIZED GAINS UNREALIZED
GAINS GAINS GAINS GAINS GAINS LOSSES (LOSSES) GAINS
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
Long-term securities.......... $1,713,590 $2,567,084 $641,166 $3,033,714 -- -- $53,065,852 $224,603,113
Short-term securities......... 10 -- -- -- $11,613 $(48,125 ) -- --
Forward foreign exchange
contracts................... -- -- -- -- -- -- 1,981,580 988,329
Foreign currency
transactions................ -- -- -- -- -- -- (224,791) 29,748
---------- ----------- -------- ---------- ------- --------- ----------- ------------
Total......................... $1,713,600 $2,567,084 $641,166 $3,033,714 $11,613 $(48,125 ) $54,822,641 $225,621,190
---------- ----------- -------- ---------- ------- --------- ----------- ------------
---------- ----------- -------- ---------- ------- --------- ----------- ------------
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares were as follows:
<CAPTION>
NATURAL RESOURCES PORTFOLIO
---------------------------
REALIZED UNREALIZED
LOSSES LOSSES
<S> <C> <C>
- ------------------------------
Long-term securities.......... $ (646,237) $ (1,651,548)
Short-term securities......... -- --
Forward foreign exchange
contracts................... -- --
Foreign currency
transactions................ (2,102) (81)
---------- ------------
Total......................... $ (648,339) $ (1,651,629)
---------- ------------
---------- ------------
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE
GOVERNMENT BOND LONG TERM CORPORATE BOND
HIGH YIELD PORTFOLIO PORTFOLIO PORTFOLIO
------------------------ ------------------------ ------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
Shares sold............. 2,651,628 $ 24,408,064 719,178 $ 7,967,851 526,625 $ 6,172,399
Shares issued to
shareholders in
reinvestment of
dividends and
distributions......... 735,979 6,749,093 647,521 7,146,844 352,762 4,118,942
---------- ------------ ---------- ------------ ---------- ------------
Total issued............ 3,387,607 31,157,157 1,366,699 15,114,695 879,387 10,291,341
Shares redeemed......... (3,892,751) (35,781,172) (1,439,145) (15,944,180) (897,227) (10,497,445)
---------- ------------ ---------- ------------ ---------- ------------
Net increase
(decrease)............ (505,144) $ (4,624,015) (72,446) $ (829,485) (17,840) $ (206,104)
---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------
<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............. 130,766,255 $ 130,766,255 319,303 $ 5,521,561 359,683 $ 2,904,286
Shares issued to
shareholders in
reinvestment of
dividends and
distributions......... 14,267,796 14,267,796 11,010,993 180,910,620 49,398 392,712
------------- ------------- ------------- ------------- ------------- ------------
Total issued............ 145,034,051 145,034,051 11,330,296 186,432,181 409,081 3,296,998
Shares redeemed......... (121,355,010) (121,355,010) (3,961,417) (68,579,884) (641,886) (5,250,009)
------------- ------------- ------------- ------------- ------------- ------------
Net increase
(decrease)............ 23,679,041 $ 23,679,041 7,368,879 $ 117,852,297 (232,805) $ (1,953,011)
------------- ------------- ------------- ------------- ------------- ------------
------------- ------------- ------------- ------------- ------------- ------------
</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............. 9,413,507 $ 86,287,875 1,009,170 $ 11,017,560 1,068,327 $ 12,304,021
Shares issued to
shareholders in
reinvestment of
dividends and
distributions......... 1,394,196 12,749,959 1,343,712 14,518,659 705,889 8,076,935
---------- ------------ ---------- ------------ ---------- ------------
Total issued............ 10,807,703 99,037,834 2,352,882 25,536,219 1,774,216 20,380,956
Shares redeemed......... (8,676,667) (79,991,593) (2,601,561) (28,166,193) (1,365,149) (15,656,456)
---------- ------------ ---------- ------------ ---------- ------------
Net increase
(decrease)............ 2,131,036 $ 19,046,241 (248,679) $ (2,629,974) 409,067 $ 4,724,500
---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------
<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............. 233,564,379 $ 233,564,379 812,025 $ 14,159,217 808,890 $ 7,579,209
Shares issued to
shareholders in
reinvestment of
dividends and
distributions......... 28,853,463 28,853,463 5,378,611 84,928,257 20,775 188,225
------------ ------------- ------------- ------------- ------------- --------------
Total issued............ 262,417,842 262,417,842 6,190,636 99,087,474 829,665 7,767,434
Shares redeemed......... (294,429,809) (294,429,809) (6,793,644) (120,692,601) (1,415,905) (13,152,187)
------------ ------------- ------------- ------------- ------------- --------------
Net increase
(decrease)............ (32,011,967) $ (32,011,967) (603,008) $ (21,605,127) (586,240) $ (5,384,753)
------------ ------------- ------------- ------------- ------------- --------------
------------ ------------- ------------- ------------- ------------- --------------
</TABLE>
71
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Concluded)
- --------------------------------------------------------------------------------
5. CAPITAL LOSS CARRYFORWARDS:
At December 31, 1997, the Fund had capital loss carryforwards of approximately
$3,599,000 in the High Yield Portfolio, of which $3,019,000 expires in 1998,
$349,000 expires in 1999 and $231,000 expires in 2005; $9,030,000 in the
Intermediate Government Bond Portfolio, of which $6,120,000 expires in 2002,
$1,088,000 expires in 2003, and $1,822,000 expires in 2004; $1,640,000 in the
Long Term Corporate Bond Portfolio, all of which expires in 2002; and $1,638,000
in the Natural Resources Portfolio, of which $1,187,000 expires in 1998,
$155,000 expires in 1999, and $296,000 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 $321,547 in the Natural Resources
Portfolio has been reclassified to paid-in capital in excess of par.
6. COMMITMENTS:
At June 30, 1998, both the Global Strategy Portfolio and Multiple Strategy
Portfolio have entered into foreign exchange contracts, in addition to the
contracts listed on the Schedule of Investments, under which they agreed to
purchase various foreign currencies with values of approximately $1,985,000 and
$4,280,000; the Capital Stock Portfolio, Global Strategy Portfolio and Multiple
Strategy Portfolio have entered into foreign exchange contracts under which they
have agreed to sell various foreign currencies with values of approximately
$385,000, $505,000 and $1,663,000, respectively.
7. LOANED SECURITIES:
At June 30, 1998, the Multiple Strategy Portfolio held US Treasury Notes having
an aggregate value of approximately $4,267,000 as collateral for portfolio
securities loaned having a market value of approximately $1,681,000.
8. SUBSEQUENT EVENTS:
On July 1, 1998, the Board of Directors declared dividends and distributions per
share payable on July 1, 1998 to shareholders of record as of July 1, 1998 as
follows:
<TABLE>
<CAPTION>
ORDINARY
PORTFOLIO INCOME
<S> <C>
- -------------------------------------------------------------
High Yield........................................ $.077791
Intermediate Government Bond...................... .062743
Long Term Corporate Bond.......................... .066912
<CAPTION>
- -------------------------------------------------------------
</TABLE>
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
CHRISTOPHER G. AYOUB-Senior Vice President
LAWRENCE R. FULLER-Senior Vice President
JAY C. HARBECK-Senior Vice President
NORMAN R. HARVEY-Senior Vice President
VINCENT T. LATHBURY III-Senior Vice President
KEVIN J. MCKENNA-Senior Vice President
JOSEPH T. MONAGLE JR.-Senior Vice President
THOMAS R. ROBINSON-Senior Vice President
ROBERT M. SHEARER-Senior Vice President
DONALD C. BURKE-Vice President
JOEL HEYMSFELD-Vice President
ROBERT F. MURRAY-Vice President
JACQUELINE L. ROGERS-Vice President
GERALD M. RICHARD-Treasurer
JENNIFER L. SAWIN-Secretary
PRINCIPAL OFFICE OF THE FUND
Box 9011
Princeton, New Jersey 08453-9011
CUSTODIAN
The Bank of New York
90 Washington Street
New York, New York 10286
TRANSFER AGENT
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, Florida 32246-6484
(800) 637-3863
- --------------------------------------------------------------------------------
WE ARE PLEASED TO ANNOUNCE THAT EFFECTIVE APRIL 1, 1998 ROBERT F. MURRAY BECAME
RESPONSIBLE FOR THE DAY-TO-DAY MANAGEMENT OF HIGH YIELD PORTFOLIO OF MERRILL
LYNCH SERIES FUND, INC. PRIOR THERETO, MR. MURRAY WAS SENIOR HIGH YIELD ANALYST
WITH MERRILL LYNCH ASSET MANAGEMENT, L.P. FROM 1993 TO 1998.
- --------------------------------------------------------------------------------
<PAGE>
This report is authorized for distribution only to Policyowners of certain
variable life insurance policies which are funded by shares of Merrill Lynch
Series Fund, Inc. This report is not authorized for use as an offer of sale or
solicitation of an offer to buy shares of the Fund or the policies. Past
performance results shown in this report should not be considered a
representation of future performance. Investment return and principal value of
shares will fluctuate so that shares, when redeemed, may be worth more or less
than their original cost. For Money Reserve Portfolio, the Portfolio seeks to
maintain a consistent $1.00 net asset value per share, although this cannot be
assured. An investment in the Portfolio is neither insured nor guaranteed by the
US Government. Statements and other information herein are as dated and are
subject to change.
59828-6/98
