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MERRILL LYNCH SERIES FUND, INC.
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THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
US TREASURY SECURITIES, SERIES A, B, C, D, E,
F, G, H, I, J, AND K
1997 ANNUAL REPORT
DECEMBER 31, 1997
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1997
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DEAR SHAREHOLDER:
We are pleased to submit this annual report for Merrill Lynch Series Fund, Inc.,
in which we summarize the investment performance of each Portfolio and outline
our views on the investment environment. Performance information for each
Portfolio in Merrill Lynch Series Fund, Inc., excluding the Money Reserve
Portfolio, can be found in the tables on pages 10-16 of this report to
shareholders.
BALANCED PORTFOLIO
As of December 31, 1997, asset allocation of Balanced Portfolio was: US bonds,
39% of net assets; US stocks, 54%; and cash reserves, 7%.
During the fiscal year ended December 31, 1997, we increased the Portfolio's US
equity weighting, consistent with the increase of the maximum allowable level
from 50% of net assets to 65% as provided for in the Portfolio's prospectus.
This proved beneficial to the overall return of the Portfolio, given the
significant outperformance of US stocks as compared to bonds and cash. Among US
stocks, the strong performance of financial services equities had a positive
impact on total return because this sector had the largest portfolio weighting
throughout the year. We maintained the bond duration in excess of five years
throughout most of 1997. This strategy enabled the Portfolio to benefit from a
US bond market rally in the second half of the year.
We increased the Portfolio's exposure to US equities from 51% of net assets to
54% during the six months ended December 31, 1997. However, our concern over the
widening economic problems in Asia led to a cautious attitude toward US
equities. As a result, we kept our allocation to US stocks well below the
maximum allowable level of 65% of net assets. Consistent with our expectation of
further US interest rate declines, financial services equities continued to
account for the largest concentration of assets in the US stock sector. We
maintained significant representation in the areas of healthcare, technology and
energy. Overall, we are increasing emphasis on the shares of companies, which,
in our view, have limited potential for earnings disappointments resulting from
the problems afflicting the Asian economies.
In the US bond sector, we maintained the Portfolio's average duration at 5.8
years as of December 31, 1997. Our optimistic stance toward US bonds reflected
indications that inflationary pressures in the US economy were exceptionally
subdued. The problems in Asian economies and a resultant slowdown in the US
economy seemed likely to accentuate the trend toward lower inflation. At the
same time, the rapid shrinkage, if not outright elimination, of the Federal
budget deficit was expected to continue to reduce the supply of newly issued US
Government securities relative to demand.
CAPITAL STOCK PORTFOLIO
As of December 31, 1997, the Portfolio's asset allocation was: US equities, 86%
of net assets; foreign equities, 11%; and cash reserves, 3%.
During the year ended December 31, 1997, the overall return of the Portfolio was
held down by the laggard performance of foreign equities and bonds relative to
the performance of their US counterparts. The negative impact of foreign
equities was limited by our reducing investments in that sector during the
second half of 1997.
In the United States, the strong performance of financial service equities
during the year proved to be a positive influence on the Portfolio's total
return. The financial services sector accounted for the largest portion of US
equities held in the Portfolio throughout the fiscal year. Strength in financial
services equities offset disappointing returns for selected technology and
healthcare issues, among others, which had a negative impact on the Portfolio's
total return.
1
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1997 (Continued)
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During the second half of 1997 we became more cautious toward foreign stocks.
Our concerns over the widening economic problems in South Korea, Japan and
Southeast Asia led us to reduce our allocation to foreign equities from 20% of
net assets as of June 30, 1997 to 11% at December 31, 1997. We now seek to limit
representation to foreign equities which we believe offer potential to add value
to a primarily US portfolio.
In the US equity sector, consistent with our expectation of further US interest
rate declines, financial services equities continued to account for the largest
concentration of assets in the US stock sector. We maintained significant
representation in the areas of healthcare, technology and energy. Overall, we
are increasing emphasis on the shares of companies which, in our view, have
limited potential for earnings disappointments resulting from the problems
afflicting the Asian economies. On the other hand, we are reducing positions in
shares of companies which appear vulnerable to earnings disappointments
resulting from problems affecting developing economies. We eliminated Avon
Products and Oracle Corp. on this basis.
GLOBAL STRATEGY PORTFOLIO
As of December 31, 1997, the Portfolio's asset allocation was: foreign equities,
31% of net assets; US equities, 29%; foreign bonds, 15%; US bonds, 15%; and cash
reserves, 10%.
During the year ended December 31, 1997, the overall return of the Portfolio was
held down by the laggard performance of foreign equities and bonds relative to
the performance of their US counterparts. The negative impact of foreign
equities was limited by the reduction of that sector during the second half of
1997. The decision to limit representation in Asian markets and to remain
underweighted in Japanese equities further reduced the negative impact of
foreign equities. As for foreign bonds, the maintenance of hedges against the
European fixed-income positions during much of the year improved the Portfolio's
return by limiting the negative impact of a strong US dollar versus European
currencies. US equities continued to be a positive net contributor to overall
Portfolio returns during 1997. The strong overall performance in the financial
services sector, which was the largest single group represented among US
equities, offset less favorable performance among select technology, healthcare
and economically sensitive equities.
As mentioned above, during the second half of 1997 we became more cautious
toward foreign stocks. Our concerns over the widening economic problems in Asia,
particularly in South Korea, Japan and Southeast Asia, led us to reduce our
allocation to foreign equities from 55% of net assets as of June 30, 1997 to 31%
at December 31, 1997. In decreasing our foreign equity representation, Japan's
relative position was reduced from an already underweighted positive relative to
the unmanaged benchmark Morgan Stanley Capital International Europe, Australia
and Far East Index. We were concerned that the uncertainties surrounding the
Japanese financial structure and economy would limit the recovery potential in
the Japanese stock market in the coming months. On the other hand, meaningful
representation was maintained in Latin America and Europe where prospects appear
more attractive to us.
During the six months ended December 31, 1997, we directed the newly available
assets from the reduction of the foreign equity representation to US equities,
US bonds and cash reserves, while the weighting in foreign bonds was little
changed. Consistent with our expectation of further US interest rate declines,
financial services equities continued to account for the largest concentration
of assets in the US stock sector. We maintained significant representation in
the areas of healthcare, technology and energy. Overall, we increased emphasis
in the shares of companies which, in our view, have limited potential for
earnings disappointments resulting from the problems afflicting the Asian
economies.
The bulk of our foreign bond weighting remains concentrated in Europe, including
Germany, France, Italy, Sweden, Denmark, Spain and the United Kingdom. During
October, we became less confident
2
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1997 (Continued)
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that US dollar strength would continue against the European currencies. Given
this changed assessment, we lifted the hedges against commitments in European
stocks and bonds with the exception of a partial hedge against UK securities. In
the Pacific Basin, our residual commitment to Japanese equities remains hedged
back to the US dollar, since we expect yen weakness to continue in the coming
months.
In the US bond sector, we maintained the Portfolio's average duration at 5.9
years as of December 31, 1997. Our optimistic stance toward US bonds reflected
indications that inflationary pressures in the US economy were exceptionally
subdued. The problems in Asian economies and a resultant slowdown in the US
economy seemed likely to accentuate the trend toward lower inflation. At the
same time, the rapid shrinkage, if not outright elimination, of the Federal
budget deficit was expected to continue to reduce the supply of newly issued US
Government securities relative to demand.
GROWTH STOCK PORTFOLIO
For the fiscal year ended December 31, 1997, Growth Stock Portfolio had a total
return of +33.75%. This compares to total returns of +25.0% for the unmanaged
Lipper Growth Funds Average and +33.36% for the unmanaged Standard & Poor's 500
Index. As of December 31, 1997, net assets of Growth Stock Portfolio were $333
million, up from $240.7 million as of December 31, 1996.
The absolute and relative positive total returns for Growth Stock Portfolio were
primarily the result of our overweighting the communications equipment, oil
services and equipment, computer software and computer industries starting in
January 1997. However, there was a meaningful decline in the stock prices of
individual companies in these sectors during the fourth quarter of 1997. This
appears to be related to investor concerns about the possibility of recessions
in Pacific Basin countries and the resulting impact on the earnings of
individual communications equipment and technology companies. However, even
after significant stock price declines, Growth Stock Portfolio benefited both
absolutely and relatively in 1997 from positions in technology companies such as
Compaq Computer Corp., SAP AG (Systeme, Anwendungen, Produkte in der
Datenverarbeitung), Schlumberger Ltd., Lucent Technologies, Inc., Northern
Telecom Ltd., Microsoft Corp. and Baan Company, N.V. Among the top ten equity
holdings, other companies which contributed meaningfully to the positive
absolute and relative performance were Federal National Mortgage Association,
Travelers Group, Inc. and General Electric Co. Other company investments which
were significant contributors to Portfolio performance were Albertson's, Inc.,
Meyer (Fred), Inc., Procter & Gamble Co., Pfizer, Inc., Cisco Systems, Inc., CVS
Corporation, Walgreen Co. and El Paso Natural Gas Co.
At year-end 1997, the Portfolio's two largest industry weightings were banking
and financial (10.6% of net assets) and financial services (10.2% of net
assets). The top ten industries equaled 64.9% of net assets, and the top ten
equity holdings equaled 32.9% of net assets. The largest equity holding was The
Travelers Group, Inc. at 4.1% of net assets. The Portfolio's cash reserves were
a modest 5.7% of net assets at December 31, 1997.
HIGH YIELD PORTFOLIO
For the year ended December 31, 1997, the high-yield market posted a return of
+12.63% as measured by the unmanaged CS First Boston High Yield Index, outpacing
a strong US Treasury bond performance of +11.10%. Yield spreads widened on
average approximately 50 basis points from their highest levels at mid-year.
Returns on high-yield issues reflected continued cash inflows to the market and
favorable equity markets, but were dampened somewhat by concerns over potential
erosion in future corporate earnings as well as a heavy new-issue calendar. The
Portfolio's results were hindered by large average cash positions (10% -- 12% of
total long-term investments) throughout the year and a relatively high exposure
(15.4%) to emerging market issues that were hard hit by the Asian currency
turmoil. Portfolio investments in Brazilian and Indonesian corporate bonds
suffered the largest
3
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1997 (Continued)
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declines. However, our investments in the media and communications sectors
(26.1% of net assets) outperformed other industries, benefiting Portfolio
returns.
Despite recent market volatility, we believe that prospects for the high-yield
market are generally favorable. The economic environment remains benign. Trends
in credit quality remain positive. Merger and acquisition activity and equity
issuance have strengthened credit quality for many high-yield issuers. Portfolio
holdings benefiting from this trend included Brooks Fiber Properties Inc., which
has agreed to be acquired by WorldCom Inc., as well as Sinclair Broadcasting
Group Inc. and Fresh Del Monte Corp., which tapped the equity markets in recent
months. Our favorable market view is tempered by the still modest yield pick-up
obtained from investing in high-yield securities relative to US Treasury issues.
The yield spread to Treasury issues continues to suggest to us that much of the
good news is priced into the market.
At December 31, 1997, the average portfolio maturity was 6 years, 3 months. The
Portfolio's cash position was 12.0% of net assets. Major industries in the
Portfolio were: energy, 9.7%; cable-domestic, 6.4%; and wireless communications,
6.9%.
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
During the first quarter of the fiscal year, fixed-income markets fell on
concerns of growing inflationary pressures. We shortened the duration of the
Portfolio to 4.3 years by increasing the Portfolio's cash reserves to 6% of net
assets. At the end of March, the Federal Reserve Board launched a preemptive
strike against inflationary pressures by raising the Federal Funds rate by 25
basis points (0.25%). Interest rates peaked in mid-April, then dropped through
the second quarter. This rally was fueled by a significant change in
expectations regarding the economy and a more optimistic outlook for inflation.
At this time, we decided to maintain a duration-neutral strategy for the
Portfolio, based on the volatility that characterized the market. Accordingly,
we set a range of 4.3 years -- 4.4 years for the Portfolio's duration. The
Portfolio's performance was hurt by the relatively high percentage (5%) of the
Portfolio's net assets in cash reserves in response to our concerns regarding
volatility.
The market continued to rally until the middle of the summer and then fell
sharply in August as a result of stronger-than-expected employment and
purchasing manager reports. These data suggested substantially more robust
consumer spending in the third quarter.
In the middle of September, a strong bond market rally occurred which was
encouraged by low inflation data. This rally lasted through the first week of
October, and was mirrored by the gains of the stock market, which soared from
7660 to 8178 as measured by the Dow Jones Industrial Average (DJIA). On October
8, 1997, Federal Reserve Board Chairman Alan Greenspan expressed concern before
the House Budget Committee that the demand for labor was outpacing the supply,
with the resulting pressure likely to push up wages and prices. He suggested
that the Federal Reserve Board would tighten monetary policy before it would
allow this to happen. Bond prices slumped, and the yield on the long-term
Treasury bond jumped from 6.23% to 6.43% in three days. Then, on October 23,
1997, the Thai baht collapsed and the Asian currency markets declined rapidly.
On the following Monday, the New York Stock Exchange saw the DJIA fall 554
points on a record volume of 1.2 billion shares. A worldwide flight to quality
caused both foreign and domestic investors to seek shelter in the US Treasury
market.
Gross domestic product (GDP) data for the third calendar quarter of 1997 were
released indicating a slightly larger-than-expected increase of 3.5% as compared
to 3.3% in the second calendar quarter. The GDP price deflator rose only 1.4%
for the third calendar quarter against a 1.8% increase in the second calendar
quarter. This was the lowest quarterly increase since the second quarter of
1964. November and December witnessed a continuation of the flight to quality
into US bonds. The Treasury yield curve flattened from 53 basis points to 28
basis points between 2-year -- 30-year issues. This suggested some foreign
central bank selling of issues with short-term maturities to shore up weak
currencies and private sector purchasing of the long-term issues to increase
dollar-denominated
4
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1997 (Continued)
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investments. At year-end, the yield on the long-term Treasury bond was 5.92%,
the lowest level of the year. During this period we had extended the duration of
the Portfolio to 4.5 years. This strategy enhanced the total return to +8.42%
for the year ended December 31, 1997.
LONG TERM CORPORATE BOND PORTFOLIO
During the first quarter of the fiscal year, fixed-income markets fell on
concerns of growing inflationary pressures. We shortened the duration of the
Portfolio to 4.6 years by increasing the Portfolio's cash reserves to 9% of net
assets. At the end of March, the Federal Reserve Board launched a preemptive
strike against inflationary pressures by raising the Federal Funds rate by 25
basis points (0.25%). Interest rates peaked in mid-April, then dropped through
the second quarter. This rally was fueled by a significant change in
expectations regarding the economy and a more optimistic outlook for inflation.
At this time, we decided to maintain a duration-neutral strategy for the
Portfolio, based on the volatility that characterized the market. Accordingly,
we set a range of 4.5 years -- 4.6 years for the Portfolio's duration. The
Portfolio's performance was hurt by the relatively high percentage (9%) of the
Portfolio's net assets in cash reserves in response to our concerns regarding
volatility.
The market continued to rally until the middle of the summer. We extended the
upper limit of our duration range to 4.7 years and lengthened our positions
accordingly, primarily by reducing the Portfolio's cash reserve position to 7%
of net assets. Our industrial sector and quality mixes remained neutral to the
Index. The market fell sharply in August as a result of stronger-than-expected
employment and purchasing manager reports. These data suggested substantially
more robust consumer spending in the third quarter. The market rallied again in
September on the belief that the Federal Reserve Board would not move to tighten
interest rates again in 1997.
This rally lasted through the first week of October, and was mirrored by the
gains of the stock market, which soared from 7660 to 8178 as measured by the Dow
Jones Industrial Average (DJIA). On October 8, 1997, Federal Reserve Board
Chairman Alan Greenspan expressed concern before the House Budget Committee that
the demand for labor was outpacing the supply, with the resulting pressure
likely to push up wages and prices. He suggested that the Federal Reserve Board
would tighten monetary policy before it would allow this to happen. Bond prices
slumped, and the yield on the long-term Treasury bond jumped from 6.23% to 6.43%
in three days. Then, on October 23, 1997, the Thai baht collapsed and the Asian
currency markets declined rapidly. On the following Monday, the New York Stock
Exchange saw the DJIA fall 554 points on a record volume of 1.2 billion shares.
A worldwide flight to quality caused both foreign and domestic investors to seek
shelter in the US Treasury market.
Gross domestic product (GDP) data for the third calendar quarter of 1997 were
released indicating a slightly larger-than-expected increase of 3.5% as compared
to 3.3% in the second calendar quarter. The GDP price deflator rose only 1.4%
for the third calendar quarter against a 1.8% increase in the second calendar
quarter. This was the lowest quarterly increase since the second quarter of
1964. November and December witnessed a continuation of the flight to quality
into US bonds. The Treasury yield curve flattened from 53 basis points to 28
basis points between 2-year -- 30-year issues. This suggested some foreign
central bank selling of issues with short-term maturities to shore up weak
currencies and private sector purchasing of the long-term issues to increase
dollar-denominated investments. At year-end, the yield on the long-term Treasury
bond was 5.92%, the lowest level of the year. During this period we had extended
the duration of the Portfolio to 5.8 years. Total return for the Portfolio was
8.80% for the year.
5
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1997 (Continued)
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MONEY RESERVE PORTFOLIO
For the year ended December 31, 1997, the Money Reserve Portfolio's net
annualized yield was 5.30%*. For the six-month period ended December 31, 1997,
the Money Reserve Portfolio's net annualized yield was 5.36%*. The Portfolio's
7-day yield as of December 31, 1997 was 5.49%*. The average portfolio maturity
was 71 days at December 31, 1997, compared to 67 days at June 30, 1997.
The Portfolio's composition at the end of December and as of our last report is
detailed below:
<TABLE>
<CAPTION>
ISSUE 12/31/97 6/30/97
<S> <C> <C>
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Bank Notes...................................................................................... 10.3% 5.5%
Certificates of Deposit......................................................................... 2.5 2.9
Certificates of Deposit -- Yankee............................................................... 3.9 1.8
Commercial Paper................................................................................ 48.9 50.4
Corporate Notes................................................................................. 5.3 7.3
Funding Agreements.............................................................................. 1.7 1.6
Master Notes.................................................................................... 1.9 1.8
Medium-Term Notes............................................................................... 7.5 3.4
Repurchase Agreements........................................................................... 2.4 --
US Government Agency & Instrumentality Obligations -- Discount.................................. 3.0 --
US Government Agency & Instrumentality Obligations -- Non-Discount.............................. 13.7 25.0
(Liabilities in Excess of Other Assets)/Other Assets Less Liabilities........................... (1.1) 0.3
----- -----
Total........................................................................................... 100.0% 100.0%
----- -----
----- -----
</TABLE>
MULTIPLE STRATEGY PORTFOLIO
As of December 31, 1997, the Portfolio's asset allocation was: foreign equities,
10% of net assets; US equities, 51%; foreign bonds, 4%; US bonds, 27%; and cash
reserves, 8%.
During the year ended December 31, 1997, the overall return of the Portfolio was
held down by the laggard performance of foreign equities and bonds relative to
the performance of their US counterparts. To the extent that US equities were
maintained at least 50% of net assets during 1997, the sector was a positive net
contributor to overall Portfolio returns. The strong overall performance in the
financial services sector, which was the largest single group represented among
US equities, offset less favorable performance among select technology,
healthcare and economically sensitive equities.
As mentioned above, during the second half of 1997 we became more cautious
toward foreign stocks. Our concerns over the widening economic problems in South
Korea, Japan and Southeast Asia led us to reduce our allocation to foreign
equities from 21% of net assets as of June 30, 1997 to 10% at December 31, 1997.
In decreasing our foreign equity representation, Japan's relative position was
reduced from an already underweighted positive relative to the unmanaged
benchmark Morgan Stanley Capital International Europe, Australia and Far East
Index. We were concerned that the uncertainties surrounding the Japanese
financial structure and economy would limit the recovery potential in the
Japanese stock market in the coming months. Our representation in Asia was
further reduced. On the other hand, meaningful representation was maintained in
Latin America and Europe where prospects appear to us more attractive.
During the six months ended December 31, 1997, we directed the newly available
assets from the reduction of the foreign equity representation to US equities,
US bonds and cash reserves, while the weighting in foreign bonds was little
changed. Consistent with our expectation of further US interest rate declines,
financial services equities continued to account for the largest concentration
of assets in
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*Based on a constant investment throughout the period, with dividends compounded
daily, and reflecting a net return to the investor after all expense with the
exception of insurance exposure.
6
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1997 (Continued)
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the US stock sector. We maintained significant representation in the areas of
healthcare, technology and energy. Overall, we increased emphasis in the shares
of companies which, in our view, have limited potential for earnings
disappointments resulting from the problems afflicting the Asian economies.
The bulk of our foreign bond weighting remains concentrated in Europe, including
Germany, France, Italy, Sweden, Denmark, Spain and the United Kingdom. During
October, we became less confident that US dollar strength would continue against
the European currencies. Given this changed assessment, we lifted the hedges
against European currency exposure with the exception of a partial hedge against
the UK pound sterling. In the Pacific Basin, our residual commitment to Japanese
equities remains hedged back to the US dollar, since we expect yen weakness to
continue in the coming months.
In the US bond sector, we maintained the Portfolio's average duration at 5.8
years as of December 31, 1997. Our optimistic stance toward US bonds reflected
indications that inflationary pressures in the US economy were exceptionally
subdued. The problems in Asian economies and a resultant slowdown in the US
economy seemed likely to accentuate the trend toward lower inflation. At the
same time, the rapid shrinkage, if not outright elimination, of the Federal
budget deficit was expected to continue to reduce the supply of newly issued US
Government securities relative to demand.
NATURAL RESOURCES PORTFOLIO
The environment for investments in the natural resources sector was generally
mixed for the year ended December 31, 1997. This environment reflected increased
commodity demand arising from continued moderate global economic growth, led by
strong business activity in the United States. The combination of moderate
global economic growth and continued modest inflationary pressures had positive
implications for basic materials demand.
The Portfolio was heavily weighted in base metal stocks, with a particular
emphasis on copper stocks. Strong economic growth in North America and a budding
recovery in Europe helped copper prices strengthen during the first half of
1997. We had expected rising demand for base metals to lead to declining
inventories and improved metal prices and company earnings. However, copper
inventories rose on the London Metals Exchange from distressed sales of producer
stocks and as Far East consumers pared inventories. Combined with concerns of an
impending economic slowdown in Asia during the second half of 1997, the price of
copper declined to as low as $0.76 per pound by the end of the year from its
summer peak which exceeded $1.20 per pound. Given that many mines produce gold
as well as other mineral by-products in association with copper production, the
share price declines were leveraged to the fall in prices across the metals
sector. A significant number of the Portfolio's holdings in the base metals area
were in Australian- and Canadian-domiciled companies. To the extent that the
currencies of these commodity-exposed nations declined, currency translations
negatively impacted certain companies in the Portfolio and the Portfolio's
performance as a result.
The Portfolio's performance was also hurt by our significant exposure to the
gold sector during the fiscal year. After trending downward since early 1996,
the price of gold collapsed on the third-quarter announcement that Australia's
central bank had sold two-thirds of its gold holdings. The price of gold
continued to fall as inflation reports consistently came in at or below
estimates, and the metal price reached lows not seen in nearly 18 years as
deflationary fears became more prominent in economic forecasts. Exacerbating the
decline was additional central bank selling as speculation clouded gold's role
as a reserve asset backing the European Monetary Unit. The failure of gold to
perform as a store of value in time of currency crisis may undermine the premium
multiples that have traditionally been awarded to the shares of gold-mining
stocks.
For the fiscal year ended December 31, 1997, the Portfolio's largest investment
representation was in the energy sector, with particular emphasis on exploration
and production companies. The shares of independent oil companies initially
appreciated on rising natural gas prices and as merger activity
7
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1997 (Continued)
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ignited takeover fever involving several companies in the group. Investment
returns benefited in the second half of the year as two holdings, The Louisiana
Land and Exploration Co. and Chauvco Resources Ltd., were acquired by Burlington
Resources, Inc. and Pioneer Natural Resources Co., respectively. However, gains
in the sector were short-lived as energy prices fell in response to the combined
impact of politics and weather. In November, the Organization of Petroleum
Exporting Countries (OPEC) raised quota levels for the first time in four years.
Since OPEC had already been producing well above its quota, the incremental
barrels added to the market were marginal. However, the quota increase coincided
with the slowdown in Asian consumption and with the emergence of mild weather
conditions arising from the El Nino climatic phenomenon. The increased oil
production and declining demand, coupled with ample worldwide inventories, drove
oil prices down to their lowest levels in over two years. Oil service companies'
stock prices were particularly strong early in the summer and fall months, as
pricing for oil services continued to escalate and as early announcements of oil
company capital spending plans continued to show double-digit gains in oil
services spending. Given the strong appreciation of the oil service sector, new
holdings in the area were concentrated in companies that we believed would
benefit from the later stages of the capital spending cycle.
During the fiscal year, chemical investments were solid performers, as declining
feedstock costs supported earning forecasts despite rising capacity in many
product areas. The Portfolio was severely underexposed to this sector, with only
4% of net assets in chemical stocks compared to the 20% representation in our
benchmark index. While the chemical sector did not appreciate significantly in
absolute terms, the Portfolio's underweighting in the sector negatively impacted
Portfolio performance.
We increased the Portfolio's holdings of paper and forest product shares during
the first half of 1997 because it appeared that the two-year slide in commodity
prices had ended. The poor pricing environment had curtailed plans for new
capacity in some grades, and a trend to consolidation in the group had emerged.
The shares of forest product companies aborted their rally as currency collapses
led to concerns of lower Southeast Asian demand. While the group suffered
significant declines in the second half, the outlook for some paper products
appeared favorable, and we began to concentrate the Portfolio's holdings in
those companies.
During the final months of the year, the collapse of Asian currencies and
consequent deterioration of financial conditions played havoc with the
investment thesis on which the portfolio was structured. Growth estimates for
Far Eastern economies were sharply reduced, with economic contraction now
possible for several nations in the region. Investors increasingly focused on
the potential for commodity price deflation, and speculation shifted to the
impact that the Asian debacle could have on Western economies. Portfolio returns
suffered as lower demand forecasts and declining commodity prices led to
earnings estimate reductions across a broad spectrum of natural resource
companies.
During the six-month period ended December 31, 1997, there were no significant
geographic or industry allocation changes made in the Portfolio. The Portfolio
was fully invested during the second half of the year, with a cash position of
4.6% of net assets at year-end. We have begun to raise the cash position to seek
to limit the Portfolio's exposure to broad-based selling of resource stocks, as
well as to seek to take advantage of opportunities that may arise from share
price declines. We established a new position in TransCoastal Marine Services,
Inc. in the oil sector, and took profits in the shares of Louisiana Land and
Exploration Co. and Chauvco Resources Ltd. after their share prices rose
following acquisition bids. We made modest reductions in gold shares as the
commodity continued to be pressured from central bank sales. We reduced our
positions in Japanese industrial and mining shares, given the risk of reduced
exports to trading partners in the Pacific Rim.
The problems facing the economies of Asia have created severe uncertainty in the
outlook for natural resource stocks. Commodity prices continue to decline, and
resource-related companies are experiencing earnings estimate reductions and a
contraction of price/earnings and price/cash flow multiples. The Portfolio had
been constructed with leverage to continued global expansion. Looking ahead, we
plan to take a number of steps to position the Portfolio toward the value end of
the spectrum. The
8
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MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1997 (Concluded)
- --------------------------------------------------------------------------------
Portfolio will be reviewed to ascertain that all holdings are inexpensive in
terms of absolute and relative valuations of price/earnings, price/book and
price/cash flow multiples. The review also will include financial structures and
cash operating costs of each enterprise to provide for the likelihood of ongoing
operations in worst-case economic conditions. Exposure to commodities with
rising capacity utilization trends, a key driver of natural resource stocks,
will be emphasized in portfolio construction. Commodities in supply/demand
balance are likely, in our view, to appreciate in economic expansions, while
mitigating downside price risk in economic contractions.
We plan to create a more focused Portfolio by reducing the number of stock
positions from the current 112 holdings. We expect to increase concentration in
the companies in which there is high confidence concerning company fundamentals
and where valuation levels appear attractive given uncertain economic
conditions. In addition, geographic representation of Portfolio positions will
be examined to seek to enhance exposure to markets perceived to have sound
growth outlooks, as well as to diversify currency risks of the Portfolio.
The collapse of currencies and stock markets in the Far East is likely to
dramatically reduce natural resource use in those countries. The duration of the
downturn, as well as its potential spread to North American and European
markets, could exacerbate declines in production and pricing across a broad
spectrum of commodities. However, the recent declines in resource equities have
been indiscriminate. We believe opportunities exist in many of the commodity
companies that are users of feedstocks with declining costs, as well as in
energy commodities where positive trends have been masked by mild weather
conditions. Investments in companies whose operations can exploit lower input
costs, or whose shares discount the economic turmoil, could provide satisfactory
returns in the coming year. We expect the changes outlined above to position the
Portfolio where it may provide favorable returns relative to the commodity
markets.
IN CONCLUSION
We appreciate your investment in Merrill Lynch Series Fund, Inc., and we look
forward to sharing our investment outlook and strategies with you in our June
semi-annual report to shareholders.
Sincerely,
[SIG]
Terry K. Glenn
PRESIDENT
February 19, 1998
9
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Performance Information
December 31, 1997
- --------------------------------------------------------------------------------
RECENT PERFORMANCE RESULTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
12 MONTH 6 MONTH
12/31/97 6/30/97 12/31/96 % CHANGE % CHANGE
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO $15.78 $14.54 $15.36 +12.47%(1) + 8.53%
- ----------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO 26.79 25.60 23.25 +18.21(2) + 4.65
- ----------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO 17.44 17.88 16.80 + 6.91(3) - 2.46
- ----------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO 32.82 29.75 27.79 +28.19(4) +10.32
- ----------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO 9.19 9.24 9.15 + 0.44 - 0.54
- ----------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO 11.08 10.80 10.93 + 1.37 + 2.59
- ----------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO 11.72 11.45 11.53 + 1.65 + 2.36
- ----------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO 18.97 17.99 17.13 +14.36(5) + 5.45
- ----------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO 8.12 9.50 9.19 -11.64 -14.53
- ----------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO -- TOTAL RETURN +16.93(6) + 8.53
- ----------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO -- TOTAL RETURN +22.47(7) + 4.65
- ----------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO -- TOTAL RETURN +11.72(8) - 2.46
- ----------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO -- TOTAL RETURN +33.75(9) +10.32
- ----------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO -- TOTAL RETURN +10.74(10) + 4.31(11)
- ----------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO -- TOTAL
RETURN + 8.42(12) + 6.02(13)
- ----------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO -- TOTAL RETURN + 8.80(14) + 5.81(15)
- ----------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO -- TOTAL RETURN +19.17(16) + 5.45
- ----------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO -- TOTAL RETURN -10.97(17) -14.53
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Percent change includes reinvestment of $1.271 per share capital gains
distributions.
(2) Percent change includes reinvestment of $0.561 per share capital gains
distributions.
(3) Percent change includes reinvestment of $0.462 per share capital gains
distributions.
(4) Percent change includes reinvestment of $2.076 per share capital gains
distributions.
(5) Percent change includes reinvestment of $0.517 per share capital gains
distributions.
(6) Percent change includes reinvestment of $0.582 per share ordinary income
dividends and $1.271 per share capital gains distributions.
(7) Percent change includes reinvestment of $0.802 per share ordinary income
dividends and $0.561 per share capital gains distributions.
(8) Percent change includes reinvestment of $0.718 per share ordinary income
dividends and $0.462 per share capital gains distributions.
(9) Percent change includes reinvestment of $1.144 per share ordinary income
dividends and $2.076 per share capital gains distributions.
(10) Percent change includes reinvestment of $0.896 per share ordinary income
dividends.
(11) Percent change includes reinvestment of $0.441 per share ordinary income
dividends.
(12) Percent change includes reinvestment of $0.728 per share ordinary income
dividends.
(13) Percent change includes reinvestment of $0.358 per share ordinary income
dividends.
(14) Percent change includes reinvestment of $0.780 per share ordinary income
dividends.
(15) Percent change includes reinvestment of $0.384 per share ordinary income
dividends.
(16) Percent change includes reinvestment of $0.685 per share ordinary income
dividends and $0.517 per share capital gains distributions.
(17) Percent change includes reinvestment of $0.069 per share ordinary income
dividends.
10
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Performance Information
December 31, 1997 (Concluded)
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR FIVE YEARS TEN YEARS SINCE
ENDED ENDED ENDED INCEPTION TO
12/31/97 12/31/97 12/31/97 12/31/97
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO +16.93% +11.29% -- +11.49%+
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO +22.47 +13.85 +14.15% --
- -----------------------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO +11.72 +11.31 +11.25 --
- -----------------------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +33.75 +16.96 +14.81 --
- -----------------------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO +10.74 +11.04 +11.90 --
- -----------------------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 8.42 + 6.96 + 8.52 --
- -----------------------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO + 8.80 + 7.66 + 9.29 --
- -----------------------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO +19.17 +12.14 +12.71 --
- -----------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO -10.97 + 5.24 + 3.22 --
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Balanced Portfolio commenced operations on 5/2/88.
11
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment
- --------------------------------------------------------------------------------
BALANCED PORTFOLIO
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund compared to
growth of an investment in the S&P 500 Index and a Weighted Index. Beginning and
ending values are:
<TABLE>
<CAPTION>
5/02/88** 12/97
----------- ---------
<S> <C> <C>
Balanced Portfolio*+ $ 10,000 $ 28,611
S&P 500 Index++ $ 10,000 $ 48,993
Weighted Index+++ $ 10,000 $ 27,451
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
** Commencement of operations.
+ Balanced Portfolio invests in a balanced portfolio of fixed-income and
equity securities.
++ This unmanaged broad-based index is comprised of common stocks.
+++ This unmanaged index, which is an equally weighted blend of the Three-Month
US Treasury Bill Index, the Merrill Lynch B0A0 Bond Index, and the Standard
& Poor's 500 Index, is comprised of US Treasury bills maturing in up to 3
months, investment-grade bonds, and common stocks.
Past performance is not predictive of future performance.
CAPITAL STOCK PORTFOLIO
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund compared to
growth of an investment in the S&P 500 Index. Beginning and ending values are:
<TABLE>
<CAPTION>
12/87 12/97
--------- ---------
<S> <C> <C>
Capital Stock Portfolio*+ $ 10,000 $ 37,549
S&P 500 Index++ $ 10,000 $ 52,616
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
+ Capital Stock Portfolio generally invests in equity securities which are
considered to be of good or improving quality or which are thought to be
undervalued based on criteria such as historical price/book value ratios and
price/earnings ratios.
++ This unmanaged broad-based index is comprised of common stocks.
Past performance is not predictive of future performance.
12
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (Continued)
- --------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund compared to
growth of an investment in the Morgan Stanley World Index and a Weighted Index.
Beginning and ending values are:
<TABLE>
<CAPTION>
12/87 12/97
----------- ---------
<S> <C> <C>
Global Strategy Portfolio*+ $ 10,000 $ 29,045
Morgan Stanley World Index++ $ 10,000 $ 27,301
Weighted Index+++ $ 10,000 $ 23,007
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
+ Global Strategy Portfolio invests primarily in the securities of issuers
located in the United States, Canada, Western Europe and the Far East.
++ This unmanaged market capitalization-weighted index, calculated by Morgan
Stanley Capital International, is comprised of a representative sampling of
stocks of large-, medium-, and small-capitalization companies in 22
countries, including the United States.
+++ This unmanaged index, which is an equally weighted blend of the MSCI World
Index, the Salomon Brothers World Government Bond Index, and the Salomon
Brothers World Money Market Index, is comprised of a representative sampling
of stocks of large-, medium-, and small-capitalization companies in 22
countries, and government bonds and money market securities in the major
markets, including the United States.
Past performance is not predictive of future performance.
GROWTH STOCK PORTFOLIO
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund compared to
growth of an investment in the S&P 500 Index. Beginning and ending values are:
<TABLE>
<CAPTION>
12/87 12/97
----------- ---------
<S> <C> <C>
Growth Stock Portfolio*+ $ 10,000 $ 39,787
S&P 500 Index++ $ 10,000 $ 52,616
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
+ Growth Stock Portfolio invests in a diversified portfolio of securities,
primarily common stocks, of aggressive growth companies.
++ This unmanaged broad-based index is comprised of common stocks.
Past performance is not predictive of future performance.
13
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (Continued)
- --------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund compared to
growth of an investment in the First Boston High Yield Index. Beginning and
ending values are:
<TABLE>
<CAPTION>
12/87 12/97
----------- ---------
<S> <C> <C>
High Yield Portfolio*+ $ 10,000 $ 30,785
First Boston High Yield Index++ $ 10,000 $ 31,349
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
+ High Yield Portfolio invests principally in fixed-income securities,
including corporate bonds and notes, convertible securities and preferred
stocks, which are rated in the lower rating categories of the established
rating services (Baa or lower by Moody's and BBB or lower by S&P), or in
unrated securities of comparable quality.
++ This unmanaged market-weighted index of high-yield debt securities is
comprised of 423 securities rated BBB or lower.
Past performance in not predictive of future performance.
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund compared to
growth of an investment in the ML G402 Index. Beginning and ending values are:
<TABLE>
<CAPTION>
12/87 12/97
----------- ---------
<S> <C> <C>
Intermediate Government Bond Portfolio*+ $ 10,000 $ 22,650
ML G402 Index++ $ 10,000 $ 25,036
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
+ Intermediate Government Bond Portfolio invests only in securities issued or
guaranteed by the US Government and its agencies with a maximum maturity not
to exceed 15 years.
++ This unmanaged index is comprised of intermediate-term US Government bond and
US Treasury securities maturing in 7 years-10 years.
Past performance is not predictive of future performance.
14
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (Continued)
- --------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund compared to
growth of an investment in the ML C0A0 Corporate Master Index. Beginning and
ending values are:
<TABLE>
<CAPTION>
12/87 12/97
----------- ---------
<S> <C> <C>
Long-Term Corporate Bond Portfolio*+ $ 10,000 $ 24,312
ML C0A0 Corporate Master Index++ $ 10,000 $ 26,157
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
+ Long Term Corporate Bond Portfolio normally invests at least 80% of the value
of its assets in straight debt securities which have a rating within the
three highest grades as determined by Standard & Poor's Ratings Group (AAA,
AA or A) or Moody's Investors Service Inc. (Aaa, Aa or A).
++ This unmanaged index is comprised of all corporate bonds rated BBB3 or
higher, of all maturities.
Past performance is not predictive of future performance.
MULTIPLE STRATEGY PORTFOLIO
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund compared to
growth of an investment in the S&P 500 Index and a Weighted Index. Beginning and
ending values are:
<TABLE>
<CAPTION>
12/87 12/97
----------- ---------
<S> <C> <C>
Multiple Strategy Portfolio*+ $ 10,000 $ 33,086
S&P 500 Index++ $ 10,000 $ 52,616
Weighted Index+++ $ 10,000 $ 36,062
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
+ Multiple Strategy Portfolio, which uses a fully managed investment policy,
invests in equity, intermediate- and long-term debt and money market
securities.
++ This unmanaged broad-based index is comprised of common stocks.
+++ This unmanaged index, which is an equally weighted blend of the S&P 500
Index and the Merrill Lynch B0A0 Index, is comprised of common stocks as
well as investment-grade bonds.
Past performance is not predictive of future performance.
15
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (Concluded)
- --------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund compared to
growth of an investment in the S&P Industrials Index, the Consumer Price Index,
and the Lipper Natural Resources Average. Beginning and ending values are:
<TABLE>
<CAPTION>
12/87 12/97
----------- ---------
<S> <C> <C>
Natural Resources Portfolio*+ $ 10,000 $ 13,727
S&P Industrials Index++ $ 10,000 $ 50,520
Consumer Price Index+++ $ 10,000 $ 13,993
Lipper Natural Resources Average++++ $ 10,000 $ 25,160
</TABLE>
* Assuming transaction costs and other operating expenses, including advisory
fees. Does not include insurance-related fees and expenses.
+ Natural Resources Portfolio invests primarily in a portfolio of equity
securities (e.g., common stocks and securities convertible into common
stocks) of domestic and foreign companies with substantial natural resource
assets.
++ This unmanaged index measures the pattern of movements of the common stocks
of 400 large industrial companies and their weighting by capitalization.
+++ This unmanaged index is the most widely used index of price changes over
time and is designed to measure changes in the typical market basket of
purchases by urban consumers.
++++ This unmanaged index is comprised of all US mutual funds classified by
Lipper Analytical Services Inc. as natural resource-related funds.
Past performance is not predictive of future performance.
16
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of December 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES FACE AMOUNT BONDS & NOTES COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES $ 1,000,000 General Electric Capital Corp., 8.75%
due 5/21/2007....................... $ 1,124,550 $ 1,175,730 1.1%
- ----------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY 1,482,615 Federal Home Loan Mortgage Corp.,
OBLIGATIONS 7.50% due 6/01/2007++............... 1,510,878 1,522,587 1.4
Federal National Mortgage
Association++:
1,717,778 6% due 11/01/2000................ 1,700,600 1,708,519 1.6
3,730,585 6% due 6/01/2001................. 3,692,696 3,705,105 3.4
2,096,012 6% due 2/01/2004................. 2,071,122 2,081,067 1.9
12,700,000 US Treasury Bonds, 6.625% due
2/15/2027........................... 12,099,016 13,787,374 12.7
US Treasury Notes:
6,000,000 6% due 8/15/1999................. 6,016,406 6,029,040 5.6
9,500,000 6.50% due 5/31/2002.............. 9,563,828 9,777,590 9.0
1,825,000 6.25% due 2/15/2007.............. 1,799,906 1,883,163 1.8
- ----------------------------------------------------------------------------------------------------------------------
TOTAL BONDS & NOTES 39,579,002 41,670,175 38.5
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES
HELD COMMON STOCKS
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 30,200 AlliedSignal, Inc.................... 1,137,063 1,175,913 1.1
21,000 GenCorp, Inc......................... 613,011 525,000 0.5
5,900 +Orbital Sciences Corp............... 151,326 175,525 0.1
----------- ------------- -----
1,901,400 1,876,438 1.7
- ----------------------------------------------------------------------------------------------------------------------
AIRLINES 21,900 +US Airways Group, Inc............... 807,984 1,368,750 1.3
- ----------------------------------------------------------------------------------------------------------------------
APPLIANCES 26,700 Sunbeam Corp......................... 952,658 1,124,738 1.0
- ----------------------------------------------------------------------------------------------------------------------
AUTOMOBILE PARTS 25,200 Federal-Mogul Corp................... 985,025 1,020,600 0.9
- ----------------------------------------------------------------------------------------------------------------------
AUTOMOBILE RENTAL 27,600 +Avis Rent-A-Car, Inc................ 601,358 881,475 0.8
30,600 Hertz Corp. (Class A)................ 987,581 1,231,650 1.2
----------- ------------- -----
1,588,939 2,113,125 2.0
- ----------------------------------------------------------------------------------------------------------------------
BANKING 26,400 Bank of New York Co., Inc............ 682,144 1,526,250 1.4
18,800 BankAmerica Corp..................... 1,072,739 1,372,400 1.3
23,900 First Union Corporation.............. 1,175,828 1,224,875 1.1
----------- ------------- -----
2,930,711 4,123,525 3.8
- ----------------------------------------------------------------------------------------------------------------------
BROADCASTING-MEDIA 14,100 +Chancellor Media Corp............... 894,326 1,052,213 1.0
- ----------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES 26,700 +Gartner Group, Inc. (Class A)....... 905,885 994,575 0.9
- ----------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 9,750 +Cisco Systems, Inc.................. 555,749 543,563 0.5
- ----------------------------------------------------------------------------------------------------------------------
COMPUTERS 5,600 Compaq Computer Corp................. 207,607 316,050 0.3
4,100 International Business Machines
Corp................................ 275,132 428,706 0.4
20,300 +Quantum Corporation................. 573,272 407,269 0.4
----------- ------------- -----
1,056,011 1,152,025 1.1
- ----------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS 42,400 The Dial Corporation................. 818,701 882,450 0.8
- ----------------------------------------------------------------------------------------------------------------------
CONTAINERS 36,100 +Owens-Illinois, Inc................. 1,076,705 1,369,544 1.3
- ----------------------------------------------------------------------------------------------------------------------
CRUISE LINES 11,800 Royal Caribbean Cruises Ltd.......... 515,187 629,088 0.6
- ----------------------------------------------------------------------------------------------------------------------
DENTAL SUPPLIES & 24,000 DENTSPLY International Inc........... 605,524 732,000 0.7
EQUIPMENT
- ----------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 14,900 General Electric Co.................. 1,046,177 1,093,288 1.0
- ----------------------------------------------------------------------------------------------------------------------
ELECTRONICS 28,000 +National Semiconductor
Corporation......................... 1,134,438 726,250 0.7
- ----------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 7,200 American Express Company............. 450,986 642,600 0.6
22,900 MGIC Investment Corp................. 870,336 1,522,850 1.4
----------- ------------- -----
1,321,322 2,165,450 2.0
- ----------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 15,600 Black & Decker Corporation........... 532,498 609,375 0.6
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
17
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD COMMON STOCKS COST (NOTE 1A) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INSURANCE 31,100 Hartford Life, Inc. (Class A)........ $ 1,042,999 $ 1,409,219 1.3%
36,000 Provident Companies, Inc............. 1,189,906 1,390,500 1.3
25,200 Travelers Group, Inc................. 904,068 1,357,650 1.2
9,200 Travelers Property Casualty Corp.
(Class A)........................... 372,264 404,800 0.4
18,500 UNUM Corporation..................... 594,625 1,005,937 0.9
----------- ------------- -----
4,103,862 5,568,106 5.1
- ----------------------------------------------------------------------------------------------------------------------
LEISURE/TOURISM 36,600 Brunswick Corporation................ 940,006 1,109,437 1.0
- ----------------------------------------------------------------------------------------------------------------------
MACHINERY 14,000 Harnischfeger Industries, Inc........ 606,635 494,375 0.4
23,200 Ingersoll-Rand Co.................... 723,185 939,600 0.9
11,000 SPX Corporation...................... 623,984 759,000 0.7
----------- ------------- -----
1,953,804 2,192,975 2.0
- ----------------------------------------------------------------------------------------------------------------------
MEDICAL SERVICES 44,377 +HEALTHSOUTH Corporation............. 1,203,359 1,231,462 1.1
- ----------------------------------------------------------------------------------------------------------------------
NATURAL GAS 19,000 El Paso Natural Gas Co............... 998,878 1,263,500 1.2
11,600 Enron Corp........................... 466,529 482,125 0.4
----------- ------------- -----
1,465,407 1,745,625 1.6
- ----------------------------------------------------------------------------------------------------------------------
OFFICE EQUIPMENT 13,000 Danka Business Systems PLC
(ADR)*(a)........................... 641,353 207,187 0.2
- ----------------------------------------------------------------------------------------------------------------------
OIL SERVICES 16,700 +Smith International, Inc............ 795,718 1,024,962 0.9
- ----------------------------------------------------------------------------------------------------------------------
PETROLEUM 25,700 Unocal Corp.......................... 930,557 997,481 0.9
- ----------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 12,000 Bristol-Myers Squibb Co.............. 1,140,051 1,135,500 1.0
18,000 Lilly (Eli) & Co..................... 1,136,182 1,253,250 1.2
15,000 Pfizer, Inc.......................... 1,097,315 1,118,437 1.0
7,700 Warner-Lambert Company............... 1,101,562 954,800 0.9
----------- ------------- -----
4,475,110 4,461,987 4.1
- ----------------------------------------------------------------------------------------------------------------------
RAILROADS 11,700 Burlington Northern Santa Fe, Inc.... 1,010,347 1,087,369 1.0
- ----------------------------------------------------------------------------------------------------------------------
REAL ESTATE 27,000 Glenborough Realty Trust............. 675,000 799,875 0.8
INVESTMENT TRUSTS 32,000 Prentiss Properties Trust............ 751,272 894,000 0.8
13,000 Starwood Lodging Trust............... 582,360 752,375 0.7
----------- ------------- -----
2,008,632 2,446,250 2.3
- ----------------------------------------------------------------------------------------------------------------------
RESTAURANTS 16,500 +Tricon Global Restaurants, Inc...... 567,440 479,531 0.4
- ----------------------------------------------------------------------------------------------------------------------
RETAIL 22,955 Rite Aid Corporation................. 815,220 1,347,172 1.2
12,500 +Safeway, Inc........................ 686,220 790,625 0.7
16,600 Sears, Roebuck & Co.................. 773,410 751,150 0.7
21,000 Wal-Mart Stores, Inc................. 866,964 828,187 0.8
----------- ------------- -----
3,141,814 3,717,134 3.4
- ----------------------------------------------------------------------------------------------------------------------
SOFTWARE 12,000 +BMC Software, Inc................... 506,821 786,000 0.7
15,500 Computer Associates International,
Inc................................. 455,899 819,562 0.8
6,100 +Microsoft Corp...................... 762,096 788,044 0.7
----------- ------------- -----
1,724,816 2,393,606 2.2
- ----------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 42,371 +Tele-Communications, Inc. (Class
A).................................. 690,475 1,181,092 1.1
24,229 +Tele-Communications TCI Ventures
Group............................... 394,819 685,984 0.6
37,200 +WorldCom, Inc....................... 975,280 1,125,300 1.1
----------- ------------- -----
2,060,574 2,992,376 2.8
- ----------------------------------------------------------------------------------------------------------------------
TRANSPORT SERVICES 24,000 +OMI Corp............................ 310,830 220,500 0.2
- ----------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 26,500 Carnival Corp. (Class A)............. 784,889 1,467,437 1.4
- ----------------------------------------------------------------------------------------------------------------------
UTILITIES 33,800 Edison International, Inc............ 654,825 918,937 0.9
21,000 Texas Utilities Company.............. 838,049 872,812 0.8
----------- ------------- -----
1,492,874 1,791,749 1.7
- ----------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS 49,240,632 58,712,171 54.2
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
18
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of December 31, 1997 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
AMOUNT SHORT-TERM SECURITIES COST (NOTE 1A) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMMERCIAL PAPER** $ 5,000,000 AIG Funding, Inc., 6.02% due
1/05/1998........................... $ 4,995,819 $ 4,995,819 4.6%
2,370,000 General Motors Acceptance Corp.,
6.75% due 1/02/1998................. 2,369,111 2,369,111 2.2
- ----------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 7,364,930 7,364,930 6.8
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS.................... $96,184,564 107,747,276 99.5
-----------
-----------
OTHER ASSETS LESS LIABILITIES........ 576,742 0.5
------------- -----
NET ASSETS........................... $ 108,324,018 100.0%
------------- -----
------------- -----
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Consistent with the general policy of the Securities and Exchange
Commission, the nationality or domicile of an issuer for determination of
foreign issuer status may be (i) the country under whose laws the issuer is
organized, (ii) the country in which the issuer's securities are principally
traded, or (iii) the country in which the issuer derives a significant
proportion (at least 50%) of its revenue or profits from goods produced and
sold, investments made, or services performed in the country, or in which at
least 50% of the assets of the issuer are situated.
* American Depositary Receipts (ADR).
** Commercial Paper is traded on a discount basis. The interest rates shown are
the discount rates paid at the time of purchase by the Portfolio.
+ Non-income producing security.
++ Subject to principal paydowns.
See Notes to Financial Statements.
19
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of December 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS & WARRANTS COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 141,000 AlliedSignal, Inc................. $ 5,141,493 $ 5,490,188 1.6%
90,000 GenCorp, Inc...................... 2,627,014 2,250,000 0.7
28,800 +Orbital Sciences Corp............ 739,683 856,800 0.3
------------- ------------- -----
8,508,190 8,596,988 2.6
- -------------------------------------------------------------------------------------------------------------------
AIRLINES 111,000 +US Airways Group, Inc............ 4,017,754 6,937,500 2.1
- -------------------------------------------------------------------------------------------------------------------
APPLIANCES 122,900 Sunbeam Corp...................... 4,676,121 5,177,163 1.5
- -------------------------------------------------------------------------------------------------------------------
AUTOMOBILE PARTS 119,000 Federal-Mogul Corp................ 4,643,081 4,819,500 1.4
- -------------------------------------------------------------------------------------------------------------------
AUTOMOBILE RENTAL 131,100 +Avis Rent-A-Car, Inc............. 2,858,008 4,187,006 1.2
141,000 Hertz Corp. (Class A)............. 4,731,939 5,675,250 1.7
------------- ------------- -----
7,589,947 9,862,256 2.9
- -------------------------------------------------------------------------------------------------------------------
BANKING 96,000 Bank of New York Co., Inc......... 1,766,630 5,550,000 1.6
15,000 Bank of New York Co., Inc.
(Warrants) (a)................... 168,750 2,538,750 0.8
82,800 BankAmerica Corp.................. 4,291,836 6,044,400 1.8
111,900 First Union Corporation........... 5,504,283 5,734,875 1.7
------------- ------------- -----
11,731,499 19,868,025 5.9
- -------------------------------------------------------------------------------------------------------------------
BROADCASTING-MEDIA 68,000 +Chancellor Media Corp............ 4,313,203 5,074,500 1.5
- -------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES 129,000 +Gartner Group, Inc. (Class A).... 4,377,318 4,805,250 1.4
- -------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 46,050 +Cisco Systems, Inc............... 2,624,905 2,567,288 0.8
- -------------------------------------------------------------------------------------------------------------------
COMPUTERS 27,000 Compaq Computer Corp.............. 808,833 1,523,813 0.4
16,000 International Business Machines
Corp............................. 876,480 1,673,000 0.5
96,000 +Quantum Corporation.............. 2,707,737 1,926,000 0.6
------------- ------------- -----
4,393,050 5,122,813 1.5
- -------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS 200,700 The Dial Corporation.............. 3,875,692 4,177,069 1.2
- -------------------------------------------------------------------------------------------------------------------
CONTAINERS 144,100 +Owens-Illinois, Inc.............. 4,182,158 5,466,794 1.6
- -------------------------------------------------------------------------------------------------------------------
CRUISE LINES 55,500 Royal Caribbean Cruises Ltd....... 2,415,788 2,958,844 0.9
- -------------------------------------------------------------------------------------------------------------------
DENTAL SUPPLIES & 130,000 DENTSPLY International Inc........ 3,330,528 3,965,000 1.2
EQUIPMENT
- -------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 70,000 General Electric Co............... 4,934,036 5,136,250 1.5
- -------------------------------------------------------------------------------------------------------------------
ELECTRONICS 124,000 +National Semiconductor
Corporation...................... 5,032,569 3,216,250 1.0
- -------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 35,000 American Express Company.......... 1,719,517 3,123,750 0.9
126,000 MGIC Investment Corp.............. 4,763,407 8,379,000 2.5
------------- ------------- -----
6,482,924 11,502,750 3.4
- -------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 73,200 Black & Decker Corporation........ 2,451,987 2,859,375 0.9
- -------------------------------------------------------------------------------------------------------------------
INSURANCE 33,200 Hartford Life, Inc. (Class A)..... 1,077,390 1,504,375 0.4
172,000 Provident Companies, Inc.......... 5,685,891 6,643,500 2.0
136,500 Travelers Group, Inc.............. 4,787,323 7,353,938 2.2
41,400 Travelers Property Casualty Corp.
(Class A)........................ 1,675,529 1,821,600 0.5
109,800 UNUM Corporation.................. 3,505,390 5,970,375 1.8
------------- ------------- -----
16,731,523 23,293,788 6.9
- -------------------------------------------------------------------------------------------------------------------
LEISURE/TOURISM 183,000 Brunswick Corporation............. 4,763,323 5,547,188 1.7
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
20
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS & WARRANTS COST (NOTE 1A) NET ASSETS
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MACHINERY 67,000 Harnischfeger Industries, Inc..... $ 2,903,369 $ 2,365,938 0.7%
136,500 Ingersoll-Rand Co................. 4,095,877 5,528,250 1.6
52,000 SPX Corporation................... 2,949,980 3,588,000 1.1
------------- ------------- -----
9,949,226 11,482,188 3.4
- -------------------------------------------------------------------------------------------------------------------
MEDICAL SERVICES 225,967 +HEALTHSOUTH Corporation.......... 6,112,619 6,270,584 1.9
- -------------------------------------------------------------------------------------------------------------------
NATURAL GAS 91,000 El Paso Natural Gas Co............ 4,578,330 6,051,500 1.8
53,700 Enron Corp........................ 2,094,624 2,231,906 0.7
------------- ------------- -----
6,672,954 8,283,406 2.5
- -------------------------------------------------------------------------------------------------------------------
OFFICE EQUIPMENT 60,000 Danka Business Systems PLC (ADR)*
(b).............................. 2,957,913 956,250 0.3
- -------------------------------------------------------------------------------------------------------------------
OIL SERVICES 36,000 Schlumberger Ltd.................. 1,519,927 2,898,000 0.9
66,100 +Smith International, Inc......... 3,006,189 4,056,888 1.2
------------- ------------- -----
4,526,116 6,954,888 2.1
- -------------------------------------------------------------------------------------------------------------------
PETROLEUM 160,000 Unocal Corp....................... 6,011,876 6,210,000 1.9
- -------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 56,000 Bristol-Myers Squibb Co........... 5,320,186 5,299,000 1.6
82,000 Lilly (Eli) & Co.................. 5,172,226 5,709,250 1.7
72,000 Pfizer, Inc....................... 5,267,080 5,368,500 1.6
36,000 Warner-Lambert Company............ 5,150,160 4,464,000 1.3
------------- ------------- -----
20,909,652 20,840,750 6.2
- -------------------------------------------------------------------------------------------------------------------
RAILROADS 62,000 Burlington Northern Santa Fe,
Inc.............................. 5,349,558 5,762,125 1.7
- -------------------------------------------------------------------------------------------------------------------
REAL ESTATE 127,000 Glenborough Realty Trust.......... 3,175,000 3,762,375 1.1
INVESTMENT 117,400 Prentiss Properties Trust......... 2,455,113 3,279,862 1.0
TRUSTS 61,000 Starwood Lodging Trust............ 1,598,323 3,530,375 1.1
------------- ------------- -----
7,228,436 10,572,612 3.2
- -------------------------------------------------------------------------------------------------------------------
RESTAURANTS 79,000 +Tricon Global Restaurants,
Inc.............................. 2,716,662 2,295,937 0.7
- -------------------------------------------------------------------------------------------------------------------
RETAIL 122,215 Rite Aid Corporation.............. 3,987,535 7,172,493 2.1
61,000 +Safeway, Inc..................... 3,375,741 3,858,250 1.1
108,000 Sears, Roebuck & Co............... 4,290,566 4,887,000 1.5
101,000 Wal-Mart Stores, Inc.............. 4,169,794 3,983,187 1.2
------------- ------------- -----
15,823,636 19,900,930 5.9
- -------------------------------------------------------------------------------------------------------------------
SOFTWARE 72,600 +BMC Software, Inc................ 2,712,988 4,755,300 1.4
75,750 Computer Associates International,
Inc.............................. 2,071,480 4,005,281 1.2
28,500 +Microsoft Corp................... 3,554,833 3,681,844 1.1
------------- ------------- -----
8,339,301 12,442,425 3.7
- -------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 204,857 +Tele-Communications, Inc. (Class
A)............................... 3,423,635 5,710,389 1.7
117,143 +Tele-Communications TCI Ventures
Group............................ 1,957,736 3,316,611 1.0
193,000 +WorldCom, Inc.................... 5,306,603 5,838,250 1.7
------------- ------------- -----
10,687,974 14,865,250 4.4
- -------------------------------------------------------------------------------------------------------------------
TRANSPORT SERVICES 110,000 +OMI Corp......................... 1,424,704 1,010,625 0.3
- -------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 123,000 Carnival Corp. (Class A).......... 3,529,627 6,811,125 2.0
- -------------------------------------------------------------------------------------------------------------------
UTILITIES 219,100 Edison International, Inc......... 4,188,269 5,956,781 1.8
97,500 Texas Utilities Company........... 3,890,927 4,052,344 1.2
------------- ------------- -----
8,079,196 10,009,125 3.0
- -------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS & WARRANTS 231,395,046 285,622,811 85.1
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
21
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRIES HELD FOREIGN STOCKS++++ COST (NOTE 1A) NET ASSETS
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ARGENTINA 13,800 Yacimientos Petroliferos Fiscales
S.A. (ADR)* (19)................. $ 304,160 $ 471,787 0.1%
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ARGENTINA 304,160 471,787 0.1
- -------------------------------------------------------------------------------------------------------------------
AUSTRALIA 110,000 Broken Hill Proprietary Co., Ltd.
(6).............................. 1,450,439 1,020,442 0.3
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN AUSTRALIA 1,450,439 1,020,442 0.3
- -------------------------------------------------------------------------------------------------------------------
BAHAMAS 71,600 +Sun International Hotels Ltd.
(26)............................. 2,746,494 2,693,950 0.8
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE BAHAMAS 2,746,494 2,693,950 0.8
- -------------------------------------------------------------------------------------------------------------------
BRAZIL 5,000 Telecomunicacoes Brasileiras
S.A.-Telebras (ADR)* (24)........ 279,055 582,187 0.2
9,300 +Uniao de Banco Brasileiros S.A.
(Unibanco) (GDR)** (2)........... 313,962 299,344 0.1
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BRAZIL 593,017 881,531 0.3
- -------------------------------------------------------------------------------------------------------------------
CANADA 438,000 +Gulf Canada Resources Ltd.
(17)............................. 4,066,909 3,066,000 0.9
62,300 +Imax Corporation (9)............. 1,232,317 1,339,450 0.4
15,500 Magna International Inc. (Class A)
(1).............................. 627,122 973,594 0.3
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 5,926,348 5,379,044 1.6
- -------------------------------------------------------------------------------------------------------------------
FINLAND 45,500 +Amer Group Ltd. (6).............. 809,605 872,832 0.3
23,700 Finnlines OY (5).................. 473,846 939,734 0.3
36,960 Orion-Yhtymae OY (Class B) (20)... 996,461 950,545 0.3
55,100 UPM-Kymmene OY (18)............... 1,136,242 1,098,460 0.3
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 3,416,154 3,861,571 1.2
- -------------------------------------------------------------------------------------------------------------------
FRANCE 8,800 +SGS-Thomson Microelectronics N.V.
(NY Registered Shares) (23)...... 335,313 537,350 0.2
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 335,313 537,350 0.2
- -------------------------------------------------------------------------------------------------------------------
GERMANY 10,700 Bayerische Vereinsbank AG (2)..... 645,305 700,128 0.2
21,500 Henkel KGaA (Preferred) (4)....... 914,503 1,356,599 0.4
1,900 Mannesmann AG (13)................ 663,326 960,140 0.3
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 2,223,134 3,016,867 0.9
- -------------------------------------------------------------------------------------------------------------------
ITALY 109,000 Arnoldo Mondadori Editore
S.p.A. (21)...................... 920,007 856,376 0.2
170,100 Danieli & Co. Officine Meccaniche
S.p.A. (13)...................... 655,636 611,483 0.2
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 1,575,643 1,467,859 0.4
- -------------------------------------------------------------------------------------------------------------------
JAPAN 24,000 Amway Japan Ltd. (14)............. 874,029 460,653 0.2
35,000 Bridgestone Corporation (25)...... 610,459 760,461 0.2
7,000 Rohm Co., Ltd. (7)................ 392,198 714,779 0.2
9,000 Sony Corporation (7).............. 664,765 801,536 0.2
43,000 Tokio Marine and Fire Insurance
Co., Ltd. (10)................... 420,696 488,599 0.2
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 2,962,147 3,226,028 1.0
- -------------------------------------------------------------------------------------------------------------------
MEXICO 40,000 Grupo Carso, S.A. de C.V.
(ADR)* (16)...................... 462,500 530,000 0.2
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 462,500 530,000 0.2
- -------------------------------------------------------------------------------------------------------------------
NETHERLANDS 85,000 Royal Dutch Petroleum Co. (NY
Registered Shares) (17).......... 4,642,759 4,605,937 1.4
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
NETHERLANDS 4,642,759 4,605,937 1.4
- -------------------------------------------------------------------------------------------------------------------
NORWAY 203,000 Color Line ASA (5)................ 850,220 786,180 0.2
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 850,220 786,180 0.2
- -------------------------------------------------------------------------------------------------------------------
SOUTH AFRICA 72,600 Sasol Ltd. (6).................... 855,984 761,225 0.2
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH AFRICA 855,984 761,225 0.2
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
22
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRIES HELD FOREIGN STOCKS++++ COST (NOTE 1A) NET ASSETS
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SOUTH KOREA 59,700 +Hyundai Engineering &
Construction Co., Ltd. (GDR)**
(8)++............................ $ 766,170 $ 52,237 0.0%
1,167 +Hyundai Engineering &
Construction Co., Ltd. (New
Shares)
(GDR)** (8)++.................... 14,981 1,021 0.0
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH KOREA 781,151 53,258 0.0
- -------------------------------------------------------------------------------------------------------------------
SPAIN 20,200 Repsol S.A. (ADR)* (19)........... 664,647 859,762 0.2
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 664,647 859,762 0.2
- -------------------------------------------------------------------------------------------------------------------
SWEDEN 48,900 Bure Investment AB (11)........... 438,117 643,624 0.2
28,400 +Castellum AB (22)................ 190,519 282,587 0.1
49,000 Perstorp AB (Class B) (4)......... 917,814 876,378 0.3
49,000 Sparbanken Sverige AB (Class A)
(2).............................. 632,647 1,113,987 0.3
19,000 Spectra-Physics AB (Class A)
(12)............................. 579,661 360,161 0.1
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 2,758,758 3,276,737 1.0
- -------------------------------------------------------------------------------------------------------------------
SWITZERLAND 644 Novartis AG (Registered Shares)
(20)............................. 559,256 1,045,755 0.3
97 Roche Holding AG (20)............. 814,824 964,018 0.3
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWITZERLAND 1,374,080 2,009,773 0.6
- -------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 91,600 Diageo PLC (3).................... 633,271 841,785 0.2
370,400 LucasVarity PLC (1)............... 1,232,079 1,308,021 0.4
81,000 Rio Tinto PLC (15)................ 1,208,953 996,488 0.3
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE UNITED
KINGDOM 3,074,303 3,146,294 0.9
- -------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 36,997,251 38,585,595 11.5
- -------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE AMOUNT SHORT-TERM SECURITIES
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER*** $11,759,000 General Motors Acceptance Corp.,
6.75% due 1/02/1998.............. 11,754,590 11,754,590 3.5
- -------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 11,754,590 11,754,590 3.5
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS................. $ 280,146,887 335,962,996 100.1
-------------
-------------
UNREALIZED APPRECIATION ON FORWARD
FOREIGN EXCHANGE CONTRACTS+++.... 5,290 0.0
LIABILITIES IN EXCESS OF OTHER
ASSETS........................... (165,851) (0.1)
------------- -----
NET ASSETS........................ $ 335,802,435 100.0%
------------- -----
------------- -----
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Warrants entitle the Portfolio to purchase a predetermined number of shares
of common stock. The purchase price and number of shares are subject to
adjustment under certain conditions until the expiration date.
(b) Consistent with the general policy of the Securities and Exchange
Commission, the nationality or domicile of an issuer for determination of
foreign issuer status may be (i) the country under whose laws the issuer is
organized, (ii) the country in which the issuer's securities are
principally traded, or (iii) the country in which the issuer derives a
significant proportion (at least 50%) of its revenue profits from goods
produced and sold, investments made, or services performed in the country,
or in which at least 50% of the assets of the issuer are situated.
* American Depositary Receipts (ADR).
** Global Depositary Receipts (GDR).
*** Commercial Paper is traded on a discount basis; the interest rate shown is
the discount rate paid at the time of purchase by the Portfolio.
+ Non-income producing security.
++ The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
23
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of December 31, 1997 (Concluded)
- --------------------------------------------------------------------------------
+++ Forward foreign exchange contracts as of December 31, 1997 were as follows:
<TABLE>
<CAPTION>
- ------------------------------------------------
UNREALIZED
APPRECIATION
FOREIGN EXPIRATION (DEPRECIATION)
CURRENCY SOLD DATE (NOTE 1F)
- ------------------------------------------------
<S> <C> <C>
A$ 1,520,000 January 1998 $ 13,171
C$ 7,900,000 March 1998 33,767
L 2,225,000 January 1998 (58,224)
Y 400,000,000 January 1998 16,576
- ------------------------------------------------
TOTAL UNREALIZED APPRECIATION ON
FORWARD FOREIGN
EXCHANGE CONTRACTS -- NET (US$
COMMITMENT -- $13,255,961) $ 5,290
--------------
--------------
- ------------------------------------------------
</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) Mining
(16) Multi-Industry
(17) Oil-Integrated
(18) Paper & Forest Products
(19) Petroleum
(20) Pharmaceuticals
(21) Publishing
(22) Real Estate
(23) Semiconductors
(24) Telecommunications
(25) Tires & Rubber
(26) Hotels & Casinos
See Notes to Financial Statements.
24
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 36,000 AlliedSignal, Inc..................... $ 1,356,212 $ 1,401,750 0.6%
30,000 GenCorp, Inc.......................... 850,080 750,000 0.3
7,200 +Orbital Sciences Corp................ 184,823 214,200 0.1
------------- ------------- ------
2,391,115 2,365,950 1.0.......
- -----------------------------------------------------------------------------------------------------------------------
AIRLINES 24,850 +US Airways Group, Inc................ 1,087,988 1,553,125 0.6
- -----------------------------------------------------------------------------------------------------------------------
APPLIANCES 30,500 Sunbeam Corp.......................... 1,198,841 1,284,813 0.5
- -----------------------------------------------------------------------------------------------------------------------
AUTOMOBILE PARTS 30,000 Federal-Mogul Corp.................... 1,160,955 1,215,000 0.5
- -----------------------------------------------------------------------------------------------------------------------
AUTOMOBILE RENTAL 38,000 +Avis Rent-A-Car, Inc................. 902,560 1,213,625 0.5
35,300 Hertz Corp. (Class A)................. 1,200,731 1,420,825 0.6
------------- ------------- ------
2,103,291 2,634,450 1.1
- -----------------------------------------------------------------------------------------------------------------------
BANKING 30,000 Bank of New York Co., Inc............. 935,740 1,734,375 0.7
20,100 BankAmerica Corp...................... 1,257,926 1,467,300 0.6
33,000 First Union Corporation............... 1,630,013 1,691,250 0.7
------------- ------------- ------
3,823,679 4,892,925 2.0
- -----------------------------------------------------------------------------------------------------------------------
BROADCASTING-MEDIA 14,800 +Chancellor Media Corp................ 938,760 1,104,450 0.4
- -----------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES 28,100 +Gartner Group, Inc. (Class A)........ 953,365 1,046,725 0.4
- -----------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 11,700 +Cisco Systems, Inc................... 670,311 652,275 0.3
- -----------------------------------------------------------------------------------------------------------------------
COMPUTERS 8,300 Compaq Computer Corp.................. 316,567 468,431 0.2
6,000 International Business Machines
Corp................................. 385,175 627,375 0.2
24,000 +Quantum Corporation.................. 656,525 481,500 0.2
------------- ------------- ------
1,358,267 1,577,306 0.6
- -----------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS 50,800 The Dial Corporation.................. 983,899 1,057,275 0.4
- -----------------------------------------------------------------------------------------------------------------------
CONTAINERS 45,000 +Owens-Illinois, Inc.................. 1,350,687 1,707,188 0.7
- -----------------------------------------------------------------------------------------------------------------------
CRUISE LINES 14,000 Royal Caribbean Cruises Ltd........... 615,630 746,375 0.3
- -----------------------------------------------------------------------------------------------------------------------
DENTAL SUPPLIES & 28,000 DENTSPLY International Inc............ 706,618 854,000 0.3
EQUIPMENT
- -----------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 18,000 General Electric Co................... 1,275,703 1,320,750 0.5
- -----------------------------------------------------------------------------------------------------------------------
ELECTRONICS 37,200 +National Semiconductor Corporation... 1,436,027 964,875 0.4
- -----------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 13,900 American Express Company.............. 810,776 1,240,575 0.5
20,300 MGIC Investment Corp.................. 786,354 1,349,950 0.5
------------- ------------- ------
1,597,130 2,590,525 1.0
- -----------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 32,400 Black & Decker Corporation............ 1,115,098 1,265,625 0.5
- -----------------------------------------------------------------------------------------------------------------------
INSURANCE 10,500 Hartford Life, Inc. (Class A)......... 356,699 475,781 0.3
50,500 Provident Companies, Inc.............. 1,692,482 1,950,563 0.8
29,000 Travelers Group, Inc.................. 1,135,476 1,562,375 0.6
13,000 Travelers Property Casualty Corp.
(Class A)............................ 526,489 572,000 0.2
24,500 UNUM Corporation...................... 777,212 1,332,188 0.5
------------- ------------- ------
4,488,358 5,892,907 2.4
- -----------------------------------------------------------------------------------------------------------------------
LEISURE/TOURISM 39,600 Brunswick Corporation................. 1,028,242 1,200,375 0.5
- -----------------------------------------------------------------------------------------------------------------------
MACHINERY 19,700 Harnischfeger Industries, Inc......... 834,368 695,656 0.3
35,000 Ingersoll-Rand Co..................... 1,119,986 1,417,500 0.6
13,000 SPX Corporation....................... 737,680 897,000 0.3
------------- ------------- ------
2,692,034 3,010,156 1.2
- -----------------------------------------------------------------------------------------------------------------------
MEDICAL SERVICES 61,500 +HEALTHSOUTH Corporation.............. 1,667,894 1,706,625 0.7
- -----------------------------------------------------------------------------------------------------------------------
NATURAL GAS 26,400 El Paso Natural Gas Co................ 1,381,552 1,755,600 0.7
16,000 Enron Corp............................ 588,791 665,000 0.3
------------- ------------- ------
1,970,343 2,420,600 1.0
- -----------------------------------------------------------------------------------------------------------------------
OFFICE EQUIPMENT 14,700 Danka Business Systems PLC (ADR)*
(a).................................. 724,661 234,281 0.1
- -----------------------------------------------------------------------------------------------------------------------
OIL SERVICES 12,000 Schlumberger Ltd...................... 567,172 966,000 0.4
21,000 +Smith International, Inc............. 1,049,748 1,288,875 0.5
------------- ------------- ------
1,616,920 2,254,875 0.9
- -----------------------------------------------------------------------------------------------------------------------
PETROLEUM 32,000 Unocal Corp........................... 1,132,893 1,242,000 0.5
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
25
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1997 (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 $ 1,362,600 0.6%
21,500 Lilly (Eli) & Co...................... 1,361,257 1,496,938 0.6
18,000 Pfizer, Inc........................... 1,325,870 1,342,125 0.5
9,200 Warner-Lambert Company................ 1,272,652 1,140,800 0.5
------------- ------------- ------
5,329,724 5,342,463 2.2
- -----------------------------------------------------------------------------------------------------------------------
RAILROADS 11,000 Burlington Northern Santa Fe, Inc..... 918,861 1,022,313 0.4
- -----------------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT 31,000 Glenborough Realty Trust.............. 775,000 918,375 0.4
TRUSTS 26,700 Prentiss Properties Trust............. 543,761 745,931 0.3
12,950 Starwood Lodging Trust................ 350,270 749,481 0.3
------------- ------------- ------
1,669,031 2,413,787 1.0
- -----------------------------------------------------------------------------------------------------------------------
RESTAURANTS 20,000 +Tricon Global Restaurants, Inc....... 687,878 581,250 0.2
- -----------------------------------------------------------------------------------------------------------------------
RETAIL 23,465 Rite Aid Corporation.................. 799,700 1,377,102 0.6
15,700 +Safeway, Inc......................... 885,298 993,025 0.4
24,000 Sears, Roebuck & Co................... 1,131,720 1,086,000 0.4
26,000 Wal-Mart Stores, Inc.................. 1,073,399 1,025,375 0.4
------------- ------------- ------
3,890,117 4,481,502 1.8
- -----------------------------------------------------------------------------------------------------------------------
SOFTWARE 17,000 +BMC Software, Inc.................... 800,735 1,113,500 0.5
18,850 Computer Associates International,
Inc.................................. 635,220 996,694 0.4
6,000 +Microsoft Corp....................... 724,999 775,125 0.3
------------- ------------- ------
2,160,954 2,885,319 1.2
- -----------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 64,713 +Tele-Communications, Inc. (Class
A)................................... 1,212,101 1,803,875 0.7
37,287 +Tele-Communications TCI Ventures
Group................................ 696,707 1,055,688 0.4
44,000 +WorldCom, Inc........................ 1,171,722 1,331,000 0.6
------------- ------------- ------
3,080,530 4,190,563 1.7
- -----------------------------------------------------------------------------------------------------------------------
TRANSPORT SERVICES 33,000 +OMI Corp............................. 411,960 303,188 0.1
- -----------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 29,000 Carnival Corp. (Class A).............. 948,415 1,605,875 0.6
- -----------------------------------------------------------------------------------------------------------------------
UTILITIES 51,600 Edison International, Inc............. 1,041,178 1,402,875 0.6
25,500 Texas Utilities Company............... 1,019,351 1,059,844 0.4
------------- ------------- ------
2,060,529 2,462,719 1.0
- -----------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS 61,246,708 72,084,430 29.0
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
COUNTRIES FOREIGN STOCKS++
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
ARGENTINA 32,500 Yacimientos Petroliferos Fiscales S.A.
(ADR)* (24).......................... 703,090 1,111,094 0.4
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ARGENTINA 703,090 1,111,094 0.4
- -----------------------------------------------------------------------------------------------------------------------
AUSTRALIA 226,000 Broken Hill Proprietary Co., Ltd.
(9).................................. 2,933,595 2,096,546 0.8
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN AUSTRALIA 2,933,595 2,096,546 0.8
- -----------------------------------------------------------------------------------------------------------------------
BAHAMAS 18,000 +Sun International Hotels Ltd. (33)... 690,493 677,250 0.3
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE BAHAMAS 690,493 677,250 0.3
- -----------------------------------------------------------------------------------------------------------------------
BRAZIL 8,800 Telecomunicacoes Brasileiras S.A.-
Telebras (ADR)* (31)................. 770,142 1,024,650 0.5
18,500 +Uniao de Bancos Brasileiros S.A.
(Unibanco) (GDR)** (3)............... 624,506 595,469 0.2
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BRAZIL 1,394,648 1,620,119 0.7
- -----------------------------------------------------------------------------------------------------------------------
CANADA 131,000 +Gulf Canada Resources Ltd. (22)...... 1,216,374 917,000 0.3
66,500 +Imax Corporation (12)................ 1,061,590 1,429,750 0.6
30,700 Magna International Inc. (Class A)
(2).................................. 1,439,990 1,928,344 0.8
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 3,717,954 4,275,094 1.7
- -----------------------------------------------------------------------------------------------------------------------
FINLAND 65,000 +Amer Group Ltd. (9).................. 1,181,497 1,246,902 0.5
50,000 Finnlines OY (8)...................... 923,284 1,982,561 0.8
42,000 Orion-Yhtymae OY (Class B) (25)....... 1,178,334 1,080,165 0.4
86,000 UPM-Kymmene OY (23)................... 1,809,817 1,714,475 0.7
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 5,092,932 6,024,103 2.4
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
26
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRIES HELD FOREIGN STOCKS++ COST (NOTE 1A) NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FRANCE 16,600 +SGS-Thomson Microelectronics N.V. (NY
Registered Shares) (30).............. $ 630,256 $ 1,013,637 0.4%
44,000 Scor S.A. (28)........................ 1,707,560 2,103,871 0.9
24,500 Thomson CSF (10)...................... 769,883 772,163 0.3
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 3,107,699 3,889,671 1.6
- -----------------------------------------------------------------------------------------------------------------------
GERMANY 20,000 Bayerische Vereinsbank AG (3)......... 1,206,212 1,308,650 0.5
4,000 Henkel KGaA (7)....................... 177,789 224,594 0.1
36,000 Henkel KGaA (Preferred) (7)........... 1,529,763 2,271,514 0.9
4,785 Mannesmann AG (18).................... 1,581,051 2,418,037 1.0
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 4,494,815 6,222,795 2.5
- -----------------------------------------------------------------------------------------------------------------------
INDONESIA 73,250 P.T. Indonesian Satellite Corp. (ADR)*
(31)................................. 1,978,885 1,414,641 0.6
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 1,978,885 1,414,641 0.6
- -----------------------------------------------------------------------------------------------------------------------
ITALY 246,000 Arnoldo Mondadori Editore S.p.A.
(26)................................. 1,990,308 1,932,738 0.8
431,000 Danieli & Co. Officine Meccaniche
S.p.A. (18).......................... 1,590,085 1,549,378 0.6
46,900 Gucci Group N.V. (NY Registered
Shares) (1).......................... 3,323,687 1,963,937 0.8
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 6,904,080 5,446,053 2.2
- -----------------------------------------------------------------------------------------------------------------------
JAPAN 50,000 Amway Japan Ltd (19).................. 1,804,119 959,693 0.4
86,000 Bridgestone Corporation (32).......... 1,493,953 1,868,560 0.7
285,000 Maeda Corp. (5)....................... 2,154,382 634,549 0.2
77,000 Matsushita Electric Industrial Co.,
Ltd. (10)............................ 1,225,130 1,129,136 0.5
124,000 Matsushita Electric Works, Ltd. (6)... 1,411,454 1,075,777 0.4
187,000 Okumura Corp. (5)..................... 1,557,500 445,067 0.2
12,000 Rohm Co., Ltd. (10)................... 765,182 1,225,336 0.5
22,000 Sony Corporation (10)................. 1,620,901 1,959,309 0.8
104,000 Tokio Marine and Fire Insurance Co.,
Ltd. (15)............................ 1,072,502 1,181,727 0.5
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 13,105,123 10,479,154 4.2
- -----------------------------------------------------------------------------------------------------------------------
MEXICO 75,000 Grupo Carso, S.A. de C.V. (ADR)*
(21)................................. 1,008,093 993,750 0.4
50,000 +Grupo Financiero Bancomer, S.A. de
C.V. (ADR)* (13)..................... 713,671 625,000 0.2
27,750 Panamerican Beverages, Inc.
(Class A) (4)........................ 697,337 905,344 0.4
12,900 Telefonos de Mexico, S.A. de C.V.
(Telmex) (ADR)* (31)................. 518,725 723,206 0.3
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 2,937,826 3,247,300 1.3
- -----------------------------------------------------------------------------------------------------------------------
NETHERLANDS 20,300 Royal Dutch Petroleum Co. (NY
Registered Shares) (22).............. 1,108,800 1,100,006 0.5
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE NETHERLANDS 1,108,800 1,100,006 0.5
- -----------------------------------------------------------------------------------------------------------------------
NORWAY 212,000 Color Line ASA (8).................... 826,832 821,035 0.3
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 826,832 821,035 0.3
- -----------------------------------------------------------------------------------------------------------------------
PHILIPPINES 431,890 San Miguel Corp. (Class B) (4)........ 815,220 534,464 0.2
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE PHILIPPINES 815,220 534,464 0.2
- -----------------------------------------------------------------------------------------------------------------------
SOUTH AFRICA 86,000 De Beers Consolidated Mines Ltd.
(ADR)* (20).......................... 2,849,152 1,757,625 0.7
176,000 Sasol Ltd. (9)........................ 2,076,635 1,845,395 0.8
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH AFRICA 4,925,787 3,603,020 1.5
- -----------------------------------------------------------------------------------------------------------------------
SOUTH KOREA 34,000 +Hyundai Engineering & Construction
Co., Ltd. (GDR)** (11) (b)........... 436,344 29,750 0.0
664 +Hyundai Engineering & Construction
Co., Ltd. (New Shares) (GDR)** (11)
(b).................................. 8,522 581 0.0
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH KOREA 444,866 30,331 0.0
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
27
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRIES HELD FOREIGN STOCKS++ COST (NOTE 1A) NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SPAIN 46,700 Repsol S.A. (ADR)* (24)............... $ 1,449,107 $ 1,987,669 0.8%
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 1,449,107 1,987,669 0.8
- -----------------------------------------------------------------------------------------------------------------------
SWEDEN 91,900 Bure Investment AB (16)............... 817,581 1,209,591 0.5
59,800 +Castellum AB (27).................... 401,163 595,025 0.2
156,800 +Nordbanken Holding AB (3)............ 849,521 886,746 0.3
82,000 Perstorp AB (Class B) (7)............. 1,535,983 1,466,591 0.6
94,000 Sparbanken Sverige AB (Class A) (3)... 1,208,588 2,137,036 0.9
39,000 Spectra-Physics AB (Class A) (17)..... 1,190,058 739,278 0.3
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 6,002,894 7,034,267 2.8
- -----------------------------------------------------------------------------------------------------------------------
SWITZERLAND 1,303 Novartis AG (Registered Shares)
(25)................................. 1,317,234 2,115,868 0.9
230 Roche Holding AG (25)................. 1,932,056 2,285,817 0.9
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWITZERLAND 3,249,290 4,401,685 1.8
- -----------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 221,700 Diageo PLC (4)........................ 1,577,114 2,037,376 0.8
167,000 Dixons Group PLC (29)................. 1,752,359 1,675,958 0.7
137,100 Imperial Chemical Industries PLC
(7).................................. 1,778,872 2,141,526 0.9
770,000 LucasVarity PLC (2)................... 2,571,944 2,719,159 1.1
150,000 Rio Tinto PLC (20).................... 2,238,796 1,845,349 0.7
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE UNITED
KINGDOM 9,919,085 10,419,368 4.2
- -----------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 75,803,021 76,435,665 30.8
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT FOREIGN BONDS++
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
CANADA C$ 2,350,000 Canadian Government Bonds, 7% due
12/01/2006 (14)...................... 1,785,347 1,799,899 0.7
- ----------------------------------------------------------------------------------------------------------------------
DENMARK Dkr 21,500,000 Government of Denmark, 7% due
11/15/2007 (14)...................... 3,434,844 3,448,486 1.4
- ----------------------------------------------------------------------------------------------------------------------
FRANCE Frf 21,200,000 French Government Bonds, 5.50% due
10/25/2007 (14)...................... 3,490,586 3,564,446 1.4
- ----------------------------------------------------------------------------------------------------------------------
GERMANY Bundesrepublik Deutschland (14):
DM 2,400,000 6.50% due 10/14/2005.................. 1,547,155 1,438,426 0.6
9,000,000 6% due 7/04/2007...................... 5,263,778 5,245,997 2.1
2,200,000 6% due 6/20/2016...................... 1,223,974 1,268,045 0.5
2,200,000 Treuhandanstalt, 6.875% due 6/11/2003
(14)................................. 1,463,044 1,333,845 0.5
------------- ------------- ------
9,497,951 9,286,313 3.7
- ----------------------------------------------------------------------------------------------------------------------
ITALY Lit 8,250,000,000 Buoni Poliennali del Tesoro (Italian
Government Bonds), 8.50% due
8/01/2004 (14)....................... 5,369,556 5,430,209 2.2
- ----------------------------------------------------------------------------------------------------------------------
SPAIN Pta 500,000,000 Spanish Government Bonds, 7.90% due
2/28/2002 (14)....................... 4,051,905 3,627,220 1.5
- ----------------------------------------------------------------------------------------------------------------------
SWEDEN Skr 31,500,000 Government of Sweden, 8% due 8/15/2007
(14)................................. 4,600,941 4,541,443 1.8
- ----------------------------------------------------------------------------------------------------------------------
UNITED UK Treasury Gilt, 7.25% due 12/07/2007
KINGDOM L 3,250,000 (14)................................. 5,379,426 5,710,126 2.3
- ----------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN BONDS 37,610,556 37,408,142 15.0
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
US GOVERNMENT OBLIGATIONS
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
US US$ 16,100,000 US Treasury Bonds, 6.625% due
GOVERNMENT 2/15/2027............................. 16,375,016 17,478,482 7.0
OBLIGATIONS US Treasury Notes:
12,200,000 6% due 8/15/1999...................... 12,222,359 12,259,048 4.9
2,750,000 6.50% due 5/31/2002................... 2,768,477 2,830,355 1.1
2,300,000 6.25% due 2/15/2007................... 2,292,266 2,373,301 1.0
1,775,000 6.625% due 5/15/2007.................. 1,798,574 1,878,731 0.8
- ----------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT OBLIGATIONS 35,456,692 36,819,917 14.8
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
28
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1997 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
AMOUNT SHORT-TERM SECURITIES COST (NOTE 1A) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMMERCIAL PAPER*** $ 8,627,000 General Motors Acceptance Corp., 6.75%
due 1/02/1998........................ $ 8,625,382 $ 8,625,382 3.5%
- ----------------------------------------------------------------------------------------------------------------------
US 16,000,000 Federal Home Loan Bank, 5.72% due
GOVERNMENT 1/05/1998............................. 15,989,831 15,989,831 6.4
AGENCY
OBLIGATIONS***
- ----------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 24,615,213 24,615,213 9.9
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS..................... $ 234,732,190 247,363,367 99.5
-------------
-------------
UNREALIZED DEPRECIATION ON FORWARD
FOREIGN EXCHANGE CONTRACTS****........ (35,680) 0.0
OTHER ASSETS LESS LIABILITIES......... 1,176,963 0.5
------------- ------
------------- ------
NET ASSETS............................ $ 248,504,650 100.0%
------------- ------
------------- ------
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
* American Depositary Receipts (ADR).
** Global Depositary Receipts (GDR).
*** Commercial Paper and certain US Government Agency Obligations are traded on
a discount basis; the interest rates shown are the discount rates paid at
the time of purchase by the Portfolio.
**** Forward foreign exchange contracts as of December 31, 1997 were as follows:
<TABLE>
<CAPTION>
- -------------------------------------------------
UNREALIZED
APPRECIATION
FOREIGN EXPIRATION (DEPRECIATION)
CURRENCY SOLD DATE (NOTE 1F)
- -------------------------------------------------
<S> <C> <C>
A$ 3,190,000 January 1998 $ 27,641
C$ 8,900,000 March 1998 38,041
L 5,850,000 January 1998 (153,083)
Y 1,350,000,000 January 1998 51,721
- -------------------------------------------------
TOTAL UNREALIZED DEPRECIATION ON
FORWARD FOREIGN EXCHANGE
CONTRACTS -- NET (US$ COMMITMENT
- -- $28,258,695) $ (35,680)
--------------
--------------
- -------------------------------------------------
</TABLE>
(a) Consistent with the general policy of the Securities and Exchange
Commission, the nationality or domicile of an issuer for determination of
foreign issuer status may be (i) the country under whose laws the issuer is
organized, (ii) the country in which the issuer's securities are
principally traded, or (iii) the country in which the issuer derives a
significant proportion (at least 50%) of its revenue or profits from goods
produced and sold, investments made, or services performed in the country,
or in which at least 50% of the assets of the issuer are situated.
(b) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
+ Non-income producing security.
++ Corresponding industry groups for foreign stocks and bonds:
<TABLE>
<C> <S>
(1) Apparel
(2) Auto-Parts
(3) Banking
(4) Beverages
(5) Building & Construction
(6) Building Products
(7) Chemicals
(8) Cruise Lines
(9) Diversified
(10) Electronics
(11) Engineering & Construction
(12) Entertainment
(13) Financial Services
(14) Government (Bonds)
(15) Insurance
(16) Investment Management
(17) Laser Components
(18) Machinery & Equipment
(19) Merchandising
(20) Mining
(21) Multi-Industry
(22) Oil-Integrated
(23) Paper & Forest Products
(24) Petroleum
(25) Pharmaceuticals
(26) Publishing
(27) Real Estate
(28) Reinsurance
(29) Retail
(30) Semiconductors
(31) Telecommunications
(32) Tires & Rubber
(33) Hotels & Casinos
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of December 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES SHARES HELD STOCKS COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
ADVERTISING 60,000 Interpublic Group of Companies,
Inc.............................. $ 1,684,681 $ 2,988,750 0.9%
- ------------------------------------------------------------------------------------------------------------------
BANKING & FINANCIAL 100,000 Banc One Corp..................... 4,578,813 5,431,250 1.6
130,000 BankAmerica Corp.................. 9,408,043 9,490,000 2.8
60,000 Citicorp.......................... 7,775,851 7,586,250 2.3
135,000 Mellon Bank Corporation........... 7,438,646 8,184,375 2.5
80,000 State Street Corporation.......... 3,276,190 4,655,000 1.4
------------- ------------- -----
32,477,543 35,346,875 10.6
- ------------------------------------------------------------------------------------------------------------------
BEVERAGES 50,000 Coca-Cola Co. (The)............... 2,924,111 3,331,250 1.0
- ------------------------------------------------------------------------------------------------------------------
COMMUNICATION 67,500 +Cisco Systems, Inc............... 2,712,058 3,763,125 1.1
EQUIPMENT 225,000 +FORE Systems, Inc................ 5,312,170 3,431,250 1.0
45,000 Lucent Technologies, Inc.......... 2,563,463 3,594,375 1.1
140,000 +Newbridge Networks Corp.......... 5,279,181 4,882,500 1.5
90,000 Northern Telecom Ltd.............. 7,108,939 8,010,000 2.4
130,000 Telefonaktiebolaget LM Ericsson
(ADR)*........................... 4,876,384 4,850,625 1.5
------------- ------------- -----
27,852,195 28,531,875 8.6
- ------------------------------------------------------------------------------------------------------------------
COMPUTERS 215,000 Compaq Computer Corp.............. 7,831,898 12,134,063 3.6
30,000 Hewlett-Packard Co................ 1,674,450 1,875,000 0.6
------------- ------------- -----
9,506,348 14,009,063 4.2
- ------------------------------------------------------------------------------------------------------------------
COMPUTER-SOFTWARE 200,000 +Baan Company, N.V................ 5,054,297 6,550,000 2.0
25,000 +Microsoft Corp................... 2,368,125 3,229,687 1.0
35,000 +Oracle Corp...................... 1,338,648 778,750 0.2
105,000 SAP AG (Systeme, Anwendungen,
Produkte in der
Datenverarbeitung) (ADR)*........ 6,181,875 11,235,000 3.4
------------- ------------- -----
14,942,945 21,793,437 6.6
- ------------------------------------------------------------------------------------------------------------------
COSMETICS 65,000 Gillette Co. (The)................ 5,339,621 6,528,438 2.0
10,000 International Flavors &
Fragrances, Inc.................. 485,470 515,000 0.1
------------- ------------- -----
5,825,091 7,043,438 2.1
- ------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 20,000 Emerson Electric Co............... 658,040 1,128,750 0.4
150,000 General Electric Co............... 5,753,043 11,006,250 3.3
15,000 Honeywell, Inc.................... 1,083,581 1,027,500 0.3
------------- ------------- -----
7,494,664 13,162,500 4.0
- ------------------------------------------------------------------------------------------------------------------
ELECTRONICS 125,000 Intel Corporation................. 8,830,634 8,773,438 2.6
- ------------------------------------------------------------------------------------------------------------------
ENERGY 100,000 El Paso Natural Gas Co............ 4,578,297 6,650,000 2.0
185,000 Enron Corp........................ 7,877,437 7,689,062 2.3
------------- ------------- -----
12,455,734 14,339,062 4.3
- ------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 110,000 +Viacom, Inc. (Class A)........... 5,426,147 4,496,250 1.3
40,000 Walt Disney Co. (The)............. 2,661,838 3,962,500 1.2
------------- ------------- -----
8,087,985 8,458,750 2.5
- ------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 80,000 American Express Company.......... 6,394,871 7,140,000 2.1
235,000 Federal National Mortgage
Association...................... 10,496,280 13,409,688 4.0
250,000 Travelers Group, Inc.............. 10,078,749 13,468,750 4.1
------------- ------------- -----
26,969,900 34,018,438 10.2
- ------------------------------------------------------------------------------------------------------------------
FOOD 50,000 ConAgra, Inc...................... 1,141,500 1,640,625 0.5
25,000 Wrigley (Wm.) Jr. Company
(Class B)........................ 1,504,620 1,989,063 0.6
------------- ------------- -----
2,646,120 3,629,688 1.1
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
30
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES SHARES HELD STOCKS COST (NOTE 1A) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FOOD MERCHANDISING 100,000 Albertsons, Inc................... $ 3,960,922 $ 4,737,500 1.4%
130,000 +Meyer (Fred), Inc................ 2,514,255 4,728,750 1.4
------------- ------------- -----
6,475,177 9,466,250 2.8
- ------------------------------------------------------------------------------------------------------------------
HOTELS 15,000 Marriott International, Inc....... 703,815 1,038,750 0.3
- ------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 45,000 Colgate-Palmolive Co.............. 3,153,150 3,307,500 1.0
20,000 Kimberly-Clark Corp............... 1,078,644 986,250 0.3
90,000 Procter & Gamble Co............... 4,844,224 7,183,125 2.2
------------- ------------- -----
9,076,018 11,476,875 3.5
- ------------------------------------------------------------------------------------------------------------------
INFORMATION 180,000 First Data Corp................... 6,701,885 5,265,000 1.6
SERVICES
- ------------------------------------------------------------------------------------------------------------------
INSURANCE 10,000 Aetna, Inc........................ 822,491 705,625 0.2
60,000 American International Group,
Inc.............................. 5,647,140 6,525,000 2.0
------------- ------------- -----
6,469,631 7,230,625 2.2
- ------------------------------------------------------------------------------------------------------------------
LEISURE 105,000 Polygram N.V. (NY Registered
Shares).......................... 5,039,807 5,007,187 1.5
- ------------------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 90,000 +Boston Scientific Corp........... 4,846,691 4,128,750 1.2
45,000 Guidant Corporation............... 2,917,779 2,801,250 0.8
25,000 Johnson & Johnson................. 1,065,060 1,646,875 0.5
------------- ------------- -----
8,829,530 8,576,875 2.5
- ------------------------------------------------------------------------------------------------------------------
OIL SERVICES 140,000 Baker Hughes, Inc................. 5,327,977 6,107,500 1.8
170,000 Diamond Offshore Drilling, Inc.... 5,827,699 8,181,250 2.5
130,000 Schlumberger Ltd.................. 7,199,778 10,465,000 3.1
------------- ------------- -----
18,355,454 24,753,750 7.4
- ------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 65,000 Amgen, Inc........................ 3,224,464 3,518,125 1.0
45,000 Bristol-Myers Squibb Co........... 3,362,809 4,258,125 1.3
50,000 Merck & Co., Inc.................. 3,384,854 5,312,500 1.6
70,000 Pfizer, Inc....................... 3,314,276 5,219,375 1.6
------------- ------------- -----
13,286,403 18,308,125 5.5
- ------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 15,000 Eastman Kodak Co.................. 953,578 912,187 0.3
- ------------------------------------------------------------------------------------------------------------------
POLLUTION CONTROL 20,000 Waste Management, Inc............. 591,174 550,000 0.2
- ------------------------------------------------------------------------------------------------------------------
RESTAURANTS 15,000 McDonald's Corp................... 684,747 716,250 0.2
- ------------------------------------------------------------------------------------------------------------------
RETAIL-SPECIALTY 50,000 CVS Corporation................... 2,908,219 3,203,125 1.0
150,000 +Staples, Inc..................... 3,796,310 4,162,500 1.3
105,000 Walgreen Co....................... 2,872,665 3,294,375 1.0
------------- ------------- -----
9,577,194 10,660,000 3.3
- ------------------------------------------------------------------------------------------------------------------
RETAIL-STORES 300,000 Wal-Mart Stores, Inc.............. 9,933,853 11,831,250 3.5
- ------------------------------------------------------------------------------------------------------------------
TOYS 35,000 Mattel, Inc....................... 1,276,170 1,303,750 0.4
- ------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 20,000 Carnival Corp. (Class A).......... 467,500 1,107,500 0.3
- ------------------------------------------------------------------------------------------------------------------
TOTAL STOCKS 260,119,887 313,630,938 94.2
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
31
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of December 31, 1997 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
AMOUNT SHORT-TERM SECURITIES COST (NOTE 1A) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMMERCIAL PAPER** $ 2,945,000 General Motors Acceptance Corp.,
6.75% due 1/02/1998.............. $ 2,943,896 $ 2,943,896 0.9%
6,000,000 Lexington Parker Capital Co. LLC,
6.05% due 1/14/1998.............. 5,985,883 5,985,883 1.8
10,000,000 Republic Industries, Inc., 6% due
1/07/1998........................ 9,988,333 9,988,333 3.0
- ------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 18,918,112 18,918,112 5.7
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS................. $ 279,037,999 332,549,050 99.9
-------------
-------------
OTHER ASSETS LESS LIABILITIES..... 473,979 0.1
------------- -----
NET ASSETS........................ $ 333,023,029 100.0%
------------- -----
------------- -----
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
* American Depositary Receipts (ADR).
** Commercial Paper is traded on a discount basis; the interest rates shown are
the discount rates paid at the time of purchase by the Portfolio.
+ Non-income producing security.
See Notes to Financial Statements.
32
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
AEROSPACE & B- B2 $ 500,000 L-3 Communications Corp., 10.375% due
DEFENSE-0.4% 5/01/2007.............................. $ 500,000 $ 542,500
- ------------------------------------------------------------------------------------------------------------------------
AIRLINES-0.6% B+ B1 750,000 US Airways Group Inc., 10.375% due
3/01/2013.............................. 750,000 839,370
- ------------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE-0.7% B+ B2 1,000,000 Venture Holdings Trust, 9.50% due
7/01/2005.............................. 985,539 1,005,000
- ------------------------------------------------------------------------------------------------------------------------
BROADCASTING-RADIO & B- B3 1,000,000 Salem Communications Corp., 9.50% due
TELEVISION-2.1% 10/01/2007 (f)......................... 1,020,000 1,015,000
B B2 2,000,000 Sinclair Broadcast Group, Inc., 8.75%
due 12/15/2007......................... 1,992,160 2,000,000
------------ ------------
3,012,160 3,015,000
- ------------------------------------------------------------------------------------------------------------------------
CABLE- CCC+ Caa 2,075,790 American Telecasting, Inc., 29.862%**
DOMESTIC-5.4% due 6/15/2004.......................... 849,029 685,011
BB- Ba3 2,000,000 Century Communications Corp., 9.50% due
3/01/2005.............................. 1,977,500 2,120,000
B B2 1,500,000 Intermedia Capital Partners, 11.25% due
8/01/2006.............................. 1,493,750 1,642,500
BB+ Ba3 1,000,000 Lenfest Communications, Inc., 8.375% due
11/01/2005............................. 931,250 1,027,500
B B1 1,000,000 Olympus Communications L.P., 10.625% due
11/15/2006............................. 1,000,000 1,107,500
BB+ Ba3 1,000,000 TCI Communications Inc., 9.65% due
3/31/2027.............................. 1,026,250 1,170,620
------------ ------------
7,277,779 7,753,131
- ------------------------------------------------------------------------------------------------------------------------
CABLE- Australis Media Ltd. (a):
INTERNATIONAL-2.7% D C 17,716 1.75%/15.75% due 5/15/2003............. 11,976 7,549
NR* NR* 2,000,000 1.75%/15.75% due 5/15/2003 (g).......... 1,366,087 822,178
B- B3 2,000,000 NTL Incorporated, Series B, 10.688%**
due 2/01/2006.......................... 1,483,252 1,552,500
B+ B1 2,000,000 Telewest Communications PLC, 11.489%**
due 10/01/2007......................... 1,438,580 1,555,000
------------ ------------
4,299,895 3,937,227
- ------------------------------------------------------------------------------------------------------------------------
CAPITAL GOODS-1.8% B+ B1 1,000,000 Bucyrus International, Inc., 9.75% due
9/15/2007.............................. 1,000,000 1,010,000
B- B3 1,500,000 International Wire Group, Inc., 11.75%
due 6/01/2005.......................... 1,486,875 1,642,500
------------ ------------
2,486,875 2,652,500
- ------------------------------------------------------------------------------------------------------------------------
CHEMICALS-0.5% BB- Ba3 744,000 ISP Holdings Inc., 9.75% due
2/15/2002.............................. 744,000 785,850
- ------------------------------------------------------------------------------------------------------------------------
COMPUTER BB- Ba1 1,000,000 Advanced Micro Devices, Inc., 11% due
SERVICES-1.4% 8/01/2003.............................. 1,000,000 1,070,000
CCC B3 1,000,000 Dictaphone Corp., 11.75% due
8/01/2005.............................. 968,750 970,000
------------ ------------
1,968,750 2,040,000
- ------------------------------------------------------------------------------------------------------------------------
CONGLOMERATES-1.2% NR* NR* 761,000 MacAndrew & Forbes Group, Inc., 13% due
3/01/1999.............................. 757,195 763,854
B+ B3 1,000,000 Sequa Corp., 9.375% due 12/15/2003...... 1,030,938 1,040,000
------------ ------------
1,788,133 1,803,854
- ------------------------------------------------------------------------------------------------------------------------
CONSUMER B B3 2,000,000 Coleman Escrow Corp., 11.573%** due
PRODUCTS-2.3% 5/15/2001.............................. 1,368,820 1,325,000
B Ba3 1,000,000 Coty Inc., 10.25% due 5/01/2005......... 1,026,250 1,062,500
B+ B1 1,900,000 International Semi-Tech
Microelectronics, Inc., 12.792%** due
8/15/2003.............................. 1,321,416 684,000
B+ B1 181,000 Samsonite Corp., 11.125% due
7/15/2005.............................. 175,344 203,625
------------ ------------
3,891,830 3,275,125
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
33
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED-1.4% B- B2 $1,000,000 Koppers Industries, Inc., 9.875% due
12/01/2007 (f)......................... $ 1,000,000 $ 1,030,000
B+ B2 1,000,000 RBX Corp., 12% due 1/15/2003 (f)........ 1,000,000 1,017,500
------------ ------------
2,000,000 2,047,500
- ------------------------------------------------------------------------------------------------------------------------
ENERGY-9.0% B- B3 1,000,000 Bellwether Exploration Co., 10.875% due
4/01/2007.............................. 1,000,000 1,100,000
BB- Ba3 1,000,000 Chesapeake Energy Corporation, 9.125%
due 4/15/2006.......................... 997,550 1,035,000
B B1 1,000,000 Cliffs Drilling Co., 10.25% due
5/15/2003 (f).......................... 1,077,500 1,088,750
B B2 2,000,000 Energy Corp. of America, 9.50% due
5/15/2007.............................. 2,000,000 1,995,000
B+ B1 1,000,000 Parker Drilling Corp., 9.75% due
11/15/2006............................. 992,150 1,072,500
BB- B1 1,500,000 Petroleo Brasileiro S.A. - Petrobras,
10% due 10/17/2006 (f)................. 1,500,000 1,515,000
B B3 1,000,000 Southwest Royalties Inc., 10.50% due
10/15/2004 (f)......................... 987,910 995,000
B+ B3 5,150,000 Transamerican Energy, 13.163%** due
6/15/2002 (f).......................... 4,260,496 4,120,000
------------ ------------
12,815,606 12,921,250
- ------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT-0.7% B- B2 1,252,000 AMF Group Inc., 12.082%** due
3/15/2006.............................. 863,640 976,560
- ------------------------------------------------------------------------------------------------------------------------
FINANCIAL BB- B1 1,500,000 Reliance Group Holdings Inc., 9.75% due
SERVICES-1.1% 11/15/2003............................. 1,449,375 1,592,475
- ------------------------------------------------------------------------------------------------------------------------
FOOD & BEVERAGE-3.2% B+ B1 2,000,000 Chiquita Brands International, 9.125%
due 3/01/2004.......................... 2,001,250 2,080,000
B B2 1,500,000 Colorado Prime Corp., 12.50% due
5/01/2004.............................. 1,469,805 1,507,500
NR* NR* 443,000 Cumberland Farms, Inc., 10.50% due
10/01/2003............................. 433,586 436,355
BB- B2 568,000 Fresh Del Monte Corp., 10% due
5/01/2003.............................. 544,250 590,720
------------ ------------
4,448,891 4,614,575
- ------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BB Ba3 1,500,000 Republic of Argentina, Global Bonds, 11%
OBLIGATIONS-1.1% due 10/09/2006......................... 1,543,125 1,601,250
- ------------------------------------------------------------------------------------------------------------------------
GAMING-5.2% B B3 1,000,000 Greate Bay Properties, Inc., 10.875% due
1/15/2004.............................. 845,000 840,000
D Caa 2,000,000 Harrah's Jazz Company, 14.25% due
11/15/2001 (d)......................... 1,971,250 620,000
B+ B2 1,000,000 Hollywood Casino Corp., 12.75% due
11/01/2003............................. 932,816 1,072,500
B+ B2 1,000,000 Station Casinos Inc., 9.75% due
4/15/2007.............................. 970,110 1,035,000
BB- B1 2,000,000 Trump Atlantic City Inc., 11.25% due
5/01/2006.............................. 1,997,500 1,950,000
NR* Caa 1,000,000 Trump Castle Funding, Inc., 11.75% due
11/15/2003............................. 933,514 920,000
B- B3 1,000,000 Venetian Casino Resort LLC, 12.25% due
11/15/2004 (f)......................... 1,011,250 1,001,250
------------ ------------
8,661,440 7,438,750
- ------------------------------------------------------------------------------------------------------------------------
HEALTHCARE-2.2% B+ B1 1,000,000 Beverly Enterprises, Inc., 9% due
2/15/2006.............................. 933,750 1,033,750
B- B3 1,000,000 Paragon Health Network, Inc., 9.50% due
11/01/2007 (f)......................... 995,540 997,500
B+ B2 1,000,000 Quest Diagnostic Inc., 10.75% due
12/15/2006............................. 1,000,000 1,090,000
------------ ------------
2,929,290 3,121,250
- ------------------------------------------------------------------------------------------------------------------------
HOTELS-1.5% BB- Ba3 2,000,000 HMC Acquisition Properties, 9% due
12/15/2007............................. 2,000,000 2,090,000
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
34
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER B+ Ba1 $1,000,000 AES Corporation, 10.25% due 7/15/2006
PRODUCERS-2.9% (f).................................... $ 1,080,000 $ 1,087,500
BB- Ba3 1,000,000 Calpine Corporation, 8.75% due 7/15/2007
(f).................................... 1,003,177 1,020,000
Midland Cogeneration Venture L.P.:
BB Ba3 676,107 10.33% due 7/23/2002 (e)................ 700,193 726,808
B B2 1,000,000 13.25% due 7/23/2006.................... 1,108,750 1,284,830
------------ ------------
3,892,120 4,119,138
- ------------------------------------------------------------------------------------------------------------------------
MEDIA & BB- B1 500,000 Comtel Brasileira Ltd., 10.75% due
COMMUNICATIONS- 9/26/2004 (f).......................... 500,000 490,000
INTERNATIONAL-3.4% BB- B1 1,000,000 Globo Communicacoes Participacoes,
10.50% due 12/20/2006 (f).............. 1,003,750 950,000
BB Ba2 1,000,000 Grupo Televisa, S.A. de C.V., 11.375%
due 5/15/2003.......................... 1,010,000 1,092,500
BBB- Ba3 2,000,000 Telefonica de Argentina S.A., 11.875%
due 11/01/2004......................... 1,978,830 2,325,000
------------ ------------
4,492,580 4,857,500
- ------------------------------------------------------------------------------------------------------------------------
METAL & MINING-1.8% CCC+ B2 1,000,000 Kaiser Aluminum & Chemical Corp., 12.75%
due 2/01/2003.......................... 1,045,000 1,063,750
CCC+ B3 1,750,000 Maxxam Group, Inc., 12.25%** due
8/01/2003.............................. 1,632,042 1,601,250
------------ ------------
2,677,042 2,665,000
- ------------------------------------------------------------------------------------------------------------------------
PACKAGING-2.1% B B2 1,000,000 AEP Industries, Inc., 9.875% due
11/15/2007 (f)......................... 992,240 1,025,000
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 1,022,500
------------ ------------
2,992,240 3,102,500
- ------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST B B2 500,000 Bear Island Paper Co. LLC, 10% due
PRODUCTS-2.7% 12/01/2007 (f)......................... 500,000 506,250
BB- B1 1,000,000 Doman Industries Ltd., 8.75% due
3/15/2004.............................. 919,000 955,000
B B3 1,500,000 Pacific Lumber Co., 10.50% due
3/01/2003.............................. 1,450,312 1,552,500
BB Ba3 1,000,000 Pindo Deli Finance Mauritius, 10.75% due
10/01/2007 (f)......................... 996,980 860,000
------------ ------------
3,866,292 3,873,750
- ------------------------------------------------------------------------------------------------------------------------
PRINTING & BB- B1 1,000,000 Hollinger International, Inc., 9.25% due
PUBLISHING-0.7% 2/01/2006.............................. 956,250 1,050,000
- ------------------------------------------------------------------------------------------------------------------------
PRODUCT B- B3 1,000,000 AmeriServ Food Company, 10.125% due
DISTRIBUTION-0.7% 7/15/2007.............................. 1,000,000 1,050,000
- ------------------------------------------------------------------------------------------------------------------------
RESTAURANTS & FOOD B Ba3 691,000 Foodmaker, Inc., 9.25% due 3/01/1999.... 692,727 701,365
SERVICES-0.5%
- ------------------------------------------------------------------------------------------------------------------------
RETAIL D Caa 1,000,000 Bradlees, Inc., 11% due 8/01/2002 (d)... 1,023,750 70,000
SPECIALTY-0.1%
- ------------------------------------------------------------------------------------------------------------------------
STEEL-2.6% NR* B1 2,000,000 CSN Iron S.A., 9.125% due 6/01/2007
(f).................................... 1,941,250 1,700,000
B+ B2 1,000,000 WCI Steel Inc., 10% due 12/01/2004...... 1,000,000 1,020,000
BB- B2 1,000,000 Wheeling-Pittsburgh Corp., 9.25% due
11/15/2007 (f)......................... 997,500 965,000
------------ ------------
3,938,750 3,685,000
- ------------------------------------------------------------------------------------------------------------------------
SUPERMARKETS-0.8% B B1 1,000,000 Ralph's Grocery Co., 10.45% due
6/15/2004.............................. 953,344 1,120,000
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
35
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
TELECOMMUNI- NR* NR* $2,000,000 Brooks Fiber Properties, Inc., 10.573%**
CATIONS-2.8% due 11/01/2006......................... $ 1,402,521 $ 1,600,000
B+ B2 1,000,000 GCI Inc., 9.75% due 8/01/2007........... 1,000,000 1,032,500
NR* NR* 1,000,000 Ionica PLC, 13.50% due 8/15/2006........ 1,113,750 850,000
B+ B1 500,000 Teleport Communications Group Inc.,
9.875% due 7/01/2006................... 527,750 564,375
------------ ------------
4,044,021 4,046,875
- ------------------------------------------------------------------------------------------------------------------------
TEXTILES-1.9% B+ B1 1,000,000 Tultex Corp., 10.625% due 3/15/2005..... 1,007,500 1,090,000
B+ B2 1,500,000 Westpoint Stevens Industries, Inc.,
9.375% due 12/15/2005.................. 1,465,000 1,575,000
------------ ------------
2,472,500 2,665,000
- ------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION-4.5% BB- NR* 1,000,000 Autopistas del Sol S.A., 10.25% due
8/01/2009 (f).......................... 1,026,250 902,500
BB Ba3 2,000,000 GS Superhighway Holdings, 10.25% due
8/15/2007 (f).......................... 1,973,750 1,750,000
B NR* 1,000,000 MRS Logistica S.A., 10.625% due
8/15/2005 (f).......................... 988,750 900,000
BB- B1 1,000,000 Sea Containers Ltd., 12.50% due
12/01/2004............................. 1,095,000 1,132,500
NR* B3 2,000,000 Transtar Holdings L.P., 11.065%** due
12/15/2003............................. 1,625,965 1,750,000
------------ ------------
6,709,715 6,435,000
- ------------------------------------------------------------------------------------------------------------------------
UTILITIES-3.7% NR* NR* 1,000,000 Companhia de Saneamento Basico do Estado
de Sao-Paulo, 10% due 7/28/2005 (f).... 1,005,000 890,000
BB- B1 1,500,000 Espirito Santo - Escelsa S.A., 10% due
7/15/2007 (f).......................... 1,498,125 1,342,500
BB+ NR* 1,000,000 Inversora de Electrica, 9% due 9/16/2004
(f).................................... 1,000,000 950,000
BBB- Ba3 1,000,000 Metrogas S.A., 12% due 8/15/2000........ 983,750 1,067,500
BBB- Baa3 991,600 Trans Gas de Occidente S.A., 9.79% due
11/01/2010 (e)(f)...................... 991,600 1,064,345
------------ ------------
5,478,475 5,314,345
- ------------------------------------------------------------------------------------------------------------------------
WIRELESS BB+ Ba3 2,000,000 Comcast Cellular Holdings, 9.50% due
COMMUNICATIONS- 5/01/2007.............................. 1,996,740 2,085,000
DOMESTIC-5.0% CCC NR* 1,995,000 McCaw International Ltd., 12.469%** due
4/15/2007.............................. 1,207,226 1,177,050
CCC B3 2,000,000 Nextel Communications, Inc., 14.085%**
due 8/15/2004.......................... 1,406,142 1,780,000
B B2 2,000,000 Paging Network, Inc., 10% due
10/15/2008............................. 1,990,625 2,080,000
------------ ------------
6,600,733 7,122,050
- ------------------------------------------------------------------------------------------------------------------------
WIRELESS B- B3 2,000,000 Millicom International Cellular S.A.,
COMMUNICATIONS- 13.116%** due 6/01/2006................ 1,304,936 1,470,000
INTERNATIONAL-1.0%
- ------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS-81.7% 117,511,803 117,400,690
- ------------------------------------------------------------------------------------------------------------------------
<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 2,000
- ------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
36
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
INDUSTRIES HELD ISSUE COST (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS & WARRANTS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- 1,036 Thermadyne Industries, Inc. (d)......... $ 15,022 $ 29,267
SERVICES-0.0%
- ------------------------------------------------------------------------------------------------------------------------
SUPERMARKETS-0.0% 17,674 Grand Union Co. (d)..................... 1,000,000 36,452
- ------------------------------------------------------------------------------------------------------------------------
WIRELESS 3,098 Nextel Communications, Inc. (d)......... 49,991 79,773
COMMUNICATIONS-
DOMESTIC-0.1%
- ------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS & WARRANTS-0.1% 1,106,924 148,992
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PREFERRED STOCKS
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
CABLE-DOMESTIC-1.0% 11,785 Cablevision Systems Corp. (Series M)
(c).................................... 935,000 1,361,167
- --------------------------------------------------------------------------------------------------------------------------
ENERGY-0.7% 1,000 Clark USA, Inc.
(Convertible) (c)(f)................... 1,000,000 1,060,000
- --------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT-1.4% 1,782 Time Warner Inc. (Series M) (c)......... 1,799,895 2,000,295
- --------------------------------------------------------------------------------------------------------------------------
FINANCIAL 40,000 California Federal Preferred Capital
SERVICES-0.7% Corp. (Series A)....................... 1,010,000 1,050,000
- --------------------------------------------------------------------------------------------------------------------------
PRINTING & 11,457 Primedia Inc............................ 1,157,781 1,234,533
PUBLISHING-0.9%
- --------------------------------------------------------------------------------------------------------------------------
WIRELESS 1,030 Nextel Communications, Inc. (a)......... 1,033,975 1,174,200
COMMUNICATIONS-
DOMESTIC-0.8%
- --------------------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS-5.5% 6,936,651 7,880,195
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SHORT-TERM SECURITES
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
COMMERCIAL $ 4,515,000 General Motors Acceptance Corp., 6.75%
PAPER***-6.6% due 1/02/1998.......................... 4,513,307 4,513,307
5,000,000 Lexington Parker Capital Co. LLC, 5.88%
due 1/05/1998.......................... 4,995,917 4,995,917
------------ ------------
9,509,224 9,509,224
- --------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT AGENCY 7,800,000 Federal Home Loan Bank, 5.58% due
OBLIGATIONS***-5.4% 1/15/1998.............................. 7,781,865 7,781,865
- --------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES-12.0% 17,291,089 17,291,089
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-99.3%................. $142,846,467 142,720,966
------------
------------
OTHER ASSETS LESS LIABILITIES-0.7%...... 1,043,412
------------
NET ASSETS-100.0%....................... $143,764,378
------------
------------
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
37
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1997 (Concluded)
- --------------------------------------------------------------------------------
* Not Rated.
** Represents a zero coupon or step bond; the interest rate shown is the
effective yield at the time of purchase by the Portfolio.
*** Commercial Paper and certain US Government Agency Obligations are traded on
a discount basis; the interest rates shown are the discount rates paid at
the time of purchase by the Portfolio.
+ Restricted securities as to resale.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
VALUE (NOTE
ISSUE ACQUISITION DATE COST 1A)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Goldriver Hotel & Casino Corp., Liquidating Trust.............................. 8/31/1992 $ 24,040 $ 0
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL $ 24,040 $ 0
--------- -------------
--------- -------------
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Represents a step bond. Coupon payments are paid-in-kind, in which the
Portfolio receives additional face at an annual rate of 1.75% until May 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. 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.
Ratings of issues shown have not been audited by Deloitte & Touche LLP.
See Notes to Financial Statements.
38
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of December 31, 1997
- --------------------------------------------------------------------------------
<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,
BANK-0.7% 6.43% due 7/23/2007.................................. $ 1,537,350 $ 1,537,350
- ----------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL FARM CREDIT BANK 1,537,350 1,537,350
- ----------------------------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN 5,000,000 Federal Home Loan Mortgage Corporation:
MORTGAGE 1,685,000 7.90% due 9/19/2001.................................. 5,000,000 5,325,000
CORPORATION-4.6% 3,100,000 6.42% due 10/03/2005................................. 1,710,802 1,723,704
6.40% due 12/13/2006................................. 3,149,817 3,166,371
- ----------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION 9,860,619 10,215,075
- ----------------------------------------------------------------------------------------------------------------------
FEDERAL NATIONAL 5,000,000 Federal National Mortgage Association:
MORTGAGE 6,000,000 7.55% due 4/22/2002.................................. 5,226,550 5,300,000
ASSOCIATION-20.4% 7.40% due 7/01/2004.................................. 6,248,520 6,455,640
10,000,000 7.85% due 9/10/2004.............................. 9,824,469 10,301,600
9,000,000 7.65% due 3/10/2005.............................. 8,990,156 9,832,500
10,000,000 6.35% due 6/10/2005.............................. 10,000,000 10,179,700
3,000,000 7.12% due 7/03/2006.............................. 3,198,840 3,210,000
- ----------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION 43,488,535 45,279,440
- ----------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED 348,487 Federal National Mortgage Association, 9% due
SECURITIES-0.2% 1/01/2002 (a)........................................ 336,290 358,238
- ----------------------------------------------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES 336,290 358,238
- ----------------------------------------------------------------------------------------------------------------------
PRIVATE EXPORT 7,000,000 Private Export Funding Corporation:
FUNDING 11,500,000 8.35% due 1/31/2001.............................. 7,083,590 7,487,830
CORPORATION-8.7% 6.49% due 7/15/2007.............................. 11,500,000 11,909,860
- ----------------------------------------------------------------------------------------------------------------------
TOTAL PRIVATE EXPORT FUNDING CORPORATION 18,583,590 19,397,690
- ----------------------------------------------------------------------------------------------------------------------
STUDENT LOAN 13,000,000 Student Loan Marketing Association,
MARKETING 7.50% due 3/08/2000.................................. 13,176,719 13,442,780
ASSOCIATION-6.0%
- ----------------------------------------------------------------------------------------------------------------------
TOTAL STUDENT LOAN MARKETING ASSOCIATION 13,176,719 13,442,780
- ----------------------------------------------------------------------------------------------------------------------
US TREASURY BONDS & 16,000,000 US Treasury Bonds:
NOTES-55.5% 12% due 5/15/2005................................ 22,772,500 21,882,560
10,000,000 10.75% due 8/15/2005............................. 13,385,937 13,009,400
US Treasury Notes:
2,000,000 6.75% due 4/30/2000.............................. 2,014,062 2,045,620
24,000,000 6.625% due 6/30/2001............................. 24,030,000 24,663,840
15,000,000 6.375% due 8/15/2002............................. 15,025,615 15,386,700
5,500,000 6.25% due 2/15/2003.............................. 5,479,805 5,624,630
5,000,000 5.75% due 8/15/2003.............................. 4,969,141 5,003,100
12,000,000 6.50% due 5/15/2005.............................. 11,914,750 12,510,000
11,000,000 7% due 7/15/2006................................. 11,652,500 11,873,070
8,000,000 6.25% due 2/15/2007.............................. 8,107,500 8,254,960
3,000,000 6.125% due 8/15/2007............................. 2,979,570 3,082,980
- ----------------------------------------------------------------------------------------------------------------------
TOTAL US TREASURY BONDS & NOTES 122,331,380 123,336,860
- ----------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY
OBLIGATIONS-96.1% 209,314,483 213,567,433
- ----------------------------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES
- ----------------------------------------------------------------------------------------------------------------------
REPURCHASE 6,346,000 HSBC Securities, Inc., purchased on 12/31/1997
AGREEMENTS*-2.9% to yield 6.57% to 1/02/1998.......................... 6,346,000 6,346,000
- ----------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES-2.9% 6,346,000 6,346,000
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-99.0%.............................. $ 215,660,483 219,913,433
-------------
-------------
OTHER ASSETS LESS LIABILITIES-1.0%................... 2,298,102
-------------
NET ASSETS-100.0%.................................... $ 222,211,535
-------------
-------------
- ----------------------------------------------------------------------------------------------------------------------
</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.
39
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of December 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S FACE VALUE
S&P RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT OBLIGATIONS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
US TREASURY BONDS & AAA Aaa $1,000,000 US Treasury Bonds, 6.50% due
NOTES-18.8% 11/15/2026................... $ 988,203 $ 1,067,500
US Treasury Notes:
AAA Aaa 1,500,000 6.375% due 5/15/2000......... 1,523,555 1,522,500
AAA Aaa 3,500,000 5.75% due 11/15/2000......... 3,502,422 3,506,545
AAA Aaa 500,000 6.375% due 9/30/2001......... 510,547 510,310
AAA Aaa 1,750,000 5.75% due 11/30/2002......... 1,741,914 1,751,365
AAA Aaa 3,250,000 5.75% due 8/15/2003.......... 3,239,062 3,252,015
AAA Aaa 500,000 7.25% due 8/15/2004.......... 538,750 540,390
AAA Aaa 500,000 7.50% due 2/15/2005.......... 536,211 549,530
AAA Aaa 3,200,000 6.50% due 5/15/2005.......... 3,169,070 3,336,000
AAA Aaa 750,000 6.50% due 10/15/2006......... 775,547 785,273
AAA Aaa 6,500,000 6.125% due 8/15/2007......... 6,643,945 6,679,790
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT
OBLIGATIONS-18.8% 23,169,226 23,501,218
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
INDUSTRIES CORPORATE BONDS & NOTES
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED AAA Aaa 1,944,863 Arcadia, 6.10% due 6/15/2000..... 1,944,485 1,946,400
SECURITIES*-5.6% Citibank, Credit Card Master
Trust I:
AAA Aaa 1,000,000 6.35% due 8/15/2002.......... 999,200 1,006,094
AAA Aaa 1,000,000 6.057% due 12/10/2008........ 999,610 995,000
AAA Aaa 2,500,000 First Bank, Corporate Card Master
Trust, 6.40% due 2/15/2003...... 2,496,931 2,520,300
AAA Aaa 526,642 GMAC Grantor Trust, 6.50% due
4/15/2002....................... 526,495 528,954
------------- -------------
6,966,721 6,996,748
- ------------------------------------------------------------------------------------------------------------------------------
BANKING-8.6% BBB+ A3 1,250,000 BB&T Corporation, 7.25% due
6/15/2007....................... 1,244,163 1,314,087
A A2 1,000,000 Bank of New York Co., Inc.,
7.625% due 7/15/2002............ 1,076,500 1,053,790
A+ Aa3 1,000,000 BankAmerica Corp., 7.125% due
5/12/2005....................... 985,500 1,037,510
A- A2 2,000,000 First Interstate Bancorp, 9.90%
due 11/15/2001.................. 2,270,480 2,244,920
A- A3 1,000,000 HSBC Americas Inc., 7% due
11/01/2006...................... 991,600 1,017,370
A- A3 2,000,000 Mellon Bank Corp., 6.875% due
3/01/2003....................... 1,822,480 2,044,580
BBB+ A2 1,000,000 Mellon Capital II, 7.995% due
1/15/2027....................... 953,470 1,073,620
AA- Aa3 1,000,000 Norwest Financial, Inc., 6.625%
due 7/15/2004................... 995,590 1,012,190
------------- -------------
10,339,783 10,798,067
- ------------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- General Motors Acceptance Corp.:
CAPTIVE-1.9% A- A3 1,000,000 7.125% due 5/01/2003......... 994,890 1,035,840
A- A3 1,250,000 7.70% due 4/15/2016.......... 1,363,937 1,369,812
------------- -------------
2,358,827 2,405,652
- ------------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- A A2 1,000,000 Beneficial Corp., 6.80% due
CONSUMER-4.1% 9/16/2003....................... 1,000,000 1,014,631
A Aa3 1,000,000 CIT Capital Trust I, 7.70% due
2/15/2027....................... 995,440 1,025,823
A+ Aa3 3,000,000 CIT Group Holdings, Inc., 6.625%
due 6/15/2005................... 3,010,170 3,022,830
------------- -------------
5,005,610 5,063,284
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
40
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S FACE VALUE
INDUSTRIES S&P RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- A A2 $ 500,000 Bear Stearns Companies, Inc.,
OTHER-13.1% 6.50% due 7/05/2000............. $ 499,090 $ 503,020
A+ A1 750,000 Commercial Credit Co., 6.75% due
7/01/2007....................... 760,748 761,865
A- A3 1,000,000 Donaldson, Lufkin & Jenrette,
Inc., 6.875% due 11/01/2005..... 999,050 1,016,850
A A2 1,000,000 ++Equitable Life Assurance
Society of the US, 7.70% due
12/01/2015...................... 993,160 1,070,719
AAA Aaa 500,000 General Electric Capital Corp.,
8.125% due 5/15/2012............ 531,640 576,900
A Baa1 3,000,000 Lehman Brothers Holdings, Inc.,
6.50% due 10/01/2002............ 2,997,150 2,996,100
AA Aa2 2,350,000 MBIA, Inc., 7.15% due
7/15/2027....................... 2,344,242 2,492,762
A+ A1 1,000,000 Morgan Stanley Group, Inc.,
6.875% due 3/01/2007............ 996,410 1,021,750
BBB+ Baa1 2,500,000 PaineWebber Group, Inc., 7.99%
due 6/09/2017................... 2,500,000 2,666,537
A+ Aa3 2,000,000 Travelers Capital II, 7.75% due
12/01/2036...................... 2,003,400 2,074,060
AA- Aa3 1,000,000 Travelers Group, Inc., 7.875% due
5/15/2025....................... 999,420 1,118,270
------------- -------------
15,624,310 16,298,833
- ------------------------------------------------------------------------------------------------------------------------------
FOREIGN+-6.0% A+ A3 1,000,000 ++Hutchison Whampoa Ltd., 6.95%
due 8/01/2007 (1)............... 1,000,610 942,260
A Aa3 1,000,000 Midland Bank PLC, 7.625% due
6/15/2006 (3)................... 992,340 1,062,580
A A2 1,000,000 ++Petroliam Nasional BHD, 6.875%
due 7/01/2003 (4)............... 988,840 949,533
Province of Quebec (Canada) (2):
A+ A2 1,000,000 8.80% due 4/15/2003.......... 1,129,480 1,108,760
A+ A2 1,500,000 13% due 10/01/2013........... 1,959,060 1,641,825
A+ A2 1,000,000 7.125% due 2/09/2024......... 902,520 1,029,910
AA Aa2 750,000 Swiss Bank Corp.-New York, 7.375%
due 6/15/2017 (3)............... 803,280 802,320
------------- -------------
7,776,130 7,537,188
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- Archer-Daniels-Midland Company:
CONSUMER-9.7% AA- Aa3 500,000 7.125% due 3/01/2013......... 523,280 528,485
AA- Aa3 1,000,000 6.75% due 12/15/2027......... 988,720 1,001,533
A+ A1 3,500,000 Bass America, Inc., 8.125% due
3/31/2002....................... 3,532,070 3,744,790
A A2 962,525 ++Disney Enterprises, Inc., 6.85%
due 1/10/2007*.................. 961,861 978,715
A+ A1 1,000,000 Hershey Foods Corporation, 7.20%
due 8/15/2027................... 1,053,910 1,063,100
AAA Aaa 2,000,000 Johnson & Johnson, 8.72% due
11/01/2024...................... 2,019,140 2,298,800
A A2 500,000 Philip Morris Companies, Inc.,
7.25% due 1/15/2003............. 503,440 515,450
BBB Baa2 800,000 Safeway, Inc., 7% due
9/15/2007....................... 799,640 822,896
BBB- Baa3 1,000,000 Time Warner Entertainment Co.,
8.375% due 3/15/2023............ 1,070,290 1,141,180
------------- -------------
11,452,351 12,094,949
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL-ENERGY-3.0% AA Aa2 2,000,000 BP America, Inc., 10% due
7/01/2018....................... 2,156,880 2,126,060
AA- A1 1,000,000 Consolidated Natural Gas Company,
6.80% due 12/15/2027............ 991,900 1,008,130
A Aa3 500,000 Dresser Industries, Inc., 7.60%
due 8/15/2096................... 498,545 560,660
------------- -------------
3,647,325 3,694,850
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
41
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S FACE VALUE
INDUSTRIES S&P RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- BBB+ A3 $ 500,000 Applied Materials, Inc., 6.75%
OTHER-13.4% due 10/15/2007.................. $ 499,675 $ 501,930
A A3 1,000,000 Chrysler Corporation, 7.45% due
3/01/2027....................... 995,140 1,069,060
AA- Aa3 3,250,000 duPont(E.I.) de Nemours & Co.,
6.75% due 9/01/2007............. 3,356,477 3,362,872
A+ A1 1,000,000 ++Electronic Data Systems, Inc.,
6.85% due 5/15/2000............. 999,210 1,017,158
BBB Baa2 2,500,000 Federal Express Corp., 9.65% due
6/15/2012....................... 2,758,750 3,123,800
A A2 1,000,000 First Data Corp., 6.375% due
12/15/2007...................... 997,430 994,980
Martin Marietta Corp.:
BBB+ A3 1,000,000 6.50% due 4/15/2003.......... 1,006,130 1,005,700
BBB+ A3 500,000 7.375% due 4/15/2013......... 480,805 530,110
McDonnell Douglas Corp.,
AA+ Baa2 1,000,000 6.13% due 12/23/1998......... 997,940 988,320
AA+ A2 1,000,000 6.875% due 11/01/2006........ 1,037,450 1,036,720
A A1 1,000,000 PPG Industries, Inc., 6.50% due
11/01/2007...................... 996,940 1,009,740
BBB Baa3 2,000,000 Seagate Technology, Inc., 7.125%
due 3/01/2004................... 1,996,500 2,015,900
------------- -------------
16,122,447 16,656,290
- ------------------------------------------------------------------------------------------------------------------------------
TRANSPORT SERVICES-3.1% BBB+ Baa1 500,000 Norfolk Southern Corp., 7.80% due
5/15/2027....................... 499,370 562,020
Southwest Airlines, Inc.:
A- A3 2,000,000 9.40% due 7/01/2001.......... 2,407,120 2,196,380
A- A3 1,000,000 7.875% due 9/01/2007......... 998,750 1,101,570
------------- -------------
3,905,240 3,859,970
- ------------------------------------------------------------------------------------------------------------------------------
UTILITIES- A+ A2 1,000,000 ALLTEL Corporation, 6.75% due
COMMUNICATIONS-6.6% 9/15/2005....................... 984,600 1,022,820
AAA Aaa 1,000,000 BellSouth Telecommunications,
Inc., 7% due 10/01/2025......... 1,040,700 1,049,660
GTE Corp.:
A Baa1 1,000,000 8.85% due 3/01/1998.......... 1,027,000 1,003,680
A Baa1 2,000,000 9.375% due 12/01/2000........ 2,189,690 2,166,380
Southwestern Bell
Telecommunications Co.:
AA Aa3 1,000,000 6.125% due 3/01/2000......... 978,880 1,001,780
AA Aa3 2,000,000 6.375% due 11/15/2007........ 2,009,520 2,008,760
------------- -------------
8,230,390 8,253,080
- ------------------------------------------------------------------------------------------------------------------------------
UTILITIES-ELECTRIC-2.9% AAA Aaa 750,000 Cleveland Electric/Toledo Edison,
7.13% due 7/01/2007............. 786,817 798,697
Pennsylvania Power & Light Co.:
A- A3 1,500,000 5.50% due 4/01/1998.......... 1,493,055 1,498,710
A- A3 1,000,000 6.875% due 2/01/2003......... 1,016,290 1,028,990
AAA Aaa 300,000 ++Texas Utilities Company, 6.375%
due 10/01/2004.................. 301,545 301,630
------------- -------------
3,597,707 3,628,027
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS &
NOTES-78.0% 95,026,841 97,286,938
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
42
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of December 31, 1997 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE
AMOUNT ISSUE COST (NOTE 1A)
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS
- ------------------------------------------------------------------------------------------------------------------------------
REPURCHASE $1,925,000 HSBC Securities, Inc., purchased
AGREEMENTS**-1.6% on 12/31/1997 to yield 6.57% to
1/02/1998....................... $ 1,925,000 $ 1,925,000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS-1.6% 1,925,000 1,925,000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-98.4%.......... $ 120,121,067 122,713,156
-------------
-------------
OTHER ASSETS
LESS LIABILITIES-1.6%............ 2,032,942
-------------
NET ASSETS-100.0%................ $ 124,746,098
-------------
-------------
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Subject to principal paydowns.
** Repurchase Agreements are fully collateralized by US Government Obligations.
+ Corresponding industry groups for foreign bonds:
(1) Investment Holding Company.
(2) Government Entity.
(3) Banking.
(4) Industry-Energy.
++ The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
Ratings of issue shown have not been audited by Deloitte & Touche LLP.
See Notes to Financial Statements.
43
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserves Portfolio
Schedule of Investments as of December 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
AMOUNT ISSUE RATE* DATE (NOTE 1A)
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
BANK NOTES-10.3% $ 2,650,000 Bank of America N.T. & S.A..................... 5.93% 6/24/98 $ 2,649,977
2,800,000 Bank of America N.T. & S.A.+................... 6.10 6/30/98 2,798,899
3,000,000 Bank of New York, The.......................... 5.85 8/20/98 2,998,572
6,000,000 FNB of Chicago................................. 6.02 6/11/98 6,001,895
2,850,000 FNB of Chicago................................. 5.89 8/26/98 2,849,417
1,800,000 KeyBank National Association+.................. 5.64 5/06/98 1,799,703
3,800,000 KeyBank National Association+.................. 5.62 8/20/98 3,798,249
7,500,000 KeyBank National Association+.................. 5.62 8/28/98 7,496,694
1,800,000 LaSalle National Bank, Chicago................. 5.75 10/08/98 1,797,323
4,000,000 Morgan Guaranty Trust Co. of NY+............... 5.615 2/19/98 3,999,720
2,300,000 Northern Trust Company......................... 5.96 6/17/98 2,300,212
1,500,000 Northern Trust Company......................... 5.95 6/24/98 1,500,123
9,400,000 PNC Bank N.A.+................................. 5.60 10/01/98 9,395,262
4,000,000 US Bank N.A.+.................................. 5.855 8/28/98 3,998,592
1,000,000 US National Bank of Oregon+.................... 5.665 4/14/98 999,850
- -----------------------------------------------------------------------------------------------------------------------
TOTAL BANK NOTES (COST-$54,382,213) 54,384,488
- -----------------------------------------------------------------------------------------------------------------------
CERTIFICATES OF 4,000,000 Chase Manhattan Bank USA, N.A.................. 5.87 7/21/98 3,999,172
DEPOSIT-2.5% 1,000,000 Chase Manhattan Bank USA, N.A.................. 5.75 10/06/98 998,658
7,500,000 Morgan Guaranty Trust Co. of NY................ 5.71 1/06/98 7,499,722
500,000 Morgan Guaranty Trust Co. of NY................ 5.94 3/20/98 499,966
- -----------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT 12,997,518
(COST-$12,999,929)
- -----------------------------------------------------------------------------------------------------------------------
CERTIFICATES OF 1,000,000 ABN-AMRO Bank N.V., Chicago.................... 6.03 6/11/98 1,000,447
DEPOSIT- 2,900,000 ABN-AMRO Bank N.V., Chicago.................... 5.77 7/28/98 2,897,972
YANKEE-3.9% 3,000,000 ABN-AMRO Bank N.V., Chicago.................... 5.92 8/14/98 3,000,108
2,000,000 Barclays Bank PLC, NY.......................... 5.94 6/30/98 2,000,330
4,750,000 Bayerische Vereinsbank AG, NY.................. 5.71 10/06/98 4,742,248
5,000,000 Deutsche Bank AG, NY........................... 5.63 2/26/98 4,995,291
1,900,000 Westdeutsche Landesbank Girozentrale, NY....... 5.94 6/29/98 1,900,286
- -----------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT-YANKEE
(COST-$20,544,427) 20,536,682
- -----------------------------------------------------------------------------------------------------------------------
COMMERCIAL 6,662,000 AESOP Funding Corp............................. 5.77 1/16/98 6,647,051
PAPER-48.9% 10,000,000 AESOP Funding Corp............................. 5.85 1/16/98 9,977,250
5,000,000 AESOP Funding Corp............................. 5.85 2/13/98 4,965,875
6,159,000 Atlantic Asset Securitization Corp............. 5.90 1/13/98 6,147,897
1,321,000 Atlantic Asset Securitization Corp............. 5.93 1/16/98 1,317,954
3,489,000 Atlantic Asset Securitization Corp............. 5.89 1/20/98 3,478,725
14,000,000 Block Financial Corp........................... 5.67 4/03/98 13,800,053
7,672,000 CSW Credit, Inc................................ 5.75 1/13/98 7,658,521
14,000,000 CSW Credit, Inc................................ 5.62 2/13/98 13,904,123
7,060,000 Centric Capital Corp........................... 6.50 1/07/98 7,053,626
10,500,000 Centric Capital Corp........................... 5.80 1/16/98 10,476,317
10,000,000 Countrywide Home Loans, Inc.................... 5.87 1/14/98 9,980,433
10,000,000 Countrywide Home Loans, Inc.................... 5.75 3/06/98 9,901,125
4,500,000 Finova Capital Corp............................ 5.74 2/17/98 4,466,247
15,000,000 Finova Capital Corp............................ 5.74 3/13/98 14,835,208
4,945,000 Finova Capital Corp............................ 5.73 3/18/98 4,886,793
1,550,000 Finova Capital Corp............................ 5.63 4/21/98 1,523,484
7,750,000 Ford Motor Credit Co........................... 5.60 3/30/98 7,644,180
8,000,000 General Electric Capital Corp.................. 5.545 3/17/98 7,907,089
4,000,000 General Electric Capital Corp.................. 5.55 3/23/98 3,949,778
7,000,000 General Motors Acceptance Corp................. 5.59 3/02/98 6,935,182
5,000,000 Goldman Sachs Group, L.P....................... 5.71 4/17/98 4,917,604
7,400,000 International Securitization Corp.............. 5.80 3/20/98 7,310,573
10,000,000 Lehman Brothers Holdings, Inc.................. 5.90 1/15/98 9,978,694
3,035,000 Lehman Brothers Holdings, Inc.................. 5.78 1/21/98 3,025,790
5,000,000 Lehman Brothers Holdings, Inc.................. 5.91 1/27/98 4,979,479
3,980,000 Lehman Brothers Holdings, Inc.................. 5.60 1/29/98 3,962,747
5,000,000 Lexington Parker Capital Co. LLC............... 5.63 2/02/98 4,975,157
20,000,000 Lexington Parker Capital Co. LLC............... 5.92 2/20/98 19,840,206
15,000,000 New Center Asset Trust......................... 5.68 3/18/98 14,823,438
</TABLE>
44
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserves Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
AMOUNT ISSUE RATE* DATE (NOTE 1A)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMMERCIAL $11,290,000 Park Avenue Receivables Corp................... 5.90% 1/23/98 $ 11,251,144
PAPER 264,000 Twin Towers Inc................................ 5.80 1/27/98 262,937
(CONCLUDED) 14,670,000 Windmill Funding Corp.......................... 5.77 2/20/98 14,552,791
- -----------------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (COST-$257,338,269) 257,337,471
- -----------------------------------------------------------------------------------------------------------------------
CORPORATE 5,060,408 LABS Trust Series 1996-4 Senior Notes+++....... 6.00 12/28/98 5,060,408
NOTES-5.3% 2,914,970 LABS Trust Series 1997-6 Senior Notes+++....... 5.968 10/21/98 2,914,970
5,000,000 Republic Mase Australia, Ltd.++................ 5.945 6/30/98 5,000,605
15,000,000 SMM Trust 1997-Q+.............................. 5.98 1/15/98 14,999,994
- -----------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE NOTES (COST-$27,975,373) 27,975,977
- -----------------------------------------------------------------------------------------------------------------------
FUNDING 9,000,000 Jackson National Life Insurance Co.+........... 5.72 5/01/98 9,000,000
AGREEMENTS--1.7%
- -----------------------------------------------------------------------------------------------------------------------
TOTAL FUNDING AGREEMENTS (COST-$9,000,000) 9,000,000
- -----------------------------------------------------------------------------------------------------------------------
MASTER 10,000,000 Goldman Sachs Group, L.P.+..................... 5.968 5/29/98 10,000,000
NOTES-1.9%
- -----------------------------------------------------------------------------------------------------------------------
TOTAL MASTER NOTES (COST-$10,000,000) 10,000,000
- -----------------------------------------------------------------------------------------------------------------------
MEDIUM-TERM 5,000,000 Abbey National Treasury Services PLC+.......... 5.59 2/25/98 4,999,428
NOTES-7.5% 1,750,000 Bank of Scotland Treasury Services PLC......... 5.95 6/18/98 1,749,790
5,000,000 CIT Group Holdings, Inc. (The)................. 6.50 7/13/98 5,016,500
1,000,000 CIT Group Holdings, Inc. (The)................. 5.58 8/17/98 999,460
1,000,000 Goldman Sachs Group, L.P....................... 6.10 4/15/98 1,000,432
6,000,000 IBM Credit Corp................................ 5.868 8/13/98 5,999,604
3,000,000 IBM Credit Corp.+.............................. 5.635 11/23/98 2,998,840
4,000,000 International Business Machines Corp........... 5.67 1/28/98 3,999,652
7,000,000 International Business Machines Corp........... 5.93 3/18/98 7,002,506
1,814,843 Newcourt Receivables Asset Trust 1997-1........ 5.815 12/21/98 1,814,480
4,000,000 Norwest Corporation............................ 6.00 10/13/98 4,003,080
- -----------------------------------------------------------------------------------------------------------------------
TOTAL MEDIUM-TERM NOTES (COST-$39,577,269) 39,583,772
- -----------------------------------------------------------------------------------------------------------------------
US GOVERNMENT, 10,000,000 Federal National Mortgage Association.......... 5.44 8/04/98 9,677,878
AGENCY & 6,000,000 US Treasury Bills.............................. 5.08 1/15/98 5,988,842
INSTRUMENTALITY
OBLIGATIONS-
DISCOUNT-3.0%
- -----------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT, AGENCY & INSTRUMENTALITY
OBLIGATIONS-DISCOUNT (COST-$15,665,615) 15,666,720
- -----------------------------------------------------------------------------------------------------------------------
US GOVERNMENT, 5,000,000 Federal Home Loan Bank+........................ 5.899 10/20/98 4,998,840
AGENCY & 2,000,000 Federal Home Loan Bank+........................ 5.99 8/11/99 1,998,120
INSTRUMENTALITY 2,000,000 Federal Home Loan Mortgage Corp.+.............. 5.58 4/15/98 1,999,727
OBLIGATIONS-NON- 2,000,000 Federal Home Loan Mortgage Corp.+.............. 5.57 4/20/98 1,999,653
DISCOUNT-13.7% 4,000,000 Federal Home Loan Mortgage Corp................ 5.685 8/21/98 3,996,240
1,200,000 Federal Home Loan Mortgage Corp................ 6.36 5/20/99 1,202,352
1,000,000 Federal Home Loan Mortgage Corp................ 6.10 9/10/99 1,000,500
4,000,000 Federal National Mortgage Association.......... 5.19 1/08/98 3,999,528
4,000,000 Federal National Mortgage Association+......... 5.57 3/26/98 3,999,466
5,000,000 Federal National Mortgage Association+......... 5.629 3/27/98 4,999,220
10,000,000 Federal National Mortgage Association+......... 5.669 4/24/98 9,998,826
6,000,000 Federal National Mortgage Association+......... 6.00 5/14/98 6,000,000
4,700,000 Federal National Mortgage Association+......... 5.894 10/20/98 4,698,366
1,200,000 Federal National Mortgage Association.......... 6.375 5/21/99 1,202,400
600,000 Federal National Mortgage Association.......... 5.88 8/10/99 598,902
3,700,000 Federal National Mortgage Association+......... 5.929 10/27/99 3,696,838
3,000,000 Student Loan Marketing Association+............ 5.877 10/06/98 2,998,566
3,000,000 Student Loan Marketing Association+............ 5.909 11/25/98 2,999,221
2,000,000 Student Loan Marketing Association............. 5.80 12/18/98 1,997,068
2,920,000 US Treasury Notes.............................. 5.00 1/31/98 2,918,265
2,000,000 US Treasury Notes.............................. 7.875 4/15/98 2,013,124
2,600,000 US Treasury Notes.............................. 5.625 11/30/98 2,600,000
- -----------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT, AGENCY & INSTRUMENTALITY
OBLIGATIONS-NON-DISCOUNT (COST-$71,905,223) 71,915,222
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
45
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserves Portfolio
Schedule of Investments as of December 31, 1997 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE
AMOUNT ISSUE (NOTE 1A)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
REPURCHASE $12,360,000 HSBC Securities, Inc. purchased on 12/31/1997
AGREEMENTS**-2.4% to yield 6.25% to 1/02/1998................... $ 12,360,000
- -----------------------------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (COST-$12,360,000) 12,360,000
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST-$ 531,757,850
531,748,318)-101.1%...........................
LIABILITIES IN EXCESS OF OTHER ASSETS-(1.1%)... (6,040,489)
-------------
NET ASSETS-100.0%.............................. $ 525,717,361
-------------
-------------
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commercial Paper and certain US Government & Agency Obligations are traded on
a discount basis; the interest rates shown are the discount rates paid at the
time of purchase by the Portfolio. Other securities bear interest at the
rates shown, payable at fixed rates or upon maturity. Interest rates on
variable rate securities are adjusted periodically based on appropriate
indexes. The interest rates shown are the rates in effect at December 31,
1997.
** Repurchase Agreements are fully collateralized by US Government Obligations.
+ Variable Rate Notes.
++ Guarantor Republic NB of New York.
++ Subject to principal paydowns.
See Notes to Financial Statements.
46
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS & WARRANTS COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
AEROSPACE & 336,000 AlliedSignal, Inc.............. $ 12,455,063 $ 13,083,000 1.0%
DEFENSE 240,000 GenCorp, Inc................... 7,004,945 6,000,000 0.5
67,200 +Orbital Sciences Corp......... 1,725,761 1,999,200 0.1
-------------- -------------- -----
21,185,769 21,082,200 1.6
- ------------------------------------------------------------------------------------------------------------------
AIRLINES 251,000 +US Airways Group, Inc......... 9,299,154 15,687,500 1.2
- ------------------------------------------------------------------------------------------------------------------
APPLIANCES 267,000 Sunbeam Corp................... 10,423,247 11,247,375 0.8
- ------------------------------------------------------------------------------------------------------------------
AUTOMOBILE PARTS 281,000 Federal-Mogul Corp............. 10,926,243 11,380,500 0.9
- ------------------------------------------------------------------------------------------------------------------
AUTOMOBILE RENTAL 316,900 +Avis Rent-A-Car, Inc.......... 6,897,547 10,120,994 0.8
334,600 Hertz Corp. (Class A).......... 11,188,009 13,467,650 1.0
-------------- -------------- -----
18,085,556 23,588,644 1.8
- ------------------------------------------------------------------------------------------------------------------
BANKING 165,000 Bank of New York Co., Inc...... 3,539,931 9,539,063 0.7
57,000 Bank of New York Co., Inc.
(Warrants) (c)................ 521,250 9,647,250 0.7
222,000 BankAmerica Corp............... 11,804,920 16,206,000 1.2
276,300 First Union Corporation........ 13,590,574 14,160,375 1.1
-------------- -------------- -----
29,456,675 49,552,688 3.7
- ------------------------------------------------------------------------------------------------------------------
BROADCASTING-MEDIA 160,300 +Chancellor Media Corp......... 10,167,750 11,962,388 0.9
- ------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES 304,200 +Gartner Group, Inc. (Class
A)............................ 10,321,701 11,331,450 0.9
- ------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 109,500 +Cisco Systems, Inc............ 6,241,649 6,104,625 0.5
- ------------------------------------------------------------------------------------------------------------------
COMPUTERS 63,000 Compaq Computer Corp........... 1,886,595 3,555,563 0.3
52,000 International Business Machines
Corp.......................... 3,794,075 5,437,250 0.4
225,000 +Quantum Corporation........... 6,355,152 4,514,063 0.3
-------------- -------------- -----
12,035,822 13,506,876 1.0
- ------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS 476,400 The Dial Corporation........... 9,192,341 9,915,075 0.7
- ------------------------------------------------------------------------------------------------------------------
CONTAINERS 385,300 +Owens-Illinois, Inc........... 11,153,944 14,617,319 1.1
- ------------------------------------------------------------------------------------------------------------------
CRUISE LINES 133,000 Royal Caribbean Cruises Ltd.... 5,777,740 7,090,563 0.5
- ------------------------------------------------------------------------------------------------------------------
DENTAL SUPPLIES & 268,000 DENTSPLY International Inc..... 6,763,568 8,174,000 0.6
EQUIPMENT
- ------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 167,000 General Electric Co............ 11,763,351 12,253,625 0.9
- ------------------------------------------------------------------------------------------------------------------
ELECTRONICS 294,000 +National Semiconductor
Corporation................... 11,942,678 7,625,625 0.6
- ------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 109,500 American Express Company....... 5,282,318 9,772,875 0.8
265,000 MGIC Investment Corp........... 10,142,687 17,622,500 1.3
-------------- -------------- -----
15,425,005 27,395,375 2.1
- ------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 175,700 Black & Decker Corporation..... 5,890,960 6,863,281 0.5
- ------------------------------------------------------------------------------------------------------------------
INSURANCE 89,460 Hartford Life, Inc. (Class
A)............................ 2,902,425 4,053,656 0.3
424,000 Provident Companies, Inc....... 14,015,762 16,377,000 1.2
339,000 Travelers Group, Inc........... 12,032,427 18,263,625 1.4
107,800 Travelers Property Casualty
Corp. (Class A)............... 4,363,088 4,743,200 0.4
248,800 UNUM Corporation............... 7,906,559 13,528,500 1.0
-------------- -------------- -----
41,220,261 56,965,981 4.3
- ------------------------------------------------------------------------------------------------------------------
LEISURE/TOURISM 387,000 Brunswick Corporation.......... 9,628,968 11,730,938 0.9
- ------------------------------------------------------------------------------------------------------------------
MACHINERY 165,000 Harnischfeger Industries,
Inc........................... 7,149,998 5,826,562 0.4
300,100 Ingersoll-Rand Co.............. 9,013,935 12,154,050 0.9
130,800 SPX Corporation................ 7,436,281 9,025,200 0.7
-------------- -------------- -----
23,600,214 27,005,812 2.0
- ------------------------------------------------------------------------------------------------------------------
MEDICAL SERVICES 508,513 +HEALTHSOUTH Corporation....... 13,786,004 14,111,236 1.1
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
47
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS & WARRANTS COST (NOTE 1A) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NATURAL GAS 238,000 El Paso Natural Gas Co......... $ 12,196,998 $ 15,827,000 1.2%
132,000 Enron Corp..................... 5,203,694 5,486,250 0.4
-------------- -------------- -----
17,400,692 21,313,250 1.6
- ------------------------------------------------------------------------------------------------------------------
OFFICE EQUIPMENT 148,000 Danka Business Systems PLC
(ADR) (a) (d)................. 7,296,105 2,358,750 0.2
- ------------------------------------------------------------------------------------------------------------------
OIL SERVICES 100,000 Schlumberger Ltd............... 4,211,528 8,050,000 0.6
162,600 +Smith International, Inc...... 7,428,829 9,979,575 0.7
-------------- -------------- -----
11,640,357 18,029,575 1.3
- ------------------------------------------------------------------------------------------------------------------
PETROLEUM 298,000 Unocal Corp.................... 10,663,313 11,566,125 0.9
- ------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 132,000 Bristol-Myers Squibb Co........ 12,540,404 12,490,500 0.9
200,000 Lilly (Eli) & Co............... 12,624,240 13,925,000 1.0
170,000 Pfizer, Inc.................... 12,436,157 12,675,625 1.0
86,000 Warner-Lambert Company......... 12,303,160 10,664,000 0.8
-------------- -------------- -----
49,903,961 49,755,125 3.7
- ------------------------------------------------------------------------------------------------------------------
RAILROADS 111,000 Burlington Northern Santa Fe,
Inc........................... 9,335,621 10,316,062 0.8
- ------------------------------------------------------------------------------------------------------------------
REAL ESTATE 310,000 Glenborough Realty Trust....... 7,750,000 9,183,750 0.7
INVESTMENT TRUSTS 284,100 Prentiss Properties Trust...... 5,999,193 7,937,044 0.6
145,000 Starwood Lodging Trust......... 3,875,614 8,391,875 0.6
-------------- -------------- -----
17,624,807 25,512,669 1.9
- ------------------------------------------------------------------------------------------------------------------
RESTAURANTS 185,000 +Tricon Global Restaurants,
Inc........................... 6,361,725 5,376,562 0.4
- ------------------------------------------------------------------------------------------------------------------
RETAIL 266,350 Rite Aid Corporation........... 8,938,064 15,631,416 1.2
140,000 +Safeway, Inc.................. 7,765,881 8,855,000 0.7
211,000 Sears, Roebuck & Co............ 8,083,394 9,547,750 0.7
240,000 Wal-Mart Stores, Inc........... 9,908,429 9,465,000 0.7
-------------- -------------- -----
34,695,768 43,499,166 3.3
- ------------------------------------------------------------------------------------------------------------------
SOFTWARE 144,900 +BMC Software, Inc............. 5,686,093 9,490,950 0.7
180,500 Computer Associates
International, Inc............ 4,936,682 9,543,937 0.7
68,000 +Microsoft Corp................ 8,164,579 8,784,750 0.7
-------------- -------------- -----
18,787,354 27,819,637 2.1
- ------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 561,766 +Tele-Communications, Inc.
(Class A)..................... 9,589,134 15,659,227 1.1
321,234 +Tele-Communications TCI
Ventures Group................ 5,483,350 9,094,938 0.7
388,000 +WorldCom, Inc................. 9,728,048 11,737,000 0.9
-------------- -------------- -----
24,800,532 36,491,165 2.7
- ------------------------------------------------------------------------------------------------------------------
TRANSPORT SERVICES 271,000 +OMI Corp...................... 3,509,962 2,489,812 0.2
- ------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 309,000 Carnival Corp. (Class A)....... 8,926,288 17,110,875 1.3
- ------------------------------------------------------------------------------------------------------------------
UTILITIES 461,100 Edison International, Inc...... 8,780,865 12,536,156 0.9
232,500 Texas Utilities Company........ 9,278,311 9,663,281 0.7
-------------- -------------- -----
18,059,176 22,199,437 1.6
- ------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS & WARRANTS 543,294,261 673,031,286 50.6
- ------------------------------------------------------------------------------------------------------------------
US CORPORATE BONDS
- ------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES US$ 3,000,000 General Electric Capital Corp.,
8.75% due 5/21/2007........... 3,373,650 3,527,190 0.3
- ------------------------------------------------------------------------------------------------------------------
TOTAL US CORPORATE BONDS 3,373,650 3,527,190 0.3
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
COUNTRIES FOREIGN STOCKS+++++
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
ARGENTINA 62,000 Yacimientos Petroliferos
Fiscales S.A. (ADR) (a)
(23).......................... 1,267,795 2,119,625 0.2
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ARGENTINA 1,267,795 2,119,625 0.2
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
48
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRIES HELD FOREIGN STOCKS+++++ COST (NOTE 1A) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
AUSTRALIA 363,000 Broken Hill Proprietary Co.,
Ltd. (8)...................... $ 4,776,103 $ 3,367,460 0.2%
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN AUSTRALIA 4,776,103 3,367,460 0.2
- ------------------------------------------------------------------------------------------------------------------
BAHAMAS 31,400 +Sun International Hotels Ltd.
(32).......................... 1,204,528 1,181,425 0.1
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
BAHAMAS 1,204,528 1,181,425 0.1
- ------------------------------------------------------------------------------------------------------------------
BRAZIL 16,500 Telecomunicacoes Brasileiras
S.A.-Telebras (ADR) (a)
(30).......................... 857,119 1,921,219 0.1
37,000 +Uniao de Bancos Brasileiros
S.A. (Unibanco) (GDR) (b)
(3)........................... 1,249,011 1,190,937 0.1
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BRAZIL 2,106,130 3,112,156 0.2
- ------------------------------------------------------------------------------------------------------------------
CANADA 230,000 +Gulf Canada Resources Ltd.
(21).......................... 2,135,596 1,610,000 0.1
111,800 +Imax Corporation (11)......... 1,784,440 2,403,700 0.2
60,000 Magna International Inc.
(Class A) (2)................. 2,817,014 3,768,750 0.3
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 6,737,050 7,782,450 0.6
- ------------------------------------------------------------------------------------------------------------------
FINLAND 130,000 +Amer Group Ltd. (8)........... 2,362,805 2,493,804 0.2
101,000 Finnlines OY (7)............... 2,019,754 4,004,773 0.3
91,000 Orion-Yhtymae OY (Class B)
(24).......................... 2,552,981 2,340,358 0.2
162,000 UPM-Kymmene OY (22)............ 3,368,121 3,229,592 0.2
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 10,303,661 12,068,527 0.9
- ------------------------------------------------------------------------------------------------------------------
FRANCE 35,300 +SGS-Thompson Microelectronics
N.V. (NY Registered Shares)
(29).......................... 1,348,823 2,155,506 0.2
79,800 Scor S.A. (27)................. 3,078,175 3,815,657 0.3
43,000 Thomson CSF (9)................ 1,351,200 1,355,225 0.1
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 5,778,198 7,326,388 0.6
- ------------------------------------------------------------------------------------------------------------------
GERMANY 35,000 Bayerische Vereinsbank AG (3).. 2,111,030 2,290,138 0.2
14,000 Henkel KGaA (6)................ 622,324 786,080 0.0
59,000 Henkel KGaA (Preferred) (6).... 2,514,746 3,722,760 0.3
7,900 Mannesmann AG (17)............. 2,758,040 3,992,161 0.3
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 8,006,140 10,791,139 0.8
- ------------------------------------------------------------------------------------------------------------------
INDONESIA 124,700 PT Indonesian Satellite Corp.
(ADR) (a) (30)................ 4,497,647 2,408,269 0.2
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN INDONESIA 4,497,647 2,408,269 0.2
- ------------------------------------------------------------------------------------------------------------------
ITALY 450,000 Arnoldo Mondadori Editore
S.p.A. (25)................... 3,797,870 3,535,496 0.2
306,100 Danieli & Co. Officine
Meccaniche S.p.A. (17)........ 1,203,809 1,100,382 0.1
92,000 Gucci Group N.V. (NY Registered
Shares) (1)................... 6,457,732 3,852,500 0.3
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 11,459,411 8,488,378 0.6
- ------------------------------------------------------------------------------------------------------------------
JAPAN 71,000 Amway Japan Ltd. (18).......... 2,723,787 1,362,764 0.1
147,000 Bridgestone Corporation (31)... 2,560,492 3,193,935 0.2
128,000 Matsushita Electric Industrial
Co., Ltd. (9)................. 2,027,385 1,877,006 0.1
235,000 Matsushita Electric Works, Ltd.
(5)........................... 2,674,886 2,038,772 0.2
29,000 Rohm Co., Ltd. (9)............. 1,624,819 2,961,228 0.2
38,000 Sony Corporation (9)........... 2,808,187 3,384,261 0.3
174,000 Tokio Marine and Fire Insurance
Co., Ltd. (14)................ 1,654,407 1,977,121 0.2
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 16,073,963 16,795,087 1.3
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
49
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRIES HELD FOREIGN STOCKS+++++ COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
MEXICO 129,100 Grupo Carso, S.A. de C.V.
(ADR) (a) (20)................ $ 1,178,898 $ 1,710,575 0.1%
96,500 +Grupo Financiero Bancomer,
S.A. de C.V. (ADR) (a) (12)... 1,377,402 1,206,250 0.1
52,500 Panamerican Beverages, Inc.
(Class A) (4).................. 1,036,269 1,712,812 0.1
33,750 Telefonos de Mexico, S.A. de
C.V. (Telmex) (ADR) (a)
(30).......................... 1,351,764 1,892,109 0.2
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN MEXICO 4,944,333 6,521,746 0.5
- ------------------------------------------------------------------------------------------------------------------
NETHERLANDS 37,000 Royal Dutch Petroleum Co. (NY
Registered Shares) (21)....... 2,020,966 2,004,937 0.1
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
NETHERLANDS 2,020,966 2,004,937 0.1
- ------------------------------------------------------------------------------------------------------------------
NORWAY 469,000 Color Line ASA (7)............. 1,829,151 1,816,347 0.1
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 1,829,151 1,816,347 0.1
- ------------------------------------------------------------------------------------------------------------------
PHILIPPINES 850,000 San Miguel Corp. (Class B)
(4)........................... 2,515,659 1,051,875 0.1
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
PHILIPPINES 2,515,659 1,051,875 0.1
- ------------------------------------------------------------------------------------------------------------------
SOUTH AFRICA 127,500 De Beers Consolidated Mines
Ltd. (ADR) (a) (19)........... 4,249,507 2,605,781 0.2
302,800 Sasol Ltd. (8)................. 3,569,892 3,174,918 0.2
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN
SOUTH AFRICA 7,819,399 5,780,699 0.4
- ------------------------------------------------------------------------------------------------------------------
SOUTH KOREA 158,900 +Hyundai Engineering &
Construction Co., Ltd.
(GDR) (b) (10)++.............. 2,039,265 139,037 0.0
3,102 +Hyundai Engineering &
Construction Co., Ltd. (New
Shares) (GDR) (b) (10)++...... 39,823 2,714 0.0
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN
SOUTH KOREA 2,079,088 141,751 0.0
- ------------------------------------------------------------------------------------------------------------------
SPAIN 81,800 Repsol S.A. (ADR) (a) (23)..... 3,016,794 3,481,612 0.3
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 3,016,794 3,481,612 0.3
- ------------------------------------------------------------------------------------------------------------------
SWEDEN 161,200 Bure Investment AB (15)........ 1,454,626 2,121,721 0.2
117,200 +Castellum AB (26)............. 786,225 1,166,169 0.1
266,000 +Nordbanken Holding AB (3)..... 1,441,274 1,504,301 0.1
161,000 Perstorp AB
(Class B) (6)................. 3,015,682 2,879,526 0.2
121,500 Sparbanken Sverige AB (Class A)
(3)........................... 1,566,053 2,762,233 0.2
68,000 Spectra-Physics AB
(Class A) (16)................ 2,074,676 1,288,998 0.1
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 10,338,536 11,722,948 0.9
- ------------------------------------------------------------------------------------------------------------------
SWITZERLAND 2,460 Novartis AG (Registered
Shares) (24).................. 2,136,289 3,994,656 0.3
400 Roche Holding AG (24).......... 3,360,098 3,975,334 0.3
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN
SWITZERLAND 5,496,387 7,969,990 0.6
- ------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 372,400 Diageo PLC (4)................. 2,574,340 3,422,277 0.2
266,000 Dixons Group PLC (28).......... 2,801,047 2,669,490 0.2
235,800 Imperial Chemical Industries
PLC (6)....................... 3,164,839 3,683,237 0.3
1,377,900 LucasVarity PLC (2)............ 4,851,875 4,865,882 0.4
335,000 Rio Tinto PLC (19)............. 4,999,987 4,121,279 0.3
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE UNITED
KINGDOM 18,392,088 18,762,165 1.4
- ------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 130,663,027 134,694,974 10.1
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
50
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
COUNTRIES AMOUNT FOREIGN BONDS+++++ COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
CANADA C$ 11,200,000 Canadian Government Bonds, 7% due $ 8,511,722 $ 8,578,241 0.6%
12/01/2006 (13).................
- ----------------------------------------------------------------------------------------------------------------------------
DENMARK Dkr 20,000,000 Government of Denmark, 7% due 3,195,204 3,207,894 0.2
11/15/2007 (13).................
- ----------------------------------------------------------------------------------------------------------------------------
FRANCE Frf 20,800,000 French Government Bonds, 5.50% 3,424,726 3,497,192 0.3
due 10/25/2007 (13).............
- ----------------------------------------------------------------------------------------------------------------------------
GERMANY DM 33,000,000 Bundesrepublik Deutschland, 6% 19,300,518 19,235,324 1.5
due 7/04/2007 (13)..............
- ----------------------------------------------------------------------------------------------------------------------------
ITALY Lit 5,450,000,000 Buoni Poliennali del Tesoro 3,861,100 3,562,585 0.3
(Italian Government Bonds),
8.50% due 1/01/2004 (13)........
- ----------------------------------------------------------------------------------------------------------------------------
SWEDEN Skr 49,400,000 Government of Sweden, 8% due 7,207,737 7,122,137 0.5
8/15/2007 (13)..................
- ----------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM L 3,550,000 UK Treasury Gilt, 7.25% due 5,875,988 6,237,214 0.5
12/07/2007 (13).................
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN BONDS 51,376,995 51,440,587 3.9
- ----------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY OBLIGATIONS
- ----------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT US$ 5,786,201 Federal National Mortgage 5,728,339 5,755,013 0.4
AGENCY 12,849,791 Association+++: 12,719,285 12,762,027 1.0
OBLIGATIONS 7,297,226 6% due 11/01/2000............ 7,210,572 7,245,197 0.5
6% due 6/01/2001.............
6% due 2/01/2004.............
-------------- -------------- -----
25,658,196 25,762,237 1.9
- ----------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT 117,500,000 US Treasury Bonds, 6.625% due 114,362,578 127,560,350 9.6
OBLIGATIONS 3,000,000 2/15/2027....................... 2,973,516 2,998,110 0.2
92,000,000 US Treasury Notes: 92,107,188 92,445,280 7.0
50,000,000 5% due 1/31/1998............. 50,335,938 51,461,000 3.9
34,000,000 6% due 8/15/1999............. 33,836,563 35,083,580 2.6
17,750,000 6.50% due 5/31/2002.......... 17,950,742 18,787,310 1.4
6.25% due 2/15/2007..........
6.625% due 5/15/2007.........
-------------- -------------- -----
311,566,525 328,335,630 24.7
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY
OBLIGATIONS 337,224,721 354,097,867 26.6
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
51
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1997 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
AMOUNT SHORT-TERM SECURITIES COST (NOTE 1A) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
COMMERCIAL US$ 58,919,000 General Motors Acceptance Corp.,
PAPER* 6.75% due 1/02/1998............. $ 58,907,953 $ 58,907,953 4.4%
- ----------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT 27,000,000 Federal Home Loan Mortgage Corp.,
AGENCY 5.75% due 1/06/1998............. 26,978,437 26,978,437 2.1
OBLIGATIONS* 20,000,000 Federal National Mortgage 19,987,178 19,987,178 1.5
Association, 5.77% due
1/05/1998.......................
-------------- -------------- -----
46,965,615 46,965,615 3.6
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 105,873,568 105,873,568 8.0
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS................ $1,171,806,222 1,322,665,472 99.5
--------------
--------------
UNREALIZED DEPRECIATION ON
FORWARD FOREIGN EXCHANGE
CONTRACTS++++.................... (35,645) 0.0
OTHER ASSETS LESS LIABILITIES.... 6,901,177 0.5
-------------- -----
NET ASSETS....................... $1,329,531,004 100.0%
-------------- -----
-------------- -----
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commercial Paper and certain US Government Agency Obligations are traded on
a discount basis; the interest rates shown are the discount rates paid at
the time of purchase by the Portfolio.
(a) American Depositary Receipts (ADR).
(b) Global Depositary Receipts (GDR).
(c) Warrants entitle the Portfolio to purchase a predetermined number of shares
of Common Stock. The purchase price and number of shares are subject to
adjustment under certain conditions until the expiration date.
(d) Consistent with the general policy of the Securities and Exchange
Commission, the nationality or domicile of an issuer for determination of
foreign issuer status may be (i) the country under whose laws the issuer is
organized, (ii) the country in which the issuer's securities are
principally traded, or (iii) the country in which the issuer derives a
significant proportion (at least 50%) of its revenue or profits from goods
produced and sold, investments made, or services performed in the country,
or in which at least 50% of the assets of the issuer are situated.
+ Non-income producing security.
++ The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
+++ Subject to principal paydowns.
++++ Forward foreign exchange contracts as of December 31, 1997 were as follows:
<TABLE>
<CAPTION>
- --------------------------------------------------------
UNREALIZED
APPRECIATION
FOREIGN EXPIRATION (DEPRECIATION)
CURRENCY SOLD DATE (NOTE 1F)
- --------------------------------------------------------
<S> <C> <C> <C>
A$ 5,000,000 January 1998 $ 43,325
C$ 24,000,000 March 1998 102,583
Y 2,100,000,000 January 1998 76,202
L 9,850,000 January 1998 (257,755)
- --------------------------------------------------------
TOTAL UNREALIZED DEPRECIATION ON FORWARD FOREIGN
EXCHANGE CONTRACTS -- NET (US$ COMMITMENT-$52,345,580) $ (35,645)
--------------
--------------
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
+++++ Corresponding industry groups for foreign stocks and bonds:
<TABLE>
<S> <C> <C>
(1) Apparel (11) Entertainment (21) Oil-Integrated
(2) Auto-Parts (12) Financial Services (22) Paper & Forest Products
(3) Banking (13) Government (Bonds) (23) Petroleum
(4) Beverages (14) Insurance (24) Pharmaceuticals
(5) Building Products (15) Investment Management (25) Publishing
(6) Chemicals (16) Laser Components (26) Real Estate
(7) Cruise Lines (17) Machinery & Equipment (27) Reinsurance
(8) Diversified (18) Merchandising (28) Retail
(9) Electronics (19) Mining (29) Semiconductors
(10) Engineering & Construction (20) Multi-Industry (30) Telecommunications
(31) Tires & Rubber
(32) Hotels & Casinos
</TABLE>
See Notes to Financial Statements.
52
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of December 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE (NOTE PERCENT OF
INDUSTRIES HELD STOCKS COST 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
ALUMINUM 6,100 +Alumax, Inc......................... $ 214,289 $ 207,400 1.2%
2,100 Aluminum Co. of America.............. 115,567 147,788 0.9
3,600 Pechiney, S.A........................ 143,626 142,110 0.8
------------- ----------- -----
473,482 497,298 2.9
- -------------------------------------------------------------------------------------------------------------------
CHEMICALS 1,800 Air Products & Chemicals, Inc........ 102,951 148,050 0.9
3,100 BASF AG.............................. 77,701 109,865 0.6
1,000 Dow Chemical Co...................... 68,909 101,500 0.6
4,000 duPont (E.I.) de Nemours & Co........ 129,005 240,250 1.4
------------- ----------- -----
378,566 599,665 3.5
- -------------------------------------------------------------------------------------------------------------------
DIAMONDS 8,600 +Aber Resources, Ltd................. 141,731 90,741 0.5
14,000 +SouthernEra Resources Ltd........... 86,682 139,892 0.8
------------- ----------- -----
228,413 230,633 1.3
- -------------------------------------------------------------------------------------------------------------------
DIVERSIFIED RESOURCES 10,000 Asahi Glass Co., Ltd................. 120,000 47,601 0.3
COMPANIES 3,300 Ashland Inc.......................... 139,803 177,169 1.0
2,700 Coastal Corp......................... 78,702 167,231 1.0
10,800 Norcen Energy Resources, Ltd......... 87,553 123,765 0.7
44,500 North Ltd............................ 166,919 117,095 0.7
27,400 RGC Ltd.............................. 108,532 41,740 0.2
------------- ----------- -----
701,509 674,601 3.9
- -------------------------------------------------------------------------------------------------------------------
GOLD 117,000 +Acacia Resources Ltd................ 196,599 106,634 0.6
16,900 +Amax Gold, Inc...................... 99,076 39,081 0.2
9,700 Ashanti Goldfields Co. Ltd.
(GDR)**............................. 237,979 79,540 0.5
12,500 Cambior, Inc......................... 170,092 73,807 0.4
13,500 +Casmyn Corp......................... 124,286 23,625 0.1
125,000 Delta Gold N.L....................... 225,322 131,502 0.8
15,500 Driefontein Consolidated Ltd......... 239,913 105,160 0.6
3,800 Freeport-McMoRan Copper & Gold, Inc.
(Class B)........................... 130,928 59,850 0.3
9,900 +Getchell Gold Corp.................. 394,741 237,600 1.4
102,000 Great Central Mines N.L.............. 282,869 109,563 0.6
44,900 +Miramar Mining Corp................. 225,975 89,417 0.5
9,013 Newmont Mining Corp.................. 363,410 264,757 1.5
108,000 Normandy Mining Ltd.................. 122,071 104,759 0.6
27,000 Placer Dome, Inc..................... 618,688 342,563 2.0
13,100 Prime Resource Group, Inc............ 128,069 86,961 0.5
128,000 Resolute Ltd......................... 267,743 93,327 0.5
14,200 +Sutton Resources Ltd................ 127,816 95,752 0.6
17,300 +TVX Gold, Inc....................... 138,365 58,388 0.3
57,166 +William Resources Inc............... 100,312 13,981 0.1
------------- ----------- -----
4,194,254 2,116,267 12.1
- -------------------------------------------------------------------------------------------------------------------
METALS & MINING 3,600 ASARCO, Inc.......................... 93,631 80,775 0.5
170,000 +Centaur Mining & Exploration Ltd.... 256,033 59,762 0.3
9,100 Falconbridge Ltd..................... 201,777 115,729 0.7
2,800 Inco Ltd............................. 92,526 47,600 0.3
34,200 Industrias Penoles, S.A. de C.V...... 148,340 154,914 0.9
278,000 M.I.M. Holdings Ltd.................. 543,339 170,119 1.0
17,188 Minsur S.A........................... 55,784 36,723 0.2
23,000 Mitsubishi Materials Corp............ 113,395 37,083 0.2
9,300 Noranda, Inc......................... 167,291 159,863 0.9
9,500 Outokumpu OYJ........................ 175,414 112,483 0.6
5,400 P.T. Tambang Timah (GDR)** (a)....... 66,782 58,050 0.3
33,600 Pasminco Ltd......................... 52,120 38,498 0.2
1,900 Phelps Dodge Corp.................... 138,934 118,275 0.7
61,000 QNI Ltd.............................. 122,703 40,505 0.2
3,100 Rio Algom Ltd........................ 60,087 52,313 0.3
23,900 Rio Tinto PLC........................ 312,197 294,026 1.7
205,000 Savage Resources Ltd................. 158,284 96,088 0.6
20,500 Savage Resources Ltd. (Warrants)
(b)................................. 2,720 467 0.0
</TABLE>
53
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of December 31, 1997 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE (NOTE PERCENT OF
INDUSTRIES HELD STOCKS COST 1A) NET ASSETS
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
METALS & MINING 13,000 Sumitomo Metal Mining Co., Ltd....... $ 108,254 $ 42,917 0.3%
(CONCLUDED) 7,400 Trelleborg `B' Fria.................. 93,589 93,205 0.5
80,600 WMC Ltd.............................. 467,844 280,718 1.6
------------- ----------- -----
3,431,044 2,090,113 12.0
- -------------------------------------------------------------------------------------------------------------------
OIL & GAS PRODUCERS 9,900 Apache Corp.......................... 264,664 347,119 2.0
7,700 +Baytex Energy Ltd. (Class A)........ 108,911 80,707 0.5
8,400 +Benton Oil & Gas Corp............... 128,100 108,675 0.6
2,440 Burlington Resources, Inc............ 63,423 109,343 0.6
12,000 +Chauvco Resources International
Ltd................................. 5,441 10,062 0.1
5,600 +Chieftain International, Inc........ 126,099 119,000 0.7
19,300 +EEX Corp............................ 187,297 174,906 1.0
22,400 Enterprise Oil PLC................... 149,053 213,394 1.2
40,800 +Gulf Canada Resources Ltd.
(Ordinary).......................... 305,195 285,600 1.6
3,900 +Houston Exploration Co.............. 89,295 71,662 0.4
7,000 Mitchell Energy & Development Corp.
(Class B)........................... 122,020 203,875 1.2
15,000 +Northrock Resources Ltd............. 119,611 233,212 1.3
10,300 +Oryx Energy Co...................... 171,762 262,650 1.5
4,200 PanCanadian Petroleum Ltd............ 79,720 67,501 0.4
5,925 Pioneer Natural Resources Co......... 159,234 171,455 1.0
26,400 Ranger Oil Ltd....................... 178,376 181,500 1.1
4,800 Sonat, Inc........................... 210,335 219,600 1.3
------------- ----------- -----
2,468,536 2,860,261 16.5
- -------------------------------------------------------------------------------------------------------------------
OIL-INTEGRATED 4,300 Amerada Hess Corp.................... 230,276 235,962 1.3
2,600 Amoco Corp........................... 143,530 221,325 1.3
7,400 British Petroleum Co. PLC (ADR)*..... 282,347 589,687 3.4
6,700 ENI S.p.A. (ADR)*.................... 313,225 382,319 2.2
5,000 Elf Aquitaine S.A. (ADR)*............ 183,332 293,125 1.7
1,200 OMV AG............................... 128,441 166,284 1.0
14,600 Petro-Canada......................... 159,357 268,275 1.5
4,300 Total, S.A. (Class B)................ 269,000 467,935 2.7
5,100 YPF Sociedad Anonima S.A. (ADR)*..... 124,901 174,356 1.0
------------- ----------- -----
1,834,409 2,799,268 16.1
- -------------------------------------------------------------------------------------------------------------------
OIL SERVICES 5,700 Coflexip Stena Offshore, Inc.
(ADR)*.............................. 117,182 316,350 1.8
5,200 McDermott International, Inc......... 195,841 190,450 1.1
4,400 +Petroleum Geo-Services ASA (ADR)*... 131,275 284,900 1.6
2,300 Schlumberger Ltd..................... 74,818 185,150 1.1
5,300 Smedvig ASA (ADR)*................... 112,625 111,300 0.6
1,600 +Stolt Comex Seaway, S.A............. 96,800 77,600 0.5
7,800 +TransCoastal Marine Services,
Inc................................. 148,395 107,250 0.6
5,400 Transocean Offshore, Inc............. 167,054 260,212 1.5
------------- ----------- -----
1,043,990 1,533,212 8.8
- -------------------------------------------------------------------------------------------------------------------
PAPER & PULP 5,400 Aracruz Celulose S.A. (ADR)*......... 86,629 77,625 0.5
21,000 Avenor, Inc.......................... 410,812 299,350 1.7
2,700 Champion International Corp.......... 140,847 122,344 0.7
1,800 Georgia-Pacific Corp................. 101,736 109,350 0.6
1,800 +Georgia-Pacific Timber Group
Corp................................ 42,390 40,837 0.2
3,200 International Paper Co............... 107,512 138,000 0.8
16,400 Metsa Serla OY `B'................... 141,828 127,949 0.8
3,900 Mo Och Domsjo AB Co.................. 89,671 100,699 0.6
27,000 Slocan Forest Products Ltd........... 272,565 144,330 0.8
7,500 Stone Container Corp................. 92,300 78,281 0.5
5,800 Weyerhaeuser Co...................... 247,621 284,562 1.6
5,000 Willamette Industries, Inc........... 127,062 160,937 0.9
------------- ----------- -----
1,860,973 1,684,264 9.7
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
54
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of December 31, 1997 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE (NOTE PERCENT OF
INDUSTRIES HELD STOCKS COST 1A) NET ASSETS
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PLANTATIONS 73,000 Golden Hope Plantations BHD.......... $ 131,880 $ 84,556 0.5%
70,000 Kuala Lumpur Kepong BHD.............. 111,705 150,450 0.9
------------- ----------- -----
243,585 235,006 1.4
- -------------------------------------------------------------------------------------------------------------------
REFINING 6,800 Sun Co., Inc......................... 186,935 286,025 1.7
3,245 Ultramar Diamond Shamrock Corp....... 149,467 103,434 0.6
------------- ----------- -----
336,402 389,459 2.3
- -------------------------------------------------------------------------------------------------------------------
STEEL 66,000 British Steel PLC.................... 174,814 141,469 0.8
2,500 Koninklijke Nederlandsche Hoogovens
en Staalfabrienken N.V.............. 95,875 102,461 0.6
83,000 Nippon Steel Corp.................... 281,181 122,987 0.7
56,000 Sumitomo Metal Industries, Ltd....... 170,252 71,800 0.4
------------- ----------- -----
722,122 438,717 2.5
- -------------------------------------------------------------------------------------------------------------------
WOOD 6,600 Louisiana-Pacific Corp............... 155,496 125,400 0.7
13,900 Riverside Forest Products Ltd........ 183,006 109,269 0.7
------------- ----------- -----
338,502 234,669 1.4
- -------------------------------------------------------------------------------------------------------------------
TOTAL STOCKS 18,255,787 16,383,433 94.4
- -------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SHORT-TERM SECURITIES
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
COMMERCIAL $ 789,000 General Motors Acceptance Corp.,
PAPER*** 6.75% due 1/02/1998................. 788,704 788,704 4.6
- -------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 788,704 788,704 4.6
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS.................... $ 19,044,491 17,172,137 99.0
-------------
-------------
OTHER ASSETS LESS LIABILITIES........ 179,802 1.0
----------- -----
NET ASSETS........................... $17,351,939 100.0%
----------- -----
----------- -----
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
* American Depositary Receipts (ADR).
** Global Depositary Receipts (GDR).
*** Commercial Paper is traded on a discount basis; the interest rate shown is
the discount rate paid at the time of the purchase by the Portfolio.
(a) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(b) Warrants entitle the Portfolio to purchase a predetermined number of shares
of Common Stock. The purchase price and number of shares are subject to
adjustment under certain conditions until the expiration date.
See Notes to Financial Statements.
55
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Assets and Liabilities as of December 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- --------------------------------------------------------------------------------
ASSETS:
Investments, at value* (Note
1a)......................... $ 107,747,276 $ 335,962,996 $ 247,363,367
Unrealized appreciation on
forward foreign exchange
contracts (Note 1f)......... -- 5,290 --
Cash.......................... 713 99 16,168
Foreign cash (Note 1g)........ -- 34,257 69,516
Interest receivable........... 601,019 -- 1,680,637
Receivable for capital shares
sold........................ 5,407 208,954 71,173
Dividends receivable.......... 64,919 398,731 235,757
Receivable for securities
sold........................ -- -- --
Receivable from investment
adviser (Note 2)............ -- -- --
Receivable for loaned
securities (Note 7)......... -- -- --
Prepaid expenses and other
assets (Note 1e)............ 5,054 13,073 9,959
------------- ------------- -------------
Total assets................ 108,424,388 336,623,400 249,446,577
------------- ------------- -------------
LIABILITIES:
Unrealized depreciation on
forward foreign exchange
contracts (Note 1f)......... -- -- 35,680
Payable for securities
purchased................... 34,841 511,352 122,418
Payable for capital shares
redeemed.................... 8,899 432 144,958
Payable for forward foreign
exchange contracts (Note
1f)......................... -- 136,372 433,361
Payable to investment adviser
(Note 2).................... 31,546 97,184 73,065
Payable for dividends to
shareholders (Note 1h)...... -- -- --
Accrued expenses and other
liabilities................. 25,084 75,625 132,445
------------- ------------- -------------
Total liabilities........... 100,370 820,965 941,927
------------- ------------- -------------
NET ASSETS.................... $ 108,324,018 $ 335,802,435 $ 248,504,650
------------- ------------- -------------
------------- ------------- -------------
NET ASSETS CONSIST OF:
Common Stock, $0.10 par
value+...................... $ 686,648 $ 1,253,253 $ 1,424,695
Paid-in capital in excess of
par......................... 85,718,430 236,230,841 197,805,534
Undistributed investment
income -- net............... 3,524,791 6,263,968 9,377,194
Undistributed (accumulated)
realized capital gains
(losses) on investments and
foreign currency
transactions -- net (Note
5).......................... 6,831,437 36,235,843 27,330,077
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions --
net......................... 11,562,712 55,818,530 12,567,150
------------- ------------- -------------
NET ASSETS.................... $ 108,324,018 $ 335,802,435 $ 248,504,650
------------- ------------- -------------
------------- ------------- -------------
Capital shares outstanding.... 6,866,481 12,532,532 14,246,948
------------- ------------- -------------
------------- ------------- -------------
Net asset value, offering and
redemption price per
share....................... $ 15.78 $ 26.79 $ 17.44
------------- ------------- -------------
------------- ------------- -------------
*Identified cost.............. $ 96,184,564 $ 280,146,887 $ 234,732,190
------------- ------------- -------------
------------- ------------- -------------
+Authorized shares............ 100,000,000 100,000,000 100,000,000
------------- ------------- -------------
------------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
56
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GROWTH HIGH GOVERNMENT CORPORATE MONEY
STOCK YIELD BOND BOND RESERVE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at value* (Note
1a)......................... $ 332,549,050 $ 142,720,966 $ 219,913,433 $ 122,713,156 $ 531,757,850
Unrealized appreciation on
forward foreign exchange
contracts (Note 1f)......... -- -- -- -- --
Cash.......................... 286 494 22 280 21,517
Foreign cash (Note 1g)........ -- -- -- -- --
Interest receivable........... -- 2,230,991 3,933,201 2,080,987 3,839,264
Receivable for capital shares
sold........................ 339,818 186,775 43,684 26,539 1,318,387
Dividends receivable.......... 274,871 -- -- -- --
Receivable for securities
sold........................ -- -- -- -- --
Receivable from investment
adviser (Note 2)............ -- -- -- -- --
Receivable for loaned
securities (Note 7)......... -- -- 408 741 --
Prepaid expenses and other
assets (Note 1e)............ 12,174 6,133 10,553 5,848 8,808
------------- ------------- ------------- ------------- --------------
Total assets................ 333,176,199 145,145,359 223,901,301 124,827,551 536,945,826
------------- ------------- ------------- ------------- --------------
LIABILITIES:
Unrealized depreciation on
forward foreign exchange
contracts (Note 1f)......... -- -- -- -- --
Payable for securities
purchased................... -- -- 1,579,949 -- 9,676,622
Payable for capital shares
redeemed.................... 401 1,306,641 1,910 16,936 1,311,267
Payable for forward foreign
exchange contracts (Note
1f)......................... -- -- -- -- --
Payable to investment adviser
(Note 2).................... 97,593 41,787 65,120 36,704 149,794
Payable for dividends to
shareholders (Note 1h)...... -- -- -- -- 681
Accrued expenses and other
liabilities................. 55,176 32,553 42,787 27,813 90,101
------------- ------------- ------------- ------------- --------------
Total liabilities........... 153,170 1,380,981 1,689,766 81,453 11,228,465
------------- ------------- ------------- ------------- --------------
NET ASSETS.................... $ 333,023,029 $ 143,764,378 $ 222,211,535 $ 124,746,098 $ 525,717,361
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
NET ASSETS CONSIST OF:
Common Stock, $0.10 par
value+...................... $ 1,014,644 $ 1,564,257 $ 2,005,038 $ 1,064,347 $ 52,570,783
Paid-in capital in excess of
par......................... 214,452,646 144,770,702 223,698,166 121,917,031 473,137,046
Undistributed investment
income -- net............... 2,482,094 1,154,388 1,285,094 812,664 --
Undistributed (accumulated)
realized capital gains
(losses) on investments and
foreign currency
transactions -- net (Note
5).......................... 61,562,594 (3,599,468) (9,029,713) (1,640,033) --
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions --
net......................... 53,511,051 (125,501) 4,252,950 2,592,089 9,532
------------- ------------- ------------- ------------- --------------
NET ASSETS.................... $ 333,023,029 $ 143,764,378 $ 222,211,535 $ 124,746,098 $ 525,717,361
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
Capital shares outstanding.... 10,146,437 15,642,567 20,050,384 10,643,469 525,707,829
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
Net asset value, offering and
redemption price per
share....................... $ 32.82 $ 9.19 $ 11.08 $ 11.72 $ 1.00
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
*Identified cost.............. $ 279,037,999 $ 142,846,467 $ 215,660,483 $ 120,121,067 $ 531,748,318
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
+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)......................... $ 1,322,665,472 $ 17,172,137
Unrealized appreciation on
forward foreign exchange
contracts (Note 1f)......... -- --
Cash.......................... 722 656
Foreign cash (Note 1g)........ 121,460 --
Interest receivable........... 7,701,230 --
Receivable for capital shares
sold........................ 162,617 --
Dividends receivable.......... 1,052,557 23,882
Receivable for securities
sold........................ -- 334,291
Receivable from investment
adviser (Note 2)............ -- 6,980
Receivable for loaned
securities (Note 7)......... -- --
Prepaid expenses and other
assets (Note 1e)............ 53,102 794
--------------- ------------
Total assets................ 1,331,757,160 17,538,740
--------------- ------------
LIABILITIES:
Unrealized depreciation on
forward foreign exchange
contracts (Note 1f)......... 35,645 --
Payable for securities
purchased................... 555,000 164,675
Payable for capital shares
redeemed.................... 227,347 4,808
Payable for forward foreign
exchange contracts (Note
1f)......................... 745,503 --
Payable to investment adviser
(Note 2).................... 388,033 --
Payable for dividends to
shareholders (Note 1h)...... -- --
Accrued expenses and other
liabilities................. 274,628 17,318
--------------- ------------
Total liabilities........... 2,226,156 186,801
--------------- ------------
NET ASSETS.................... $ 1,329,531,004 $ 17,351,939
--------------- ------------
--------------- ------------
NET ASSETS CONSIST OF:
Common Stock, $0.10 par
value+...................... $ 7,010,254 $ 213,783
Paid-in capital in excess of
par......................... 992,195,281 20,544,481
Undistributed investment
income -- net............... 39,812,711 339,424
Undistributed (accumulated)
realized capital gains
(losses) on investments and
foreign currency
transactions -- net (Note
5).......................... 139,724,425 (1,873,044)
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions --
net......................... 150,788,333 (1,872,705)
--------------- ------------
NET ASSETS.................... $ 1,329,531,004 $ 17,351,939
--------------- ------------
--------------- ------------
Capital shares outstanding.... 70,102,544 2,137,834
--------------- ------------
--------------- ------------
Net asset value, offering and
redemption price per
share....................... $ 18.97 $ 8.12
--------------- ------------
--------------- ------------
*Identified cost.............. $ 1,171,806,222 $ 19,044,491
--------------- ------------
--------------- ------------
+Authorized shares............ 300,000,000 100,000,000
--------------- ------------
--------------- ------------
</TABLE>
57
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Operations for the Year Ended December 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- -----------------------------------------------------------------------------
INVESTMENT INCOME (NOTES 1C &
1D):
Interest and discount
earned*..................... $ 3,255,480 $ 780,567 $ 4,228,618
Dividends*.................... 670,385 4,740,233 3,736,314
Other income.................. -- -- --
------------ ------------ ------------
Total income.................. 3,925,865 5,520,800 7,964,932
------------ ------------ ------------
EXPENSES:
Investment advisory fees (Note
2).......................... 338,129 1,059,444 831,747
Custodian fees................ 22,885 87,252 201,882
Professional fees............. 8,071 15,804 13,832
Printing and shareholder
reports..................... 1,724 8,466 5,143
Accounting services (Note
2).......................... 20,109 59,115 46,074
Pricing services.............. 360 10,801 6,740
Transfer agent fees (Note
2).......................... 5,007 5,014 5,010
Directors' fees and
expenses.................... 770 1,445 1,983
Registration fees (Note 1e)... 1,292 -- --
Interest expense.............. -- -- --
Other......................... 2,725 10,690 18,098
------------ ------------ ------------
Total expenses before
reimbursement............... 401,072 1,258,031 1,130,509
Reimbursement of expenses
(Note 2).................... -- -- --
------------ ------------ ------------
Expenses after
reimbursement............... 401,072 1,258,031 1,130,509
------------ ------------ ------------
Investment income -- net...... 3,524,793 4,262,769 6,834,423
------------ ------------ ------------
REALIZED & UNREALIZED GAIN
(LOSS) ON INVESTMENTS &
FOREIGN CURRENCY
TRANSACTIONS -- NET (NOTES
1D, 1F, 1G & 3):
Realized gain on investments
-- net...................... 6,863,677 36,429,868 27,348,113
Realized gain (loss) on
foreign currency
transactions -- net......... -- 1,669,308 2,105,174
Change in unrealized
appreciation/depreciation on
investments -- net.......... 5,814,120 21,484,742 (9,812,644)
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- 337,475 771,019
------------ ------------ ------------
Total realized and unrealized
gain (loss) on investments
and foreign currency
transactions -- net......... 12,677,797 59,921,393 20,411,662
------------ ------------ ------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $ 16,202,590 $ 64,184,162 $ 27,246,085
------------ ------------ ------------
------------ ------------ ------------
*Net of withholding tax....... -- $ 163,601 $ 335,057
------------ ------------ ------------
------------ ------------ ------------
</TABLE>
See Notes to Financial Statements.
58
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GROWTH HIGH GOVERNMENT CORPORATE MONEY MULTIPLE
STOCK YIELD BOND BOND RESERVE STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME (NOTES 1C &
1D):
Interest and discount
earned*..................... $ 773,393 $ 12,726,990 $15,233,865 $ 8,606,736 $ 30,761,655 $ 24,322,209
Dividends*.................... 2,819,347 559,550 -- -- -- 14,690,338
Other income.................. -- 152,279 46,440 10,737 -- 40,997
------------ ------------ ------------ ------------ ------------ -------------
Total income.................. 3,592,740 13,438,819 15,280,305 8,617,473 30,761,655 39,053,544
------------ ------------ ------------ ------------ ------------ -------------
EXPENSES:
Investment advisory fees (Note
2).......................... 964,928 436,355 707,215 389,795 1,777,662 4,235,421
Custodian fees................ 29,670 23,709 24,885 17,564 24,225 349,038
Professional fees............. 15,067 9,053 13,431 8,998 7,085 61,985
Printing and shareholder
reports..................... 4,361 2,371 3,430 1,880 10,636 22,218
Accounting services (Note
2).......................... 52,073 26,527 38,615 21,456 98,067 229,239
Pricing services.............. 248 7,209 1,368 5,931 -- 8,673
Transfer agent fees (Note
2).......................... 5,009 5,007 5,009 5,009 4,966 5,009
Directors' fees and
expenses.................... 2,129 1,001 1,796 948 4,160 9,468
Registration fees (Note 1e)... 8,220 2,251 10 10 -- --
Interest expense.............. -- -- -- -- 166 --
Other......................... 6,106 2,064 3,517 2,196 6,969 35,276
------------ ------------ ------------ ------------ ------------ -------------
Total expenses before
reimbursement............... 1,087,811 515,547 799,276 453,787 1,933,936 4,956,327
Reimbursement of expenses
(Note 2).................... -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ -------------
Expenses after
reimbursement............... 1,087,811 515,547 799,276 453,787 1,933,936 4,956,327
------------ ------------ ------------ ------------ ------------ -------------
Investment income -- net...... 2,504,929 12,923,272 14,481,029 8,163,686 28,827,719 34,097,217
------------ ------------ ------------ ------------ ------------ -------------
REALIZED & UNREALIZED GAIN
(LOSS) ON INVESTMENTS &
FOREIGN CURRENCY
TRANSACTIONS -- NET (NOTES
1D, 1F, 1G & 3):
Realized gain on investments
-- net...................... 61,578,644 2,071,929 1,693,013 280,864 25,403 140,368,645
Realized gain (loss) on
foreign currency
transactions -- net......... -- -- -- -- -- 4,345,152
Change in unrealized
appreciation/depreciation on
investments -- net.......... 17,653,072 (1,170,500) 1,323,117 1,666,005 39,664 44,433,197
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- -- -- -- -- 1,635,298
------------ ------------ ------------ ------------ ------------ -------------
Total realized and unrealized
gain (loss) on investments
and foreign currency
transactions -- net......... 79,231,716 901,429 3,016,130 1,946,869 65,067 190,782,292
------------ ------------ ------------ ------------ ------------ -------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $ 81,736,645 $ 13,824,701 $17,497,159 $ 10,110,555 $ 28,892,786 $ 224,879,509
------------ ------------ ------------ ------------ ------------ -------------
------------ ------------ ------------ ------------ ------------ -------------
*Net of withholding tax....... $ 22,302 -- -- -- -- $ 671,382
------------ ------------ ------------ ------------ ------------ -------------
------------ ------------ ------------ ------------ ------------ -------------
<CAPTION>
NATURAL
RESOURCES
PORTFOLIO
<S> <C>
- ------------------------------
INVESTMENT INCOME (NOTES 1C &
1D):
Interest and discount
earned*..................... $ 59,274
Dividends*.................... 392,030
Other income.................. --
------------
Total income.................. 451,304
------------
EXPENSES:
Investment advisory fees (Note
2).......................... 76,282
Custodian fees................ 17,211
Professional fees............. 5,005
Printing and shareholder
reports..................... 41
Accounting services (Note
2).......................... 5,841
Pricing services.............. 12,860
Transfer agent fees (Note
2).......................... 5,010
Directors' fees and
expenses.................... 311
Registration fees (Note 1e)... --
Interest expense.............. --
Other......................... 741
------------
Total expenses before
reimbursement............... 123,302
Reimbursement of expenses
(Note 2).................... (18,204)
------------
Expenses after
reimbursement............... 105,098
------------
Investment income -- net...... 346,206
------------
REALIZED & UNREALIZED GAIN
(LOSS) ON INVESTMENTS &
FOREIGN CURRENCY
TRANSACTIONS -- NET (NOTES
1D, 1F, 1G & 3):
Realized gain on investments
-- net...................... 1,508,773
Realized gain (loss) on
foreign currency
transactions -- net......... (6,614)
Change in unrealized
appreciation/depreciation on
investments -- net.......... (3,952,460)
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... (428)
------------
Total realized and unrealized
gain (loss) on investments
and foreign currency
transactions -- net......... (2,450,729)
------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $ (2,104,523)
------------
------------
*Net of withholding tax....... $ 27,915
------------
------------
</TABLE>
59
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO
---------------------------- ------------------------------
FOR THE YEAR FOR THE YEAR
ENDED DECEMBER 31, ENDED DECEMBER 31,
INCREASE (DECREASE) IN NET ---------------------------- ------------------------------
ASSETS: 1997 1996 1997 1996
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 3,524,793 $ 3,578,627 $ 4,262,769 $ 5,747,305
Realized gain (loss) on
investments and foreign
currency transactions --
net......................... 6,863,677 10,123,967 38,099,176 14,653,340
Change in unrealized
appreciation/depreciation on
investments -- net.......... 5,814,120 (4,709,010) 21,484,742 21,343,267
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- -- 337,475 (334,683)
------------ ------------ ------------- -------------
Net increase in net assets
resulting from operations... 16,202,590 8,993,584 64,184,162 41,409,229
------------ ------------ ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS (NOTE 1H):
Investment income -- net...... (1,769,755) (3,754,719) (2,802,893) (5,548,969)
Realized gain on investments
-- net...................... (10,156,193) (1,979,516) (14,170,818) (36,850,216)
------------ ------------ ------------- -------------
Net decrease in net assets
resulting from dividends and
distributions to
shareholders................ (11,925,948) (5,734,235) (16,973,711) (42,399,185)
------------ ------------ ------------- -------------
CAPITAL SHARE TRANSACTIONS
(NOTE 4):
Net increase (decrease) in net
assets derived from capital
share transactions.......... 5,194,624 (1,587,274) (1,104,085) 37,729,131
------------ ------------ ------------- -------------
NET ASSETS:
Total increase in net
assets...................... 9,471,266 1,672,075 46,106,366 36,739,175
Beginning of year............. 98,852,752 97,180,677 289,696,069 252,956,894
------------ ------------ ------------- -------------
End of year*.................. $108,324,018 $ 98,852,752 $ 335,802,435 $ 289,696,069
------------ ------------ ------------- -------------
------------ ------------ ------------- -------------
*Undistributed investment
income -- net (Note 1i)..... $ 3,524,791 $ 1,769,753 $ 6,263,968 $ 2,458,189
------------ ------------ ------------- -------------
------------ ------------ ------------- -------------
</TABLE>
See Notes to Financial Statements.
60
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL STRATEGY PORTFOLIO GROWTH STOCK PORTFOLIO HIGH YIELD PORTFOLIO
------------------------------ ------------------------------ ------------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED DECEMBER 31, ENDED DECEMBER 31, ENDED DECEMBER 31,
------------------------------ ------------------------------ ------------------------------
1997 1996 1997 1996 1997 1996
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 6,834,423 $ 6,775,983 $ 2,504,929 $ 2,721,855 $ 12,923,272 $ 10,963,073
Realized gain (loss) on
investments and foreign
currency transactions --
net......................... 29,453,287 17,848,788 61,578,644 26,418,543 2,071,929 (2,249,032)
Change in unrealized
appreciation/depreciation on
investments -- net.......... (9,812,644) 8,986,014 17,653,072 8,765,971 (1,170,500) 4,434,110
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... 771,019 (4,745,969) -- -- -- --
------------- ------------- ------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations... 27,246,085 28,864,816 81,736,645 37,906,369 13,824,701 13,148,151
------------- ------------- ------------- ------------- ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS (NOTE 1H):
Investment income -- net...... (7,598,726) (5,458,261) (1,545,546) (1,964,991) (12,749,959) (10,832,795)
Realized gain on investments
-- net...................... (8,739,339) (1,312,483) (26,338,683) (4,499,465) -- --
------------- ------------- ------------- ------------- ------------- -------------
Net decrease in net assets
resulting from dividends and
distributions to
shareholders................ (16,338,065) (6,770,744) (27,884,229) (6,464,456) (12,749,959) (10,832,795)
------------- ------------- ------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
(NOTE 4):
Net increase (decrease) in net
assets derived from capital
share transactions.......... 5,067,046 (2,247,227) 38,504,908 25,071,360 19,046,241 13,949,891
------------- ------------- ------------- ------------- ------------- -------------
NET ASSETS:
Total increase in net
assets...................... 15,975,066 19,846,845 92,357,324 56,513,273 20,120,983 16,265,247
Beginning of year............. 232,529,584 212,682,739 240,665,705 184,152,432 123,643,395 107,378,148
------------- ------------- ------------- ------------- ------------- -------------
End of year*.................. $ 248,504,650 $ 232,529,584 $ 333,023,029 $ 240,665,705 $ 143,764,378 $ 123,643,395
------------- ------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- ------------- -------------
*Undistributed investment
income -- net (Note 1i)..... $ 9,377,194 $ 8,036,323 $ 2,482,094 $ 1,522,711 $ 1,154,388 $ 1,062,860
------------- ------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- ------------- -------------
</TABLE>
61
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT LONG TERM CORPORATE
BOND PORTFOLIO BOND PORTFOLIO
------------------------------ ------------------------------
FOR THE YEAR FOR THE YEAR
ENDED DECEMBER 31, ENDED DECEMBER 31,
INCREASE (DECREASE) IN NET ------------------------------ ------------------------------
ASSETS: 1997 1996 1997 1996
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 14,481,029 $ 15,660,907 $ 8,163,686 $ 8,329,370
Realized gain (loss) on
investments and foreign
currency transactions --
net......................... 1,693,013 (1,979,485) 280,864 920,219
Change in unrealized
appreciation/depreciation on
investments -- net.......... 1,323,117 (8,361,032) 1,666,005 (6,179,230)
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- -- -- --
------------- ------------- ------------- -------------
Net increase (decrease) in net
assets resulting from
operations.................. 17,497,159 5,320,390 10,110,555 3,070,359
------------- ------------- ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS (NOTE 1H):
Investment income -- net...... (14,518,659) (15,606,904) (8,076,935) (8,263,502)
Realized gain on investments
-- net...................... -- -- -- --
------------- ------------- ------------- -------------
Net decrease in net assets
resulting from dividends and
distributions to
shareholders................ (14,518,659) (15,606,904) (8,076,935) (8,263,502)
------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
(NOTE 4):
Net increase (decrease) in net
assets derived from capital
share transactions.......... (2,629,974) (7,190,485) 4,724,500 (1,851,763)
------------- ------------- ------------- -------------
NET ASSETS:
Total increase (decrease) in
net assets.................. 348,526 (17,476,999) 6,758,120 (7,044,906)
Beginning of year............. 221,863,009 239,340,008 117,987,978 125,032,884
------------- ------------- ------------- -------------
End of year*.................. $ 222,211,535 $ 221,863,009 $ 124,746,098 $ 117,987,978
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
*Undistributed investment
income -- net (Note 1i)..... $ 1,285,094 $ 1,322,724 $ 812,664 $ 725,913
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
62
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY RESERVE PORTFOLIO MULTIPLE STRATEGY PORTFOLIO NATURAL RESOURCES PORTFOLIO
----------------------------- --------------------------------- ---------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED DECEMBER 31, ENDED DECEMBER 31, ENDED DECEMBER 31,
----------------------------- --------------------------------- ---------------------------
1997 1996 1997 1996 1997 1996
<S> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 28,827,719 $ 29,126,650 $ 34,097,217 $ 38,414,192 $ 346,206 $ 427,894
Realized gain (loss) on
investments and foreign
currency transactions --
net......................... 25,403 32,716 144,713,797 67,574,916 1,502,159 1,250,205
Change in unrealized
appreciation/depreciation on
investments -- net.......... 39,664 (271,048) 44,433,197 53,357,529 (3,952,460) 1,446,535
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- -- 1,635,298 (1,704,878) (428) (407)
------------- ------------- --------------- --------------- ------------ ------------
Net increase (decrease) in net
assets resulting from
operations.................. 28,892,786 28,888,318 224,879,509 157,641,759 (2,104,523) 3,124,227
------------- ------------- --------------- --------------- ------------ ------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS (NOTE 1H):
Investment income -- net...... (28,827,719) (29,126,650) (20,339,088) (42,049,050) (188,225) (441,716)
Realized gain on investments
-- net...................... (25,403) (32,716) (64,589,169) (113,303,779) -- --
------------- ------------- --------------- --------------- ------------ ------------
Net decrease in net assets
resulting from dividends and
distributions to
shareholders................ (28,853,122) (29,159,366) (84,928,257) (155,352,829) (188,225) (441,716)
------------- ------------- --------------- --------------- ------------ ------------
CAPITAL SHARE TRANSACTIONS
(NOTE 4):
Net increase (decrease) in net
assets derived from capital
share transactions.......... (32,011,967) (10,478,219) (21,605,127) 39,539,413 (5,384,753) 1,312,192
------------- ------------- --------------- --------------- ------------ ------------
NET ASSETS:
Total increase (decrease) in
net assets.................. (31,972,303) (10,749,267) 118,346,125 41,828,343 (7,677,501) 3,994,703
Beginning of year............. 557,689,664 568,438,931 1,211,184,879 1,169,356,536 25,029,440 21,034,737
------------- ------------- --------------- --------------- ------------ ------------
End of year*.................. $ 525,717,361 $ 557,689,664 $ 1,329,531,004 $ 1,211,184,879 $ 17,351,939 $ 25,029,440
------------- ------------- --------------- --------------- ------------ ------------
------------- ------------- --------------- --------------- ------------ ------------
*Undistributed investment
income -- net (Note 1i)..... -- -- $ 39,812,711 $ 21,709,430 $ 339,424 $ 188,057
------------- ------------- --------------- --------------- ------------ ------------
------------- ------------- --------------- --------------- ------------ ------------
</TABLE>
63
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED PORTFOLIO
------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
INCREASE (DECREASE) IN NET ------------------------------------------------
ASSET VALUE: 1997 1996 1995 1994 1993
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
year........................ $ 15.36 $ 14.86 $ 13.27 $ 14.62 $ 13.70
-------- -------- -------- -------- --------
Investment income -- net...... .51 .54 .60 .61 .50
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... 1.76 .83 2.07 (1.21) 1.35
-------- -------- -------- -------- --------
Total from investment
operations.................. 2.27 1.37 2.67 (.60) 1.85
-------- -------- -------- -------- --------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.27) (.57) (.62) (.53) (.75)
Realized gain on investments
-- net...................... (1.58) (.30) (.46) (.22) (.18)
-------- -------- -------- -------- --------
Total dividends and
distributions............... (1.85) (.87) (1.08) (.75) (.93)
-------- -------- -------- -------- --------
Net asset value, end of
year........................ $ 15.78 $ 15.36 $ 14.86 $ 13.27 $ 14.62
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN:*
Based on net asset value per
share....................... 16.93% 9.76% 21.59% (4.28%) 14.31%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of
reimbursement............... .39% .39% .38% .40% .43%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Expenses...................... .39% .39% .38% .40% .43%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Investment income -- net...... 3.40% 3.63% 4.47% 4.28% 3.72%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands).................. $108,324 $ 98,853 $ 97,181 $ 75,893 $ 88,018
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Portfolio turnover............ 143.20% 234.79% 32.92% 46.94% 25.38%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Average commission rate
paid++...................... $ .0607 $ .0611 -- -- --
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
</TABLE>
- ---------------
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ For fiscal years beginning on or after September 1, 1995, a Portfolio is
required to disclose its average commission rate per share for purchases
and sales of equity securities. For certain Portfolios, the "Average
Commission Rate Paid" includes commissions paid in foreign currencies,
which have been converted into US dollars using the prevailing exchange
rate on the date of the transaction. Such conversions may significantly
affect the rate shown.
See Notes to Financial Statements.
64
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL STOCK PORTFOLIO GLOBAL STRATEGY PORTFOLIO
------------------------------------------------ ------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, FOR THE YEAR ENDED DECEMBER 31,
------------------------------------------------ ------------------------------------------------
1997+ 1996+ 1995 1994 1993 1997+ 1996+ 1995+ 1994 1993
<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
year........................ $ 23.25 $ 23.88 $ 21.64 $ 25.73 $ 23.22 $ 16.80 $ 15.25 $ 14.54 $ 15.42 $ 13.23
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Investment income -- net...... .33 .46 .41 .29 .33 .47 .47 .52 .47 .36
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... 4.57 2.86 3.70 (1.50) 3.41 1.35 1.56 .94 (.71) 2.61
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total from investment
operations.................. 4.90 3.32 4.11 (1.21) 3.74 1.82 2.03 1.46 (.24) 2.97
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.22) (.47) (.34) (.28) (.59) (.55) (.39) (.55) (.41) (.60)
Realized gain on investments
-- net...................... (1.14) (3.48) (1.53) (2.60) (.64) (.63) (.09) (.20) (.23) (.18)
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total dividends and
distributions............... (1.36) (3.95) (1.87) (2.88) (1.23) (1.18) (.48) (.75) (.64) (.78)
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Net asset value, end of
year........................ $ 26.79 $ 23.25 $ 23.88 $ 21.64 $ 25.73 $ 17.44 $ 16.80 $ 15.25 $ 14.54 $ 15.42
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN:*
Based on net asset value per
share....................... 22.47% 16.54% 20.73% (5.12%) 17.01% 11.72% 13.78% 10.44% (1.62%) 23.73%
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of
reimbursement............... .41% .40% .41% .39% .38% .45% .42% .44% .48% .45%
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Expenses...................... .41% .40% .41% .39% .38% .45% .42% .44% .48% .46%
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Investment income -- net...... 1.38% 2.11% 1.98% 1.32% 1.43% 2.69% 3.02% 3.59% 3.22% 3.27%
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands).................. $335,802 $289,696 $252,957 $206,647 $223,971 $248,505 $232,530 $212,683 $223,493 $182,672
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Portfolio turnover............ 90.19% 74.30% 130.54% 71.19% 100.12% 108.04% 160.89% 26.81% 27.31% 30.53%
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Average commission rate
paid++...................... $ .0281 $ .0264 -- -- -- $ .0155 $ .0160 -- -- --
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
</TABLE>
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ For fiscal years beginning on or after September 1, 1995, a Portfolio is
required to disclose its average commission rate per share for purchases
and sales of equity securities. For certain Portfolios, the "Average
Commission Rate Paid" includes commissions paid in foreign currencies,
which have been converted into US dollars using the prevailing exchange
rate on the date of the transaction. Such conversions may significantly
affect the rate shown.
65
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH STOCK PORTFOLIO
------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
INCREASE (DECREASE) IN NET ------------------------------------------------
ASSET VALUE: 1997 1996 1995 1994 1993
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
year........................ $ 27.79 $ 24.06 $ 19.20 $ 24.65 $ 23.98
-------- -------- -------- -------- --------
Investment income -- net...... .24 .32 .15 .31 .32
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... 8.01 4.24 6.13 (1.81) 1.63
-------- -------- -------- -------- --------
Total from investment
operations.................. 8.25 4.56 6.28 (1.50) 1.95
-------- -------- -------- -------- --------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.18) (.24) (.23) (.30) (.41)
Realized gain on investments
-- net...................... (3.04) (.59) (1.19) (3.65) (.87)
-------- -------- -------- -------- --------
Total dividends and
distributions............... (3.22) (.83) (1.42) (3.95) (1.28)
-------- -------- -------- -------- --------
Net asset value, end of
year........................ $ 32.82 $ 27.79 $ 24.06 $ 19.20 $ 24.65
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN:*
Based on net asset value per
share....................... 33.75% 19.57% 35.35% (6.93%) 8.63%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .37% .38% .38% .40% .38%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Investment income -- net...... .86% 1.25% .82% 1.53% 1.35%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands).................. $333,023 $240,666 $184,152 $101,702 $122,836
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Portfolio turnover............ 84.90% 78.04% 87.66% 102.96% 160.29%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Average commission rate
paid++...................... $ .0630 $ .0625 -- -- --
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
</TABLE>
- ---------------
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ For fiscal years beginning on or after September 1, 1995, a Portfolio is
required to disclose its average commission rate per share for purchases
and sales of equity securities. For certain Portfolios, the "Average
Commission Rate Paid" includes commissions paid in foreign currencies,
which have been converted into US dollars using the prevailing exchange
rate on the date of the transaction. Such conversions may significantly
affect the rate shown.
See Notes to Financial Statements.
66
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD PORTFOLIO
------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
------------------------------------------------
1997+ 1996+ 1995+ 1994 1993
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
year........................ $ 9.15 $ 8.99 $ 8.53 $ 9.68 $ 9.10
-------- -------- -------- -------- --------
Investment income -- net...... .90 .89 .93 1.00 .94
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... .04 .16 .46 (1.17) .62
-------- -------- -------- -------- --------
Total from investment
operations.................. .94 1.05 1.39 (.17) 1.56
-------- -------- -------- -------- --------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.90) (.89) (.93) (.98) (.98)
Realized gain on investments
-- net...................... -- -- -- -- --
-------- -------- -------- -------- --------
Total dividends and
distributions............... (.90) (.89) (.93) (.98) (.98)
-------- -------- -------- -------- --------
Net asset value, end of
year........................ $ 9.19 $ 9.15 $ 8.99 $ 8.53 $ 9.68
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN:*
Based on net asset value per
share....................... 10.74% 12.32% 17.12% (1.88%) 18.11%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .39% .39% .38% .41% .43%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Investment income -- net...... 9.67% 9.77% 10.25% 10.88% 10.17%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands).................. $143,764 $123,643 $107,378 $ 82,421 $ 94,739
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Portfolio turnover............ 60.94% 50.48% 63.39% 63.43% 73.01%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Average commission rate
paid++...................... -- -- -- -- --
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
</TABLE>
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ For fiscal years beginning on or after September 1, 1995, a Portfolio is
required to disclose its average commission rate per share for purchases
and sales of equity securities. For certain Portfolios, the "Average
Commission Rate Paid" includes commissions paid in foreign currencies,
which have been converted into US dollars using the prevailing exchange
rate on the date of the transaction. Such conversions may significantly
affect the rate shown.
67
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT PORTFOLIO
------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
INCREASE (DECREASE) IN NET ------------------------------------------------
ASSET VALUE: 1997+ 1996+ 1995+ 1994+ 1993
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
year........................ $ 10.93 $ 11.41 $ 10.32 $ 12.02 $ 11.75
-------- -------- -------- -------- --------
Investment income -- net...... .73 .76 .78 .75 .83
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... .15 (.49) 1.10 (1.30) .50
-------- -------- -------- -------- --------
Total from investment
operations.................. .88 .27 1.88 (.55) 1.33
-------- -------- -------- -------- --------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.73) (.75) (.79) (.75) (.84)
Realized gain on investments
-- net...................... -- -- -- (.39) (.22)
In excess of realized gain on
investments -- net.......... -- -- -- (.01) --
-------- -------- -------- -------- --------
Total dividends and
distributions............... (.73) (.75) (.79) (1.15) (1.06)
-------- -------- -------- -------- --------
Net asset value, end of
year........................ $ 11.08 $ 10.93 $ 11.41 $ 10.32 $ 12.02
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN:*
Based on net asset value per
share....................... 8.42% 2.61% 18.87% (4.78%) 11.20%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .37% .38% .38% .37% .36%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Investment income -- net...... 6.74% 6.85% 7.22% 6.89% 6.42%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Investment income -- net, and
realized gain on investments
-- net...................... -- -- -- -- --
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands).................. $222,212 $221,863 $239,340 $218,611 $284,495
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Portfolio turnover............ 41.23% 29.35% 57.38% 140.55% 113.61%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
</TABLE>
- ---------------
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Amount is less than $.01 per share.
See Notes to Financial Statements.
68
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LONG TERM CORPORATE BOND PORTFOLIO MONEY RESERVE PORTFOLIO
------------------------------------------------ ------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, FOR THE YEAR ENDED DECEMBER 31,
------------------------------------------------ ------------------------------------------------
1997+ 1996+ 1995+ 1994+ 1993 1997 1996 1995 1994 1993
<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
year........................ $ 11.53 $ 12.02 $ 10.72 $ 12.59 $ 12.07 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Investment income -- net...... .79 .80 .83 .81 .83 .05 .05 .06 .04 .03
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... .18 (.50) 1.30 (1.42) .68 -- -- -- -- --
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total from investment
operations.................. .97 .30 2.13 (.61) 1.51 .05 .05 .06 .04 .03
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.78) (.79) (.83) (.82) (.83) (.05) (.05) (.06) (.04) (.03)
Realized gain on investments
-- net...................... -- -- -- (.44) (.16) --++ --++ -- -- --
In excess of realized gain on
investments -- net.......... -- -- -- -- -- -- -- -- -- --
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total dividends and
distributions............... (.78) (.79) (.83) (1.26) (.99) (.05) (.05) (.06) (.04) (.03)
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Net asset value, end of
year........................ $ 11.72 $ 11.53 $ 12.02 $ 10.72 $ 12.59 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN:*
Based on net asset value per
share....................... 8.80% 2.77% 20.66% (5.13%) 13.01% 5.43% 5.33% 5.81% 4.04% 3.08%
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .38% .39% .40% .39% .38% .36% .36% .35% .36% .36%
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Investment income -- net...... 6.87% 6.90% 7.32% 7.16% 6.65% -- -- -- -- --
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Investment income -- net, and
realized gain on investments
-- net...................... -- -- -- -- -- 5.30% 5.16% 5.67% 4.00% 3.03%
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands).................. $124,746 $117,988 $125,033 $111,878 $139,321 $525,717 $557,690 $568,439 $583,992 $546,710
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Portfolio turnover............ 107.02% 92.45% 110.49% 134.53% 110.53% -- -- -- -- --
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
</TABLE>
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Amount is less than $.01 per share.
69
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTIPLE STRATEGY PORTFOLIO
----------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
INCREASE (DECREASE) IN NET ----------------------------------------------------------
ASSET VALUE: 1997+ 1996+ 1995+ 1994+ 1993
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
year........................ $ 17.13 $ 17.24 $ 16.22 $ 19.84 $ 18.70
---------- ---------- ---------- ---------- ----------
Investment income -- net...... .47 .53 .56 .50 .54
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... 2.57 1.63 2.03 (1.39) 2.30
---------- ---------- ---------- ---------- ----------
Total from investment
operations.................. 3.04 2.16 2.59 (.89) 2.84
---------- ---------- ---------- ---------- ----------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.29) (.60) (.48) (.57) (.88)
Realized gain on investments
-- net...................... (.91) (1.67) (1.09) (2.16) (.82)
---------- ---------- ---------- ---------- ----------
Total dividends and
disatributions.............. (1.20) (2.27) (1.57) (2.73) (1.70)
---------- ---------- ---------- ---------- ----------
Net asset value, end of
year........................ $ 18.97 $ 17.13 $ 17.24 $ 16.22 $ 19.84
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
TOTAL INVESTMENT RETURN:*
Based on net asset value per
share....................... 19.17% 14.32% 17.55% (5.05%) 16.66%
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of
reimbursement............... .39% .39% .38% .38% .36%
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
Expenses...................... .39% .39% .38% .38% .36%
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
Investment income -- net...... 2.65% 3.26% 3.44% 2.97% 2.91%
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands).................. $1,329,531 $1,211,185 $1,169,357 $1,082,083 $1,237,336
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
Portfolio turnover............ 108.41% 143.82% 140.83% 68.12% 91.08%
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
Average commission rate
paid++...................... $ .0233 $ .0246 -- -- --
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
</TABLE>
- ---------------
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ For fiscal years beginning on or after September 1, 1995, a Portfolio is
required to disclose its average commission rate per share for purchases
and sales of equity securities. For certain Portfolios, the "Average
Commission Rate Paid" includes commissions paid in foreign currencies,
which have been converted into US dollars using the prevailing exchange
rate on the date of the transaction. Such conversions may significantly
affect the rate shown.
See Notes to Financial Statements.
70
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NATURAL RESOURCES PORTFOLIO
------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
------------------------------------------------
1997+ 1996+ 1995 1994 1993
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
year........................ $ 9.19 $ 8.17 $ 7.43 $ 7.53 $ 7.01
-------- -------- -------- -------- --------
Investment income -- net...... .14 .16 .17 .17 .13
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... (1.14) 1.03 .73 (.10) .66
-------- -------- -------- -------- --------
Total from investment
operations.................. (1.00) 1.19 .90 .07 .79
-------- -------- -------- -------- --------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.07) (.17) (.16) (.17) (.27)
Realized gain on investments
-- net...................... -- -- -- -- --
-------- -------- -------- -------- --------
Total dividends and
disatributions.............. (.07) (.17) (.16) (.17) (.27)
-------- -------- -------- -------- --------
Net asset value, end of
year........................ $ 8.12 $ 9.19 $ 8.17 $ 7.43 $ 7.53
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN:*
Based on net asset value per
share....................... (10.97%) 14.72% 12.22% .88% 11.65%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of
reimbursement............... .50% .50% .47% .50% .50%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Expenses...................... .59% .57% .47% .59% .59%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Investment income -- net...... 1.65% 1.79% 1.99% 2.23% 2.00%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of year (in
thousands).................. $ 17,352 $ 25,029 $ 21,035 $ 21,455 $ 18,437
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Portfolio turnover............ 24.10% 31.29% 38.50% 48.16% 65.26%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Average commission rate
paid++...................... $ .0283 $ .0231 -- -- --
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
</TABLE>
* Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ For fiscal years beginning on or after September 1, 1995, a Portfolio is
required to disclose its average commission rate per share for purchases
and sales of equity securities. For certain Portfolios, the "Average
Commission Rate Paid" includes commissions paid in foreign currencies,
which have been converted into US dollars using the prevailing exchange
rate on the date of the transaction. Such conversions may significantly
affect the rate shown.
71
<PAGE>
(This page has been left blank intentionally.)
72
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES:
Merrill Lynch Series Fund, Inc. (the "Fund") is registered under the Investment
Company Act of 1940 as a diversified, open-end management investment company,
with the exceptions of Global Strategy Portfolio and Natural Resources
Portfolio, which are classified as non-diversified. The Fund offers its shares
to Merrill Lynch Life Insurance Company, ML Life Insurance Company of New York
(indirect wholly-owned subsidiaries of Merrill Lynch & Co., Inc. ("ML & Co.")
and Monarch Life Insurance Company (an insurance company not affiliated with ML
& Co.)) separate accounts to fund benefits under certain variable life insurance
contracts. The following is a summary of significant accounting policies
followed by the Fund.
(A) VALUATION OF INVESTMENTS -- Money Reserve and Multiple Strategy Portfolios:
Investments maturing more than sixty days after the valuation date are valued at
the most recent bid price or yield equivalent as obtained from dealers that make
markets in such securities. When such securities are valued with sixty days or
less to maturity, the difference between the valuation existing on the
sixty-first day before maturity and maturity value is amortized on a
straight-line basis to maturity. Investments maturing within sixty days from
their date of acquisition are valued at amortized cost, which approximates
market value. For the purpose of valuation, the maturity of a variable rate
certificate of deposit is deemed to be the next coupon date on which the
interest rate is to be adjusted.
Balanced, Capital Stock, Global Strategy, Growth Stock, High Yield, Intermediate
Government Bond, Long Term Corporate Bond, Multiple Strategy and Natural
Resources Portfolios: Portfolio securities which are traded on stock exchanges
are valued at the last sale price as of the close of business on the day the
securities are being valued or, lacking any sales, at the closing bid price.
Securities other than money market securities traded in the over-the-counter
market are valued at the last available bid price prior to the time of
valuation. Portfolio securities which are traded both in the over-the-counter
market and on a stock exchange are valued according to the broadest and most
representative market, and it is expected that for debt securities this
ordinarily will be the over-the-counter market. Short-term securities are valued
at amortized cost, which approximates market value.
Options written are valued at the last sale price in the case of exchange-traded
options or, in the case of options traded in the over-the-counter market, the
last asked price. Options purchased are valued at the last sale price in the
case of exchange-traded options or, in the case of options traded in the over-
the-counter market, the last bid price. Futures contracts are valued at
settlement price at the close of the applicable exchange. Securities and assets
for which market quotations are not readily available are valued at fair value
as determined in good faith by or under the direction of the Board of Directors
of the Fund.
(B) REPURCHASE AGREEMENTS -- The Fund invests in US Government securities
pursuant to repurchase agreements with a member bank of the Federal Reserve
System or a primary dealer in US Government securities. Under such agreements,
the bank or primary dealer 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
73
<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 -- Global Strategy, Multiple Strategy and
Natural Resources Portfolios are authorized to enter into forward foreign
exchange contracts as a hedge against either specific transactions or portfolio
positions. Such contracts are not entered on the Portfolio's records. However,
the effect on operations is recorded from the date the Portfolio enters into
such contracts. Premium or discount is amortized over the life of the contracts.
- - OPTIONS -- Certain Portfolios are authorized to write and purchase call and
put options. When a Portfolio writes an option, an amount equal to the premium
received by the Portfolio is reflected as an asset and an equivalent liability.
The amount of the liability is subsequently marked to market to reflect the
current market value of the option written. When a security is purchased or sold
through an exercise of an option, the related premium paid (or received) is
added to (or deducted from) the basis of the security acquired or deducted from
(or added to) the proceeds of the security sold. When an option expires (or the
Portfolio enters into a closing transaction), the Portfolio realizes a gain or
loss on the option to the extent of the premiums received or paid (or gain or
loss to the extent the cost of the closing transaction exceeds the premium paid
or received).
Written and purchased options are non-income producing investments.
- - FINANCIAL FUTURES CONTRACTS -- Multiple Strategy and Natural Resources
Portfolios may purchase or sell interest rate futures contracts and options on
such futures contracts for the purpose of hedging the market risk on existing
securities or the intended purchase of securities. Futures contracts are
contracts for delayed delivery of securities at a specific future date and at a
specific price or yield. Upon entering into a contract, the Portfolio deposits
and maintains as collateral such initial margin as required by the exchange on
which the transaction is effected. Pursuant to the contract, the Portfolio
agrees to receive from or pay to the broker an amount of cash equal to the daily
fluctuation in the value of the contract. Such receipts or payments are known as
variation margin and are recorded by the Portfolio as unrealized gains or
losses. When the contract is closed, the Portfolio records a realized gain or
loss equal to the difference between the value of the contract at the time it
was opened and the value at the time it was closed.
(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 dollars. Realized and unrealized gains or losses from
investments include the effects of foreign exchange rates on investments.
74
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
(H) DIVIDENDS AND DISTRIBUTIONS -- Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates.
(I) RECLASSIFICATION -- Generally accepted accounting principles require that
certain components of net assets be adjusted to reflect permanent differences
between financial and tax reporting. These reclassifications have no effect on
net assets or net asset value per share.
2. INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH AFFILIATES:
The Fund has entered into an Investment Advisory Agreement with Merrill Lynch
Asset Management, L.P. ("MLAM"). The general partner of MLAM is Princeton
Services, Inc. ("PSI"), an indirect wholly-owned subsidiary of ML & Co., which
is the limited partner. The Fund has also entered into a Distribution Agreement
and Distribution Plan with Merrill Lynch Funds Distributor, Inc. ("MLFD" or
"Distributor"), a wholly-owned subsidiary of Merrill Lynch Group, Inc. MLAM is
responsible for the management of the Fund's portfolios and provides the
necessary personnel, facilities, equipment and certain other services necessary
to the operations of the Fund. For such services, the Fund pays a monthly fee
based upon the aggregate average daily value of the ten combined Portfolios' net
assets at the following annual rates: 0.50% of the Fund's average daily net
assets not exceeding $250 million, 0.45% of the next $50 million, 0.40% of the
next $100 million, 0.35% of the next $400 million, and 0.30% of average daily
net assets in excess of $800 million.
MLAM, Merrill Lynch Life Agency, Inc. and Monarch Life Insurance Co. ("Monarch")
entered into an agreement which provided that Monarch will reimburse the Fund's
expenses with respect to each Portfolio, to the extent that these expenses
exceed 0.50% of the Portfolio's average daily net assets.
For the year ended December 31, 1997, the Natural Resources Portfolio was
reimbursed in the amount of $18,204.
Merrill Lynch, Pierce, Fenner & Smith Inc. ("MLPF&S"), a subsidiary of ML & Co.,
earned commissions on the execution of portfolio security transactions
aggregating $3,327 in the Balanced Portfolio, $29,260 in the Capital Stock
Portfolio, $27,742 in the Global Strategy Portfolio, $9,420 in the Growth Stock
Portfolio, $75,578 in the Multiple Strategy Portfolio, and $2,670 in the Natural
Resources Portfolio.
Merrill Lynch Financial Data Services, Inc. ("MLFDS"), a wholly-owned subsidiary
of ML & Co., is the Fund's transfer agent.
During the year ended December 31, 1997, Merrill Lynch Security Pricing Service,
an affiliate of MLPF&S, was paid by Balanced Portfolio $260; Global Strategy
$112; Growth Stock Portfolio $18; High Yield Portfolio $5,515; Intermediate
Government Portfolio $1,643; Long Term Corporate Bond Portfolio $5,345; and
Multiple Strategy Portfolio $272 for security price quotations to compute the
net asset value of the Portfolios.
Accounting services are provided to the Fund by MLAM at cost.
Certain officers and/or directors of the Fund are officers and/or directors of
MLAM, MLFDS, PSI, and/or ML & Co.
3. INVESTMENTS:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 1997 were as follows:
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
CAPITAL GLOBAL GOVERNMENT CORPORATE
BALANCED STOCK STRATEGY GROWTH STOCK HIGH YIELD BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------
Total Purchases.......... $130,591,531 $285,722,765 $255,359,036 $243,597,732 $84,911,075 $84,345,742 $122,434,380
------------ ------------ ------------ ------------ ----------- ----------- ------------
------------ ------------ ------------ ------------ ----------- ----------- ------------
Total Sales.............. $137,805,003 $301,600,490 $274,278,401 $237,206,207 $70,693,088 $88,622,245 $116,780,323
------------ ------------ ------------ ------------ ----------- ----------- ------------
------------ ------------ ------------ ------------ ----------- ----------- ------------
<CAPTION>
MULTIPLE NATURAL
STRATEGY RESOURCES
PORTFOLIO PORTFOLIO
<S> <C> <C>
- -------------------------
Total Purchases.......... $1,293,919,258 $ 5,298,768
-------------- --------------
-------------- --------------
Total Sales.............. $1,457,152,261 $ 9,926,287
-------------- --------------
-------------- --------------
</TABLE>
75
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
As of December 31, 1997, unrealized appreciation/depreciation for Federal income
tax purposes were as follows:
<TABLE>
<CAPTION>
CAPITAL GLOBAL GROWTH HIGH
BALANCED STOCK STRATEGY STOCK YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------
Appreciated securities........ $13,155,017 $ 66,616,484 $ 25,641,042 $ 60,390,717 $ 6,279,075
Depreciated securities........ (1,684,535) (10,979,995) (13,123,087) (6,880,207) (6,449,923)
----------- ------------ ------------ ------------ ------------
Net unrealized appreciation
(depreciation).............. $11,470,482 $ 55,636,489 $ 12,517,955 $ 53,510,510 $ (170,848)
----------- ------------ ------------ ------------ ------------
----------- ------------ ------------ ------------ ------------
Cost for Federal income tax
purposes.................... $96,276,794 $280,326,507 $234,845,412 $279,038,540 $142,891,814
----------- ------------ ------------ ------------ ------------
----------- ------------ ------------ ------------ ------------
Net realized and unrealized gains (losses) as of December 31, 1997 were as follows:
</TABLE>
<TABLE>
<CAPTION>
GLOBAL STRATEGY
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO PORTFOLIO
----------------------- ------------------------ ------------------------
REALIZED REALIZED UNREALIZED REALIZED UNREALIZED
GAINS UNREALIZED GAINS GAINS GAINS GAINS
(LOSSES) GAINS (LOSSES) (LOSSES) (LOSSES) (LOSSES)
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
Long-term securities.......... $6,863,685 $11,562,712 $36,429,868 $55,816,109 $27,348,043 $12,631,177
Short-term securities......... (8) -- -- -- 70 --
Forward foreign exchange
contracts................... -- -- 1,774,524 5,290 5,609,608 (35,680)
Foreign currency
transactions................ -- -- (105,216) (2,869) (3,504,434) (28,347)
---------- ----------- ----------- ----------- ----------- -----------
Total......................... $6,863,677 $11,562,712 $38,099,176 $55,818,530 $29,453,287 $12,567,150
---------- ----------- ----------- ----------- ----------- -----------
---------- ----------- ----------- ----------- ----------- -----------
<CAPTION>
GROWTH STOCK PORTFOLIO HIGH YIELD PORTFOLIO
------------------------ ---------------------
REALIZED
REALIZED UNREALIZED GAINS UNREALIZED
GAINS GAINS (LOSSES) LOSSES
<S> <C> <C> <C> <C>
- ------------------------------
Long-term securities.......... $61,578,489 $53,511,051 $2,073,470 $(125,501)
Short-term securities......... 155 -- (1,541) --
Forward foreign exchange
contracts................... -- -- -- --
Foreign currency
transactions................ -- -- -- --
----------- ----------- ---------- ---------
Total......................... $61,578,644 $53,511,051 $2,071,929 $(125,501)
----------- ----------- ---------- ---------
----------- ----------- ---------- ---------
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares were as follows:
</TABLE>
<TABLE>
<CAPTION>
GLOBAL STRATEGY
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO PORTFOLIO
------------------------ ------------------------ ------------------------
FOR THE YEAR ENDED DOLLAR DOLLAR DOLLAR
DECEMBER 31, 1997 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <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
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
---------- ------------ ---------- ------------ ---------- ------------
Total issued.................. 1,457,411 20,236,732 2,103,952 50,195,524 2,691,385 44,472,625
Shares redeemed............... (1,028,393) (15,042,108) (2,028,833) (51,299,609) (2,283,300) (39,405,579)
---------- ------------ ---------- ------------ ---------- ------------
Net increase (decrease)....... 429,018 $ 5,194,624 75,119 $ (1,104,085) 408,085 $ 5,067,046
---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------
<CAPTION>
GROWTH STOCK PORTFOLIO
------------------------
FOR THE YEAR ENDED DOLLAR
DECEMBER 31, 1997 SHARES AMOUNT
<S> <C> <C>
- ------------------------------
Shares sold................... 2,701,024 $ 78,345,898
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 1,147,972 27,884,229
---------- ------------
Total issued.................. 3,848,996 106,230,127
Shares redeemed............... (2,362,876) (67,725,219)
---------- ------------
Net increase (decrease)....... 1,486,120 $ 38,504,908
---------- ------------
---------- ------------
</TABLE>
<TABLE>
<CAPTION>
GLOBAL STRATEGY
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO PORTFOLIO
------------------------ ------------------------ ------------------------
FOR THE YEAR ENDED DOLLAR DOLLAR DOLLAR
DECEMBER 31, 1996 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
Shares sold................... 831,685 $ 12,144,003 1,760,273 $ 37,721,110 1,834,916 $ 28,028,627
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 402,709 5,734,235 2,087,885 42,399,185 457,483 6,770,744
---------- ------------ ---------- ------------ ---------- ------------
Total issued.................. 1,234,394 17,878,238 3,848,158 80,120,295 2,292,399 34,799,371
Shares redeemed............... (1,336,006) (19,465,512) (1,982,012) (42,391,164) (2,401,439) (37,046,598)
---------- ------------ ---------- ------------ ---------- ------------
Net increase (decrease)....... (101,612) $ (1,587,274) 1,866,146 $ 37,729,131 (109,040) $ (2,247,227)
---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------
<CAPTION>
GROWTH STOCK PORTFOLIO
------------------------
FOR THE YEAR ENDED DOLLAR
DECEMBER 31, 1996 SHARES AMOUNT
<S> <C> <C>
- ------------------------------
Shares sold................... 4,026,810 $102,339,591
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 272,693 6,464,456
---------- ------------
Total issued.................. 4,299,503 108,804,047
Shares redeemed............... (3,294,306) (83,732,687)
---------- ------------
Net increase (decrease)....... 1,005,197 $ 25,071,360
---------- ------------
---------- ------------
</TABLE>
76
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GOVERNMENT CORPORATE MONEY MULTIPLE NATURAL
BOND BOND RESERVE STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
Appreciated securities........ $ 5,519,428 $ 3,386,063 $ 53,409 $ 186,037,091 $ 2,715,802
Depreciated securities........ (1,266,478) (793,974) (45,452) (36,081,433) (4,641,366)
------------ ------------ ------------ -------------- -----------
Net unrealized appreciation
(depreciation).............. $ 4,252,950 $ 2,592,089 $ 7,957 $ 149,955,658 $(1,925,564)
------------ ------------ ------------ -------------- -----------
------------ ------------ ------------ -------------- -----------
Cost for Federal income tax
purposes.................... $215,660,483 $120,121,067 $531,749,893 $1,172,709,814 $19,097,701
------------ ------------ ------------ -------------- -----------
------------ ------------ ------------ -------------- -----------
Net realized and unrealized gains (losses) as of December 31, 1997 were as follows:
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT LONG TERM CORPORATE MONEY RESERVE
BOND PORTFOLIO BOND PORTFOLIO PORTFOLIO
------------------------ ---------------------- ----------------------
REALIZED UNREALIZED REALIZED UNREALIZED REALIZED UNREALIZED
GAINS GAINS GAINS GAINS GAINS GAINS
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------
Long-term securities.......... $ 1,693,013 $4,252,950 $ 280,864 $2,592,089 -- --
Short-term securities......... -- -- -- -- $ 25,403 $ 9,532
Forward foreign exchange
contracts................... -- -- -- -- -- --
Foreign currency
transactions................ -- -- -- -- -- --
----------- ----------- --------- ----------- ---------- ----------
Total......................... $ 1,693,013 $4,252,950 $ 280,864 $2,592,089 $ 25,403 $ 9,532
----------- ----------- --------- ----------- ---------- ----------
----------- ----------- --------- ----------- ---------- ----------
<CAPTION>
MULTIPLE STRATEGY PORTFOLIO NATURAL RESOURCES PORTFOLIO
------------------------------ ------------------------------
REALIZED UNREALIZED REALIZED
GAINS GAINS GAINS UNREALIZED
(LOSSES) (LOSSES) (LOSSES) LOSSES
<S> <C> <C> <C> <C>
- ------------------------------
Long-term securities.......... $140,366,273 $150,859,250 $ 1,508,765 $(1,872,354)
Short-term securities......... 2,372 -- 8 --
Forward foreign exchange
contracts................... 10,586,086 (35,645)
Foreign currency
transactions................ (6,240,934) (35,272) (6,614) (351)
------------- ------------- ------------- -------------
Total......................... $144,713,797 $150,788,333 $ 1,502,159 $(1,872,705)
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares were as follows:
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT LONG TERM CORPORATE BOND
HIGH YIELD PORTFOLIO BOND PORTFOLIO PORTFOLIO
------------------------ ------------------------ ------------------------
FOR THE YEAR ENDED DOLLAR DOLLAR DOLLAR
DECEMBER 31, 1997 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
------------------------------ ------------------------------ ------------------------------
FOR THE YEAR ENDED DOLLAR DOLLAR DOLLAR
DECEMBER 31, 1997 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>
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT LONG TERM CORPORATE BOND
HIGH YIELD PORTFOLIO BOND PORTFOLIO PORTFOLIO
------------------------ ------------------------ ------------------------
FOR THE YEAR ENDED DOLLAR DOLLAR DOLLAR
DECEMBER 31, 1996 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
Shares sold................... 6,533,467 $ 58,786,187 1,107,678 $ 12,231,009 801,725 $ 9,239,683
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 1,207,222 10,832,795 1,428,977 15,606,904 719,303 8,263,502
---------- ------------ ---------- ------------ ---------- ------------
Total issued.................. 7,740,689 69,618,982 2,536,655 27,837,913 1,521,028 17,503,185
Shares redeemed............... (6,167,098) (55,669,091) (3,214,088) (35,028,398) (1,689,020) (19,354,948)
---------- ------------ ---------- ------------ ---------- ------------
Net increase (decrease)....... 1,573,591 $ 13,949,891 (677,433) $ (7,190,485) (167,992) $ (1,851,763)
---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------
<CAPTION>
MULTIPLE STRATEGY NATURAL RESOURCES
MONEY RESERVE PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------- ------------------------ ------------------------
FOR THE YEAR ENDED DOLLAR DOLLAR DOLLAR
DECEMBER 31, 1996 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------
Shares sold................... 196,701,637 $196,701,637 604,939 $ 9,547,441 1,934,193 $ 16,931,833
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 29,159,633 29,159,633 10,145,152 155,352,829 52,331 441,716
------------ ------------ ---------- ------------ ---------- ------------
Total issued.................. 225,861,270 225,861,270 10,750,091 164,900,270 1,986,524 17,373,549
Shares redeemed............... (236,339,489) (236,339,489) (7,880,674) (125,360,857) (1,838,510) (16,061,357)
------------ ------------ ---------- ------------ ---------- ------------
Net increase (decrease)....... (10,478,219) $(10,478,219) 2,869,417 $ 39,539,413 148,014 $ 1,312,192
------------ ------------ ---------- ------------ ---------- ------------
------------ ------------ ---------- ------------ ---------- ------------
</TABLE>
77
<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, $1,822,000 expires in 2004; $1,640,000 in the Long
Term Corporate Bond Portfolio, all of which expires in 2002; $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 December 31, 1997, the Natural Resources Portfolio had entered into forward
foreign exchange contracts under which it agreed to sell various foreign
currencies with values of approximately $35,000.
7. LOANED SECURITIES:
At December 31, 1997, the Intermediate Government Bond Portfolio held US
Treasury Notes having an aggregate value of approximately $3,200,000 as
collateral for portfolio securities loaned having a market value of
approximately $3,083,000; the Long Term Corporate Bond Portfolio held US
Treasury Notes having an aggregate value of approximately $4,984,375 as
collateral for portfolio securities loaned having a market value of
approximately $4,834,000; the Multiple Strategy Portfolio held US Treasury Notes
having an aggregate value of approximately $8,429,000 as collateral for
portfolio securities loaned having a market value of approximately $8,392,000.
8. SUBSEQUENT EVENTS:
On January 2, 1998, the Board of Directors declared dividends and distributions
per share payable on January 2, 1998 and January 9, 1998 to shareholders of
record as of December 31, 1997 as follows:
<TABLE>
<CAPTION>
ORDINARY LONG-TERM
INCOME CAPITAL GAINS
<S> <C> <C>
- ----------------------------------------------------------------------------
PORTFOLIO
Balanced.......................................... $ .656062 $ .865601
Capital Stock..................................... .764485 2.641432
Global Strategy................................... 1.462785 1.375290
Growth Stock...................................... 3.057979 3.254312
High Yield........................................ .079026 --
Intermediate Government Bond...................... .064093 --
Long Term Corporate Bond.......................... .076353 --
Multiple Strategy................................. 1.164900 1.415757
Natural Resources................................. .183696 --
<CAPTION>
- ----------------------------------------------------------------------------
</TABLE>
78
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Independent Auditors' Report
- --------------------------------------------------------------------------------
The Board of Directors and Shareholders,
Merrill Lynch Series Fund, Inc.:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of the Balanced, Capital Stock, Global Strategy,
Growth Stock, High Yield, Intermediate Government Bond, Long Term Corporate
Bond, Money Reserve, Multiple Strategy, and Natural Resources Portfolios of
Merrill Lynch Series Fund, Inc. as of December 31, 1997, the related statements
of operations for the year then ended, and changes in net assets for each of the
years in the two-year period then ended, and the financial highlights for each
of the years in the five-year period then ended. These financial statements and
the financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and the
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and the financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned at December
31, 1997 by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial positions of the Balanced,
Capital Stock, Global Strategy, Growth Stock, High Yield, Intermediate
Government Bond, Long Term Corporate Bond, Money Reserve, Multiple Strategy, and
Natural Resources Portfolios of Merrill Lynch Series Fund, Inc. as of December
31, 1997, the results of their operations, the changes in their net assets, and
the financial highlights for the respective stated periods in conformity with
generally accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
February 20, 1998
79
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
REPORT OF INDEPENDENT ACCOUNTANTS
The Sponsor, Trustee and Holders
of The Merrill Lynch Fund of Stripped ("Zero")
U.S. Treasury Securities, Series A (2003 Trust),
Series B (2001 and 2005 Trusts), Series C (2006 Trust),
Series D (2007 Trust), Series E (1998 and
2008 Trusts), Series F (1999 and 2009 Trusts),
Series G (2000 and 2010 Trusts), Series H (2011 Trust),
Series I (2002 Trust), Series J (2013 Trust) and
Series K (2004 and 2014 Trusts) (the Funds):
We have audited the accompanying statements of condition of the Funds, including
the portfolios, as of December 31, 1997 and the related statements of operations
and of changes in net assets for the years ended December 31, 1997, 1996 and
1995. These financial statements are the responsibility of the Trustee. Our
responsibility is to express an opinion on these financial statements based on
our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Securities owned at
December 31, 1997, as shown in such portfolios, were confirmed to us by The
Chase Manhattan Bank, the Trustee. An audit also includes assessing the
accounting principles used and significant estimates made by the Trustee, as
well as evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of the Funds at December 31, 1997
and the results of their operations and changes in their net assets for the
above-stated years in conformity with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
New York, N.Y.
January 30, 1998
D-1
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES A
STATEMENT OF CONDITION
AS OF DECEMBER 31, 1997
<TABLE>
<CAPTION>
2003 TRUST
<S> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1) . . . . . . . . . . . . . . . $47,838,514
Other. . . . . . . . . . . . . . . . . . . . . . . . . . . 81,532
-----------
Total trust property . . . . . . . . . . . . . . 47,920,046
LESS LIABILITY - Other . . . . . . . . . . . . . . . . . . . 4,484
-----------
NET ASSETS (Note 2). . . . . . . . . . . . . . . . . . . . . $47,915,562
-----------
-----------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . . . . . . 65,677,446
-----------
-----------
UNIT VALUE . . . . . . . . . . . . . . . . . . . . . . . . . $ .72956
-----------
-----------
</TABLE>
See Notes to Financial Statements.
D-2
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES A
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2003 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income. . . . . . . . . . . . . . . . . . . . . . $ 24,902 $ 27,183 $ 29,639
Accretion of original issue
discount . . . . . . . . . . . . . . . . . . . . . . . . 3,628,183 3,638,172 3,641,500
Trustee's fees and expenses. . . . . . . . . . . . . . . . (16,828) (18,146) (19,424)
---------- ---------- -----------
Net investment income. . . . . . . . . . . . . . . . . . . 3,636,257 3,647,209 3,651,715
---------- ---------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Realized gain on securities sold . . . . . . . . . . . . . 818,013 828,620 892,759
Unrealized appreciation (depreciation) of
investments. . . . . . . . . . . . . . . . . . . . . . . 31,844 (4,351,762) 7,537,583
---------- ---------- -----------
Realized and unrealized gain (loss) on
investments. . . . . . . . . . . . . . . . . . . . . . . 849,857 (3,523,142) 8,430,342
---------- ---------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS. . . . . . . . . . . . . . . . . $4,486,114 $ 124,067 $12,082,057
---------- ---------- -----------
---------- ---------- -----------
</TABLE>
See Notes to Financial Statements.
D-3
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES A
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2003 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . $ 3,636,257 $ 3,647,209 $ 3,651,715
Realized gain on securities sold . . . . . . . . . . . . . 818,013 828,620 892,759
Unrealized appreciation (depreciation) of
investments. . . . . . . . . . . . . . . . . . . . . . . 31,844 (4,351,762) 7,537,583
----------- ----------- -----------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . 4,486,114 124,067 12,082,057
----------- ----------- -----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional units . . . . . . . . . . . . . . . 199,957 213,357 888,564
Redemptions of units . . . . . . . . . . . . . . . . . . . (5,561,092) (4,579,226) (4,430,713)
----------- ----------- -----------
Net capital share transactions . . . . . . . . . . . . . . (5,361,135) (4,365,869) (3,542,149)
----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . (875,021) (4,241,802) 8,539,908
NET ASSETS, BEGINNING OF YEAR. . . . . . . . . . . . . . . . 48,790,583 53,032,385 44,492,477
----------- ----------- -----------
NET ASSETS, END OF YEAR. . . . . . . . . . . . . . . . . . . $47,915,562 $48,790,583 $53,032,385
----------- ----------- -----------
----------- ----------- -----------
UNIT VALUE, END OF YEAR. . . . . . . . . . . . . . . . . . . $.72956 $.66428 $.66107
----------- ----------- -----------
----------- ----------- -----------
UNITS OUTSTANDING, END OF YEAR . . . . . . . . . . . . . . . 65,677,446 73,448,689 80,221,626
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
See Notes to Financial Statements.
D-4
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES B
STATEMENTS OF CONDITION
AS OF DECEMBER 31, 1997
<TABLE>
<CAPTION>
2001 TRUST 2005 TRUST
<S> <C> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1) . . . . . . . . . . . . . . . $48,381,296 $22,344,719
Other. . . . . . . . . . . . . . . . . . . . . . . . . . . 68,218 22,001
----------- -----------
Total trust property. . . . . . . . . . . . . . . 48,449,514 22,366,720
LESS LIABILITY - Other . . . . . . . . . . . . . . . . . . . 4,189 883
----------- -----------
NET ASSETS (Note 2). . . . . . . . . . . . . . . . . . . . . $48,445,325 $22,365,837
----------- -----------
----------- -----------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . . . . . . 57,433,435 33,242,884
----------- -----------
----------- -----------
UNIT VALUE . . . . . . . . . . . . . . . . . . . . . . . . . $.84350 $.67280
----------- -----------
----------- -----------
</TABLE>
See Notes to Financial Statements.
D-5
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES B
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2001 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income. . . . . . . . . . . . . . . . . . . . . . $ 21,215 $ 23,315 $ 25,558
Accretion of original issue discount . . . . . . . . . . . 3,964,020 4,052,834 4,070,813
Trustee's fees and expenses. . . . . . . . . . . . . . . . (15,315) (16,333) (17,357)
---------- ---------- ----------
Net investment income. . . . . . . . . . . . . . . . . . . 3,969,920 4,059,816 4,079,014
---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain on securities sold . . . . . . . . . . . . . 444,680 729,602 720,572
Unrealized appreciation (depreciation) of
investments. . . . . . . . . . . . . . . . . . . . . . . (876,128) (3,688,347) 5,161,047
---------- ---------- ----------
Realized and unrealized gain (loss) on
investments. . . . . . . . . . . . . . . . . . . . . . . (431,448) (2,958,745) 5,881,619
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS. . . . . . . . . . . . . . . . . . . . . . $3,538,472 $1,101,071 $9,960,633
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-6
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES B
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2005 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income. . . . . . . . . . . . . . . . . . . . . . $ 12,069 $ 12,909 $ 12,677
Accretion of original issue discount . . . . . . . . . . . 1,503,945 1,507,646 1,371,217
Trustee's fees and expenses. . . . . . . . . . . . . . . . (10,338) (10,945) (10,695)
---------- ---------- ----------
Net investment income. . . . . . . . . . . . . . . . . . . 1,505,676 1,509,610 1,373,199
---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain on securities sold . . . . . . . . . . . . . 202,442 239,717 369,384
Unrealized appreciation (depreciation) of
investments. . . . . . . . . . . . . . . . . . . . . . . 648,748 (1,944,792) 3,590,504
---------- ---------- ----------
Realized and unrealized gain (loss) on
investments. . . . . . . . . . . . . . . . . . . . . . . 851,190 (1,705,075) 3,959,888
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS. . . . . . . . . . . . . . . . . . . . . . $2,356,866 $ (195,465) $5,333,087
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-7
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES B
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2001 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . $ 3,969,920 $ 4,059,816 $ 4,079,014
Realized gain on securities sold . . . . . . . . . . . . . 444,680 729,602 720,572
Unrealized appreciation (depreciation)
of investments . . . . . . . . . . . . . . . . . . . . . (876,128) (3,688,347) 5,161,047
----------- ------------ -----------
Net increase (decrease)in net assets
resulting from operations. . . . . . . . . . . . . . . . 3,538,472 1,101,071 9,960,633
----------- ------------ -----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional units . . . . . . . . . . . . . . . 397,111 809,728 2,517,687
Redemptions of units . . . . . . . . . . . . . . . . . . . (4,861,241) (6,094,730) (5,433,756)
----------- ------------ -----------
Net capital share transactions . . . . . . . . . . . . . . (4,464,130) (5,285,002) (2,916,069)
----------- ------------ -----------
NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . (925,658) (4,183,931) 7,044,564
NET ASSETS, BEGINNING OF YEAR . . . . . . . . . . . . . . . 49,370,983 53,554,914 46,510,350
----------- ------------ -----------
NET ASSETS, END OF YEAR . . . . . . . . . . . . . . . . . . $48,445,325 $49,370,983 $53,554,914
----------- ------------ -----------
----------- ------------ -----------
UNIT VALUE, END OF YEAR . . . . . . . . . . . . . . . . . . $.84350 $.78459 $.76655
----------- ------------ -----------
----------- ------------ -----------
UNITS OUTSTANDING, END OF YEAR . . . . . . . . . . . . . . . 57,433,435 62,925,765 69,865,193
----------- ------------ -----------
----------- ------------ -----------
</TABLE>
See Notes to Financial Statements.
D-8
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES B
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2005 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . $ 1,505,676 $ 1,509,610 $ 1,373,199
Realized gain on securities sold . . . . . . . . . . . . . 202,442 239,717 369,384
Unrealized appreciation (depreciation)
of investments . . . . . . . . . . . . . . . . . . . . . 648,748 (1,944,792) 3,590,504
----------- ------------ -----------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . 2,356,866 (195,465) 5,333,087
----------- ------------ -----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional units . . . . . . . . . . . . . . . 743,426 1,171,904 2,186,036
Redemptions of units . . . . . . . . . . . . . . . . . . . (1,854,199) (2,282,137) (1,986,425)
----------- ------------ -----------
Net capital share transactions . . . . . . . . . . . . . . (1,110,773) (1,110,233) 199,611
----------- ------------ -----------
NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . 1,246,093 (1,305,698) 5,532,698
NET ASSETS, BEGINNING OF YEAR . . . . . . . . . . . . . . . 21,119,744 22,425,442 16,892,744
----------- ------------ -----------
NET ASSETS, END OF YEAR . . . . . . . . . . . . . . . . . . $22,365,837 $21,119,744 $22,425,442
----------- ------------ -----------
----------- ------------ -----------
UNIT VALUE, END OF YEAR . . . . . . . . . . . . . . . . . . $.67280 $.60348 $.60745
----------- ------------ -----------
----------- ------------ -----------
UNITS OUTSTANDING, END OF YEAR . . . . . . . . . . . . . . . 33,242,884 34,996,785 36,917,304
----------- ------------ -----------
----------- ------------ -----------
</TABLE>
See Notes to Financial Statements.
D-9
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES C
STATEMENT OF CONDITION
AS OF DECEMBER 31, 1997
<TABLE>
<CAPTION>
2006 TRUST
<S> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1) . . . . . . . . . . . . . . . $7,236,421
Other. . . . . . . . . . . . . . . . . . . . . . . . . . . 8,464
----------
Total trust property. . . . . . . . . . . . . . . 7,244,885
LESS LIABILITY - Other . . . . . . . . . . . . . . . . . . . 6,302
----------
NET ASSETS (Note 2). . . . . . . . . . . . . . . . . . . . . $7,238,583
----------
----------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . . . . . . 11,228,372
----------
----------
UNIT VALUE . . . . . . . . . . . . . . . . . . . . . . . . . $.64467
----------
----------
</TABLE>
See Notes to Financial Statements.
D-10
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES C
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2006 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income. . . . . . . . . . . . . . . . . . . . . . $ 3,792 $ 4,065 $ 2,699
Accretion of original issue discount . . . . . . . . . . . 485,166 467,093 310,893
Trustee's fees and expenses. . . . . . . . . . . . . . . . (3,683) (3,738) (2,697)
----------- ----------- ----------
Net investment income. . . . . . . . . . . . . . . . . . . 485,275 467,420 310,895
----------- ----------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Realized gain on securities sold . . . . . . . . . . . . . 406,791 78,989 205,530
Unrealized appreciation (depreciation)
of investments . . . . . . . . . . . . . . . . . . . . . 152,479 (488,521) 776,125
----------- ----------- ----------
Realized and unrealized gain (loss) on
investments. . . . . . . . . . . . . . . . . . . . . . . 559,270 (409,532) 981,655
----------- ----------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS. . . . . . . . . . . . . . . . . . . . . . $ 1,044,545 $ 57,888 $1,292,550
----------- ----------- ----------
----------- ----------- ----------
</TABLE>
See Notes to Financial Statements.
D-11
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES C
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2006 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . $ 485,275 $ 467,420 $ 310,895
Realized gain on securities sold . . . . . . . . . . . . . 406,791 78,989 205,530
Unrealized appreciation (depreciation)
of investments . . . . . . . . . . . . . . . . . . . . . 152,479 (488,521) 776,125
----------- ----------- ----------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . 1,044,545 57,888 1,292,550
----------- ----------- ----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional units . . . . . . . . . . . . . . . 245,845 2,799,053 926,723
Redemptions of units . . . . . . . . . . . . . . . . . . . (1,459,989) (582,696) (1,012,052)
----------- ----------- ----------
Net capital share transactions . . . . . . . . . . . . . . (1,214,144) 2,216,357 (85,329)
----------- ----------- ----------
NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . (169,599) 2,274,245 1,207,221
NET ASSETS, BEGINNING OF YEAR. . . . . . . . . . . . . . . . 7,408,182 5,133,937 3,926,716
----------- ----------- ----------
NET ASSETS, END OF YEAR. . . . . . . . . . . . . . . . . . . $ 7,238,583 $ 7,408,182 $5,133,937
----------- ----------- ----------
----------- ----------- ----------
UNIT VALUE, END OF YEAR. . . . . . . . . . . . . . . . . . . $ .64467 $ .57315 $ .58026
----------- ----------- ----------
----------- ----------- ----------
UNITS OUTSTANDING, END OF YEAR . . . . . . . . . . . . . . . 11,228,372 12,925,437 8,847,662
----------- ----------- ----------
----------- ----------- ----------
</TABLE>
See notes to financial statements.
D-12
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES D
STATEMENT OF CONDITION
AS OF DECEMBER 31, 1997
<TABLE>
<CAPTION>
2007 TRUST
<S> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1) . . . . . . . . . . . . . . . $13,173,554
Other. . . . . . . . . . . . . . . . . . . . . . . . . . . 2,926
-----------
Total trust property . . . . . . . . . . . . . . 13,176,480
LESS LIABILITY - Other . . . . . . . . . . . . . . . . . . . 1,469
-----------
NET ASSETS (Note 2). . . . . . . . . . . . . . . . . . . . . $13,175,011
-----------
-----------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . . . . . . 21,784,452
-----------
-----------
UNIT VALUE . . . . . . . . . . . . . . . . . . . . . . . . . $.60479
-------
-------
</TABLE>
See notes to financial statements.
D-13
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES D
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2007 TRUST
YEARS ENDED DECEMBER 31
1997 1996 1995
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income. . . . . . . . . . . . . . . . . . . . . . $ 7,314 $ 6,683 $ 7,248
Accretion of original issue discount . . . . . . . . . . . 826,932 701,298 720,342
Trustee's fees and expenses. . . . . . . . . . . . . . . . (7,325) (6,675) (7,196)
----------- ----------- ----------
Net investment income. . . . . . . . . . . . . . . . . . . 826,921 701,306 720,394
----------- ----------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Realized gain on securities sold . . . . . . . . . . . . . 59,353 137,187 362,903
Unrealized appreciation (depreciation) of
investments. . . . . . . . . . . . . . . . . . . . . . . 674,748 (1,039,668) 1,999,314
----------- ----------- ----------
Realized and unrealized gain (loss) on
investments. . . . . . . . . . . . . . . . . . . . . . . 734,101 (902,481) 2,362,217
----------- ----------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS. . . . . . . . . . . . . . . . . . . . . . $ 1,561,022 $ (201,175) $3,082,611
----------- ----------- ----------
----------- ----------- ----------
</TABLE>
See notes to financial statements.
D-14
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES D
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2007 TRUST
YEARS ENDED DECEMBER 31
1997 1996 1995
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . $ 826,921 $ 701,306 $ 720,394
Realized gain on securities sold . . . . . . . . . . . . . 59,353 137,187 362,903
Unrealized appreciation (depreciation)
of investments . . . . . . . . . . . . . . . . . . . . . 674,748 (1,039,668) 1,999,314
----------- ----------- ----------
Net increase (decrease)in net assets
resulting from operations. . . . . . . . . . . . . . . . 1,561,022 (201,175) 3,082,611
----------- ----------- ----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional units . . . . . . . . . . . . . . . 1,541,671 198,530 686,393
Redemptions of units . . . . . . . . . . . . . . . . . . . (300,187) (557,763) (1,785,206)
----------- ----------- ----------
Net capital share transactions . . . . . . . . . . . . . . 1,241,484 (359,233) (1,098,813)
----------- ----------- ----------
NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . 2,802,506 (560,408) 1,983,798
NET ASSETS, BEGINNING OF YEAR. . . . . . . . . . . . . . . . 10,372,505 10,932,913 8,949,115
----------- ----------- ----------
NET ASSETS, END OF YEAR. . . . . . . . . . . . . . . . . . . $13,175,011 $10,372,505 $10,932,913
----------- ----------- ----------
----------- ----------- ----------
UNIT VALUE, END OF YEAR. . . . . . . . . . . . . . . . . . . $ .60479 $ .53353 $ .54388
----------- ----------- ----------
----------- ----------- ----------
UNITS OUTSTANDING, END OF YEAR . . . . . . . . . . . . . . . 21,784,452 19,441,293 20,101,562
----------- ----------- ----------
----------- ----------- ----------
</TABLE>
See notes to financial statements.
D-15
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES E
STATEMENTS OF CONDITION
AS OF DECEMBER 31, 1997
<TABLE>
<CAPTION>
1998 TRUST 2008 TRUST
<S> <C> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1) $49,390,765 $22,787,050
Receivable from securities sold. . . . . . . . . . . . . . 230,387
Other. . . . . . . . . . . . . . . . . . . . . . . . . . . 53,104 31,953
----------- -----------
Total trust property . . . . . . . . . . . . . . 49,674,256 22,819,003
LESS LIABILITY - Other . . . . . . . . . . . . . . . . . . . 234,797 9,547
----------- -----------
NET ASSETS (Note 2). . . . . . . . . . . . . . . . . . . . . $49,439,459 $22,809,456
----------- -----------
----------- -----------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . . . . . . 49,683,455 40,840,808
----------- -----------
----------- -----------
UNIT VALUE $ .99509 $ .55850
----------- -----------
----------- -----------
</TABLE>
See notes to financial statements.
D-16
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES E
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
1998 TRUST
YEARS ENDED DECEMBER 31
1997 1996 1995
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income. . . . . . . . . . . . . . . . . . . . . . $ 19,303 $ 21,336 $ 22,690
Accretion of original issue
discount . . . . . . . . . . . . . . . . . . . . . . . . 4,319,398 4,427,863 4,345,788
Trustee's fees and expenses. . . . . . . . . . . . . . . (14,126) (15,090) (15,955)
----------- ----------- ----------
Net investment income. . . . . . . . . . . . . . . . . . . 4,324,575 4,434,109 4,352,523
----------- ----------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Realized gain on securities sold . . . . . . . . . . . . . 31,209 503,344 173,871
Unrealized appreciation (deprecia-
tion) of investments . . . . . . . . . . . . . . . . . . (1,425,066) (2,106,443) 2,540,891
----------- ----------- ----------
Realized and unrealized gain (loss)
on investments . . . . . . . . . . . . . . . . . . . . . (1,393,857) (1,603,099) 2,714,762
----------- ----------- ----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS. . . . . . . . . . . . . . . . . $ 2,930,718 $ 2,831,010 $ 7,067,285
----------- ----------- ----------
----------- ----------- ----------
</TABLE>
See notes to financial statements.
D-17
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES E
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2008 TRUST
YEARS ENDED DECEMBER 31
1997 1996 1995
<S> <C> <C> <C>
INVESTMENT INCOME
Interest income. . . . . . . . . . . . . . . . . . . . . . $ 15,421 $ 17,094 $ 18,790
Accretion of original issue
discount . . . . . . . . . . . . . . . . . . . . . . . . 1,504,333 1,566,068 1,565,747
Trustee's fees and expenses. . . . . . . . . . . . . . . . (11,957) (12,920) (13,855)
----------- ----------- ----------
Net investment income. . . . . . . . . . . . . . . . . . . 1,507,797 1,570,242 1,570,682
----------- ----------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Realized gain on securities sold . . . . . . . . . . . . . 288,696 535,460 241,098
Unrealized appreciation (deprecia-
tion) of investments . . . . . . . . . . . . . . . . . . 1,163,882 (2,866,638) 5,452,882
----------- ----------- ----------
Realized and unrealized gain (loss)
on investments . . . . . . . . . . . . . . . . . . . . . 1,452,578 (2,331,178) 5,693,980
----------- ----------- ----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS. . . . . . . . . . . . . . . . . $ 2,960,375 $ (760,936) $7,264,662
----------- ----------- ----------
----------- ----------- ----------
</TABLE>
See notes to financial statements.
D-18
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES E
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
1998 TRUST
YEARS ENDED DECEMBER 31
1997 1996 1995
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . $ 4,324,575 $ 4,434,109 $ 4,352,523
Realized gain on securities sold . . . . . . . . . . . . . 31,209 503,344 173,871
Unrealized appreciation (depreciation) of
investments. . . . . . . . . . . . . . . . . . . . . . . (1,425,066) (2,106,443) 2,540,891
----------- ----------- ----------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . 2,930,718 2,831,010 7,067,285
----------- ----------- ----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional Units . . . . . . . . . . . . . . . 2,187,198 824,672 2,497,100
Redemptions of Units . . . . . . . . . . . . . . . . . . . (10,151,402) (6,238,529) (3,371,785)
----------- ----------- ----------
Net capital share transactions . . . . . . . . . . . . . . (7,964,204) (5,413,857) (874,685)
----------- ----------- ----------
NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . (5,033,486) (2,582,847) 6,192,600
NET ASSETS, BEGINNING OF YEAR. . . . . . . . . . . . . . . . 54,472,945 57,055,792 50,863,192
----------- ----------- ----------
NET ASSETS, END OF YEAR. . . . . . . . . . . . . . . . . . . $49,439,459 $54,472,945 $57,055,792
----------- ----------- ----------
----------- ----------- ----------
UNIT VALUE, END OF YEAR. . . . . . . . . . . . . . . . . . . $ .99509 $ .94129 $ .89873
----------- ----------- ----------
----------- ----------- ----------
UNITS OUTSTANDING, END OF YEAR . . . . . . . . . . . . . . . 49,683,455 57,870,323 63,485,140
----------- ----------- ----------
----------- ----------- ----------
</TABLE>
See notes to financial statements.
D-19
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES E
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2008 TRUST
YEARS ENDED DECEMBER 31
1997 1996 1995
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . $ 1,507,797 $ 1,570,242 $ 1,570,682
Realized gain on securities sold . . . . . . . . . . . . . 288,696 535,460 241,098
Unrealized appreciation (depreciation) of
investments. . . . . . . . . . . . . . . . . . . . . . . 1,163,882 (2,866,638) 5,452,882
----------- ----------- ----------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . 2,960,375 (760,936) 7,264,662
----------- ----------- ----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional Units . . . . . . . . . . . . . . . 1,102,323
Redemptions of Units . . . . . . . . . . . . . . . . . . . (2,064,469) (3,669,808) (2,030,174)
----------- ----------- ----------
Net capital share transactions . . . . . . . . . . . . . . (2,064,469) (2,567,485) (2,030,174)
----------- ----------- ----------
NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . 895,906 (3,328,421) 5,234,488
NET ASSETS, BEGINNING OF YEAR. . . . . . . . . . . . . . . . 21,913,550 25,241,971 20,007,483
----------- ----------- ----------
NET ASSETS, END OF YEAR. . . . . . . . . . . . . . . . . . . $22,809,456 $21,913,550 $25,241,971
----------- ----------- ----------
----------- ----------- ----------
UNIT VALUE, END OF YEAR. . . . . . . . . . . . . . . . . . . $ .55850 $ .48816 $ .50066
----------- ----------- ----------
----------- ----------- ----------
UNITS OUTSTANDING, END OF YEAR . . . . . . . . . . . . . . . 40,840,808 44,890,165 50,417,866
----------- ----------- ----------
----------- ----------- ----------
</TABLE>
See notes to financial statements.
D-20
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES F
STATEMENTS OF CONDITION
AS OF DECEMBER 31, 1997
<TABLE>
<CAPTION>
1999 TRUST 2009 TRUST
<S> <C> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1). . . . . . $23,839,019 $9,572,208
Other . . . . . . . . . . . . . . . . . . . 4,627 15,249
----------- ----------
Total trust property. . . . . . . . . 23,843,646 9,587,457
LESS LIABILITY - Other. . . . . . . . . . . . . 2,693 7,505
----------- ----------
NET ASSETS (Note 2) . . . . . . . . . . . . . . $23,840,953 $9,579,952
----------- ----------
----------- ----------
UNITS OUTSTANDING . . . . . . . . . . . . . . . 25,369,560 18,236,148
----------- ----------
----------- ----------
UNIT VALUE. . . . . . . . . . . . . . . . . . . $.93975 $.52533
----------- ----------
----------- ----------
</TABLE>
See Notes to Financial Statements.
D-21
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES F
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
1999 TRUST
YEARS ENDED DECEMBER 31
1997 1996 1995
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income. . . . . . . . . . . . . . . . . . . . . . $ 9,282 $ 9,455 $ 9,808
Accretion of original issue discount . . . . . . . . . . . 1,645,711 1,585,052 1,573,856
Trustee's fees and expenses. . . . . . . . . . . . . . . . (8,856) (8,928) (9,203)
---------- ---------- ----------
Net investment income. . . . . . . . . . . . . . . . . . . 1,646,137 1,585,579 1,574,461
---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain on securities sold . . . . . . . . . . . . . 33,432 102,339 229,711
Unrealized appreciation (depreciation)of
investments. . . . . . . . . . . . . . . . . . . . . . . (233,179) (767,906) 1,623,728
---------- ---------- ----------
Realized and unrealized gain (loss) on
investments. . . . . . . . . . . . . . . . . . . . . . . (199,747) (665,567) 1,853,439
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS. . . . . . . . . . . . . . . . . . . . . . $1,446,390 $ 920,012 $3,427,900
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-22
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES F
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2009 TRUST
YEARS ENDED DECEMBER 31
1997 1996 1995
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income. . . . . . . . . . . . . . . . . . . . . . $ 7,191 $ 7,951 $ 8,713
Accretion of original issue discount . . . . . . . . . . . 639,710 643,976 656,077
Trustee's fees and expenses. . . . . . . . . . . . . . . . (7,105) (7,936) (8,426)
---------- ---------- ----------
Net investment income. . . . . . . . . . . . . . . . . . . 639,796 643,991 656,364
---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain on securities sold . . . . . . . . . . . . . 220,815 130,319 329,163
Unrealized appreciation (depreciation) of
investments. . . . . . . . . . . . . . . . . . . . . . . 471,994 (1,124,284) 2,261,855
---------- ---------- ----------
Realized and unrealized gain (loss) on
investments. . . . . . . . . . . . . . . . . . . . . . . 692,809 (993,965) 2,591,018
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS. . . . . . . . . . . . . . . . . . . . . . $1,332,605 $ (349,974) $3,247,382
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-23
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES F
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
1999 TRUST
YEARS ENDED DECEMBER 31
1997 1996 1995
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . $ 1,646,137 $ 1,585,579 $ 1,574,461
Realized gain on securities sold . . . . . . . . . . . . . 33,432 102,339 229,711
Unrealized appreciation (depreciation) of
investments. . . . . . . . . . . . . . . . . . . . . . . (233,179) (767,906) 1,623,728
---------- ---------- ----------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . 1,446,390 920,012 3,427,900
---------- ---------- ----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional units . . . . . . . . . . . . . . . 1,189,918 803,103 3,923,258
Redemptions of units . . . . . . . . . . . . . . . . . . . (2,571,494) (1,764,394) (3,494,807)
---------- ---------- ----------
Net capital share transactions . . . . . . . . . . . . . . (1,381,576) (961,291) 428,451
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . 64,814 (41,279) 3,856,351
NET ASSETS, BEGINNING OF YEAR. . . . . . . . . . . . . . . . 23,776,139 23,817,418 19,961,067
---------- ---------- ----------
NET ASSETS, END OF YEAR. . . . . . . . . . . . . . . . . . . $23,840,953 $23,776,139 $23,817,418
---------- ---------- ----------
---------- ---------- ----------
UNIT VALUE, END OF YEAR. . . . . . . . . . . . . . . . . . . $.93975 $.88498 $.85071
---------- ---------- ----------
---------- ---------- ----------
UNITS OUTSTANDING, END OF YEAR . . . . . . . . . . . . . . . 25,369,560 26,866,164 27,997,201
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-24
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES F
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2009 TRUST
YEARS ENDED DECEMBER 31
1997 1996 1995
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . $ 639,796 $ 643,991 $ 656,364
Realized gain on securities sold . . . . . . . . . . . . . 220,815 130,319 329,163
Unrealized appreciation (depreciation) of
investments. . . . . . . . . . . . . . . . . . . . . . . 471,994 (1,124,284) 2,261,855
---------- ---------- ----------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . 1,332,605 (349,974) 3,247,382
---------- ---------- ----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional units . . . . . . . . . . . . . . . 182,231 452,445
Redemptions of units . . . . . . . . . . . . . . . . . . . (1,170,043) (716,485) (1,567,198)
---------- ---------- ----------
Net capital share transactions . . . . . . . . . . . . . . (1,170,043) (534,254) (1,114,753)
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . 162,562 (884,228) 2,132,629
NET ASSETS, BEGINNING OF YEAR. . . . . . . . . . . . . . . . 9,417,390 10,301,618 8,168,989
---------- ---------- ----------
NET ASSETS, END OF YEAR. . . . . . . . . . . . . . . . . . . $ 9,579,952 $ 9,417,390 $10,301,618
---------- ---------- ----------
---------- ---------- ----------
UNIT VALUE, END OF YEAR. . . . . . . . . . . . . . . . . . . $.52533 $.45585 $.47078
---------- ---------- ----------
---------- ---------- ----------
UNITS OUTSTANDING, END OF YEAR . . . . . . . . . . . . . . . 18,236,148 20,659,112 21,881,931
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-25
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES G
STATEMENTS OF CONDITION
AS OF DECEMBER 31, 1997
<TABLE>
<CAPTION>
2000 TRUST 2010 TRUST
<S> <C> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1) . . . . . . . . . . . . . . . $22,753,476 $ 8,415,050
Other. . . . . . . . . . . . . . . . . . . . . . . . . . . 4,652 7,780
----------- -----------
Total trust property . . . . . . . . . . . . . . . 22,758,128 8,422,830
LESS LIABILITY - Other . . . . . . . . . . . . . . . . . . . 1,807 1,804
----------- -----------
NET ASSETS (Note 2). . . . . . . . . . . . . . . . . . . . . $22,756,321 $8,421,026
----------- -----------
----------- -----------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . . . . . . 25,575,784 17,212,004
----------- -----------
----------- -----------
UNIT VALUE . . . . . . . . . . . . . . . . . . . . . . . . . $.88976 $.48925
----------- -----------
----------- -----------
</TABLE>
See Notes to Financial Statements.
D-26
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES G
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2000 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income. . . . . . . . . . . . . . . . . . . . . . $ 9,454 $ 9,437 $ 9,467
Accretion of original issue discount . . . . . . . . . . . 1,610,298 1,521,693 1,427,959
Trustee's fees and expenses. . . . . . . . . . . . . . . . (9,020) (9,004) (9,230)
---------- ---------- ----------
Net investment income. . . . . . . . . . . . . . . . . . . 1,610,732 1,522,126 1,428,196
---------- ---------- ----------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Realized gain (loss) on securities sold. . . . . . . . . . 97,827 54,447 (242,518)
Unrealized appreciation (depreciation)
of investments . . . . . . . . . . . . . . . . . . . . . . (181,107) (907,562) 1,912,465
---------- ---------- ----------
Realized and unrealized gain (loss) on
investments. . . . . . . . . . . . . . . . . . . . . . . (83,280) (853,115) 1,669,947
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS. . . . . . . . . . . . . . . . . . . . . . $1,527,452 $ 669,011 $3,098,143
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-27
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES G
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2010 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income. . . . . . . . . . . . . . . . . . . . . . $ 7,100 $ 7,681 $ 7,635
Accretion of original issue discount . . . . . . . . . . . 634,768 604,550 608,550
Trustee's fees and expenses. . . . . . . . . . . . . . . . (6,969) (7,558) (7,603)
---------- ---------- ----------
Net investment income. . . . . . . . . . . . . . . . . . . 634,899 604,673 608,582
---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain (loss) on securities sold. . . . . . . . . . 192,086 413,063 (140,604)
Unrealized appreciation (depreciation) of
investments. . . . . . . . . . . . . . . . . . . . . . . 410,774 (1,250,513) 2,097,508
---------- ---------- ----------
Realized and unrealized gain (loss)on
investments. . . . . . . . . . . . . . . . . . . . . . . 602,860 (837,450) 1,956,904
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS. . . . . . . . . . . . . . . . . . . . . . $1,237,759 $ (232,777) $2,565,486
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-28
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES G
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2000 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . $ 1,610,732 $1,522,126 $ 1,428,196
Realized gain (loss) on securities sold. . . . . . . . . . 97,827 54,447 (242,518)
Unrealized appreciation (depreciation)
of investments . . . . . . . . . . . . . . . . . . . . . (181,107) (907,562) 1,912,465
----------- ----------- -----------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . 1,527,452 669,011 3,098,143
----------- ----------- -----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional units . . . . . . . . . . . . . . . 1,984,343 487,979 5,018,288
Redemptions of units . . . . . . . . . . . . . . . . . . . (2,875,921) (1,346,695) (1,639,913)
----------- ----------- -----------
Net capital share transactions . . . . . . . . . . . . . . (891,578) (858,716) 3,378,375
----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . 635,874 (189,705) 6,476,518
NET ASSETS, BEGINNING OF YEAR . . . . . . . . . . . . . . . 22,120,447 22,310,152 15,833,634
----------- ----------- -----------
NET ASSETS, END OF YEAR . . . . . . . . . . . . . . . . . . $22,756,321 $22,120,447 $22,310,152
----------- ----------- -----------
----------- ----------- -----------
UNIT VALUE, END OF YEAR . . . . . . . . . . . . . . . . . . $.88976 $.83284 $.80726
----------- ----------- -----------
----------- ----------- -----------
UNITS OUTSTANDING, END OF YEAR . . . . . . . . . . . . . . . 25,575,784 26,560,105 27,637,020
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
See Notes to Financial Statements.
D-29
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES G
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2010 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . $ 634,899 $ 604,673 $ 608,582
Realized gain (loss) on securities sold. . . . . . . . . . 192,086 413,063 (140,604)
Unrealized appreciation (depreciation) of
investments. . . . . . . . . . . . . . . . . . . . . . . 410,774 (1,250,513) 2,097,508
----------- ----------- -----------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . . . . . . 1,237,759 (232,777) 2,565,486
----------- ----------- -----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional units . . . . . . . . . . . . . . . 5,760,544 2,997,567 4,594,434
Redemptions of units . . . . . . . . . . . . . . . . . . . (6,927,386) (2,968,890) (5,495,933)
----------- ----------- -----------
Net capital share transactions . . . . . . . . . . . . . . (1,166,842) 28,677 (901,499)
----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . 70,917 (204,100) 1,663,987
NET ASSETS, BEGINNING OF YEAR. . . . . . . . . . . . . . . . 8,350,109 8,554,209 6,890,222
----------- ----------- -----------
NET ASSETS, END OF YEAR. . . . . . . . . . . . . . . . . . . $8,421,026 $8,350,109 $8,554,209
----------- ----------- -----------
----------- ----------- -----------
UNIT VALUE, END OF YEAR. . . . . . . . . . . . . . . . . . . $.48925 $.42143 $.43729
----------- ----------- -----------
----------- ----------- -----------
UNITS OUTSTANDING, END OF YEAR . . . . . . . . . . . . . . . 17,212,004 19,813,618 19,561,835
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
See Notes to Financial Statements.
D-30
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES H
STATEMENT OF CONDITION
AS OF DECEMBER 31, 1997
<TABLE>
<CAPTION>
2011 TRUST
<S> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1) . . . . . . . . . . . . $1,779,407
Other. . . . . . . . . . . . . . . . . . . . . . . . 2,114
----------
Total trust property. . . . . . . . . . . . 1,781,521
LESS LIABILITY - Other . . . . . . . . . . . . . . . . 283
----------
NET ASSETS (Note 2). . . . . . . . . . . . . . . . . . $1,781,238
----------
----------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . . . 3,824,917
----------
----------
UNIT VALUE . . . . . . . . . . . . . . . . . . . . . . $.46569
----------
----------
</TABLE>
See Notes to Financial Statements.
D-31
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES H
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2011 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income. . . . . . . . . . . . . . . . . $ 2,020 $ 2,130 $ 2,432
Accretion of original issue discount . . . . . . 164,042 146,632 172,906
Trustee's fees and expenses. . . . . . . . . . . (1,943) (2,103) (2,339)
--------- --------- --------
Net investment income. . . . . . . . . . . . . . 164,119 146,659 172,999
--------- --------- --------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain on securities sold or redeemed . . 104,640 136,243
Unrealized appreciation (depreciation)
of investments . . . . . . . . . . . . . . . . 71,464 (195,003) 534,185
--------- --------- --------
Realized and unrealized gain (loss) on
investments . . . . . . . . . . . . . . . . . . 176,104 (195,003) 670,428
--------- --------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS. . . . . . . . . . . . . . . . . $ 340,223 $ (48,344) $843,427
--------- --------- --------
--------- --------- --------
</TABLE>
See Notes to Financial Statements.
D-32
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES H
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2011 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . $ 164,119 $ 146,659 $ 172,999
Realized gain on securities sold . . . . . . . . 104,640 136,243
Unrealized appreciation (depreciation)
of investments . . . . . . . . . . . . . . . . 71,464 (195,003) 534,185
---------- ---------- ----------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . 340,223 (48,344) 843,427
---------- ---------- ----------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Issuance of additional units . . . . . . . . . . 404,419 229,724
Redemption of units. . . . . . . . . . . . . . . (1,116,749) (1,381,820)
---------- ---------- ----------
Net capital share transactions . . . . . . . . . (1,116,749) 404,419 (1,152,096)
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . (776,526) 356,075 (308,669)
NET ASSETS, BEGINNING OF YEAR. . . . . . . . . . . 2,557,764 2,201,689 2,510,358
---------- ---------- ----------
NET ASSETS, END OF YEAR. . . . . . . . . . . . . . $1,781,238 $2,557,764 $2,201,689
---------- ---------- ----------
---------- ---------- ----------
UNIT VALUE, END OF YEAR. . . . . . . . . . . . . . $.46569 $.39709 $.41261
---------- ---------- ----------
---------- ---------- ----------
UNITS OUTSTANDING, END OF YEAR . . . . . . . . . . 3,824,917 6,441,209 5,336,049
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-33
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES I
STATEMENT OF CONDITION
AS OF DECEMBER 31, 1997
<TABLE>
<CAPTION>
2002 TRUST
<S> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1) . . . . . . . . . . $11,008,428
Receivable from securities sold. . . . . . . . . 164,465
Other. . . . . . . . . . . . . . . . . . . . . . 1,771
-----------
Total trust property. . . . . . . . . . 11,174,664
-----------
LESS LIABILITIES:
Redemptions payable. . . . . . . . . . . . . . . 165,696
Other. . . . . . . . . . . . . . . . . . . . . . 422
-----------
Total liabilities . . . . . . . . . . . 166,118
-----------
NET ASSETS (Note 2). . . . . . . . . . . . . . . . $11,008,546
-----------
-----------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . 13,869,363
-----------
-----------
UNIT VALUE . . . . . . . . . . . . . . . . . . . . $.79373
-----------
-----------
</TABLE>
See Notes to Financial Statements.
D-34
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES I
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2002 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income. . . . . . . . . . . . . . . . . $ 4,996 $ 4,486 $ 3,416
Accretion of original issue discount . . . . . . 677,645 587,737 422,658
Trustee's fees and expenses. . . . . . . . . . . (4,866) (4,567) (3,076)
-------- -------- ----------
Net investment income. . . . . . . . . . . . . . 677,775 587,656 422,998
-------- -------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain on securities sold or redeemed . . 24,811 26,301
Unrealized appreciation (depreciation) of
investments. . . . . . . . . . . . . . . . . . 144,877 (479,823) 917,851
-------- -------- ----------
Realized and unrealized gain (loss) on
investments. . . . . . . . . . . . . . . . . . 169,688 (453,522) 917,851
-------- -------- ----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS. . . . . . . . . . . . . . . . . $847,463 $134,134 $1,340,849
-------- -------- ----------
-------- -------- ----------
</TABLE>
See Notes to Financial Statements.
D-35
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES I
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2002 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . $ 677,775 $ 587,656 $ 422,998
Realized gain on securities sold . . . . . . . . 24,811 26,301
Unrealized appreciation (depreciation) of
investments. . . . . . . . . . . . . . . . . . 144,877 (479,823) 917,851
----------- ---------- ----------
Net increase in net assets resulting
from operations. . . . . . . . . . . . . . . . 847,463 134,134 1,340,849
----------- ---------- ----------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Issuance of additional units . . . . . . . . . . 1,602,921 999,668 3,151,933
Redemptions of units . . . . . . . . . . . . . . (329,153) (593,312) __________
----------- ---------- ----------
Net capital share transactions . . . . . . . . . 1,273,768 406,356 3,151,933
----------- ---------- ----------
NET INCREASE IN NET ASSETS . . . . . . . . . . . . 2,121,231 540,490 4,492,782
NET ASSETS, BEGINNING OF YEAR. . . . . . . . . . . 8,887,315 8,346,825 3,854,043
----------- ---------- ----------
NET ASSETS, END OF YEAR. . . . . . . . . . . . . . $11,008,546 $8,887,315 $8,346,825
----------- ---------- ----------
----------- ---------- ----------
UNIT VALUE, END OF YEAR. . . . . . . . . . . . . . $.79373 $.73334 $.72184
----------- ---------- ----------
----------- ---------- ----------
UNITS OUTSTANDING, END OF YEAR . . . . . . . . . . 13,869,363 12,118,903 11,563,316
----------- ---------- ----------
----------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-36
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES J
STATEMENT OF CONDITION
AS OF DECEMBER 31, 1997
<TABLE>
<CAPTION>
2013 TRUST
<S> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1) . . . . . . . . . . $1,454,593
Other. . . . . . . . . . . . . . . . . . . . . . 1,265
----------
Total trust property. . . . . . . . . . 1,455,858
LESS LIABILITY - Other . . . . . . . . . . . . . . 80
----------
NET ASSETS (Note 2). . . . . . . . . . . . . . . . $1,455,778
----------
----------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . 3,548,349
----------
----------
UNIT VALUE . . . . . . . . . . . . . . . . . . . . $.41027
----------
----------
</TABLE>
See Notes to Financial Statements.
D-37
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES J
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2013 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income. . . . . . . . . . . . . . . . . $ 1,279 $ 1,409 $ 2,715
Accretion of original issue discount . . . . . . 82,526 89,578 177,770
Trustee's fees and expenses. . . . . . . . . . . (1,280) (1,266) (2,236)
-------- -------- --------
Net investment income. . . . . . . . . . . . . . 82,525 89,721 178,249
-------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)ON INVESTMENTS:
Realized gain on securities sold
or redeemed. . . . . . . . . . . . . . . . . . 0 56,841 196,847
Unrealized appreciation (depreciation) of
investments. . . . . . . . . . . . . . . . . . 157,252 (241,371) 526,105
-------- -------- --------
Realized and unrealized gain (loss) on
investments. . . . . . . . . . . . . . . . . . 157,252 (184,530) 722,952
-------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS. . . . . . . . . . . . $239,777 $(94,809) $901,201
-------- -------- --------
-------- -------- --------
</TABLE>
See Notes to Financial Statements.
D-38
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES J
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2013 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . $ 82,525 $ 89,721 $ 178,249
Realized gain on securities sold . . . . . . . . 0 56,841 196,847
Unrealized appreciation (depreciation) of
investments. . . . . . . . . . . . . . . . . . 157,252 (241,371) 526,105
---------- --------- ---------
Net increase (decrease) in net assets resulting
from operations. . . . . . . . . . . . . . . . 239,777 (94,809) 901,201
---------- --------- ---------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Issuance of additional units . . . . . . . . . . 0 277,784 1,141,322
Redemption of units. . . . . . . . . . . . . . . 0 (475,164) (2,823,552)
---------- --------- ---------
Net capital share transactions . . . . . . . . . 0 (197,380) (1,682,230)
---------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . 239,777 (292,189) (781,029)
NET ASSETS, BEGINNING OF YEAR. . . . . . . . . . . 1,216,001 1,508,190 2,289,219
---------- --------- ---------
NET ASSETS, END OF YEAR. . . . . . . . . . . . . . $1,455,778 $1,216,001 $1,508,190
---------- --------- ---------
---------- --------- ---------
UNIT VALUE, END OF YEAR. . . . . . . . . . . . . . $.41027 $.34269 $.35977
---------- --------- ---------
---------- --------- ---------
UNITS OUTSTANDING, END OF YEAR . . . . . . . . . . 3,548,349 3,548,349 4,192,101
---------- --------- ---------
---------- --------- ---------
</TABLE>
See Notes to Financial Statements.
D-39
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES K
STATEMENTS OF CONDITION
AS OF DECEMBER 31, 1997
<TABLE>
<CAPTION>
2004 TRUST 2014 TRUST
<S> <C> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1) . . . . . . . . . . $8,050,466 $20,274,273
Other. . . . . . . . . . . . . . . . . . . . . . 1,776 17,468
---------- -----------
Total trust property. . . . . . . . . . 8,052,242 20,291,741
LESS LIABILITY - Other . . . . . . . . . . . . . . 848 3,454
---------- -----------
NET ASSETS (Note 2). . . . . . . . . . . . . . . . $8,051,394 $20,288,287
---------- -----------
---------- -----------
UNITS OUTSTANDING. . . . . . . . . . . . . . . . . 11,401,318 53,023,893
---------- -----------
---------- -----------
UNIT VALUE . . . . . . . . . . . . . . . . . . . . $.70618 $.38263
---------- -----------
---------- -----------
</TABLE>
See Notes to Financial Statements.
D-40
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES K
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2004 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income. . . . . . . . . . . . . . . . . $ 4,366 $ 4,441 $ 3,399
Accretion of original issue discount . . . . . . 556,688 543,331 382,113
Trustee's fees and expenses. . . . . . . . . . . (4,217) (4,777) (2,324)
---------- --------- ---------
Net investment income. . . . . . . . . . . . . . 556,837 542,995 383,188
---------- --------- ---------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain on securities sold . . . . . . . . 429,318 83,953 9,233
Unrealized appreciation (depreciation)
of investments . . . . . . . . . . . . . . . . 152,350 (586,245) 1,024,439
---------- --------- ---------
Realized and unrealized gain (loss) on
investments. . . . . . . . . . . . . . . . . . 581,668 (502,292) 1,033,672
---------- --------- ---------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS. . . . . . . . . . . . . . . . . $1,138,505 $ 40,703 $1,416,860
---------- --------- ---------
---------- --------- ---------
</TABLE>
See Notes to Financial Statements.
D-41
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES K
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2014 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income. . . . . . . . . . . . . . . . . $ 21,572 $ 23,635 $ 10,839
Accretion of original issue discount . . . . . . 1,515,782 1,600,126 790,915
Trustee's fees and expenses. . . . . . . . . . . (15,987) (17,481) (8,616)
---------- --------- ---------
Net investment income. . . . . . . . . . . . . . 1,521,367 1,606,280 793,138
---------- --------- ---------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain (loss) on securities sold. . . . . 2,627 (688,528) 2,112,868
Unrealized appreciation (depreciation)
of investments . . . . . . . . . . . . . . . . 2,654,490 (1,102,292) 980,160
---------- --------- ---------
Realized and unrealized gain (loss)
on investments . . . . . . . . . . . . . . . . 2,657,117 (1,790,820) 3,093,028
---------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS. . . . . . . . . . . . $4,178,484 $ (184,540) $3,886,166
---------- --------- ---------
---------- --------- ---------
</TABLE>
See Notes to Financial Statements.
D-42
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES K
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2004 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . $ 556,837 $ 542,995 $ 383,188
Realized gain on securities sold . . . . . . . . 429,318 83,953 9,233
Unrealized appreciation (depreciation)
of investments . . . . . . . . . . . . . . . . 152,350 (586,245) 1,024,439
---------- --------- ---------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . 1,138,505 40,703 1,416,860
---------- --------- ---------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Issuance of additional units . . . . . . . . . . 513,283 2,528,106 2,339,663
Redemptions of units . . . . . . . . . . . . . . (2,219,459) (1,342,267) (561,188)
---------- --------- ---------
Net capital share transactions . . . . . . . . . (1,706,176) 1,185,839 1,778,475
---------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . (567,671) 1,226,542 3,195,335
NET ASSETS, BEGINNING OF YEAR. . . . . . . . . . . 8,619,065 7,392,523 4,197,188
---------- --------- ---------
NET ASSETS, END OF YEAR. . . . . . . . . . . . . . $8,051,394 $8,619,065 $7,392,523
---------- --------- ---------
---------- --------- ---------
UNIT VALUE, END OF YEAR. . . . . . . . . . . . . . $.70618 $.63949 $.63931
---------- --------- ---------
---------- --------- ---------
UNITS OUTSTANDING, END OF YEAR . . . . . . . . . . 11,401,318 13,477,969 11,563,330
---------- --------- ---------
---------- --------- ---------
</TABLE>
See Notes to Financial Statements.
D-43
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES K
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2014 TRUST
YEARS ENDED DECEMBER 31,
1997 1996 1995
<S> <C> <C> <C>
OPERATIONS:
Net investment income. . . . . . . . . . . . . . $1,521,367 $ 1,606,280 $ 793,138
Realized gain (loss) on securities sold. . . . . 2,627 (688,528) 2,112,868
Unrealized appreciation (depreciation)
of investments . . . . . . . . . . . . . . . . 2,654,490 (1,102,292) 980,160
---------- --------- ---------
Net increase (decrease) in net assets
resulting from operations. . . . . . . . . . . 4,178,484 (184,540) 3,886,166
---------- --------- ---------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Issuance of additional units . . . . . . . . . . 5,440,489 20,777,671 22,696,883
Redemptions of units . . . . . . . . . . . . . . (10,272,293) (12,608,859) (17,927,869)
---------- --------- ---------
Net capital share transactions . . . . . . . . . (4,831,804) 8,168,812 4,769,014
---------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . (653,320) 7,984,272 8,655,180
NET ASSETS, BEGINNING OF YEAR. . . . . . . . . . . 20,941,607 12,957,335 4,302,155
---------- --------- ---------
NET ASSETS, END OF YEAR. . . . . . . . . . . . . . $20,288,287 $20,941,607 $12,957,335
---------- --------- ---------
---------- --------- ---------
UNIT VALUE, END OF YEAR. . . . . . . . . . . . . . $.38263 $.31570 $.33349
---------- --------- ---------
---------- --------- ---------
UNITS OUTSTANDING, END OF YEAR . . . . . . . . . . 53,023,893 66,334,438 38,853,887
---------- --------- ---------
---------- --------- ---------
</TABLE>
See Notes to Financial Statements.
D-44
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
The Funds are registered under the Investment Company Act of 1940 as a Unit
Investment Trust. The following is a summary of significant accounting
policies consistently followed by the Funds in the preparation of their
financial statements. The policies are in conformity with generally
accepted accounting principles.
(a) Securities are stated at value as determined by an independent
evaluator based on bid side evaluations for the securities.
(b) Cost of securities is based on offering side evaluations for the
securities at Dates of Deposit. Cost of securities subsequent to such
dates has been adjusted to include the accretion of original issue
discount on the Stripped Treasury Securities. Realized gain and loss
on sales of securities are determined using the first-in, first-out
cost basis.
(c) The Funds are not subject to income taxes. Accordingly, no provision
for such taxes is required.
2. NET ASSETS, DECEMBER 31, 1997
Series A (2003 Trust)
<TABLE>
<CAPTION>
<S> <C>
Cost of 65,677,446 units at Dates of Deposit $15,978,478
Less sales charge . . . . . . . . . . . . . . . . . . . 279,623
------------
Net amount applicable to Holders. . . . . . . . . . . . 15,698,855
Realized gain on securities sold. . . . . . . . . . . . 12,566,008
Unrealized appreciation of investments. . . . . . . . . 7,019,245
Redemptions of units - net cost of units redeemed less
redemption amounts. . . . . . . . . . . . . . . . . . (6,854,946)
Undistributed net investment income . . . . . . . . . . 19,486,400
------------
Net assets. . . . . . . . . . . . . . . . . . . . . . . $47,915,562
------------
------------
Series B (2001 Trust)
Cost of 57,433,435 units at Dates of Deposit $17,997,077
Less sales charge . . . . . . . . . . . . . . . . . . . 269,956
------------
Net amount applicable to Holders. . . . . . . . . . . . 17,727,121
Realized gain on securities sold. . . . . . . . . . . . 14,104,485
Unrealized appreciation of investments. . . . . . . . . 2,343,670
Redemptions of units - net cost of units redeemed less
redemption amounts. . . . . . . . . . . . . . . . . . (4,407,572)
Undistributed net investment income . . . . . . . . . . 18,677,621
------------
Net assets. . . . . . . . . . . . . . . . . . . . . . . $48,445,325
------------
------------
D-45
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
NOTES TO FINANCIAL STATEMENTS
2. NET ASSETS, DECEMBER 31, 1997 (Continued)
Series B (2005 Trust)
<CAPTION>
<S> <C>
Cost of 33,242,884 units at Dates of Deposit $ 8,059,009
Less sales charge . . . . . . . . . . . . . . . . . . . 141,033
------------
Net amount applicable to Holders. . . . . . . . . . . . 7,917,976
Realized gain on securities sold. . . . . . . . . . . . 5,919,736
Unrealized appreciation of investments. . . . . . . . . 2,755,304
Redemptions of units - redemption amounts less net cost
of units redeemed . . . . . . . . . . . . . . . . . . (320,836)
Undistributed net investment income . . . . . . . . . . 6,093,657
------------
Net assets. . . . . . . . . . . . . . . . . . . . . . . $22,365,837
------------
------------
Series C (2006 Trust)
Cost of 11,228,372 units at Dates of Deposit $ 3,072,975
Less sales charge . . . . . . . . . . . . . . . . . . . 53,777
------------
Net amount applicable to Holders. . . . . . . . . . . . 3,019,198
Realized gain on securities sold. . . . . . . . . . . . 1,551,821
Unrealized appreciation of investments. . . . . . . . . 544,411
Redemptions of units - net cost of units redeemed less
redemption amounts. . . . . . . . . . . . . . . . . . 982,813
Undistributed net investment income . . . . . . . . . . 1,140,340
------------
Net assets. . . . . . . . . . . . . . . . . . . . . . . $ 7,238,583
------------
------------
Series D (2007 Trust)
Cost of 21,784,452 units at Dates of Deposit $ 4,251,908
Less sales charge . . . . . . . . . . . . . . . . . . . 85,038
------------
Net amount applicable to Holders. . . . . . . . . . . . 4,166,870
Realized gain on securities sold. . . . . . . . . . . . 4,298,472
Unrealized appreciation of investments. . . . . . . . . 2,667,726
Redemptions of units - net cost of units redeemed less
redemption amounts. . . . . . . . . . . . . . . . . . (2,116,954)
Undistributed net investment income . . . . . . . . . . 4,158,897
------------
Net assets. . . . . . . . . . . . . . . . . . . . . . . $13,175,011
------------
------------
Series E (1998 Trust)
Cost of 49,683,455 units at Dates of Deposit $24,225,299
Less sales charge . . . . . . . . . . . . . . . . . . . 363,379
------------
Net amount applicable to Holders. . . . . . . . . . . . 23,861,920
Realized gain on securities sold. . . . . . . . . . . . 5,461,534
Unrealized appreciation of investments. . . . . . . . . 250,977
Redemptions of units - net cost of units redeemed less
redemption amounts. . . . . . . . . . . . . . . . . . (46,246)
Undistributed net investment income . . . . . . . . . . 19,911,274
------------
Net assets. . . . . . . . . . . . . . . . . . . . . . . $49,439,459
------------
------------
D-46
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
NOTES TO FINANCIAL STATEMENTS
2. NET ASSETS, DECEMBER 31, 1997 (Continued)
Series E (2008 Trust)
<CAPTION>
<S> <C>
Cost of 40,840,808 units at Dates of Deposit $ 8,087,533
Less sales charge . . . . . . . . . . . . . . . . . . . 161,751
------------
Net amount applicable to Holders. . . . . . . . . . . . 7,925,782
Realized gain on securities sold. . . . . . . . . . . . 9,519,014
Unrealized appreciation of investments. . . . . . . . . 4,752,347
Redemptions of units - net cost of units redeemed less
redemption amounts. . . . . . . . . . . . . . . . . . (6,318,977)
Undistributed net investment income . . . . . . . . . . 6,931,290
------------
Net assets. . . . . . . . . . . . . . . . . . . . . . . $22,809,456
------------
------------
Series F (1999 Trust)
Cost of 25,369,560 units at Dates of Deposit $16,357,696
Less sales charge . . . . . . . . . . . . . . . . . . . 163,577
------------
Net amount applicable to Holders. . . . . . . . . . . . 16,194,119
Realized gain on securities sold. . . . . . . . . . . . 545,279
Unrealized appreciation of investments. . . . . . . . . 274,866
Redemptions of units - net cost of units redeemed less
redemption amounts. . . . . . . . . . . . . . . . . . 2,229,215
Undistributed net investment income . . . . . . . . . . 4,597,474
------------
Net assets. . . . . . . . . . . . . . . . . . . . . . . $23,840,953
------------
------------
Series F (2009 Trust)
Cost of 18,236,148 units at Dates of Deposit $ 3,970,514
Less sales charge . . . . . . . . . . . . . . . . . . . 39,705
------------
Net amount applicable to Holders. . . . . . . . . . . . 3,930,809
Realized loss on securities sold. . . . . . . . . . . . (233,281)
Unrealized appreciation of investments. . . . . . . . . 2,010,911
Redemptions of units - net cost of units redeemed less
redemption amounts. . . . . . . . . . . . . . . . . . 1,144,636
Undistributed net investment income . . . . . . . . . . 2,726,877
------------
Net assets. . . . . . . . . . . . . . . . . . . . . . . $ 9,579,952
------------
------------
Series G (2000 Trust)
Cost of 25,575,784 units at Dates of Deposit $15,132,870
Less sales charge . . . . . . . . . . . . . . . . . . . 226,993
------------
Net amount applicable to Holders. . . . . . . . . . . . 14,905,877
Realized gain on securities sold. . . . . . . . . . . . 455,815
Unrealized appreciation of investments. . . . . . . . . 560,993
Redemptions of units - net cost of units redeemed less
redemption amounts. . . . . . . . . . . . . . . . . . 1,889,491
Undistributed net investment income . . . . . . . . . . 4,944,145
------------
Net assets. . . . . . . . . . . . . . . . . . . . . . . $22,756,321
------------
------------
D-47
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
NOTES TO FINANCIAL STATEMENTS
2. NET ASSETS, DECEMBER 31, 1997 (Continued)
Series G (2010 Trust)
<CAPTION>
<S> <C>
Cost of 17,212,004 units at Dates of Deposit $ 4,394,701
Less sales charge . . . . . . . . . . . . . . . . . . . 87,894
------------
Net amount applicable to Holders. . . . . . . . . . . . 4,306,807
Realized gain on securities sold. . . . . . . . . . . . 2,726,906
Unrealized appreciation of investments. . . . . . . . . 663,314
Redemptions of units - net cost of units redeemed less
redemption amounts. . . . . . . . . . . . . . . . . . 392,784
Undistributed net investment income . . . . . . . . . . 331,215
------------
Net assets. . . . . . . . . . . . . . . . . . . . . . . $ 8,421,026
------------
------------
Series H (2011 Trust)
Cost of 3,824,917 units at Dates of Deposit $ 1,054,499
Less sales charge . . . . . . . . . . . . . . . . . . . 21,090
------------
Net amount applicable to Holders. . . . . . . . . . . . 1,033,409
Realized gain on securities sold. . . . . . . . . . . . 658,774
Unrealized appreciation of investments. . . . . . . . . 248,588
Redemptions of units - net cost of units redeemed less
redemption amounts. . . . . . . . . . . . . . . . . . (449,955)
Undistributed net investment income . . . . . . . . . . 290,422
------------
Net assets. . . . . . . . . . . . . . . . . . . . . . . $ 1,781,238
------------
------------
Series I (2002 Trust)
Cost of 13,869,363 units at Dates of Deposit $ 8,697,624
Less sales charge . . . . . . . . . . . . . . . . . . . 130,464
------------
Net amount applicable to Holders. . . . . . . . . . . . 8,567,160
Realized gain on securities sold. . . . . . . . . . . . 84,766
Unrealized appreciation of investments. . . . . . . . . 458,137
Redemptions of units - net cost of units redeemed less
redemption amounts. . . . . . . . . . . . . . . . . . 29,346
Undistributed net investment income . . . . . . . . . . 1,869,137
------------
Net assets. . . . . . . . . . . . . . . . . . . . . . . $11,008,546
------------
------------
Series J (2013 Trust)
Cost of 3,548,349 units at Dates of Deposit $ 936,698
Less sales charge . . . . . . . . . . . . . . . . . . . 18,734
------------
Net amount applicable to Holders. . . . . . . . . . . . 917,964
Realized loss on securities sold. . . . . . . . . . . . (15,485)
Unrealized appreciation of investments. . . . . . . . . 278,140
Redemptions of units - net cost of units redeemed less
redemption amounts. . . . . . . . . . . . . . . . . . 72,037
Undistributed net investment income . . . . . . . . . . 203,122
------------
Net assets. . . . . . . . . . . . . . . . . . . . . . . $ 1,455,778
------------
------------
D-48
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
NOTES TO FINANCIAL STATEMENTS
2. NET ASSETS, DECEMBER 31, 1997 (Concluded)
Series K (2004 Trust)
<CAPTION>
<S> <C>
Cost of 11,401,318 units at Dates of Deposit $ 6,384,046
Less sales charge . . . . . . . . . . . . . . . . . . . 95,761
------------
Net amount applicable to Holders. . . . . . . . . . . . 6,288,285
Realized gain on securities sold. . . . . . . . . . . . 522,504
Unrealized appreciation of investments. . . . . . . . . 466,139
Redemption of units - net cost of units redeemed less
redemption amounts. . . . . . . . . . . . . . . . . . (246,509)
Undistributed net investment income . . . . . . . . . . 1,020,975
------------
Net assets. . . . . . . . . . . . . . . . . . . . . . . $ 8,051,394
------------
------------
Series K (2014 Trust)
Cost of 53,023,893 units at Dates of Deposit $15,264,615
Less sales charge . . . . . . . . . . . . . . . . . . . 305,292
------------
Net amount applicable to Holders. . . . . . . . . . . . 14,959,323
Realized gain on securities sold. . . . . . . . . . . . 1,218,362
Unrealized appreciation of investments. . . . . . . . . 2,707,506
Redemptions of units - net cost of units redeemed less
redemption amounts. . . . . . . . . . . . . . . . . . 27,025
Undistributed net investment income . . . . . . . . . . 1,376,071
------------
Net assets. . . . . . . . . . . . . . . . . . . . . . . $20,288,287
------------
------------
3. CAPITAL SHARE TRANSACTIONS
Additional units were issued as follows:
<CAPTION>
Series Trust 1997 1996 1995
<S> <C> <C> <C> <C>
A 2003 295,618 335,709 1,593,397
B 2001 499,725 1,049,370 3,772,845
B 2005 1,222,534 2,047,138 4,044,894
C 2006 420,107 5,142,683 1,643,266
D 2007 2,872,766 397,026 1,647,168
E 1998 2,303,048 908,181 3,055,836
E 2008 0 2,285,094 0
F 1999 1,330,068 923,519 5,041,514
F 2009 0 389,225 1,297,277
G 2000 2,356,540 596,716 6,914,376
G 2010 13,001,876 7,645,028 12,489,075
H 2011 0 1,105,160 739,495
I 2002 2,168,572 1,390,455 4,942,387
J 2013 0 829,985 4,474,457
K 2004 770,557 4,088,054 4,100,931
K 2014 16,314,688 68,769,448 81,964,087
D-49
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
NOTES TO FINANCIAL STATEMENTS
3. CAPITAL SHARE TRANSACTIONS (Continued)
Units were redeemed as follows:
Series Trust 1997 1996 1995
<S> <C> <C> <C> <C>
A 2003 8,066,861 7,108,646 7,425,541
B 2001 5,992,055 7,988,798 7,651,862
B 2005 2,976,435 3,967,657 3,649,919
C 2006 2,117,172 1,604,908 1,857,449
D 2007 529,607 1,057,295 3,972,162
E 1998 10,489,916 6,522,998 3,960,763
E 2008 4,049,357 7,812,795 4,865,875
F 1999 2,826,672 2,054,556 4,376,450
F 2009 2,422,964 1,612,044 3,769,847
G 2000 3,340,861 1,673,631 2,622,975
G 2010 15,603,490 7,393,245 15,339,995
H 2011 2,616,292 0 4,223,599
I 2002 418,112 834,868 0
J 2013 0 1,473,737 9,769,879
K 2004 2,847,208 2,173,415 1,001,383
K 2014 29,625,233 4,288,897 62,372,256
</TABLE>
Units may be redeemed at the office of the Trustee upon tender thereof
generally on any business day or, in the case of uncertificated units, upon
delivery of a request for redemption and payment of any relevant tax. The
Trustee will redeem units either in cash or in kind at the option of the
Holder as specified in writing to the Trustee.
4. INCOME TAXES
All items of income received, accretion of original issue discount,
expenses paid, and realized gains and losses on securities sold are
attributable to the Holders, on a pro rata basis, for Federal income
tax purposes in accordance with the grantor trust rules of the United
States Internal Revenue Code.
At December 31, 1997, the cost of investment securities for Federal income
tax purposes was approximately equivalent to the adjusted cost as shown in
each Trust's portfolio.
5. DISTRIBUTIONS
It is anticipated that each Trust will not make any distributions until the
first business day following the maturity of its holdings in the Stripped
Treasury Securities which are noninterest-bearing.
D-50
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
PORTFOLIOS
AS OF DECEMBER 31, 1997
<TABLE>
<CAPTION>
PORTFOLIO NO. ADJUSTED
AND TITLE OF INTEREST FACE COST VALUE
SECURITIES RATE MATURITIES AMOUNT (NOTE A) (NOTE A)
<S> <C> <C> <C> <C> <C>
Series A (2003 Trust)
1 Stripped Treasury
Securities (Note B) 0% 8/15/03 $65,532,625 $40,570,381 $47,574,368
2 U.S. Treasury Bonds 11.125 8/15/03 210,475 248,888 264,146
----------- ----------- -----------
Total $65,743,100 $40,819,269 $47,838,514
----------- ----------- -----------
----------- ----------- -----------
Series B (2001 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/01 $57,468,325 $45,828,083 $48,181,281
2 U.S. Treasury Bonds 11.750 2/15/01 170,543 209,543 200,015
----------- ----------- -----------
Total $57,638,868 $46,037,626 $48,381,296
----------- ----------- -----------
----------- ----------- -----------
Series B (2005 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/05 $33,444,940 $19,456,757 $22,211,748
2 U.S. Treasury Bonds 11.625 11/15/04 100,237 132,658 132,971
----------- ----------- -----------
Total $33,545,177 $19,589,415 $22,344,719
----------- ----------- -----------
----------- ----------- -----------
Series C (2006 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/06 $11,503,000 $ 6,645,333 $ 7,189,284
2 U.S. Treasury Bonds 9.375 2/15/06 38,303 46,677 47,137
----------- ----------- -----------
Total $11,541,303 $ 6,692,010 $ 7,236,421
----------- ----------- -----------
----------- ----------- -----------
Series D (2007 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/07 $22,222,000 $10,419,950 $13,075,957
2 U.S. Treasury Bonds 9.375 2/15/06 79,307 85,878 97,597
----------- ----------- -----------
Total $22,301,307 $10,505,828 $13,173,554
----------- ----------- -----------
----------- ----------- -----------
D-51
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
PORTFOLIOS
AS OF DECEMBER 31, 1997
<CAPTION>
PORTFOLIO NO. ADJUSTED
AND TITLE OF INTEREST FACE COST VALUE
SECURITIES RATE MATURITIES AMOUNT (NOTE A) (NOTE A)
<S> <C> <C> <C> <C> <C>
Series E (1998 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/98 $49,509,000 $48,923,534 $49,174,319
2 U.S. Treasury Notes 8.125 2/15/98 215,839 216,254 216,446
----------- ----------- -----------
Total $49,724,839 $49,139,788 $49,390,765
----------- ----------- -----------
----------- ----------- -----------
Series E (2008 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/08 $40,815,000 $17,865,689 $22,593,960
2 U.S. Treasury Bonds 9.375 2/15/06 156,904 169,014 193,090
----------- ----------- -----------
Total $40,971,904 $18,034,703 $22,787,050
----------- ----------- -----------
----------- ----------- -----------
Series F (1999 Trusts)
1 Stripped Treasury
Securities (Note B) 0% 2/15/99 $25,272,000 $23,456,395 $23,735,967
2 U.S. Treasury Notes 8.875 2/15/99 99,657 107,758 103,052
----------- ----------- -----------
Total $25,371,657 $23,564,153 $23,839,019
----------- ----------- -----------
----------- ----------- -----------
Series F (2009 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/09 $18,262,000 $ 7,480,454 $ 9,484,188
2 U.S. Treasury Bonds 9.375 2/15/06 71,525 80,843 88,020
----------- ----------- -----------
Total $18,333,525 $ 7,561,297 $ 9,572,208
----------- ----------- -----------
----------- ----------- -----------
D-52
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
PORTFOLIOS
AS OF DECEMBER 31, 1997
<CAPTION>
PORTFOLIO NO. ADJUSTED
AND TITLE OF INTEREST FACE COST VALUE
SECURITIES RATE MATURITIES AMOUNT (NOTE A) (NOTE A)
<S> <C> <C> <C> <C> <C>
Series G (2000 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/00 $25,508,000 $22,080,035 $22,643,452
2 U.S. Treasury Notes 8.500 2/15/00 104,227 112,448 110,024
----------- ----------- -----------
Total $25,612,227 $22,192,483 $22,753,476
----------- ----------- -----------
----------- ----------- -----------
Series G (2010 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/10 $17,076,000 $ 7,670,078 $ 8,331,210
2 U.S. Treasury Bonds 9.375 2/15/06 68,128 81,658 83,840
----------- ----------- -----------
Total $17,144,128 $ 7,751,736 $ 8,415,050
----------- ----------- -----------
----------- ----------- -----------
Series H (2011 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/11 $ 3,839,000 $ 1,512,434 $ 1,760,834
2 U.S. Treasury Bonds 9.375 2/15/06 15,092 18,385 18,573
----------- ----------- -----------
Total $ 3,854,092 $ 1,530,819 $ 1,779,407
----------- ----------- -----------
----------- ----------- -----------
Series I (2002 Trust)
1 Stripped Treasury
Securities (Note B) 0% 02/15/02 $13,815,000 $10,480,513 $10,937,750
2 U.S. Treasury Notes 7.500 11/15/01 66,638 69,778 70,678
----------- ----------- -----------
Total $13,881,638 $10,550,291 $11,008,428
----------- ----------- -----------
----------- ----------- -----------
Series J (2013 Trust)
1 Stripped Treasury
Securities (Note B) 0% 02/15/13 $ 3,552,000 $ 1,161,081 $ 1,438,205
2 U.S. Treasury Bonds 10.375 11/15/12(C) 12,328 15,373 16,388
----------- ----------- -----------
Total $ 3,564,328 $ 1,176,454 $ 1,454,593
----------- ----------- -----------
----------- ----------- -----------
D-53
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
PORTFOLIOS
AS OF DECEMBER 31, 1997
<CAPTION>
PORTFOLIO NO. ADJUSTED
AND TITLE OF INTEREST FACE COST VALUE
SECURITIES RATE MATURITIES AMOUNT (NOTE A) (NOTE A)
<S> <C> <C> <C> <C> <C>
Series K (2004 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/04 $11,318,000 $ 7,519,336 $ 7,981,340
2 U.S. Treasury Notes 5.875 2/15/04 68,505 64,992 69,126
----------- ----------- -----------
Total $11,386,505 $ 7,584,328 $ 8,050,466
----------- ----------- -----------
----------- ----------- -----------
Series K (2014 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/14 $52,482,000 $17,326,607 $20,016,635
2 U.S. Treasury Bonds 11.250 2/15/15 164,428 240,160 257,638
----------- ----------- -----------
Total $52,646,428 $17,566,767 $20,274,273
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
Note A - See Note 1 to Financial Statements.
Note B - Stripped Treasury Securities consist of one or more of the following
types of securities: (a) U.S. Treasury debt obligations which have
been stripped of their remaining interest coupons, (b) interest
coupons which have been stripped from U.S. Treasury debt obligations,
and (c) receipts or certificates for underlying stripped U.S. Treasury
debt obligations. The receipts or certificates evidence ownership of
future interest or principal payments on U.S. Treasury notes or bonds.
The receipts or certificates are issued in registered form by a major
bank which acts as custodian and nominal holder of the underlying
stripped U.S. Treasury debt obligation. The Stripped Treasury
Securities are payable in full at maturity at their stated maturity
amount and are not subject to redemption prior to maturity. The
Stripped Treasury Securities do not make any periodic payments of
interest.
Note C - Callable at par commencing 11/15/07.
D-54
<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
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 MCKENNA-Senior Vice President
JOSEPH T. MONAGLE JR.-Senior Vice President
THOMAS R. ROBINSON-Senior Vice President
DONALD C. BURKE-Vice President
JOEL HEYMSFELD-Vice President
JACQUELINE ROGERS-Vice President
ALDONA SCHWARTZ-Vice President
ROBERT M. SHEARER-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 December 16, 1997, Robert M. Shearer
has been appointed Senior Portfolio Manager, and is responsible for the
day-to-day management of Natural Resources Portfolio. Mr. Shearer has been
employed by Merrill Lynch Asset Management, L.P. since 1997 as Associate
Portfolio Manager of the Portfolio. Prior thereto, he was Vice President and
Assistant Portfolio Manager at David L. Babson and Company, Inc. from 1996 to
1997, and was Vice President/Sector Manager at Concert Capital Management from
1993 to 1996.
- --------------------------------------------------------------------------------
80
<PAGE>
This report is authorized for distribution only to Policyowners of certain
variable life insurance policies which are funded by shares of Merrill Lynch
Series Fund, Inc. This report is not authorized for use as an offer of sale or
solicitation of an offer to buy shares of the Fund or the policies. Past
performance results shown in this report should not be considered a
representation of future performance. Investment return and principal value of
shares will fluctuate so that shares, when redeemed, may be worth more or less
than their original cost. For Money Reserve Portfolio, the Portfolio seeks to
maintain a consistent $1.00 net asset value per share, although this cannot be
assured. An investment in the Portfolio is neither insured nor guaranteed by the
US Government. Statements and other information herein are as dated and are
subject to change.
59828-12/97
