<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
- -----------------------------------------
SEMI-ANNUAL REPORT
JUNE 30, 1999
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1999
- --------------------------------------------------------------------------------
DEAR SHAREHOLDER:
We are pleased to submit this semi-annual report for Merrill Lynch Series Fund,
Inc., in which we summarize the investment performance of each Portfolio and
outline our views on the investment environment. Performance information for
each Portfolio in Merrill Lynch Series Fund, Inc., excluding the Money Reserve
Portfolio, can be found in the tables on page 11 of this report to shareholders.
There were some conflicting signals regarding the future direction of the US
economy during the six months ended June 30, 1999. However, on balance the
economic outlook continued to be positive. The US economic expansion is ongoing,
especially in the consumer sector. Economic growth is not occurring at
inflationary rates, although the Organization of Petroleum Exporting Countries
(OPEC) successfully engineered a near-term increase in the price of crude oil.
Against this backdrop, the US Federal Reserve Board raised the Federal Funds
rate 0.25% at its June 30, 1999 meeting. Outside of the United States, signs of
growth are less apparent in other major industrial economies. European equity
markets have entered a period of consolidation, and investors are looking for
evidence of an economic pickup. In Japan, there are not yet clear signs that
Japan's economy is improving. There were growing signs of improvement in some
emerging economies (most notably South Korea and Mexico), although concerns
remain for others (such as Brazil and Argentina).
In the US capital markets, long-term interest rates rose during the June
quarter. While the spread between yields on Treasury securities and corporate
issues of similar maturities has narrowed somewhat, it remains wide by historic
standards. Although the US stock market exhibited greater price volatility, its
advances broadened beyond relatively few growth stocks to the previously
languishing cyclical sectors.
BALANCED PORTFOLIO
As of June 30, 1999, the asset allocation of Balanced Portfolio was: US stocks,
52% of net assets; US bonds, 43%; and cash reserves, 5%.
We reduced the Portfolio's allocation to US equities from 54% of net assets as
of December 31, 1998 to 52% as of June 30, 1999. We continued to believe that
investors would favor the shares of companies that could offer a high degree of
earnings visibility in a steady growth/low inflationary economy. On this basis,
technology remained the largest single group represented among our US equity
commitments. Consumer staples, including healthcare and financial services, also
continued to account for a significant portion of US equity assets.
We increased the Portfolio's US bond commitment from 39% of net assets to 43%
during the six months ended June 30, 1999. We also increased the average
duration from 5.2 years to 7.1 years. Contrary to our earlier expectations, the
strength of the US economy persisted during the second quarter of 1999. In our
view, any possible reduction of inflationary expectations could be supportive of
a decline in US interest rates during the second half of 1999.
CAPITAL STOCK PORTFOLIO
As of June 30, 1999, the asset allocation of Capital Stock Portfolio was: US
stocks, 87% of net assets; foreign stocks, 11%; and cash reserves, 2%.
We reduced the Portfolio's allocation to US equities from 89% of net assets as
of December 31, 1998 to 87% as of June 30, 1999. We continued to believe that
investors would favor the shares of companies that could offer a high degree of
earnings visibility in a steady growth/low inflationary economy. On this basis,
technology remained the largest single group represented among our US equity
commitments. Positions established in the technology sector during the past
three months included Sun
1
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
Microsystems, Inc., Xerox Corporation and Siebel Systems, Inc. Consumer staples,
including healthcare and financial services, also continued to account for a
significant portion of US equity assets. New positions in the consumer staples
group included Merck & Co., Inc., while Citigroup Inc. and The Goldman Sachs
Group, Inc. are examples of new positions in the financial services sector.
We increased the Portfolio's foreign equity representation from 10% of net
assets to 11% during the first half of 1999. Our approach continues to reflect a
concentration of the shares of companies that we believe could add value to a
primarily US portfolio. The shares of Canadian and European companies continued
to predominate among foreign stocks, although we also maintained commitments in
Japanese, Asian and Australian companies.
GLOBAL STRATEGY PORTFOLIO
As of June 30, 1999, the asset allocation for Global Strategy Portfolio was: US
stocks, 37% of net assets; foreign stocks, 42%; US bonds, 7%; foreign bonds,
13%; and cash reserves, 1%.
During the six months ended June 30, 1999, we enlarged the foreign common stock
sector from 27% of net assets to 42%. The largest portion of the foreign equity
expansion was undertaken by enlarging our commitment to Japanese equities. This
increase reflects our expectation that an increased number of Japanese
corporations would be undertaking significant restructuring that could lead to
improved profitability and earnings over the longer term. Our increased optimism
also reflected indications that monetary policy has remained accommodative and
that the Japanese economy may be showing signs of bottoming.
We also enlarged the Portfolio's commitment to emerging markets, including
Brazil and Asian markets outside of Japan, in response to increased evidence
that the problems associated with the 1997-1998 financial crisis were abating.
We established our commitments in Brazil in response to the improving
post-devaluation outlook. In Asia, we devoted assets to new positions in South
Korea, Singapore and Hong Kong. European equities remained our largest regional
commitment, although we reduced overall representation in recent months. Within
Europe, we maintained significant representation in financial services,
telecommunications services and equipment, and consumer staple goods.
We slightly reduced the Portfolio's allocation to US equities from 40% of net
assets to 37% during the six months ended June 30, 1999. We continued to believe
that investors would favor the shares of companies that could offer a high
degree of earnings visibility in a steady growth/low inflationary economy. On
this basis, technology remains the largest single group represented among our US
equity commitments. Consumer staples, including healthcare and financial
services, also continued to account for a significant portion of US equity
assets.
In the fixed-income component of the portfolio, we reduced the foreign bond
sector from 19% of net assets to 13% during the first half of the six months
ended June 30, 1999. Seemingly attractive risk/ reward relationships led us to
establish positions in Japanese and New Zealand bonds early in 1999.
However, during the second half of the period, we eliminated our position in
Japanese bonds following a decline in yields, which reduced potential for
additional appreciation. We also took advantage of the appreciation in the New
Zealand bonds and sold our position. We retained positions in German and UK
bonds, where we believe the reward/risk relationship has remained favorable.
Finally, we also reduced our US bond commitment from 14% of net assets to 7%
during the six-month period ended June 30, 1999. As a result, we increased the
average duration from 5.6 years to 7.2 years. Strength in the US economy
persisted during the first half of 1999.
GROWTH STOCK PORTFOLIO
Growth Stock Portfolio's total return for the six months ended June 30, 1999 was
+15.00%. The Lipper Analytical Services Growth Funds Average was +11.69% for the
same period, while the
2
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
unmanaged Standard & Poor's 500 Index (S&P 500) had a total return of +12.38%.
There are several reasons for the Portfolio's outperformance during the six
months ended June 30, 1999. First, as of June 30, 1999, five of the Portfolio's
top ten equity holdings had experienced stock price appreciation significantly
greater than the total return of the S&P 500 Index with daily reinvestment of
dividends. Also, over 50% of the individual equity holdings in the Portfolio at
mid-year 1999 had stock price appreciation that exceeded the total investment
return of the S&P 500 for the six-month period. Finally, a majority of the
equity holdings in the top two industry categories in the Portfolio at mid-year
1999 experienced stock price appreciation which was in excess of the total
return of the S&P 500. At June 30, 1999, the top two industry categories were
telecommunications at 14.7% of net assets and banking and financial at 10.9%.
The top ten industry categories equaled 67.2% of the Portfolio's net assets as
of June 30, 1999, while the top ten equity holdings equaled 30.9%.
HIGH YIELD PORTFOLIO
The first half of 1999 was characterized by a relentless rise in US Treasury
yields, robust domestic economic growth and volatile equity markets. In this
environment, the high-yield asset class performed quite well. Specifically, the
unmanaged CS First Boston Global High Yield Index registered a total return of
+2.82% for the six months ended June 30, 1999, in sharp contrast to the ten-year
US Treasury return of -6.52% for the same period. (The hefty coupon associated
with high-yield issues makes them less sensitive to rising interest rates.) The
Standard & Poor's 500 (S&P 500) Index's total return was +12.38% during the
period. The yield spread between the High Yield Index and US Treasury securities
of similar maturity narrowed to 574 basis points (5.74%) at June 30, 1999,
compared to 657 basis points at year-end 1998.
New-issue volume has slowed from last year's frenetic pace, resulting in weaker
flows into high-yield mutual funds. Year-to-date issuance (in terms of proceeds)
was about 37% below the year-ago period. Credits in the media/telecommunications
sector continue to account for the largest portion of new issues, about 36%.
However, one of the largest issuers during the period was a commodity chemical
company -- Lyondell Chemical Company -- that completed a $2.4 billion,
three-tranche transaction in May. We established a position in one of the senior
tranches and feel that the company is well positioned for the next industry
cyclical upturn.
Default rates continue to rise, according to data tracked by Moody's Investors
Service, Inc. (Moody's) and Donaldson Lufkin & Jenrette (DLJ) (a leading
high-yield underwriter). For the 12 months ended June 30, 1999, Moody's reports
that the default rate (based on percentage of principal amount outstanding)
equaled 5.04% (up from 3.75% for 1998), while DLJ reported a rate of 2.78%
(1.28% in 1998).
Against this backdrop, the Portfolio's Class A Shares outperformed the CS First
Boston Global High Yield Index with a total return of +2.91% for the six-month
period ended June 30, 1999. The Portfolio's results were aided by our relatively
high exposure to emerging markets issues (13.1% as compared to 7.1% for the
Index) which have recovered from last year's dramatic sell-off. Our
overweighting in the paper/packaging and utility/independent power producer
sectors also aided the Portfolio's performance. Performance results were
hindered by our overweighting in BB-rated credits (33.8% as compared to 26.1%
for the Index) as well our market weighting in healthcare, the worst-performing
sector during the period. Positive event risk affecting several credits in the
Portfolio also had a favorable impact on performance. Among these were AT&T
Corp.'s announced plans to acquire (in a two-step transaction) Metronet
Communications (a Canadian competitive local exchange carrier) and Sprint
Corp.'s planned takeover of American Telecasting Inc. (ATEL), an operator of
wireless cable TV systems. The ATEL transaction announcement caused its bonds,
which had been trading at distressed levels, to surge over par. In addition to
these pending mergers with investment-grade credits, one company -- Quest
Diagnostic Inc. -- announced a premium tender offer for its bonds.
3
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
For the better part of May and June, the high-yield market was plagued by asset
outflows. This was also true for the Portfolio. Our largest sale during the
period was the senior notes of Qwest Communications, which had tightened to
investment-grade spreads following BellSouth's purchase of an equity stake in
the company earlier this year. Similarly, we harvested positions in Lenfest
Communications, a cable TV company whose bonds had tightened considerably
following AT&T's announcement in early May that it would be acquiring the
remaining 50% of the company that it did not already own, and Coastal Finance,
whose ratings rose to investment grade.
We made a conscious effort to limit most of our new additions to the Portfolio
to larger bond issues (at least $200 million) because we have noted that dealers
are still risk averse and reluctant to provide much in the way of market making
activity. These larger issues have relatively better liquidity, in our view. Our
purchases in the primary market included bonds of Applied Power Inc., a
diversified manufacturing concern; Amkor Technologies Inc., which provides
semiconductor packaging and testing services; and Tembec Industries, Inc., a
Canadian forest products company. All of these issues were rated B1/B+ or higher
by Moody's Investors Service, Inc. and Standard & Poor's Corp.
At June 30, 1999, communications and media remained our largest broad industry
category, equaling 36.2% of the Portfolio's market value. Of the more narrowly
classified sectors, the largest industries were: communications, 17.0%; cable
(domestic and international), 10.9%; packaging/paper and forest products, 8.8%;
general industrial, 8.3%; and broadcasting/printing and publishing, 8.3%.
Foreign bonds totaled 24.7% of the Portfolio, with emerging markets issues
(primarily Latin American corporate bonds) accounting for 13.1% of long-term
investments. At June 30, 1999, the average maturity of the Portfolio was 7.3
years, and cash and cash equivalents amounted to 2.3% of net assets.
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
During the six months ended June 30, 1999, the US fixed-income market was
characterized by a dramatic shift in investor psychology that saw a
flight-to-quality mentality transformed into a flight-from-quality bias.
Specifically, interest rates trended higher and the yield curve flattened as
investors priced in the possibility that the Federal Reserve Board would seek to
tighten monetary policy by mid-year. The Federal Reserve Board's shift in policy
toward a tightening bias was being driven by its concern that the domestic
economy was growing at a pace sufficient to rekindle the inflationary fires.
Furthermore, many investors were convinced that the liquidity problems that had
developed as a result of both the deterioration of the emerging market economies
and the excessive amount of financial leverage in the system were now behind us.
On June 30, 1999, the Federal Reserve Board raised its overnight funds rate by
0.25% to 5.00% and simultaneously shifted to a neutral posture.
As we entered the six-month period ended June 30, 1999, the overall tone of the
Treasury market was relatively upbeat since most investors were expecting
technical conditions to remain strong and the Federal Reserve Board to continue
on an accommodative road as the domestic economy began to feel the negative
impact of the rising trade deficit. Although the Federal Reserve Board had moved
from an accommodative bias to a neutral posture, investors still believed it was
possible for the Federal Funds rate to reach 4% by mid-year since the economic
environment slowed down. However, this optimism would not last as first quarter
US gross domestic product growth rose an unexpectedly strong 4.5%, spurred on by
consumer spending, which jumped 6.7%. Clearly, consumers were benefiting from a
low unemployment rate and the wealth effect generated from a booming stock
market.
Overseas, Asian countries, at the heart of the crises in 1998, exhibited the
beginnings of economic recovery. This global recovery led to fears of a
rekindling of inflation. Commodities, such as copper, gained in price. More
importantly, the price of oil surged, spurred on mainly by an agreement by OPEC
to limit production, but also on expectations of increased demand by recovering
economies. While the reported producer price index for April showed only a 0.2%
increase (excluding food and energy), the core consumer price index (CPI) rose a
greater-than-expected 0.7%, well above expectations and the largest increase
since April 1989. At this point, most investors believed the Federal
4
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
Reserve Board would raise short-term interest rates by at least 25 basis points
(0.25%) at the late June Federal Open Market Committee (FOMC) meeting.
Although investors were relieved to see a complete reversal of April's
inflationary picture in May and June (particularly as the CPI was unchanged),
most investors still believed the Federal Reserve Board would remain committed
to a course of tighter monetary policy. The forward market, which had priced in
approximately 120 basis points prior to the most recent inflationary release,
still projected a 50 basis point -- 75 basis point aggregate move by the Federal
Reserve Board at mid-month. The yield on the 30-year Treasury bond, which began
the year at 5%, traded to a high of 6.17% in June. At that time we were not
surprised by the Federal Reserve Board's increase of 25 basis points at its June
30, 1999 FOMC meeting, followed by a wait and see attitude to gauge the strength
of the economy and any inflationary pressures that may build.
In anticipation of a volatile interest rate environment, and because of a change
in the Fund's benchmark Index to the Salomon Smith Barney Government/Mortgage
Index, we increased our allocation to mortgage-backed securities throughout the
six-month period ended June 30, 1999. We started 1999 with a relatively small
position in mortgage-backed securities. However, modified prospectus language
allowed for a greater participation in mortgages. As a result, we currently have
a 41% allocation to that sector. At the same time, our Treasury holdings fell
from approximately 50% of net assets to 35% during the six-month period, well
below the benchmark allocation of 46%. We initially had allocation to Government
agency debentures in line with the 15% weighting of the unmanaged benchmark
Salomon Smith Barney Government/Mortgage Index. However, we recently increased
our weighting to 25%. We believed that the intermediate-term sector of the
agency curve contained some very attractive relative value attributes following
the yield spread widening that characterized this market since the beginning of
the second quarter. We sold short our intermediate-term Treasury issues and
invested the proceeds in similar maturity agency securities. We shortened
duration when we shifted to the new Index once we were able to add
mortgage-backed securities to the Portfolio. We have held duration steady at 4.7
years, in line with the Index.
We modestly extended the average life of the Portfolio to 8.4 years with Federal
agency securities as the market backed-off and agency spreads widened. In the
mortgage-backed securities sector, we focused on 30-year mortgages with a
particular interest in higher coupon issuers given our expectations of rising
interest rates. However, the premium for this type of collateral rose as
interest rates increased, making it difficult to accumulate the amount of
collateral we wanted. However, we were able to acquire a small amount of
secondary supply when it became available. We recently focused on short-term
callable and non-callable issues where breakeven levels were attractive relative
to Treasury issues.
LONG TERM CORPORATE BOND PORTFOLIO
During the six months ended June 30, 1999, the US fixed-income market was
characterized by a dramatic shift in investor psychology that saw a
flight-to-quality mentality transformed into a flight-from-quality bias.
Specifically, interest rates trended higher and the yield curve flattened as
investors priced in the possibility that the Federal Reserve Board would seek to
tighten monetary policy by mid-year. The Federal Reserve Board's shift in policy
toward a tightening bias was being driven by its concern that the domestic
economy was growing at a pace sufficient to rekindle the inflationary fires.
Furthermore, many investors were convinced that the liquidity problems that had
developed as a result of both the deterioration of the emerging market economies
and the excessive amount of financial leverage in the system were now behind us.
On June 30, 1999, the Federal Reserve Board raised its overnight funds rate by
0.25% to 5.00% and simultaneously shifted to a neutral posture.
As we entered the six-month period ended June 30, 1999, the overall tone of the
Treasury market was relatively upbeat since most investors were expecting
technical conditions to remain strong and the Federal Reserve Board to continue
on an accommodative road as the domestic economy began to
5
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
feel the negative impact of the rising trade deficit. Although the Federal
Reserve Board had moved from an accommodative bias to a neutral posture,
investors still believed it was possible for the Federal Funds rate to reach 4%
by mid-year since the economic environment slowed down. However, this optimism
would not last as first quarter US gross domestic product growth rose an
unexpectedly strong 4.5%, spurred on by consumer spending, which jumped 6.7%.
Clearly, consumers were benefiting from a low unemployment rate and the wealth
effect generated from a booming stock market.
Overseas, Asian countries, at the heart of the crises in 1998, exhibited the
beginnings of economic recovery. This global recovery led to fears of a
rekindling of inflation. Commodities, such as copper, gained in price. More
importantly, the price of oil surged, spurred on mainly by an agreement by OPEC
to limit production, but also on expectations of increased demand by recovering
economies. While the reported producer price index for April showed only a 0.2%
increase (excluding food and energy), the core consumer price index (CPI) rose a
greater-than-expected 0.7%, well above expectations and the largest increase
since April 1989. At this point, most investors believed the Federal Reserve
Board would raise short-term interest rates by at least 25 basis points (0.25%)
at the late June Federal Open Market Committee (FOMC) meeting.
Although investors were relieved to see a complete reversal of April's
inflationary picture in May and June (particularly as the CPI was unchanged),
most investors still believed the Federal Reserve Board would remain committed
to a course of tighter monetary policy. The forward market, which had priced in
approximately 120 basis points prior to the most recent inflationary release,
still projected a 50 basis point -- 75 basis point aggregate move by the Federal
Reserve Board at mid-month. The yield on the 30-year Treasury bond, which began
the year at 5%, traded to a high of 6.17% in June. At that time we were not
surprised by the Federal Reserve Board's increase of 25 basis points at its June
30, 1999 FOMC meeting, followed by a wait and see attitude to gauge the strength
of the economy and any inflationary pressures that may build.
The Portfolio's investment strategy can best be labeled as cautiously
optimistic. From a duration perspective, we have maintained a slightly lower
(0.05 year -- 0.20 year) profile than the benchmark Merrill Lynch Corporate
A-AAA Index considering the bias toward higher interest rates during much of the
six-month period. Given the negative prevailing investor sentiment, we raised
our yield expectations relative to the trading band for the 30-year bond to
5.75%-6.25% by the second quarter. If the yield of the bond reached the higher
end of our range, we expected to go slightly long relative to the Index since we
were not looking for interest rates to trend higher over the long term. In
essence, we believed that the foundation for a slowdown in the economy had
already been laid given the higher prevailing interest rates and the impact
exacted by recent stock market activity on the relationship of wealth to
spending.
Consistent with recent strategy, we continued to seek higher coupon issues with
a spread to the US Treasury bond given our outlook for the near-term direction
of interest rates. We also remained committed to bigger, more liquid issues. Our
Treasury holdings have been kept to an absolute minimum as we have focused on
the need to build current income. Furthermore, productivity and the correlation
to corporate profitability should be sufficient enough to sustain the overall
trend toward tighter yield spreads, although spreads during May exhibited
approximately 25 basis points of widening. Subsequent to the Federal Reserve
Board move, spreads have begun to trend inward. Corporate issuance remained very
active, with investor demand enthusiastic. In fact, the majority of the new
transactions have been significantly oversubscribed and well received.
With respect to security-specific issues, we began to add to several sectors
including energy-related issuers, paper producers and chemical companies. We
also added asset-backed securities and commercial mortgage-backed securities.
These sectors experienced improved economics yet still retained very attractive
yield advantages relative to Treasury securities. It was our intent to bring
these sectors up to a neutral benchmark weighting, although finding securities
has lately proved a challenge as a result of small supply and sporadic new
issuance in these sectors. During the later part of the period,
6
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
we slightly reduced the Portfolio's position in real estate investment trusts
given the strong performance this group experienced during early 1999. However,
we still have an overweighted position relative to the Index since we believe
this sector will continue to perform well, although we expect to bring this
position closer to a neutral posture as spreads compress. Cable/Media is another
sector we have moved to overweight, given the strong economic fundamentals
characterizing that industry. We currently have a 10% overweighted position in
corporate bonds rated BBB, a situation we expect to maintain considering the
attractive spread relationship and the favorable relative value attributes.
MONEY RESERVE PORTFOLIO
For the six-month period ended June 30, 1999, Money Reserve Portfolio's net
annualized yield was 4.70%. The Portfolio's 7-day yield as of June 30, 1999 was
4.69%. The average portfolio maturity was 75 days at June 30, 1999, compared to
69 days at December 31, 1998.
For the six-month period ended June 30, 1999, Money Reserve Portfolio maintained
an average life ranging from a low of 66 days to a high of 83 days. During the
first half of the period, the Portfolio's average life was maintained toward the
higher end of the band in response to continued concerns over the stability of
the global financial markets. However, as these concerns lessened, we focused on
the strength of the domestic economy, which we believed could cause the Federal
Reserve Board to tighten monetary policy. However, as an investment strategy, we
viewed investor overreactions to a potential interest rate hike as an
opportunity to purchase modest amounts of longer-term securities. As expected,
the Federal Reserve Board raised the Federal Funds rate 25 basis points on June
30, 1999.
Looking ahead, investors will most likely focus on inflationary data in order to
anticipate the next move by the Federal Reserve Board. We will remain cautious
in our investment strategies based on our continued belief that interest rates
may rise in the near future.
The Portfolio's composition at the end of June and as of our last report is
detailed below:
<TABLE>
<CAPTION>
6/30/99 12/31/98
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
Bank Notes...................................................................................... 9.4% 15.3%
Certificates of Deposit......................................................................... 2.8 1.0
Certificates of Deposit -- Yankee............................................................... 2.9 --
Commercial Paper................................................................................ 39.2 35.4
Corporate Notes................................................................................. 5.6 1.1
Funding Agreements.............................................................................. 3.3 3.3
Master Notes.................................................................................... 1.8 1.7
Medium-Term Notes............................................................................... 21.5 19.7
Repurchase Agreements........................................................................... -- 1.6
US Government, Agency & Instrumentality Obligations -- Discount................................. 2.7 6.7
US Government, Agency & Instrumentality Obligations -- Non-Discount............................. 10.9 14.0
Other Assets Less Liabilities................................................................... -- 0.2
Liabilities in Excess of Other Assets........................................................... (0.1) --
----- -----
Total........................................................................................... 100.0% 100.0%
----- -----
----- -----
</TABLE>
MULTIPLE STRATEGY PORTFOLIO
As of June 30, 1999, the asset allocation for Multiple Strategy Portfolio was:
US stocks, 53% of net assets; foreign stocks, 23%; US bonds, 20%; foreign bonds,
2%; and cash reserves, 2%.
During the six months ended June 30, 1999, we enlarged the foreign common stock
sector from 16% of net assets to 23%. The largest portion of the foreign equity
expansion was undertaken by enlarging
7
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
our commitment to Japanese equities. This increase reflected our expectation
that an increased number of Japanese corporations would be undertaking
significant restructuring that could lead to improved profitability and earnings
over the longer term. Our increased optimism also reflected indications that
monetary policy remained accommodative and that the Japanese economy was showing
signs of bottoming.
We also enlarged the Portfolio's commitment to emerging markets, including
Brazil and Asian markets outside of Japan, in response to increased evidence
that the problems associated with the 1997-1998 financial crisis were abating.
We established our commitments in Brazil in response to the improving
post-devaluation outlook. In Asia, we devoted assets to new positions in South
Korea, Singapore and Hong Kong. European equities remained our largest regional
commitment, although we reduced overall representation in recent months. Within
Europe, we maintained significant representation in financial services,
telecommunications services and equipment, and consumer staple goods.
We expanded the Portfolio's allocation to US equities from 49% of net assets to
53% during the six months ended June 30, 1999. We continued to believe that
investors would favor the shares of companies that could offer a high degree of
earnings visibility in a steady growth/low inflationary economy. On this basis,
technology has remained the largest single group represented among our US equity
commitments. Consumer staples, including healthcare and financial services, also
continued to account for a significant portion of US equity assets.
In the fixed-income component of the portfolio, we reduced the foreign bond
sector from 9% of net assets to 2% during the first half of the six months ended
June 30, 1999. Seemingly attractive risk/reward relationships led us to
establish positions in Japanese and New Zealand bonds early in 1999.
However, during the second half of the period, we eliminated our position in
Japanese bonds following a decline in yields, which reduced potential for
additional appreciation. We also took advantage of the appreciation in the New
Zealand bonds and sold our position. We retained positions in German and UK
bonds, where we believe the risk/reward relationship has remained favorable.
Finally, we also reduced our US bond commitment from 25% of net assets to 20%
during the six-month period ended June 30, 1999. As a result, we increased the
average duration from 5.7 years to 6.5 years. Strength in the US economy
persisted during the first half of 1999.
NATURAL RESOURCES PORTFOLIO
The Portfolio's performance rebounded during the first half of 1999. Commodity
prices and the stocks of resource companies continued to enjoy strong recoveries
from the lows reached following the recessions in Asian and other emerging
markets. All commodity groups delivered double-digit gains 1999 year-to-date,
with the only exception being the gold sector, which has been suffering from the
lack of inflationary pressures and from central bank selling.
During the six months ended June 30, 1999, the Portfolio's Class A Shares had a
total return of +23.35%. The Portfolio outperformed the 18.14% total return of
the unmanaged Morgan Stanley Capital International (MSCI) Natural Resource Fund
Index, and on a trailing 12-month basis ended June 30, 1999, the Portfolio's
Class A Shares' total return of +9.33% exceeded that of the Lipper Natural
Resources Fund Average of +2.50%.
The recovery in resource stocks and strong Portfolio performance confirmed our
belief that resource stock prices had discounted problems facing the sector. As
world economic conditions continued to show signs of improvement, resource
investments continued to offer the potential for positive returns, possibly
through the remainder of the year. This is particularly true in selected energy
and paper/forest product investments.
8
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
Increased exposure to energy investments, particularly North American natural
gas producers and oil service stocks, helped the Portfolio's investment results.
Ten of our independent oil and gas production and oil service stocks delivered
exceptionally strong total returns. The surplus of natural gas in storage
resulting from the historically warm winter has continued to decline, and
storage currently is similar to levels in 1998. Production continues to decline
from the low level of drilling, so we believe that gas prices could rebound if
normal winter weather patterns prevail in the upcoming heating season. We
continued to add to our holdings of natural gas stocks since we believed that
natural gas prices could rise sharply given current industry supply and demand
dynamics, while we continued to reduce holdings of large-capitalization
international oil companies. Consolidation activity in the group has pushed
valuation levels to the high end of historic ranges. This provides an element of
risk given our less favorable near-term outlook for their refining and chemical
operations. While we have added to our oil service holdings, we currently are
reluctant to add to current positions given the present lack of earnings
visibility, as well as concerns that oil industry consolidation may mute overall
service activity. Proceeds from the sale of our larger oils were directed to
domestic integrated oil companies, independent gas producers and natural gas
pipelines with exploration programs.
We continued to increase our exposure to the paper and forest products industry.
Positive supply and demand fundamentals continued to evolve in the forest and
paper products area, as capital spending has been pared in the wake of the Asian
crisis. In addition, merger and acquisition activity has continued in the group
which has resulted in further capacity closures. Containerboard prices are
approaching the levels seen in 1997, prior to the onset of the Asian recession.
In addition, the increase in pulp prices is likely to filter into the pricing of
other grades.
We dramatically increased our paper weighting over the past six months. We
initiated holdings in St. Laurent Paperboard Inc. and Tembec Inc., two low-cost
Canadian producers of containerboard and pulp. We also initiated holdings in
Abitibi-Consolidated Inc., Westvaco Corporation and Smurfit Jefferson Group PLC.
Assets for the purchase of these holdings came from the sale of Champion
International Corp., Consolidated Paper, Bowater Inc. and the partial sale of
Riverside Forest Products Limited. Appreciation in these stocks had eroded their
valuation support. The larger-capitalization paper stocks have appreciated over
50% off their lows of last year. However, past cyclical moves in the group
suggest the possibility for additional significant gains.
Chemical stocks have rebounded with the improvement in international economic
conditions. However, we continue to be concerned about new capacity additions
scheduled to start production, as well as the impact of rising energy-based
feedstock costs. Therefore, we have further underweighted the Portfolio's
exposure to the chemical group. We sold our E.I. duPont de Nemours & Co.
position since we believed that the stock price reflected the potential of its
life-sciences division. We also sold our fertilizer producer IMC Global Inc. The
dramatic decline in farm income has dimmed near-term prospects, and new capacity
additions are becoming visible on the investment horizon. We are in the process
of reviewing our chemical weighting in light of improved global commodities;
however, we believe that this area could lag investments in other resource
sectors.
We have continued to be selective sellers of metal and mining issues, but
returned Freeport-McMoRan Copper & Gold, Inc. to our metals holdings. We also
added to our holding in Australian copper producer M.I.M. Holdings Limited. The
base metals group has rebounded in sympathy with optimism about recovering
economies. However, a number of temporary capacity closures have resulted in a
commodity short-squeeze. Should prices continue to rise, we fear that these
idled mines could return to production and mute a recovery in the sector. We
eliminated many of our Japanese mining holdings when their stock prices
recovered with the overall market rally in Japan, although in hindsight we could
have let the positions run further.
While gold stocks did not hurt Portfolio performance in relative terms in 1998,
the group began to diverge from other resource stocks in 1999. A two-day rally
in early May, sparked by inflationary fears from remarks by Federal Reserve
Board Chairman Alan Greenspan, was stopped cold upon the
9
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 1999 (Concluded)
- --------------------------------------------------------------------------------
announcement the United Kingdom would sell half its gold reserves. Given fears
of further central bank sales, we dramatically sold the bulk of our gold
holdings. The current weighting of 2% of net assets puts the Portfolio closer to
gold's weighting in the unmanaged MSCI Natural Resource Index, and below the
weighting held by most of our competitors in the resource fund universe. The
reduced gold exposure helped to improve our performance.
Should the trend in improving global economic conditions persist, we believe
that continued positive investment results are possible during the remainder of
the year. Our investment focus on companies subject to improving supply and
demand conditions have generated strong relative and absolute returns. With the
process of restructuring the Portfolio nearly complete, we are optimistic that
resource investments can deliver a positive contribution to a diversified
investment portfolio.
IN CONCLUSION
We appreciate your investment in Merrill Lynch Series Fund, Inc., and we look
forward to sharing our investment outlook and strategies with you in our
December annual report to shareholders.
Sincerely,
/s/ Terry K. Glenn
Terry K. Glenn
PRESIDENT
August 17, 1999
10
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Performance Information
June 30, 1999
- --------------------------------------------------------------------------------
RECENT PERFORMANCE RESULTS*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
12 MONTH 6 MONTH
TOTAL RETURN TOTAL RETURN
<S> <C> <C>
- -------------------------------------------------------------------------------
BALANCED PORTFOLIO + 6.88% + 4.56%
- -------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO + 14.13 + 13.28
- -------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO + 3.68 + 4.98
- -------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO + 28.44 + 15.00
- -------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO - 5.20 + 2.91
- -------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 3.64 - 1.73
- -------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO + 1.39 - 2.64
- -------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO + 7.28 + 7.75
- -------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO + 9.33 + 23.35
- -------------------------------------------------------------------------------
</TABLE>
* Total investment returns are based on changes in net asset value for the
periods shown, and assume reinvestment of all dividends and capital gains
distributions at net asset value on the ex-dividend/payable date.
Insurance-related fees and expenses are not reflected in these returns.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIVE YEARS TEN YEARS
YEAR ENDED ENDED ENDED
6/30/99 6/30/99 6/30/99
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------------
BALANCED PORTFOLIO + 6.88% + 13.34% + 11.14%
- ----------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO + 14.13 + 18.50 + 14.32
- ----------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO + 3.68 + 9.74 + 11.05
- ----------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO + 28.44 + 29.89 + 16.95
- ----------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO - 5.20 + 7.29 + 9.53
- ----------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 3.64 + 7.30 + 7.76
- ----------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO + 1.39 + 7.45 + 8.10
- ----------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO + 7.28 + 14.30 + 12.49
- ----------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO + 9.33 + 4.53 + 4.43
- ----------------------------------------------------------------------------------------------
</TABLE>
Past results shown should not be considered a representation of future
performance.
11
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES FACE AMOUNT BONDS & NOTES COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES $ 2,000,000 General Electric Capital Corp.,
8.75% due 5/21/2007................ $ 2,306,650 $ 2,267,640 1.9%
- ------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY 849,574 Federal Home Loan Mortgage
OBLIGATIONS Corporation Participation
Certificates-Gold Program, 7.50%
due 6/01/2007++.................... 865,769 864,249 0.7
Federal National Mortgage
Association:
4,770,000 5.625% due 3/15/2001............ 4,785,176 4,761,796 3.9
4,940,000 5.125% due 2/13/2004............ 4,845,498 4,736,225 3.9
6,410,000 5.75% due 2/15/2008............. 6,374,091 6,128,537 5.0
6,350,000 5.25% due 1/15/2009............. 5,943,600 5,800,344 4.7
19,000,000 6.375% due 6/15/2009............ 18,970,322 18,839,640 15.3
9,295,000 US Treasury Bonds, 6.625% due
2/15/2027.......................... 10,429,374 9,816,357 8.0
------------- ------------- -----
52,213,830 50,947,148 41.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL BONDS & NOTES 54,520,480 53,214,788 43.4
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES
HELD COMMON STOCKS
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 8,329 United Technologies Corporation..... 309,374 597,085 0.5
- ------------------------------------------------------------------------------------------------------------------------
APPLICATION DEVELOPMENT 8,100 +Siebel Systems, Inc................ 299,067 536,625 0.4
SOFTWARE
- ------------------------------------------------------------------------------------------------------------------------
AUTO & TRUCK 24,500 Delphi Automotive Systems
Corporation........................ 427,830 454,781 0.4
- ------------------------------------------------------------------------------------------------------------------------
AUTOMOBILE RENTAL 8,950 The Hertz Corporation (Class A)..... 334,286 554,900 0.5
- ------------------------------------------------------------------------------------------------------------------------
BANKING 7,750 Bank of America Corporation......... 441,243 568,172 0.5
9,900 The Bank of New York Company, Inc... 224,608 363,206 0.3
------------- ------------- -----
665,851 931,378 0.8
- ------------------------------------------------------------------------------------------------------------------------
BANKING & FINANCIAL 6,800 Citigroup Inc....................... 311,889 323,000 0.3
21,600 Mellon Bank Corporation............. 692,383 785,700 0.6
------------- ------------- -----
1,004,272 1,108,700 0.9
- ------------------------------------------------------------------------------------------------------------------------
BEVERAGES 29,700 PepsiCo, Inc........................ 1,151,056 1,149,019 0.9
- ------------------------------------------------------------------------------------------------------------------------
BROADCASTING-CABLE 34,252 +AT&T Corp.-Liberty Media Group
(Class A).......................... 503,707 1,258,761 1.0
- ------------------------------------------------------------------------------------------------------------------------
BROADCASTING-RADIO 45,700 +Capstar Broadcasting Corporation
(Class A).......................... 868,300 1,251,037 1.0
- ------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS 18,300 +American Tower Corporation (Class
A)................................. 454,252 439,200 0.4
- ------------------------------------------------------------------------------------------------------------------------
CAPITAL EQUIPMENT 4,800 Eaton Corporation................... 325,026 441,600 0.4
4,200 Hewlett-Packard Company............. 312,024 422,100 0.3
------------- ------------- -----
637,050 863,700 0.7
- ------------------------------------------------------------------------------------------------------------------------
CHEMICALS 7,850 E.I. du Pont de Nemours and
Company............................ 492,919 536,253 0.4
17,400 Rohm and Haas Company............... 659,782 746,025 0.6
------------- ------------- -----
1,152,701 1,282,278 1.0
- ------------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 5,300 +America Online, Inc................ 458,945 585,650 0.5
25,800 +Cisco Systems, Inc................. 538,660 1,662,488 1.3
------------- ------------- -----
997,605 2,248,138 1.8
- ------------------------------------------------------------------------------------------------------------------------
COMPUTER SOFTWARE 3,900 +Transaction Systems Architects,
Inc. (Class A)..................... 156,634 152,100 0.1
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
12
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD COMMON STOCKS COST (NOTE 1A) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMPUTERS 8,600 +Dell Computer Corporation.......... $ 269,567 $ 317,663 0.3%
4,900 +EMC Corporation.................... 171,628 269,500 0.2
11,340 International Business Machines
Corporation........................ 601,765 1,465,695 1.2
2,400 +Sun Microsystems, Inc.............. 147,014 165,300 0.1
20,400 Tandy Corporation................... 474,145 997,050 0.8
------------- ------------- -----
1,664,119 3,215,208 2.6
- ------------------------------------------------------------------------------------------------------------------------
CONSUMER-PRODUCTS 33,200 The Dial Corporation................ 702,761 1,234,625 1.0
- ------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 13,900 General Electric Company............ 1,310,002 1,570,700 1.3
- ------------------------------------------------------------------------------------------------------------------------
ELECTRONICS 13,650 Intel Corporation................... 841,544 811,322 0.7
6,200 +Lattice Semiconductor
Corporation........................ 311,433 384,400 0.3
------------- ------------- -----
1,152,977 1,195,722 1.0
- ------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 24,800 +Premier Parks Inc.................. 725,653 911,400 0.8
4,300 The Walt Disney Company............. 150,392 132,494 0.1
------------- ------------- -----
876,045 1,043,894 0.9
- ------------------------------------------------------------------------------------------------------------------------
FINANCE 4,700 +The Goldman Sachs Group, Inc....... 249,100 339,575 0.3
8,450 +TD Waterhouse Group, Inc........... 202,800 211,778 0.2
------------- ------------- -----
451,900 551,353 0.5
- ------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 16,000 Associates First Capital Corporation
(Class A).......................... 639,860 709,000 0.6
14,800 Wells Fargo Company................. 594,680 632,700 0.5
------------- ------------- -----
1,234,540 1,341,700 1.1
- ------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- 18,500 Household International, Inc........ 799,358 876,437 0.7
CONSUMER
- ------------------------------------------------------------------------------------------------------------------------
FOODS 23,800 +Keebler Foods Company.............. 676,933 722,925 0.6
- ------------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 5,625 The Black & Decker Corporation...... 314,600 355,078 0.3
- ------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 10,200 Colgate-Palmolive Company........... 973,443 1,007,250 0.8
- ------------------------------------------------------------------------------------------------------------------------
INFORMATION PROCESSING 10,400 +Unisys Corporation................. 339,616 404,950 0.3
8,000 Xerox Corporation................... 458,178 472,500 0.4
------------- ------------- -----
797,794 877,450 0.7
- ------------------------------------------------------------------------------------------------------------------------
INSURANCE 5,600 American International Group,
Inc................................ 662,280 655,550 0.5
4,500 +Clear Channel Communications,
Inc................................ 317,832 310,219 0.3
4,700 The Equitable Companies
Incorporated....................... 268,768 314,900 0.3
4,250 Providian Financial Corporation..... 186,624 397,375 0.3
------------- ------------- -----
1,435,504 1,678,044 1.4
- ------------------------------------------------------------------------------------------------------------------------
LASER SYSTEMS & 3,350 +JDS Uniphase Corporation........... 333,832 556,100 0.5
COMPONENTS
- ------------------------------------------------------------------------------------------------------------------------
MACHINERY 4,750 Case Corporation.................... 135,693 228,594 0.2
22,700 Ingersoll-Rand Company.............. 808,376 1,466,987 1.2
------------- ------------- -----
944,069 1,695,581 1.4
- ------------------------------------------------------------------------------------------------------------------------
MACHINERY & EQUIPMENT 2,900 Caterpillar Inc..................... 160,933 174,000 0.1
- ------------------------------------------------------------------------------------------------------------------------
MANUFACTURING 11,700 Tyco International Ltd.............. 624,201 1,108,575 0.9
- ------------------------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 11,750 Johnson & Johnson................... 973,085 1,151,500 0.9
- ------------------------------------------------------------------------------------------------------------------------
METALS 6,700 Alcoa Inc........................... 259,840 414,562 0.3
- ------------------------------------------------------------------------------------------------------------------------
NATURAL GAS 19,000 Enron Corp.......................... 933,977 1,553,250 1.3
- ------------------------------------------------------------------------------------------------------------------------
OIL-INTEGRATED 8,150 Mobil Corporation................... 650,217 806,850 0.6
17,750 Shell Transport & Trading Company
(ADR)(a)........................... 646,433 823,156 0.7
------------- ------------- -----
1,296,650 1,630,006 1.3
- ------------------------------------------------------------------------------------------------------------------------
OIL SERVICE 9,570 Schlumberger Limited................ 685,230 609,489 0.5
- ------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS 6,800 International Paper Company......... 330,033 343,400 0.3
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
13
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of June 30, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD COMMON STOCKS COST (NOTE 1A) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PETROLEUM 37,600 Unocal Corporation.................. $ 1,346,522 $ 1,489,900 1.2%
- ------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 17,800 American Home Products Corporation.. 1,043,991 1,023,500 0.9
26,000 Bristol-Myers Squibb Company........ 1,257,877 1,831,375 1.5
17,700 Cardinal Health, Inc................ 1,225,065 1,135,012 0.9
4,300 Merck & Co., Inc.................... 301,258 318,200 0.3
8,100 Pfizer Inc.......................... 1,055,679 888,975 0.7
4,900 Pharmacia & Upjohn, Inc............. 309,681 278,381 0.2
------------- ------------- -----
5,193,551 5,475,443 4.5
- ------------------------------------------------------------------------------------------------------------------------
RETAIL 3,200 +Best Buy Co., Inc.................. 150,496 216,000 0.2
2,900 +Federated Department Stores,
Inc................................ 153,874 153,519 0.1
15,800 +Safeway Inc........................ 506,864 782,100 0.7
21,100 Wal-Mart Stores, Inc................ 454,875 1,018,075 0.8
------------- ------------- -----
1,266,109 2,169,694 1.8
- ------------------------------------------------------------------------------------------------------------------------
RETAIL SPECIALTY 11,900 Lowe's Companies, Inc............... 439,517 674,581 0.5
- ------------------------------------------------------------------------------------------------------------------------
RETAIL STORES 9,600 Dayton Hudson Corporation........... 666,404 624,000 0.5
- ------------------------------------------------------------------------------------------------------------------------
SAVINGS & LOAN 17,700 GreenPoint Financial Corp........... 710,212 580,781 0.5
ASSOCIATIONS
- ------------------------------------------------------------------------------------------------------------------------
SCIENTIFIC INSTRUMENTS 8,400 Millipore Corporation............... 174,749 340,725 0.3
- ------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS 4,730 +Applied Materials, Inc............. 302,023 349,429 0.3
12,150 Motorola, Inc....................... 690,007 1,151,213 0.9
------------- ------------- -----
992,030 1,500,642 1.2
- ------------------------------------------------------------------------------------------------------------------------
SERVICES 14,500 +Quintiles Transnational Corp....... 674,752 608,094 0.5
- ------------------------------------------------------------------------------------------------------------------------
SOFTWARE 29,900 +Microsoft Corporation.............. 2,250,671 2,694,738 2.2
- ------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 24,294 AT&T Corp........................... 610,226 1,355,929 1.1
17,700 GTE Corporation..................... 896,598 1,340,775 1.1
12,700 Lucent Technologies Inc............. 688,582 856,456 0.7
20,100 +MCI WorldCom Inc................... 644,271 1,728,600 1.4
------------- ------------- -----
2,839,677 5,281,760 4.3
- ------------------------------------------------------------------------------------------------------------------------
TOBACCO 16,000 Philip Morris Companies Inc......... 677,680 643,000 0.5
- ------------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 6,800 Royal Caribbean Cruises Ltd......... 163,584 297,500 0.2
- ------------------------------------------------------------------------------------------------------------------------
UTILITIES-COMMUNICATION 19,100 Ameritech Corporation............... 918,069 1,403,850 1.1
- ------------------------------------------------------------------------------------------------------------------------
UTILITIES-ELECTRIC 7,500 PECO Energy Company................. 255,630 314,062 0.3
13,200 Public Service Enterprise Group
Incorporated....................... 512,908 539,550 0.4
------------- ------------- -----
768,538 853,612 0.7
- ------------------------------------------------------------------------------------------------------------------------
WASTE MANAGEMENT 16,000 Waste Management, Inc............... 686,731 860,000 0.7
- ------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS 47,662,607 63,232,871 51.5
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SHORT-TERM SECURITIES
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER* $ 5,283,000 General Motors Acceptance Corp.,
5.63% due 7/01/1999................ 5,282,174 5,282,174 4.3
- ------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 5,282,174 5,282,174 4.3
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS................... $ 107,465,261 121,729,833 99.2
-------------
-------------
OTHER ASSETS LESS LIABILITIES....... 999,349 0.8
------------- -----
NET ASSETS.......................... $ 122,729,182 100.0%
------------- -----
------------- -----
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) American Depositary Receipts (ADR).
* Commercial Paper is traded on a discount basis; the interest rate shown
reflects the discount rate paid at the time of purchase by the Portfolio.
+ Non-income producing security.
++ Subject to principal paydowns.
See Notes to Financial Statements.
14
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 39,393 United Technologies Corporation... $ 1,470,088 $ 2,823,986 0.7%
- -------------------------------------------------------------------------------------------------------------------
APPLICATION 67,900 +Siebel Systems, Inc.............. 2,539,356 4,498,375 1.2
DEVELOPMENT SOFTWARE
- -------------------------------------------------------------------------------------------------------------------
AUTO & TRUCK 142,200 Delphi Automotive Systems
Corporation...................... 2,501,854 2,639,587 0.7
- -------------------------------------------------------------------------------------------------------------------
AUTOMOBILE RENTAL 35,850 The Hertz Corporation (Class A)... 1,426,649 2,222,700 0.6
- -------------------------------------------------------------------------------------------------------------------
BANKING 89,369 Bank of America Corporation....... 5,352,002 6,551,865 1.7
83,400 The Bank of New York Company,
Inc.............................. 877,655 3,059,737 0.8
36,400 Citigroup Inc..................... 1,669,522 1,729,000 0.5
152,000 Mellon Bank Corporation........... 4,862,408 5,529,000 1.4
------------- ------------- -----
12,761,587 16,869,602 4.4
- -------------------------------------------------------------------------------------------------------------------
BEVERAGES 127,600 PepsiCo, Inc...................... 4,793,336 4,936,525 1.3
- -------------------------------------------------------------------------------------------------------------------
BROADCASTING-CABLE 168,408 +AT&T Corp.-Liberty Media Group
(Class A)........................ 2,150,683 6,188,994 1.6
- -------------------------------------------------------------------------------------------------------------------
BROADCASTING-RADIO 274,700 +Capstar Broadcasting Corporation
(Class A)........................ 5,229,342 7,519,912 2.0
- -------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS 97,100 +American Tower Corporation (Class
A)............................... 2,414,961 2,330,400 0.6
- -------------------------------------------------------------------------------------------------------------------
CAPITAL EQUIPMENT 47,600 Eaton Corporation................. 3,229,545 4,379,200 1.1
25,000 Hewlett-Packard Company........... 1,850,109 2,512,500 0.7
------------- ------------- -----
5,079,654 6,891,700 1.8
- -------------------------------------------------------------------------------------------------------------------
CHEMICALS 37,200 E.I. du Pont de Nemours and
Company.......................... 2,335,417 2,541,225 0.6
88,600 Rohm and Haas Company............. 3,359,624.... 3,798,725 1.0
------------- ------------- -----
5,695,041 6,339,950 1.6
- -------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS 98,200 +MCI WorldCom, Inc................ 3,370,098 8,445,200 2.2
EQUIPMENT
- -------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 32,600 +America Online, Inc.............. 3,137,052 3,602,300 0.9
130,300 +Cisco Systems, Inc............... 2,884,369.... 8,396,206 2.2
------------- ------------- -----
6,021,421 11,998,506 3.1
- -------------------------------------------------------------------------------------------------------------------
COMPUTER SOFTWARE 21,100 +Transaction Systems Architects,
Inc. (Class A)................... 847,429 822,900 0.2
- -------------------------------------------------------------------------------------------------------------------
COMPUTERS 34,100 +EMC Corporation.................. 1,677,832 1,875,500 0.5
56,000 International Business Machines
Corporation...................... 3,729,461.... 7,238,000 1.9
13,000 +Sun Microsystems, Inc............ 796,325 895,375 0.2
102,400 Tandy Corporation................. 2,880,264 5,004,800 1.3
------------- ------------- -----
9,083,882 15,013,675 3.9
- -------------------------------------------------------------------------------------------------------------------
CONSUMER-ELECTRONICS 48,950 +Dell Computer Corporation........ 1,521,665 1,808,091 0.5
- -------------------------------------------------------------------------------------------------------------------
CONSUMER-PRODUCTS 158,500 The Dial Corporation.............. 3,307,480 5,894,219 1.5
- -------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 73,950 General Electric Company.......... 6,993,218 8,356,350 2.2
15,800 W. W. Grainger, Inc............... 849,695 850,238 0.2
------------- ------------- -----
7,842,913 9,206,588 2.4
- -------------------------------------------------------------------------------------------------------------------
ELECTRONICS 68,850 Intel Corporation................. 4,181,461 4,092,272 1.1
32,500 +Lattice Semiconductor
Corporation...................... 1,632,557 2,015,000 0.5
------------- ------------- -----
5,814,018 6,107,272 1.6
- -------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 145,800 +Premier Parks Inc................ 4,019,851 5,358,150 1.4
21,900 The Walt Disney Company........... 765,972 674,794 0.2
------------- ------------- -----
4,785,823 6,032,944 1.6
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
15
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS COST (NOTE 1A) NET ASSETS
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FINANCE 23,500 +The Goldman Sachs Group, Inc..... $ 1,245,500 $ 1,697,875 0.5%
49,750 +TD Waterhouse Group, Inc......... 1,194,000 1,246,859 0.3
------------- ------------- -----
2,439,500 2,944,734 0.8
- -------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 135,900 Associates First Capital
Corporation (Class A)............ 5,209,471 6,022,069 1.5
114,100 Wells Fargo Company............... 4,676,501 4,877,775 1.3
------------- ------------- -----
9,885,972 10,899,844 2.8
- -------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- 128,000 Household International, Inc...... 5,565,538 6,064,000 1.6
CONSUMER
- -------------------------------------------------------------------------------------------------------------------
FOODS 109,800 +Keebler Foods Company............ 3,097,956 3,335,175 0.9
- -------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 31,525 The Black & Decker Corporation.... 1,690,023 1,990,016 0.5
- -------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 51,300 Colgate-Palmolive Company......... 4,895,718 5,065,875 1.3
- -------------------------------------------------------------------------------------------------------------------
INFORMATION 127,400 +Unisys Corporation............... 4,138,677 4,960,638 1.3
PROCESSING 42,400 Xerox Corporation................. 2,425,072 2,504,250 0.6
------------- ------------- -----
6,563,749 7,464,888 1.9
- -------------------------------------------------------------------------------------------------------------------
INSURANCE 27,200 American International Group,
Inc.............................. 3,221,988 3,184,100 0.8
21,300 The Equitable Companies
Incorporated..................... 1,108,386 1,427,100 0.4
16,500 Providian Financial Corporation... 983,785 1,542,750 0.4
------------- ------------- -----
5,314,159 6,153,950 1.6
- -------------------------------------------------------------------------------------------------------------------
LASER SYSTEMS & 17,400 +JDS Uniphase Corporation......... 1,736,638 2,888,400 0.7
COMPONENTS
- -------------------------------------------------------------------------------------------------------------------
MACHINERY 27,100 Case Corporation.................. 772,725 1,304,187 0.4
108,900 Ingersoll-Rand Company............ 3,518,001 7,037,662 1.8
------------- ------------- -----
4,290,726 8,341,849 2.2
- -------------------------------------------------------------------------------------------------------------------
MACHINERY & EQUIPMENT 14,600 Caterpillar Inc................... 810,215 876,000 0.2
- -------------------------------------------------------------------------------------------------------------------
MANUFACTURING 62,500 Tyco International Ltd............ 3,433,308 5,921,875 1.5
- -------------------------------------------------------------------------------------------------------------------
MEDIA 23,000 +Clear Channel Communications,
Inc.............................. 1,624,483 1,585,562 0.4
- -------------------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 62,300 Johnson & Johnson................. 5,199,519 6,105,400 1.6
- -------------------------------------------------------------------------------------------------------------------
METALS 56,600 Alcoa Inc......................... 2,232,439 3,502,125 0.9
- -------------------------------------------------------------------------------------------------------------------
NATURAL GAS 79,700 Enron Corp........................ 3,840,747 6,515,475 1.7
- -------------------------------------------------------------------------------------------------------------------
OIL-INTEGRATED 55,300 Mobil Corporation................. 4,847,047 5,474,700 1.4
- -------------------------------------------------------------------------------------------------------------------
OIL SERVICES 41,200 Schlumberger Limited.............. 2,373,291 2,623,925 0.7
- -------------------------------------------------------------------------------------------------------------------
PAPER & FOREST 34,600 International Paper Company....... 1,679,285 1,747,300 0.5
PRODUCTS
- -------------------------------------------------------------------------------------------------------------------
PETROLEUM 108,300 Unocal Corporation................ 4,173,380 4,291,388 1.1
- -------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 87,000 American Home Products
Corporation...................... 5,099,757 5,002,500 1.3
123,000 Bristol-Myers Squibb Company...... 5,897,573 8,663,812 2.2
64,800 Cardinal Health, Inc.............. 4,487,753 4,155,300 1.1
23,300 Merck & Co., Inc.................. 1,632,398 1,724,200 0.4
40,600 Pfizer Inc........................ 5,304,604 4,455,850 1.2
48,800 Pharmacia & Upjohn, Inc........... 2,890,126 2,772,450 0.7
------------- ------------- -----
25,312,211 26,774,112 6.9
- -------------------------------------------------------------------------------------------------------------------
RETAIL 28,400 +Best Buy Co., Inc................ 1,425,698 1,917,000 0.5
15,400 +Federated Department Stores,
Inc.............................. 817,124 815,237 0.2
76,300 +Safeway Inc...................... 2,458,458 3,776,850 1.0
110,700 Wal-Mart Stores, Inc.............. 2,347,342 5,341,275 1.4
------------- ------------- -----
7,048,622 11,850,362 3.1
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
16
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS COST (NOTE 1A) NET ASSETS
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
RETAIL SPECIALTY 60,100 Lowe's Companies, Inc............. $ 2,176,425 $ 3,406,919 0.9%
- -------------------------------------------------------------------------------------------------------------------
RETAIL STORES 48,400 Dayton Hudson Corporation......... 3,359,701 3,146,000 0.8
- -------------------------------------------------------------------------------------------------------------------
SAVINGS & LOAN 93,300 GreenPoint Financial Corp......... 3,684,598 3,061,406 0.8
ASSOCIATIONS
- -------------------------------------------------------------------------------------------------------------------
SCIENTIFIC 34,350 Millipore Corporation............. 714,064 1,393,322 0.4
INSTRUMENTS
- -------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS 45,300 +Applied Materials, Inc........... 2,965,545 3,346,538 0.8
59,900 Motorola, Inc..................... 3,266,175 5,675,525 1.5
------------- ------------- -----
6,231,720 9,022,063 2.3
- -------------------------------------------------------------------------------------------------------------------
SERVICES 121,500 +Quintiles Transnational Corp..... 5,272,741 5,095,406 1.3
- -------------------------------------------------------------------------------------------------------------------
SOFTWARE 170,600 +Microsoft Corporation............ 12,980,548 15,375,325 4.0
- -------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 103,674 AT&T Corp......................... 1,711,539 5,786,305 1.5
84,900 GTE Corporation................... 4,335,818 6,431,175 1.7
51,800 Lucent Technologies Inc........... 2,856,418 3,493,262 0.9
------------- ------------- -----
8,903,775 15,710,742 4.1
- -------------------------------------------------------------------------------------------------------------------
TOBACCO 68,400 Philip Morris Companies Inc....... 2,920,143 2,748,825 0.7
- -------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 32,200 Royal Caribbean Cruises Ltd....... 773,338 1,408,750 0.4
- -------------------------------------------------------------------------------------------------------------------
UTILITIES- 91,300 Ameritech Corporation............. 4,416,236 6,710,550 1.7
COMMUNICATION
- -------------------------------------------------------------------------------------------------------------------
UTILITIES-ELECTRIC 36,250 PECO Energy Company............... 1,235,569 1,517,969 0.4
79,600 Public Service Enterprise Group
Incorporated..................... 3,087,017 3,253,650 0.8
------------- ------------- -----
4,322,586 4,771,619 1.2
- -------------------------------------------------------------------------------------------------------------------
WASTE MANAGEMENT 76,600 Waste Management, Inc............. 3,276,179 4,117,250 1.1
- -------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS 255,743,860 336,976,258 87.5
- -------------------------------------------------------------------------------------------------------------------
<CAPTION>
COUNTRIES FOREIGN STOCKS+++
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
AUSTRALIA 50,800 The News Corporation Limited
(Preferred) (ADR)(a) (4)......... 1,704,915 1,603,375 0.4
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN AUSTRALIA 1,704,915 1,603,375 0.4
- -------------------------------------------------------------------------------------------------------------------
CANADA 115,500 +ATI Technologies Inc. (1)........ 1,809,185 1,864,038 0.5
53,600 Domtar, Inc. (6).................. 401,017 504,155 0.1
33,400 Nortel Networks Corporation (8)... 1,799,058 2,899,538 0.8
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 4,009,260 5,267,731 1.4
- -------------------------------------------------------------------------------------------------------------------
FINLAND 36,400 Nokia Oyj (8)..................... 1,670,921 3,188,676 0.8
55,000 UPM-Kymmene Oyj (6)............... 1,422,770 1,575,787 0.4
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 3,093,691 4,764,463 1.2
- -------------------------------------------------------------------------------------------------------------------
FRANCE 34,400 STMicroelectronics NV (NY
Registered Shares) (7)........... 1,407,105 2,386,500 0.6
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 1,407,105 2,386,500 0.6
- -------------------------------------------------------------------------------------------------------------------
JAPAN 135 Nippon Telegraph & Telephone
Corporation (NTT) (8)............ 1,062,289 1,573,401 0.4
39,500 Sony Corporation (ADR)(a) (2)..... 3,676,176 4,359,813 1.1
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 4,738,465 5,933,214 1.5
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
17
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRIES HELD FOREIGN STOCKS+++ COST (NOTE 1A) NET ASSETS
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NETHERLANDS 18,200 +ASM Lithography Holding NV (2)... $ 731,334 $ 1,052,263 0.3%
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
NETHERLANDS 731,334 1,052,263 0.3
- -------------------------------------------------------------------------------------------------------------------
SINGAPORE 62,400 +Flextronics International Ltd.
(2).............................. 2,168,823 3,447,600 0.9
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SINGAPORE 2,168,823 3,447,600 0.9
- -------------------------------------------------------------------------------------------------------------------
SWEDEN 104,400 Telefonaktiebolaget LM Ericsson
(ADR)(a) (8)..................... 2,365,420 3,432,150 0.9
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 2,365,420 3,432,150 0.9
- -------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 41,900 AstraZeneca Group PLC (3)......... 1,657,397 1,619,867 0.4
393,400 BP Amoco PLC (5).................. 6,255,125 7,046,698 1.9
93,000 Shell Transport & Trading Company
(ADR)(a) (5)..................... 3,375,962 4,312,875 1.1
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE UNITED
KINGDOM 11,288,484 12,979,440 3.4
- -------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 31,507,497 40,866,736 10.6
- -------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SHORT-TERM SECURITIES
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER* $7,462,000 General Motors Acceptance Corp.,
5.63% due 7/01/1999.............. 7,460,833 7,460,833 1.9
- -------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 7,460,833 7,460,833 1.9
- -------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS................. $ 294,712,190 385,303,827 100.0
-------------
-------------
UNREALIZED APPRECIATION ON FORWARD
FOREIGN EXCHANGE CONTRACTS++..... 66,807 0.0
LIABILITIES IN EXCESS OF OTHER
ASSETS........................... (166,190) 0.0
------------- -----
NET ASSETS........................ $ 385,204,444 100.0%
------------- -----
------------- -----
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) American Depositary Receipts (ADR).
* Commercial Paper is traded on a discount basis; the interest rate shown
reflects the discount rate paid at the time of purchase by the Portfolio.
+ Non-income producing security.
++ Forward foreign exchange contracts as of June 30, 1999 were as follows:
<TABLE>
<CAPTION>
- ---------------------------------------------
UNREALIZED
FOREIGN EXPIRATION APPRECIATION
CURRENCY SOLD DATE (NOTE 1B)
- ---------------------------------------------
<S> <C> <C>
C$ 6,550,000 July 1999 $ 66,807
- ---------------------------------------------
TOTAL UNREALIZED APPRECIATION
ON FORWARD FOREIGN
EXCHANGE CONTRACTS
(US$COMMITMENT -- $4,500,481) $ 66,807
-------------
-------------
- ---------------------------------------------
</TABLE>
+++ Corresponding industry groups for foreign securities:
(1) Computer Graphics
(2) Electronic Components
(3) Medical-Drugs
(4) Multimedia
(5) Oil-Integrated
(6) Paper & Forest Products
(7) Semiconductors
(8) Telecommunications Equipment
See Notes to Financial Statements.
18
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 11,311 United Technologies Corporation....... $ 420,918 $ 810,857 0.4%
- ------------------------------------------------------------------------------------------------------------------------
APPLICATION DEVELOPMENT 11,100 +Siebel Systems, Inc.................. 409,833 735,375 0.3
SOFTWARE
- ------------------------------------------------------------------------------------------------------------------------
AUTO & TRUCK 25,000 Delphi Automotive Systems
Corporation.......................... 425,000 464,062 0.2
- ------------------------------------------------------------------------------------------------------------------------
AUTOMOBILE RENTAL 10,320 The Hertz Corporation (Class A)....... 412,874 639,840 0.3
- ------------------------------------------------------------------------------------------------------------------------
BANKING 13,416 Bank of America Corporation........... 868,335 983,560 0.5
31,900 The Bank of New York Company, Inc..... 645,625 1,170,331 0.5
36,600 Mellon Bank Corporation............... 1,205,944 1,331,325 0.6
------------- ------------- ------
2,719,904 3,485,216 1.6
- ------------------------------------------------------------------------------------------------------------------------
BEVERAGES 30,400 PepsiCo, Inc.......................... 1,098,822 1,176,100 0.5
- ------------------------------------------------------------------------------------------------------------------------
BROADCASTING-CABLE 45,604 +AT&T Corp.-Liberty Media Group (Class
A)................................... 541,601 1,675,947 0.8
- ------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS 15,000 +American Tower Corporation (Class
A)................................... 375,000 360,000 0.2
- ------------------------------------------------------------------------------------------------------------------------
CAPITAL EQUIPMENT 3,500 Eaton Corporation..................... 235,787 322,000 0.2
3,000 Hewlett-Packard Company............... 220,193 301,500 0.1
------------- ------------- ------
455,980 623,500 0.3
- ------------------------------------------------------------------------------------------------------------------------
CHEMICALS 9,900 E.I. du Pont de Nemours and Company... 623,385 676,294 0.3
22,500 Rohm and Haas Company................. 855,941 964,688 0.4
------------- ------------- ------
1,479,326 1,640,982 0.7
- ------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES 23,000 +Quintiles Transnational Corp......... 1,068,421 964,563 0.4
- ------------------------------------------------------------------------------------------------------------------------
COMMUNICATION EQUIPMENT 29,000 +MCI WorldCom Inc..................... 963,548 2,494,000 1.1
- ------------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 6,450 +America Online, Inc.................. 565,099 712,725 0.3
37,900 +Cisco Systems, Inc................... 816,322 2,442,181 1.1
------------- ------------- ------
1,381,421 3,154,906 1.4
- ------------------------------------------------------------------------------------------------------------------------
COMPUTER SOFTWARE 5,100 +Transaction Systems Architects, Inc.
(Class A)............................ 204,829 198,900 0.1
- ------------------------------------------------------------------------------------------------------------------------
COMPUTERS 10,700 +EMC Corporation...................... 384,814 588,500 0.3
15,840 International Business Machines
Corporation.......................... 846,512 2,047,320 0.9
3,200 +Sun Microsystems, Inc................ 196,018 220,400 0.1
26,200 Tandy Corporation..................... 738,301 1,280,525 0.6
------------- ------------- ------
2,165,645 4,136,745 1.9
- ------------------------------------------------------------------------------------------------------------------------
CONSUMER-ELECTRONICS 14,000 +Dell Computer Corporation............ 435,855 517,125 0.2
- ------------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS 41,300 The Dial Corporation.................. 876,035 1,535,844 0.7
- ------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 11,350 General Electric Company.............. 964,513 1,282,550 0.6
- ------------------------------------------------------------------------------------------------------------------------
ELECTRONICS 18,250 Intel Corporation..................... 1,106,682 1,084,734 0.5
8,000 +Lattice Semiconductor Corporation.... 401,875 496,000 0.2
------------- ------------- ------
1,508,557 1,580,734 0.7
- ------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 35,600 +Premier Parks Inc.................... 928,499 1,308,300 0.6
6,200 The Walt Disney Company............... 216,852 191,038 0.1
------------- ------------- ------
1,145,351 1,499,338 0.7
- ------------------------------------------------------------------------------------------------------------------------
FINANCE 6,300 +The Goldman Sachs Group, Inc......... 333,900 455,175 0.2
23,950 +TD Waterhouse Group, Inc............. 574,800 600,247 0.3
------------- ------------- ------
908,700 1,055,422 0.5
- ------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 32,400 Associates First Capital Corporation
(Class A)............................ 1,202,710 1,435,725 0.6
8,800 Citigroup Inc......................... 403,621 418,000 0.2
19,300 Wells Fargo Company................... 767,604 825,075 0.4
------------- ------------- ------
2,373,935 2,678,800 1.2
- ------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- 24,200 Household International, Inc.......... 1,048,460 1,146,475 0.5
CONSUMER
- ------------------------------------------------------------------------------------------------------------------------
FOODS 32,700 +Keebler Foods Company................ 912,482 993,263 0.5
- ------------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 6,525 The Black & Decker Corporation........ 354,019 411,891 0.2
- ------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 7,400 Colgate-Palmolive Company............. 679,055 730,750 0.3
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
19
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS COST (NOTE 1A) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INFORMATION PROCESSING 14,800 +Unisys Corporation................... $ 483,341 $ 576,275 0.3%
3,600 Xerox Corporation..................... 201,563 212,625 0.1
------------- ------------- ------
684,904 788,900 0.4
- ------------------------------------------------------------------------------------------------------------------------
INSURANCE 3,800 American International Group, Inc..... 444,955 444,837 0.2
6,200 The Equitable Companies Incorporated.. 311,980 415,400 0.2
5,400 Providian Financial Corporation....... 272,566 504,900 0.2
------------- ------------- ------
1,029,501 1,365,137 0.6
- ------------------------------------------------------------------------------------------------------------------------
LASER SYSTEMS & 5,100 +JDS Uniphase Corporation............. 510,229 846,600 0.4
COMPONENTS
- ------------------------------------------------------------------------------------------------------------------------
MACHINERY 6,550 Case Corporation...................... 187,094 315,219 0.1
29,700 Ingersoll-Rand Company................ 1,012,517.... 1,919,363 0.9
------------- ------------- ------
1,199,611 2,234,582 1.0
- ------------------------------------------------------------------------------------------------------------------------
MACHINERY & EQUIPMENT 3,900 Caterpillar Inc....................... 216,427 234,000 0.1
- ------------------------------------------------------------------------------------------------------------------------
MANUFACTURING 16,600 Tyco International Ltd................ 875,571 1,572,850 0.7
- ------------------------------------------------------------------------------------------------------------------------
MEDIA 5,800 +Clear Channel Communications, Inc.... 409,651 399,837 0.2
- ------------------------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 9,350 Johnson & Johnson..................... 735,479 916,300 0.4
- ------------------------------------------------------------------------------------------------------------------------
METALS 9,400 Alcoa Inc............................. 364,428 581,625 0.3
- ------------------------------------------------------------------------------------------------------------------------
NATURAL GAS 20,700 Enron Corp............................ 879,701 1,692,225 0.8
- ------------------------------------------------------------------------------------------------------------------------
OIL-INTEGRATED 11,400 Mobil Corporation..................... 909,432 1,128,600 0.5
- ------------------------------------------------------------------------------------------------------------------------
OIL SERVICES 14,900 Schlumberger Limited.................. 923,802 948,944 0.4
- ------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS 9,400 International Paper Company........... 456,222 474,700 0.2
- ------------------------------------------------------------------------------------------------------------------------
PETROLEUM 27,900 Unocal Corporation.................... 990,627 1,105,538 0.5
- ------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 25,500 American Home Products Corporation.... 1,494,756 1,466,250 0.7
33,700 Bristol-Myers Squibb Company.......... 1,638,369 2,373,744 1.1
16,300 Cardinal Health, Inc.................. 1,120,101 1,045,237 0.5
5,600 Merck & Co., Inc...................... 392,336 414,400 0.2
11,500 Pfizer Inc............................ 1,498,695 1,262,125 0.5
6,700 Pharmacia & Upjohn, Inc............... 423,442 380,644 0.2
------------- ------------- ------
6,567,699 6,942,400 3.2
- ------------------------------------------------------------------------------------------------------------------------
RADIO & TELEVISION 58,800 +Capstar Broadcasting Corporation
(Class A)............................ 1,117,200 1,609,650 0.7
- ------------------------------------------------------------------------------------------------------------------------
RETAIL 4,600 +Best Buy Co., Inc.................... 216,338 310,500 0.1
13,600 Dayton Hudson Corporation............. 944,006 884,000 0.4
3,700 +Federated Department Stores, Inc..... 196,322 195,869 0.1
21,800 +Safeway Inc.......................... 762,589 1,079,100 0.5
29,200 Wal-Mart Stores, Inc.................. 655,811 1,408,900 0.7
------------- ------------- ------
2,775,066 3,878,369 1.8
- ------------------------------------------------------------------------------------------------------------------------
RETAIL SPECIALTY 16,000 Lowe's Companies, Inc................. 573,219 907,000 0.4
- ------------------------------------------------------------------------------------------------------------------------
SAVINGS & LOAN 23,100 GreenPoint Financial Corp............. 872,815 757,969 0.4
ASSOCIATIONS
- ------------------------------------------------------------------------------------------------------------------------
SCIENTIFIC EQUIPMENTS 9,100 Millipore Corporation................. 189,316 369,119 0.2
- ------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS 3,850 +Applied Materials, Inc............... 246,366 284,419 0.1
17,250 Motorola, Inc......................... 945,556 1,634,438 0.8
------------- ------------- ------
1,191,922 1,918,857 0.9
- ------------------------------------------------------------------------------------------------------------------------
SOFTWARE 50,240 +Microsoft Corporation................ 3,845,884 4,527,880 2.1
- ------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 33,709 AT&T Corp............................. 708,560 1,881,383 0.8
22,700 GTE Corporation....................... 1,165,618 1,719,525 0.8
12,800 Lucent Technologies Inc............... 706,663 863,200 0.4
------------- ------------- ------
2,580,841 4,464,108 2.0
- ------------------------------------------------------------------------------------------------------------------------
TOBACCO 11,500 Philip Morris Companies Inc........... 526,628 462,156 0.2
- ------------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 12,500 Royal Caribbean Cruises Ltd........... 314,986 546,875 0.3
- ------------------------------------------------------------------------------------------------------------------------
UTILITIES-COMMUNICATION 20,100 Ameritech Corporation................. 982,768 1,477,350 0.7
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
20
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS COST (NOTE 1A) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
UTILITIES-ELECTRIC 9,050 PECO Energy Company................... $ 308,574 $ 378,969 0.2%
18,700 Public Service Enterprise Group
Incorporated......................... 726,467 764,363 0.3
------------- ------------- ------
1,035,041 1,143,332 0.5
- ------------------------------------------------------------------------------------------------------------------------
WASTE MANAGEMENT 19,900 Waste Management, Inc................. 870,526 1,069,625 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS 58,959,580 80,357,713 36.7
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
COUNTRIES FOREIGN STOCKS+++
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
AUSTRALIA 79,100 Broken Hill Proprietary Company
Limited (18)......................... 870,729 916,235 0.4
11,900 The News Corporation Limited
(Preferred) (ADR)* (33).............. 399,378 375,594 0.2
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN AUSTRALIA 1,270,107 1,291,829 0.6
- ------------------------------------------------------------------------------------------------------------------------
AUSTRIA 12,100 Mayr-Melnhof Karton AG (39)........... 609,368 548,691 0.3
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN AUSTRIA 609,368 548,691 0.3
- ------------------------------------------------------------------------------------------------------------------------
BRAZIL 27,400 Aracruz Celulose SA (ADR)* (38)....... 384,245 602,800 0.3
25,200 +Companhia Vale do Rio Doce 'A'
(Preferred) (35)..................... 360,372 494,898 0.2
21,200 Embratel Participacoes SA (ADR)*
(48)................................. 350,522 294,150 0.1
4,600 +Telecomunicacoes Brasileiras
SA-Telebras (ADR)* (48).............. 719 288 0.0
4,600 Telecomunicacoes Brasileiras
SA-Telebras (Preferred Block) (ADR)*
(48)................................. 362,628 414,863 0.2
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BRAZIL 1,458,486 1,806,999 0.8
- ------------------------------------------------------------------------------------------------------------------------
CANADA 22,400 +ATI Technologies Inc. (37)........... 350,872 361,510 0.2
61,100 Domtar, Inc. (39)..................... 493,732 574,699 0.3
6,500 Nortel Networks Corporation (12)...... 354,640 564,281 0.2
48,000 Teleglobe Inc. (49)................... 1,312,205 1,428,000 0.6
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 2,511,449 2,928,490 1.3
- ------------------------------------------------------------------------------------------------------------------------
DENMARK 1,800 +ISS International Service System A/S
'B' (11)............................. 117,455 95,652 0.0
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN DENMARK 117,455 95,652 0.0
- ------------------------------------------------------------------------------------------------------------------------
FINLAND 35,100 Amer Group Ltd. (4)................... 670,527 504,628 0.2
15,100 Nokia Oyj (12)........................ 782,036 1,322,775 0.6
23,000 Sampo Insurance Company PLC 'A' (27).. 1,063,535 666,077 0.3
43,740 Sponda Oyj (43)....................... 316,598 220,884 0.1
20,100 UPM-Kymmene Oyj (39).................. 525,367 575,879 0.3
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 3,358,063 3,290,243 1.5
- ------------------------------------------------------------------------------------------------------------------------
FRANCE 12,100 Axa (27).............................. 1,458,764 1,475,232 0.7
1,860 Cap Gemini SA (26).................... 302,545 292,138 0.1
5,376 Carrefour SA (34)..................... 670,271 789,522 0.4
10,700 Elf Aquitaine SA (36)................. 1,311,695 1,569,202 0.7
13,000 France Telecom SA (49)................ 1,011,195 981,389 0.5
2,700 Groupe Danone SA (23)................. 708,863 695,655 0.3
41,200 Pechiney SA 'A' (35).................. 1,865,739 1,769,763 0.8
26,200 STMicroelectronics NV (NY Registered
Shares) (46)......................... 939,549 1,817,625 0.8
18,900 Scor (44)............................. 746,881 936,908 0.4
1,212 Societe Generale 'A' (5).............. 224,965 213,469 0.1
18,800 Thomson CSF (21)...................... 708,861 652,947 0.3
3,400 Total SA 'B' (38)..................... 446,983 438,355 0.2
14,400 Vivendi (52).......................... 990,861 1,165,732 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 11,387,172 12,797,937 5.8
- ------------------------------------------------------------------------------------------------------------------------
GERMANY 4,600 BASF AG (10).......................... 206,415 203,142 0.1
12,400 DaimlerChrysler AG (4)................ 1,125,880 1,073,473 0.5
15,400 Henkel KGaA (Preferred) (10).......... 656,391 1,050,676 0.5
6,250 Mannesmann AG (31).................... 939,838 932,049 0.4
9,500 RWE AG (18)........................... 520,613 439,505 0.2
10,000 Siemens AG (21)....................... 689,454 770,889 0.4
7,138 Veba AG (52).......................... 438,982 419,316 0.2
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 4,577,573 4,889,050 2.3
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
21
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRIES HELD FOREIGN STOCKS+++ COST (NOTE 1A) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
HONG KONG 24,600 Hutchison Whampoa Limited (36)........ $ 227,165 $ 222,740 0.1%
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN HONG KONG 227,165 222,740 0.1
- ------------------------------------------------------------------------------------------------------------------------
IRELAND 53,500 Bank of Ireland (5)................... 1,131,535 902,242 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN IRELAND 1,131,535 902,242 0.4
- ------------------------------------------------------------------------------------------------------------------------
ITALY 63,900 Mondadori (Arnoldo) Editore SpA
(42)................................. 451,594 1,106,370 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 451,594 1,106,370 0.5
- ------------------------------------------------------------------------------------------------------------------------
JAPAN 58,000 The Bank of Tokyo-Mitsubishi, Ltd.
(6).................................. 743,952 826,037 0.4
28,000 Bridgestone Corp. (50)................ 685,295 847,082 0.4
41,000 The Daimaru, Inc. (45)................ 188,323 200,628 0.1
27,000 Fuji Photo Film (41).................. 1,022,584 1,022,152 0.5
107,000 Fujitsu Limited (21).................. 1,421,211 2,153,620 1.0
27,000 Honda Motor Co., Ltd. (3)............. 1,059,829 1,144,900 0.5
11,000 Ito-Yokado Co., Ltd. (45)............. 636,063 736,485 0.3
45,000 Kao Corporation (16).................. 918,315 1,264,672 0.6
2,300 Keyence Corporation (21).............. 313,765 402,662 0.2
49,000 Marui Co., Ltd. (39).................. 869,281 810,051 0.4
44,000 Matsushita Electric Industrial
Company, Ltd. (21)................... 770,233 854,687 0.4
41,000 Minebea Company Ltd. (30)............. 423,538 457,514 0.2
55,000 +Mitsukoshi, Ltd. (45)................ 239,351 239,130 0.1
84,000 NEC Corporation (14).................. 832,051 1,044,966 0.5
95 +NTT Mobile Communications Network,
Inc. (49)............................ 626,957 1,275,252 0.6
251,000 Nippon Sheet Glass Company, Ltd.
(24)................................. 784,501 894,206 0.4
85 Nippon Telegraph & Telephone
Corporation (NTT) (49)............... 718,819 990,660 0.4
37,000 Olympus Optical Co., Ltd. (18)........ 416,931 547,140 0.2
7,000 Orix Corporation (22)................. 507,328 624,897 0.3
7,000 Rohm Company Ltd. (21)................ 614,057 1,096,462 0.5
90,000 The Sanwa Bank, Ltd. (6).............. 916,183 886,014 0.4
5,400 Softbank Corporation (17)............. 838,216 1,094,016 0.5
9,800 Sony Corporation (ADR)* (1)........... 815,946 1,081,675 0.5
70,000 The Sumitomo Bank, Ltd. (5)........... 895,398 868,491 0.4
8,000 TDK Corporation (32).................. 620,547 732,022 0.3
19,000 Takeda Chemical Industries (40)....... 686,683 881,055 0.4
62,000 The Tokio Marine & Fire Insurance Co.
Ltd. (27)............................ 704,811 673,913 0.3
154,000 Toshiba Corporation (21).............. 1,020,584 1,098,545 0.5
37,000 Toyota Motor Corporation (3).......... 1,009,910 1,171,351 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 21,300,662 25,920,285 11.8
- ------------------------------------------------------------------------------------------------------------------------
NETHERLANDS 24,600 ABN AMRO Holding NV (5)............... 539,348 532,408 0.2
4,200 +ASM Lithography Holding NV (20)...... 168,769 242,830 0.1
4,700 Akzo Nobel NV (10).................... 214,837 197,628 0.1
15,800 +Baan Company, NV (13)................ 248,227 244,252 0.1
16,700 CSM NV (23)........................... 877,404 833,874 0.4
17,500 Koninklijke Ahold NV (23)............. 674,712 602,386 0.3
8,571 Unilever NV 'A' (36).................. 688,658 577,254 0.3
22,400 Wolters Kluwer NV 'A' (35)............ 855,949 891,098 0.4
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE NETHERLANDS 4,267,904 4,121,730 1.9
- ------------------------------------------------------------------------------------------------------------------------
NORWAY 25,300 Bergesen d.y. ASA 'B' (51)............ 364,014 358,671 0.2
61,900 Merkantildata ASA (13)................ 528,310 598,144 0.3
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 892,324 956,815 0.5
- ------------------------------------------------------------------------------------------------------------------------
SINGAPORE 22,000 Development Bank of Singapore Limited
'Foreign' (6)........................ 227,584 268,939 0.1
20,000 +Flextronics International Ltd.
(20)................................. 686,379 1,105,000 0.5
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SINGAPORE 913,963 1,373,939 0.6
- ------------------------------------------------------------------------------------------------------------------------
SOUTH KOREA 14,500 Pohang Iron & Steel Company, Ltd.
(ADR)* (47).......................... 401,389 487,563 0.2
2,400 Samsung Electronics (21).............. 173,518 263,326 0.1
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH KOREA 574,907 750,889 0.3
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
22
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRIES HELD FOREIGN STOCKS+++ COST (NOTE 1A) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SPAIN 51,000 +Dinamia Capital Privado. Sociedad de
Capital Riesgo, SA (53).............. $ 958,809 $ 544,528 0.3%
39,200 Endesa SA (52)........................ 1,027,231 835,462 0.4
8,350 +Grupo Ferrovial, SA (15)............. 203,226 202,229 0.1
25,900 Metrovacesa, SA (43).................. 807,264 505,290 0.2
23,000 Repsol SA (38)........................ 446,425 469,335 0.2
23,600 +Telefonica SA (49)................... 1,028,435 1,136,088 0.5
79,200 Uralita, SA (8)....................... 1,088,348 665,232 0.3
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 5,559,738 4,358,164 2.0
- ------------------------------------------------------------------------------------------------------------------------
SWEDEN 17,200 Autoliv, Inc. (4)..................... 575,639 525,485 0.2
48,400 Castellum AB (43)..................... 521,674 456,738 0.2
4,900 Custos AB 'A' (18).................... 126,204 105,485 0.0
19,100 Custos AB 'B' (18).................... 503,438 414,556 0.2
63,000 Fastighets AB Tornet (43)............. 971,284 858,331 0.4
29,400 ForeningsSparbanken AB (5)............ 250,439 416,160 0.2
63,000 Haldex AB (4)......................... 1,114,031 824,889 0.4
75,400 Investment AB Bure (28)............... 345,447 400,236 0.2
95,400 Nordbanken Holding AB (5)............. 647,233 559,290 0.2
53,000 +Stora Enso Oyj 'R' (39).............. 519,131 575,170 0.3
44,600 Telefonaktiebolaget LM Ericsson
(ADR)* (49).......................... 1,119,967 1,466,225 0.7
12,500 Volvo AB 'B' (2)...................... 348,533 363,462 0.2
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 7,043,020 6,966,027 3.2
- ------------------------------------------------------------------------------------------------------------------------
SWITZERLAND 2,909 Credit Suisse Group (Registered
Shares) (5).......................... 513,459 503,974 0.2
2,132 Swisscom AG (Registered Shares) (48).. 593,845 803,259 0.4
1,579 UBS AG (Registered Shares) (6)........ 525,178 471,859 0.2
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWITZERLAND 1,632,482 1,779,092 0.8
- ------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 25,800 AstraZeneca Group PLC (19)............ 1,037,033 997,436 0.5
88,900 BP Amoco PLC (38)..................... 1,470,982 1,592,403 0.7
38,000 Bank of Scotland (5).................. 440,708 502,868 0.2
300,500 Billiton PLC (18)..................... 755,601 1,047,415 0.5
92,500 The British Land Company PLC (43)..... 838,826 773,068 0.4
40,000 British Telecommunications PLC (48)... 651,039 669,860 0.3
45,300 Cable & Wireless PLC (48)............. 675,286 576,991 0.3
237,400 Devro PLC (23)........................ 1,123,733 527,340 0.2
98,348 Diageo PLC (7)........................ 1,109,788 1,026,461 0.5
38,800 Dixons Group PLC (45)................. 886,953 724,337 0.3
20,700 +Energis PLC (48)..................... 560,338 493,401 0.2
31,600 Glaxo Wellcome PLC (40)............... 1,009,753 877,668 0.4
32,400 HSBC Holdings PLC (5)................. 858,938 1,146,935 0.5
167,700 Hilton Group PLC (29)................. 882,960 664,449 0.3
126,300 Lloyds TSB Group PLC (5).............. 1,699,647 1,711,168 0.8
42,300 The Peninsular and Oriental Steam
Navigation Company (51).............. 651,891 634,740 0.3
65,000 Reed International PLC (42)........... 545,081 433,412 0.2
24,600 Shell Transport & Trading Company
(ADR)* (38).......................... 895,922 1,140,825 0.5
88,600 +TeleWest Communications PLC (9)...... 384,104 397,106 0.2
34,900 Vodafone Group PLC (48)............... 647,701 687,268 0.3
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE UNITED
KINGDOM 17,126,284 16,625,151 7.6
- ------------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 86,411,251 92,732,335 42.3
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT FOREIGN BONDS+++
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
GERMANY Bundesrepublik Deutschland (25):
[EURO]6,600,000 4.75% due 11/20/2001................ 8,006,597 7,012,129 3.2
9,000,000 4.75% due 7/04/2008................. 10,732,896 9,428,291 4.3
3,950,000 4.75% due 7/04/2028................. 4,661,175 3,679,181 1.6
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 23,400,668 20,119,601 9.1
- ----------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM L 5,142,000 UK Treasury Gilt 7.25% due 12/07/2007
(25)................................. 9,688,985 9,145,370 4.2
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
UNITED KINGDOM 9,688,985 9,145,370 4.2
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
23
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
TOTAL FOREIGN BONDS 33,089,653 29,264,971 13.3
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE VALUE PERCENT OF
AMOUNT US GOVERNMENT & AGENCY OBLIGATIONS COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
US Federal National Mortgage Association,
GOVERNMENT & US$ 480,000 5.625% due 3/15/2001................ $ 482,064 $ 479,174 0.2%
AGENCY 3,500,000 5.75% due 2/15/2008................. 3,486,328 3,346,315 1.5
OBLIGATIONS 5,750,000 6.375% due 6/15/2009................ 5,741,019 5,701,470 2.6
2,390,000 US Treasury Bonds, 6.625% due
2/15/2027........................... 2,709,158 2,524,055 1.2
2,050,000 US Treasury Notes, 4.25% due
11/15/2003........................... 1,940,933 1,935,651 0.9
- ----------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY
OBLIGATIONS 14,359,502 13,986,665 6.4
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS..................... $ 192,819,986 216,341,684 98.7
-------------
-------------
UNREALIZED APPRECIATION ON FORWARD
FOREIGN EXCHANGE CONTRACTS++........ 39,778 0.0
OTHER ASSETS LESS LIABILITIES......... 2,851,191 1.3
------------- -----------
NET ASSETS............................ $ 219,232,653 100.0%
------------- -----------
------------- -----------
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
* American Depositary Receipts (ADR).
+ Non-income producing security.
++ Forward foreign exchange contracts as of June 30, 1999 were as follows:
<TABLE>
<CAPTION>
- -------------------------------------------------
UNREALIZED
FOREIGN EXPIRATION APPRECIATION
CURRENCY SOLD DATE (NOTE 1B)
- -------------------------------------------------
<S> <C> <C>
C$ 3,900,000 July 1999 $ 39,778
- -------------------------------------------------
TOTAL UNREALIZED APPRECIATION ON
FORWARD FOREIGN EXCHANGE CONTRACTS
- -- NET (US$ COMMITMENT --
$2,679,676) $ 39,778
-------------
-------------
- -------------------------------------------------
</TABLE>
+++ Corresponding industry groups for foreign stocks and bonds:
<TABLE>
<C> <S>
(1) Appliances
(2) Automobile & Equipment
(3) Automotive
(4) Auto-Parts
(5) Banking
(6) Banking & Financial
(7) Beverages
(8) Building Products
(9) Cable Television Services
(10) Chemicals
(11) Commercial Services
(12) Communication Equipment
(13) Computer Software
(14) Computers
(15) Construction
(16) Cosmetics & Toiletries
(17) Distribution
(18) Diversified
(19) Drugs
(20) Electronic Components
(21) Electronics
(22) Finance
(23) Food
(24) Glass
(25) Government (Bonds)
(26) Information Processing
(27) Insurance
(28) Investment Management
(29) Leisure
(30) Machine Tools & Machinery
(31) Machinery & Equipment
(32) Manufacturing
(33) Media-Communications
(34) Merchandising
(35) Metals & Mining
(36) Multi-Industry
(37) Multimedia
(38) Oil-Integrated
(39) Paper & Forest Products
(40) Pharmaceuticals
(41) Photography
(42) Publishing
(43) Real Estate
(44) Reinsurance
(45) Retail
(46) Semiconductors
(47) Steel
(48) Telecommunications
(49) Telephone-Integrated
(50) Tires & Rubber
(51) Transport Services
(52) Utilities
(53) Venture Capital
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES SHARES HELD STOCKS COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
ADVERTISING 50,000 The Interpublic Group of
Companies, Inc................... $ 1,418,134 $ 4,331,250 0.8%
- ------------------------------------------------------------------------------------------------------------------
BANKING & FINANCIAL 180,000 Bank of America Corporation....... 11,752,664 13,196,250 2.5
190,000 Bank One Corporation.............. 9,242,841 11,316,875 2.2
292,500 Citigroup Inc..................... 10,270,126 13,893,750 2.7
370,000 Mellon Bank Corporation........... 11,896,503 13,458,750 2.6
56,300 State Street Corporation.......... 3,124,343 4,806,613 0.9
------------- ------------- -----
46,286,477 56,672,238 10.9
- ------------------------------------------------------------------------------------------------------------------
BEVERAGES 26,000 The Coca-Cola Company............. 2,191,687 1,625,000 0.3
- ------------------------------------------------------------------------------------------------------------------
BROADCASTING-MEDIA 100,000 +Infinity Broadcasting Corp.
(Class A)........................ 2,187,889 2,975,000 0.6
- ------------------------------------------------------------------------------------------------------------------
BROADCASTING-RADIO & 70,000 +CBS Corporation.................. 1,997,607 3,040,625 0.6
TELEVISION 80,000 +Chancellor Media Corporation..... 3,787,238 4,405,000 0.8
125,000 +Clear Channel Communications,
Inc.............................. 5,620,681 8,617,187 1.7
------------- ------------- -----
11,405,526 16,062,812 3.1
- ------------------------------------------------------------------------------------------------------------------
CHEMICALS 170,000 E.I. du Pont de Nemours and
Company.......................... 11,229,801 11,613,125 2.2
- ------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS 90,000 +3Com Corporation................. 2,525,863 2,396,250 0.5
EQUIPMENT 370,000 +Cisco Systems, Inc............... 9,725,551 23,841,875 4.6
20,000 Lucent Technologies Inc........... 724,975 1,348,750 0.2
5,000 Nortel Networks Corporation....... 242,687 434,063 0.1
------------- ------------- -----
13,219,076 28,020,938 5.4
- ------------------------------------------------------------------------------------------------------------------
COMPUTER-SOFTWARE 7,000 +Microsoft Corporation............ 373,220 630,875 0.1
260,000 SAP AG (Systeme, Anwendungen,
Produkte in der
Datenverarbeitung) (ADR)*........ 4,022,500 9,002,500 1.7
------------- ------------- -----
4,395,720 9,633,375 1.8
- ------------------------------------------------------------------------------------------------------------------
COMPUTERS 50,000 Compaq Computer Corporation....... 1,795,875 1,184,375 0.2
25,000 +Dell Computer Corporation........ 513,759 923,437 0.2
100,000 International Business Machines
Corporation...................... 10,029,665 12,925,000 2.5
------------- ------------- -----
12,339,299 15,032,812 2.9
- ------------------------------------------------------------------------------------------------------------------
COSMETICS 25,000 The Gillette Company.............. 1,222,055 1,025,000 0.2
10,000 International Flavors & Fragrances
Inc.............................. 485,470 443,750 0.1
------------- ------------- -----
1,707,525 1,468,750 0.3
- ------------------------------------------------------------------------------------------------------------------
DIVERSIFIED 120,000 Minnesota Mining and Manufacturing
Company (3M)..................... 9,212,080 10,432,500 2.0
- ------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 20,000 Emerson Electric Co............... 658,040 1,257,500 0.2
185,000 General Electric Company.......... 11,803,463 20,905,000 4.0
7,000 Honeywell Inc..................... 505,671 811,125 0.2
------------- ------------- -----
12,967,174 22,973,625 4.4
- ------------------------------------------------------------------------------------------------------------------
ELECTRONICS 5,000 Intel Corporation................. 278,906 297,188 0.1
5,000 Texas Instruments Incorporated.... 298,965 725,000 0.1
------------- ------------- -----
577,871 1,022,188 0.2
- ------------------------------------------------------------------------------------------------------------------
ENERGY 20,000 Duke Energy Corporation........... 1,203,412 1,087,500 0.2
200,000 El Paso Energy Corporation........ 7,170,917 7,037,500 1.3
23,000 Enron Corp........................ 1,398,296 1,880,250 0.4
40,000 UtiliCorp United Inc.............. 1,031,931 972,500 0.2
------------- ------------- -----
10,804,556 10,977,750 2.1
- ------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 270,000 The Walt Disney Company........... 8,254,765 8,319,375 1.6
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
25
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES SHARES HELD STOCKS COST (NOTE 1A) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FINANCIAL SERVICES 10,000 American Express Company.......... $ 886,725 $ 1,301,250 0.2%
50,000 Federal Home Loan Mortgage
Association...................... 2,941,362 2,900,000 0.6
100,000 Federal National Mortgage
Association...................... 6,071,232 6,837,500 1.3
35,000 Franklin Resources, Inc........... 1,974,940 1,421,875 0.3
100,000 Morgan Stanley Dean Witter & Co... 8,589,526 10,250,000 2.0
32,100 T. Rowe Price Associates, Inc..... 1,163,689 1,229,831 0.2
------------- ------------- -----
21,627,474 23,940,456 4.6
- ------------------------------------------------------------------------------------------------------------------
FOOD 25,000 ConAgra, Inc...................... 553,250 665,625 0.1
25,000 Wm. Wrigley Jr. Company........... 1,504,620 2,250,000 0.5
------------- ------------- -----
2,057,870 2,915,625 0.6
- ------------------------------------------------------------------------------------------------------------------
FOOD MERCHANDISING 17,000 Albertson's, Inc.................. 699,915 876,562 0.2
70,000 +The Kroger Co.................... 823,550 1,955,625 0.4
25,000 +Safeway Inc...................... 1,140,220 1,237,500 0.2
------------- ------------- -----
2,663,685 4,069,687 0.8
- ------------------------------------------------------------------------------------------------------------------
HOME FURNISHINGS 90,000 Ethan Allen Interiors, Inc........ 3,273,567 3,397,500 0.6
- ------------------------------------------------------------------------------------------------------------------
HOTELS 65,000 Marriott International, Inc.
(Class A)........................ 1,853,742 2,429,375 0.5
- ------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 5,000 Colgate-Palmolive Company......... 350,350 493,750 0.1
100,000 Kimberly-Clark Corporation........ 5,053,929 5,700,000 1.1
80,000 The Procter & Gamble Company...... 6,554,720 7,140,000 1.4
70,000 Unilever NV (NY Registered
Shares).......................... 5,521,594 4,882,500 0.9
------------- ------------- -----
17,480,593 18,216,250 3.5
- ------------------------------------------------------------------------------------------------------------------
INFORMATION SERVICES 120,000 +America Online, Inc.............. 3,736,962 13,260,000 2.5
150,000 First Data Corporation............ 5,680,096 7,340,625 1.4
------------- ------------- -----
9,417,058 20,600,625 3.9
- ------------------------------------------------------------------------------------------------------------------
INSURANCE 10,000 Aetna Inc......................... 822,491 894,375 0.2
100,000 American International Group,
Inc.............................. 9,316,017 11,706,250 2.2
145,000 The Hartford Financial Services
Group, Inc....................... 8,653,181 8,455,313 1.6
------------- ------------- -----
18,791,689 21,055,938 4.0
- ------------------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 100,000 Abbott Laboratories............... 4,788,577 4,550,000 0.9
50,000 +Boston Scientific Corporation.... 1,282,191 2,196,875 0.4
14,000 +Guidant Corporation.............. 440,436 720,125 0.1
10,000 Johnson & Johnson................. 471,880 980,000 0.2
------------- ------------- -----
6,983,084 8,447,000 1.6
- ------------------------------------------------------------------------------------------------------------------
OIL SERVICES 20,000 Baker Hughes Incorporated......... 831,632 670,000 0.1
10,000 Diamond Offshore Drilling, Inc.... 282,113 283,750 0.1
10,000 Schlumberger Limited.............. 574,037 636,875 0.1
------------- ------------- -----
1,687,782 1,590,625 0.3
- ------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 30,000 +Amgen Inc........................ 961,875 1,824,375 0.4
260,000 Bristol-Myers Squibb Company...... 14,073,611 18,313,750 3.5
165,000 Merck & Co., Inc.................. 7,774,670 12,210,000 2.3
130,000 Pfizer Inc........................ 9,637,042 14,267,500 2.7
------------- ------------- -----
32,447,198 46,615,625 8.9
- ------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 5,000 Eastman Kodak Company............. 323,425 338,750 0.1
- ------------------------------------------------------------------------------------------------------------------
POLLUTION CONTROL 24,500 Waste Management, Inc............. 1,089,274 1,316,875 0.3
- ------------------------------------------------------------------------------------------------------------------
PUBLISHING 35,000 Gannett Co., Inc.................. 2,536,450 2,498,125 0.5
- ------------------------------------------------------------------------------------------------------------------
RESTAURANTS 30,000 McDonald's Corporation............ 684,747 1,239,375 0.2
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
26
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of June 30, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PERCENT OF
INDUSTRIES SHARES HELD STOCKS COST (NOTE 1A) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
RETAIL SPECIALTY 74,000 +Abercrombie & Fitch Co. (Class
A)............................... $ 2,053,153 $ 3,552,000 0.7%
175,000 CVS Corporation................... 5,848,102 8,881,250 1.7
27,000 The Gap, Inc...................... 488,340 1,360,125 0.2
109,100 Lowe's Companies, Inc............. 5,032,809 6,184,606 1.2
150,000 +Staples, Inc..................... 2,029,070 4,631,250 0.9
20,000 +Tommy Hilfiger Corporation....... 1,453,418 1,470,000 0.3
325,000 Walgreen Co....................... 6,525,569 9,546,875 1.8
------------- ------------- -----
23,430,461 35,626,106 6.8
- ------------------------------------------------------------------------------------------------------------------
RETAIL STORES 80,000 The TJX Companies, Inc............ 2,485,805 2,665,000 0.5
160,000 Wal-Mart Stores, Inc.............. 3,084,800 7,720,000 1.5
------------- ------------- -----
5,570,605 10,385,000 2.0
- ------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS 15,000 +Applied Materials, Inc........... 549,063 1,108,125 0.2
- ------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 247,500 AT&T Corp......................... 11,799,941 13,813,594 2.7
45,000 Ameritech Corporation............. 2,574,504 3,307,500 0.6
15,000 Cable & Wireless PLC (ADR)*....... 593,888 594,375 0.1
86,300 +Equant (NY Registered Shares).... 6,458,841 8,122,987 1.6
175,000 GTE Corporation................... 10,081,905 13,256,250 2.5
100,000 +MCI WorldCom Inc................. 4,392,316 8,600,000 1.6
314,000 Sprint Corp. (FON Group).......... 8,669,763 16,583,125 3.2
125,000 +Sprint Corp. (PCS Group)......... 3,785,678 7,140,625 1.4
30,000 Vodafone Group PLC (ADR)*......... 5,434,003 5,910,000 1.1
------------- ------------- -----
53,790,839 77,328,456 14.8
- ------------------------------------------------------------------------------------------------------------------
TOYS 35,000 Mattel, Inc....................... 1,276,170 925,313 0.2
- ------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 130,000 Carnival Corporation.............. 3,057,700 6,305,000 1.2
- ------------------------------------------------------------------------------------------------------------------
TOTAL STOCKS 358,790,056 491,510,569 94.2
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SHORT-TERM SECURITIES
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER** $ 7,307,000 Associates First Capital Corp.,
4.92% due 7/30/1999.............. 7,277,041 7,277,041 1.4
17,058,000 General Motors Acceptance Corp.,
5.63% due 7/01/1999.............. 17,055,332 17,055,332 3.3
- ------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 24,332,373 24,332,373 4.7
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS................. $ 383,122,429 515,842,942 98.9
-------------
-------------
OTHER ASSETS LESS LIABILITIES..... 5,845,012 1.1
------------- -----
NET ASSETS........................ $ 521,687,954 100.0%
------------- -----
------------- -----
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
* American Depositary Receipts (ADR).
** Commercial Paper is traded on a discount basis; the interest rates shown
reflect the discount rates paid at the time of purchase by the Portfolio.
+ Non-income producing security.
See Notes to Financial Statements.
27
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
AIRLINES-0.7% BB Ba2 $ 750,000 USAir Inc., 10.375% due 3/01/2013....... $ 750,000 $ 796,125
- ------------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE-1.1% CC Caa3 1,000,000 Breed Technologies Inc., 9.25% due
4/15/2008.............................. 1,000,000 160,000
B B2 1,000,000 Venture Holdings Trust, 11% due
6/01/2007(b)........................... 1,000,000 1,010,000
------------ ------------
2,000,000 1,170,000
- ------------------------------------------------------------------------------------------------------------------------
BROADCASTING-RADIO & B B1 2,000,000 Chancellor Media Corp., 9% due
TELEVISION-5.7% 10/01/2008............................. 1,990,000 2,035,000
CCC+ B3 1,000,000 Cumulus Media, Inc., 10.375% due
7/01/2008.............................. 1,000,000 1,060,000
B- B3 1,000,000 Salem Communications Corp., 9.50% due
10/01/2007............................. 1,020,000 1,050,000
B B2 2,000,000 Sinclair Broadcasting Group Inc., 8.75%
due 12/15/2007......................... 1,992,160 1,940,000
------------ ------------
6,002,160 6,085,000
- ------------------------------------------------------------------------------------------------------------------------
CABLE-DOMESTIC-6.1% CCC Ca 1,173,139 American Telecasting Inc., 30.325%** due
6/15/2004(e)........................... 614,669 1,231,796
B- B3 500,000 Avalon Cable of Michigan, 9.375% due
12/01/2008(b).......................... 500,000 508,125
BB- Ba3 2,000,000 Century Communications Corporation,
9.50% due 3/01/2005.................... 1,977,500 2,065,000
B B2 1,500,000 Intermedia Capital Partners LP, 11.25%
due 8/01/2006.......................... 1,493,750 1,668,750
B+ B1 1,000,000 Olympus Communications LP/Capital Corp.,
10.625% due 11/15/2006................. 1,000,000 1,080,000
------------ ------------
5,585,919 6,553,671
- ------------------------------------------------------------------------------------------------------------------------
CABLE- Australis Media Ltd.(e)(h):
INTERNATIONAL-4.1% D NR* 2,000,000 1.75%/15.75% due
5/15/2003(g)........................... 1,366,087 20,000
D NR* 34,214 1.75%/15.75% due 5/15/2003............. 18,823 342
BB Ba3 1,000,000 Cablevision SA, 13.75% due
5/01/2009(b)........................... 1,000,000 910,000
B+ B2 1,000,000 Globo Comunicacoes e Participacoes,
Ltd., 10.50% due 12/20/2006(b)......... 1,003,750 720,000
BB Ba2 1,000,000 Grupo Televisa SA, 11.375% due
5/15/2003.............................. 1,010,000 1,022,500
B- B3 2,000,000 International Cabletel, Inc., Series B,
10.688%** due 2/01/2006................ 1,711,933 1,745,000
------------ ------------
6,110,593 4,417,842
- ------------------------------------------------------------------------------------------------------------------------
CAPITAL GOODS-3.7% B+ B1 1,000,000 Bucyrus International, 9.75% due
9/15/2007.............................. 1,000,000 910,000
B B2 1,000,000 Columbus McKinnon Corp., 8.50% due
4/01/2008.............................. 997,340 960,000
B- B3 1,500,000 International Wire Group, Inc., 11.75%
due 6/01/2005.......................... 1,486,875 1,556,250
CCC- Ca 1,250,000 Morris Materials Handling, 9.50% due
4/01/2008.............................. 1,235,000 481,250
------------ ------------
4,719,215 3,907,500
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
28
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1999 (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>
- ------------------------------------------------------------------------------------------------------------------------
CHEMICALS-1.2% BB- Ba3 $ 744,000 ISP Holdings Inc., 9.75% due
2/15/2002.............................. $ 744,000 $ 757,020
BB Ba3 500,000 Lyondell Chemical Company, 9.875% due
5/01/2007(b)........................... 500,000 511,250
------------ ------------
1,244,000 1,268,270
- ------------------------------------------------------------------------------------------------------------------------
COMPUTER B- B3 1,000,000 PSINet, Inc., 10% due 2/15/2005......... 1,000,000 1,005,000
SERVICES-0.9%
- ------------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES BB- Ba3 2,000,000 Amkor Technologies Inc., 9.25% due
ELECTRONICS-1.8% 5/01/2006(b)........................... 2,000,000 1,950,000
- ------------------------------------------------------------------------------------------------------------------------
CONGLOMERATES-1.0% B+ B1 1,000,000 Sequa Corp., 9.375% due 12/15/2003...... 1,030,937 1,015,000
- ------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED-4.0% B+ B1 3,000,000 Applied Power Inc., 8.75% due
4/01/2009.............................. 3,000,000 2,910,000
B- B2 500,000 Koppers Industries, Inc., 9.875% due
12/01/2007............................. 500,000 487,500
B+ B3 1,000,000 RBX Corp, 12% due 1/15/2003............. 1,000,000 850,000
------------ ------------
4,500,000 4,247,500
- ------------------------------------------------------------------------------------------------------------------------
ENERGY-5.9% B- B3 500,000 Bellwether Exploration, 10.875% due
4/01/2007.............................. 500,000 478,750
B B3 500,000 Chesapeake Energy Corp., 9.125% due
4/15/2006.............................. 498,175 440,000
B B2 2,000,000 Energy Corp. of America, 9.50% due
5/15/2007.............................. 2,000,000 1,830,000
B- B3 1,000,000 Ocean Rig Norway AS, 10.25% due
6/01/2008.............................. 953,750 720,000
B+ B1 500,000 Parker Drilling Co., 9.75% due
11/15/2006............................. 496,075 462,500
NR* B2 1,500,000 Petroleo Brasileiro SA, 10% due
10/17/2006(b).......................... 1,500,000 1,350,000
CCC- Caa2 1,000,000 Southwest Royalties Inc., 10.50% due
10/15/2004............................. 987,910 470,000
D C 5,150,000 TransAmerican Energy Corp., Series B,
13.163%** due 6/15/2002................ 4,984,867 598,687
------------ ------------
11,920,777 6,349,937
- ------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT-0.7% CCC+ B3 1,252,000 AMF Bowling Worldwide Inc., 12.082%**
due 3/15/2006.......................... 1,026,570 776,240
- ------------------------------------------------------------------------------------------------------------------------
FINANCIAL NR* ba1 1,000,000 IBJ Preferred Capital Co.
SERVICES-0.8% LLC, 8.79% due
12/29/2049(b)(i)....................... 996,250 837,500
- ------------------------------------------------------------------------------------------------------------------------
FOOD & BEVERAGE-1.0% B+ B1 1,000,000 Chiquita Brands International Inc.,
9.125% due 3/01/2004................... 1,002,500 1,015,000
- ------------------------------------------------------------------------------------------------------------------------
GAMING-1.6% D Caa1 1,000,000 GB Property Funding Corp., 10.875% due
1/15/2004(e)........................... 845,000 602,500
NR* NR* 889,394 Jazz Casino Co. LLC, 5.927% due
11/15/2009(a).......................... 437,228 560,318
NR* NR* 84,000 Jazz Casino Co. LLC, New Contigent Notes
due 11/15/2009(f)...................... 0 0
B- B3 500,000 Venetian Casino/LV Sands, 12.25% due
11/15/2004............................. 505,625 500,000
------------ ------------
1,787,853 1,662,818
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
29
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1999 (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>
- ------------------------------------------------------------------------------------------------------------------------
HEALTHCARE-3.7% B+ Ba3 $1,000,000 Beverly Enterprises Inc., 9% due
2/15/2006.............................. $ 933,750 $ 990,000
BB+ Ba2 750,000 Columbia HCA/Healthcare Corp., 7.15% due
3/30/2004.............................. 720,000 692,903
B+ ba3 1,000,000 Fresenius Medical Capital Trust II,
7.875% due 2/01/2008................... 1,000,000 930,000
CC C 1,000,000 Mariner Post-Acute Network, 9.50% due
11/01/2007............................. 995,540 190,000
NR* B2 1,000,000 Quest Diagnostic Inc.,
10.75% due 12/15/2006.................. 1,000,000 1,140,000
------------ ------------
4,649,290 3,942,903
- ------------------------------------------------------------------------------------------------------------------------
HOTELS-1.7% BB Ba2 2,000,000 HMH Properties, Inc., 7.875% due
8/01/2008.............................. 1,930,000 1,845,000
- ------------------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER B+ Ba3 1,000,000 The AES Corporation, 8.375% due
PRODUCERS-2.1% 8/15/2007.............................. 983,750 940,000
BB Ba2 500,000 Calpine Corporation, 8.75% due
7/15/2007.............................. 513,750 492,500
BB Ba2 1,000,000 Monterrey Power SA de CV, 9.625% due
11/15/2009(b).......................... 998,160 805,000
------------ ------------
2,495,660 2,237,500
- ------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- B B3 2,000,000 Anthony Crane Rental LP, 10.375% due
SERVICES-3.0% 8/01/2008.............................. 2,000,000 1,930,000
B B3 1,000,000 Neff Corp., 10.25% due 6/01/2008........ 985,160 1,020,000
CCC+ Caa1 500,000 Thermadyne Holdings Corp., 12.50%** due
6/01/2008.............................. 310,892 237,500
------------ ------------
3,296,052 3,187,500
- ------------------------------------------------------------------------------------------------------------------------
MACHINERY-0.8% CCC+ B3 1,000,000 Numatics Inc., 9.625% due 4/01/2008..... 1,000,000 810,000
- ------------------------------------------------------------------------------------------------------------------------
METALS & MINING-2.3% CCC+ B3 500,000 Kaiser Aluminum & Chemical Corp., 12.75%
due 2/01/2003.......................... 522,500 505,000
B B2 2,000,000 P & L Coal Holdings Corp., 9.625% due
5/15/2008.............................. 1,971,250 1,985,000
------------ ------------
2,493,750 2,490,000
- ------------------------------------------------------------------------------------------------------------------------
PACKAGING-5.2% BB- B1 1,500,000 Ball Corporation, 8.25% due 8/01/2008... 1,500,000 1,477,500
B- B3 1,500,000 Indesco International, 9.75% due
4/15/2008.............................. 1,495,625 1,095,000
B B2 1,000,000 Portola Packaging Inc., 10.75% due
10/01/2005............................. 1,000,000 1,022,500
B B1 1,000,000 Silgan Holdings, Inc., 9% due
6/01/2009.............................. 1,000,000 990,000
B- B3 1,000,000 Tekni-Plex, Inc., 9.25% due 3/01/2008... 1,000,000 975,000
------------ ------------
5,995,625 5,560,000
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
30
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST B B3 $1,000,000 Ainsworth Lumber Company, 12.50% due
PRODUCTS-3.2% 7/15/2007(a)........................... $ 1,005,000 $ 1,117,500
B Caa1 1,000,000 Doman Industries Limited, 8.75% due
3/15/2004.............................. 919,000 630,000
CCC+ Caa1 1,000,000 Pindo Deli Financial Mauritius, 10.75%
due 10/01/2007......................... 996,980 695,000
BB+ Ba3 1,000,000 Tembec Industries, Inc., 8.625% due
6/30/2009.............................. 994,750 995,000
------------ ------------
3,915,730 3,437,500
- ------------------------------------------------------------------------------------------------------------------------
PRINTING & BB- Ba3 1,000,000 Hollinger International Publishing,
PUBLISHING-1.6% Inc., 9.25% due 2/01/2006.............. 956,250 1,020,000
BB- Ba3 750,000 Primedia, Inc., 7.625% due 4/01/2008.... 745,688 716,250
------------ ------------
1,701,938 1,736,250
- ------------------------------------------------------------------------------------------------------------------------
PRODUCT B- B3 1,000,000 AmeriServe Food Distributors, 10.125%
DISTRIBUTION-0.8% due 7/15/2007.......................... 1,000,000 850,000
- ------------------------------------------------------------------------------------------------------------------------
RETAIL NR* NR* 387,000 Cumberland Farms, Inc., 10.50% due
SPECIALTY-0.4% 10/01/2003............................. 378,776 381,195
- ------------------------------------------------------------------------------------------------------------------------
STEEL-1.8% BB- B2 2,000,000 Wheeling Pittsburgh Corp., 9.25% due
11/15/2007............................. 1,980,000 1,900,000
- ------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS-0.3% B B3 500,000 Metronet Communications, 9.95%** due
6/15/2008.............................. 340,414 367,500
- ------------------------------------------------------------------------------------------------------------------------
TELEPHONY-COMPETITIVE NR* NR* 500,000 Comtel Brasileira Ltd.,
LOCAL EXCHANGE 10.75% due 9/26/2004(b)................ 500,000 445,000
CARRIERS-2.3% BBB- Ba3 1,000,000 Telefonica de Argentina SA, 11.875% due
11/01/2004............................. 998,750 1,020,000
B- B2 1,000,000 Time Warner Telecom LLC, 9.75% due
7/15/2008.............................. 1,000,000 1,025,000
------------ ------------
2,498,750 2,490,000
- ------------------------------------------------------------------------------------------------------------------------
TEXTILES-0.6% B- B3 1,000,000 Anvil Knitwear Inc., Series B, 10.875%
due 3/15/2007.......................... 1,041,250 630,000
- ------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION-5.1% BB- NR* 1,000,000 Autopistas del Sol SA, 10.25% due
8/01/2009(b)........................... 1,026,250 750,000
BB Ba3 2,000,000 GS Superhighway Holdings, 10.25% due
8/15/2007.............................. 1,973,750 1,020,000
B NR* 1,000,000 MRS Logistica SA, 10.625% due
8/15/2005(b)........................... 988,750 627,500
BB- B1 1,000,000 Sea Containers Ltd.,
Series A, 12.50% due
12/01/2004............................. 1,095,000 1,090,000
B- B2 2,000,000 Transtar Holdings LP, Series B,
11.376%** due 12/15/2003............... 1,903,457 1,980,000
------------ ------------
6,987,207 5,467,500
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
31
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE VALUE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
UTILITIES-4.2% NR* NR* $1,000,000 CIA Saneamento Basico, 10% due
7/28/2005(b)........................... $ 1,005,000 $ 755,000
BB Ba3 500,000 CMS Energy Corp., 7.50% due 1/15/2009... 500,000 465,447
B+ B2 1,000,000 Espirito Santo-Escelsa, 10% due
7/15/2007.............................. 998,750 755,000
BB NR* 1,000,000 Inversora de Electrica, 9% due
9/16/2004(b)........................... 1,000,000 697,500
BBB- Ba3 1,000,000 Metrogas SA, 12% due 8/15/2000.......... 983,750 1,022,500
BBB- Baa3 977,735 TransGas de Occidente SA, 9.79% due
11/01/2010(b)(d)....................... 977,735 820,174
------------ ------------
5,465,235 4,515,621
- ------------------------------------------------------------------------------------------------------------------------
WASTE B+ B2 250,000 Safety-Kleen Services, 9.25% due
MANAGEMENT-0.2% 6/01/2008.............................. 250,000 256,250
- ------------------------------------------------------------------------------------------------------------------------
WIRELESS B- B2 1,000,000 Cencall Communications Corporation,
COMMUNICATION- 8.803%** due 1/15/2004................. 1,000,000 1,015,000
DOMESTIC-4.9%
BBB- A2 2,000,000 Comcast Cellular Holdings, Series B,
9.50% due 5/01/2007.................... 1,996,740 2,237,500
B- B2 2,000,000 NEXTEL Communications, Inc., 14.085%**
due 8/15/2004.......................... 1,609,268 2,030,000
------------ ------------
4,606,008 5,282,500
- ------------------------------------------------------------------------------------------------------------------------
WIRELESS B- Caa1 1,995,000 McCaw International Ltd., 12.469%** due
COMMUNICATION- 4/15/2007.............................. 1,428,812 1,266,825
INTERNATIONAL-6.2% B- Caa1 2,000,000 Millicom International Cellular,
13.116%** due 6/01/2006................ 1,571,669 1,490,000
BB- Ba3 4,000,000 Orange PLC, 8% due 8/01/2008............ 3,882,440 3,820,000
------------ ------------
6,882,921 6,576,825
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CORPORATE
BONDS-90.7% 110,585,380 97,021,447
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES
HELD COMMON STOCKS & WARRANTS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
GAMING-0.2% 24,357 JCC Holding Company (Class A)(e)........ 97,428 188,767
- ------------------------------------------------------------------------------------------------------------------------
RETAIL 3,846 Bradlees, Inc. (Warrants)(c)............ 1,024,390 15,384
SPECIALTY-0.0%
- ------------------------------------------------------------------------------------------------------------------------
SUPERMARKETS-0.0% 936 Grand Union Co. (Warrants)(c)........... 9 1,638
- ------------------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATION-DOMESTIC 3,098 NEXTEL Communications, Inc. (Class
PAGING & CELLULAR-0.1% A)(e).................................. 49,991 155,481
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN COMMON
STOCKS & WARRANTS-0.3% 1,171,818 361,270
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PREFERRED STOCKS
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
CABLE-DOMESTIC-1.4% 13,889 CSC Holdings Inc. (Series A)(a)(e)...... 1,204,293 1,513,901
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
32
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
INDUSTRIES SHARES HELD ISSUE COST (NOTE 1A)
- --------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
ENERGY-0.7% 1,181 +Clark USA Inc.(e)...................... $ 1,158,680 $ 797,175
+TCR Holdings (Convertible):
8,273 (Class B)............................. 496 496
4,550 (Class C)............................. 255 255
11,996 (Class D)............................. 636 636
24,819 (Class E)............................. 1,564 1,564
------------ ------------
1,161,631 800,126
- --------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES--1.0% 40,000 California Federal Bank (Series A)...... 1,010,000 1,045,000
- --------------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING-0.7% 7,500 Primedia, Inc.(e)....................... 745,500 713,437
- --------------------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATION-DOMESTIC PAGING 1,244 NEXTEL Communications, Inc. (Series
& CELLULAR-1.3% D)(a)(e)............................... 1,262,465 1,355,960
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN PREFERRED
STOCKS-5.1% 5,383,889 5,428,424
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SHORT-TERM SECURITIES
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER***-2.2% $ 2,413,000 General Motors Acceptance Corp., 5.63%
due 7/01/1999.......................... 2,412,623 2,412,623
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SHORT-TERM
SECURITIES-2.2% 2,412,623 2,412,623
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-98.3%................. $119,553,710 105,223,764
------------
------------
OTHER ASSETS LESS LIABILITIES-1.7%...... 1,782,062
------------
NET ASSETS-100.0%....................... $107,005,826
------------
------------
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Not Rated.
** Represents a zero coupon or step bond; the interest rate shown reflects the
effective yield at the time of purchase by the Fund.
*** Commercial Paper is traded on a discount basis; the interest rate shown
reflects the discount rate paid at the time of purchase by the Portfolio.
+ Restricted securities as to resale.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
VALUE
ISSUE ACQUISITION DATE COST (NOTE 1A)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
9/26/1997 -
Clark USA Inc.................................................... 3/17/1999 $1,158,680 $ 797,175
TCR Holdings (Class B) (Convertible)............................. 12/10/1998 496 496
TCR Holdings (Class C) (Convertible)............................. 12/10/1998 255 255
TCR Holdings (Class D) (Convertible)............................. 12/10/1998 636 636
TCR Holdings (Class E) (Convertible)............................. 12/10/1998 1,564 1,564
- ---------------------------------------------------------------------------------------------------------------
TOTAL $1,161,631 $ 800,126
---------- ----------
---------- ----------
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Represents a pay-in-kind security which may pay interest/dividends in
additional face amount/shares.
(b) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(c) Warrants entitle the Portfolio to purchase a predetermined number of shares
of Common Stock and are non-income producing. The purchase price and number
of shares are subject to adjustment under certain conditions until the
expiration date.
(d) Subject to principal paydowns.
(e) Non-income producing security.
(f) Represents an obligation by Jazz Casino Co. LLC to pay a semi-annual amount
to the Fund through 11/15/2009. The payments are based upon varying
interest rates and the amounts, which may be paid-in-kind, are contigent
upon the earnings before income taxes, depreciation and amortization of
Jazz Casino Co. LLC on a fiscal year basis.
(g) Each $1,000 face amount contains one warrant of Australis Media Ltd.
(h) Represents a step bond. Coupon payments are paid-in-kind, in which the
Portfolio receives additional face amount at an annual rate of 1.75% until
May 15, 2000. Subsequently, the Portfolio will receive cash coupon payments
at a annual rate of 15.75% until maturity.
(i) The security is a perpetual bond and has no definite maturity date.
See Notes to Financial Statements.
33
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of June 30, 1999
- --------------------------------------------------------------------------------
<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 $ 9,000,000 Federal Farm Credit Bank, 5.25% due 5/01/2002........ $ 8,910,000 $ 8,879,040
BANK-3.8%
- ----------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL FARM CREDIT BANK 8,910,000 8,879,040
- ----------------------------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN 5,000,000 Federal Home Loan Bank, 4.60% due 7/01/1999.......... 4,999,361 4,999,361
BANK-2.2%
- ----------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL HOME LOAN BANK 4,999,361 4,999,361
- ----------------------------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN 3,000,000 Federal Home Loan Mortgage Corporation,
MORTGAGE 6.56% due 3/25/2016................................. 2,999,250 3,015,000
CORPORATION-1.3%
- ----------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION 2,999,250 3,015,000
- ----------------------------------------------------------------------------------------------------------------------
FEDERAL NATIONAL
MORTGAGE 3,000,000 Federal National Mortgage Association:
ASSOCIATION-10.0% 5.43% due 3/29/2001.............................. 2,997,187 2,980,320
7,000,000 5.91% due 3/19/2004.............................. 7,012,810 6,862,170
6,000,000 7.40% due 7/01/2004.............................. 6,248,520 6,301,860
3,000,000 6.28% due 3/04/2009.............................. 2,954,040 2,859,360
4,000,000 6.96% due 9/05/2012.............................. 4,084,000 4,005,000
- ----------------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION 23,296,557 23,008,710
- ----------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED Federal Home Loan Mortgage Corporation Participation
SECURITIES(a)-41.7% Certificates-Gold Program:
58,899 6% due 12/01/2012................................ 58,329 56,948
92,267 6% due 6/01/2013................................. 91,373 89,210
1,016,441 6% due 7/01/2013................................. 1,006,594 982,766
428,268 6% due 12/01/2013................................ 424,120 414,080
453,371 6.50% due 4/01/2014.............................. 454,221 447,137
1,068,853 6.50% due 5/01/2014.............................. 1,070,857 1,054,156
7,478,674 6.50% due 6/01/2014.............................. 7,492,696 7,375,843
9,000,000 7% due 1/01/2020................................. 8,915,625 8,904,330
6,000,000 7% due 1/15/2024................................. 6,056,250 6,028,080
21,000,000 6.50% due 10/01/2028............................. 20,324,062 20,186,250
Federal National Mortgage Association:
130,605 9% due 1/01/2002................................. 126,034 133,961
671,507 7% due 9/01/2010................................. 684,098 674,126
574,852 7% due 6/01/2012................................. 585,631 576,824
3,210,163 7% due 8/01/2012................................. 3,270,353 3,221,174
390,377 6% due 7/01/2013................................. 389,645 377,077
445,445 6% due 10/01/2013................................ 444,610 430,269
1,081,585 6% due 11/01/2013................................ 1,079,557 1,044,736
106,507 6% due 12/01/2013................................ 106,307 102,878
402,495 6% due 1/01/2014................................. 401,740 388,782
1,468,847 7.50% due 10/01/2027............................. 1,503,273 1,483,535
714,570 7.50% due 11/01/2027............................. 731,318 721,715
882,991 7.50% due 12/01/2027............................. 903,686 891,821
3,714,803 7.50% due 4/01/2028.............................. 3,801,869 3,751,951
2,855,382 7.50% due 6/01/2028.............................. 2,922,306 2,883,936
72,419 7.50% due 7/01/2028.............................. 74,116 73,143
388,414 7.50% due 9/01/2028.............................. 397,517 392,298
1,140,097 7.50% due 11/01/2028............................. 1,166,819 1,151,498
1,517,857 7% due 3/01/2029................................. 1,528,055 1,500,295
1,762,778 7.50% due 3/01/2029.............................. 1,804,092 1,780,406
1,389,340 7% due 5/01/2029................................. 1,398,675 1,373,265
5,093,601 7% due 6/01/2029................................. 5,127,823 5,034,667
5,500,000 Federal National Mortgage Association Mortgage
Backed Securities-REMICs-Multi-Family, 6.50% due
10/25/2003.......................................... 5,594,531 5,530,085
Government National Mortgage Association:
289,599 7% due 2/15/2000................................. 291,907 289,370
86,881 7% due 1/15/2007................................. 88,538 85,714
715,880 7% due 2/15/2027................................. 729,527 706,259
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
34
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of June 30, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE
AMOUNT ISSUE COST (NOTE 1A)
- ----------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY OBLIGATIONS (CONCLUDED)
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED Government National Mortgage Association (concluded):
SECURITIES $ 80,331 7% due 5/15/2027................................. $ 81,862 $ 79,251
(CONCLUDED) 1,335,220 7% due 11/15/2027................................ 1,360,673 1,317,275
352,241 7% due 11/15/2028................................ 355,047 347,507
833,181 7% due 12/15/2028................................ 839,821 821,983
2,042,284 7% due 1/15/2029................................. 2,058,559 2,014,836
2,074,160 7% due 2/15/2029................................. 2,090,689 2,046,284
1,878,657 7% due 3/15/2029................................. 1,893,627 1,853,408
1,839,089 7% due 4/15/2029................................. 1,853,744 1,814,371
5,212,216 7% due 5/15/2029................................. 5,253,752 5,142,164
479,551 7% due 6/15/2029................................. 483,372 473,106
- ----------------------------------------------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES 97,317,300 96,048,770
- ----------------------------------------------------------------------------------------------------------------------
PRIVATE EXPORT 7,000,000 Private Export Funding Co., 8.35% due 1/31/2001...... 7,083,590 7,270,130
FUNDING 7,000,000 Tennessee Valley Authority, 6.75% due 11/01/2025 7,237,370 6,971,650
CORPORATION-6.2%
- ----------------------------------------------------------------------------------------------------------------------
TOTAL PRIVATE EXPORT FUNDING CORPORATION 14,320,960 14,241,780
- ----------------------------------------------------------------------------------------------------------------------
STUDENT LOAN Student Loan Marketing Association:
MARKETING 17,000,000 4.68% due 7/01/1999.............................. 16,997,790 16,997,790
ASSOCIATION-8.7% 3,000,000 4.68% due 7/02/1999.............................. 2,999,220 2,999,220
- ----------------------------------------------------------------------------------------------------------------------
TOTAL STUDENT LOAN MARKETING ASSOCIATION 19,997,010 19,997,010
- ----------------------------------------------------------------------------------------------------------------------
US TREASURY US Treasury Bonds:
BONDS & 8,000,000 12% due 5/15/2005................................ 11,386,250 10,372,480
NOTES-34.2% 1,000,000 10.75% due 8/15/2005............................. 1,457,812 1,243,120
4,000,000 8.75% due 5/15/2020.............................. 5,207,500 5,140,000
13,000,000 6.625% due 2/15/2027............................. 13,889,687 13,729,170
US Treasury Notes:
20,000,000 6.375% due 3/31/2001............................. 20,378,125 20,287,400
6,000,000 6.625% due 4/30/2002............................. 6,209,062 6,159,360
10,000,000 6.375% due 8/15/2002............................. 10,136,719 10,201,600
2,000,000 6.25% due 8/31/2002.............................. 2,100,781 2,033,440
1,500,000 5.875% due 9/30/2002............................. 1,517,344 1,509,375
9,000,000 4.75% due 11/15/2008............................. 8,621,719 8,264,520
- ----------------------------------------------------------------------------------------------------------------------
TOTAL US TREASURY BONDS & NOTES 80,904,999 78,940,465
- ----------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY OBLIGATIONS-108.1% 252,745,437 249,130,136
- ----------------------------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES
- ----------------------------------------------------------------------------------------------------------------------
REPURCHASE 8,552,000 Warburg Dillon Read LLC, purchased on 6/30/1999 to
AGREEMENTS*-3.7% yield 4.80% to 7/01/1999............................ 8,552,000 8,552,000
- ----------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES-3.7% 8,552,000 8,552,000
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-111.8%............................. $ 261,297,437 257,682,136
-------------
-------------
LIABILITIES IN EXCESS OF OTHER ASSETS-(11.8%)........ (27,246,174)
-------------
NET ASSETS-100.0%.................................... $ 230,435,962
-------------
-------------
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Mortgage-Backed Obligations are subject to principal paydowns as a result of
prepayments or refinancing 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 & Agency
Obligations.
See Notes to Financial Statements.
35
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S FACE VALUE
INDUSTRIES S&P RATINGS RATINGS AMOUNT ISSUE COST (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT OBLIGATIONS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
US TREASURY NOTES-2.0% AAA Aaa $2,500,000 US Treasury Notes, 6.625% due
3/31/2002....................... $ 2,589,453 $ 2,562,100
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT
OBLIGATIONS-2.0% 2,589,453 2,562,100
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
CORPORATE BONDS & NOTES
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED
COMMERCIAL NR* Baa2 3,500,000 ++Bistro Trust 1998-1000, 6.58%
MORTGAGE-BACKED due 3/26/2001................... 3,499,860 3,405,570
SECURITIES**-4.2% AAA Aaa 1,000,000 Federal Home Loan Mortgage
Corporation, Series 2063, Class
PN, 6% due 10/15/2018........... 1,015,859 995,000
AAA Aaa 1,000,000 The Money Store Home Equity
Trust, Series 1998-B, 6.225% due
9/15/2023....................... 999,851 992,150
------------- -------------
5,515,570 5,392,720
- ------------------------------------------------------------------------------------------------------------------------------
BANKING-14.7% A Aa3 1,000,000 Bank of America Corp., 9.125% due
10/15/2001...................... 1,090,890 1,060,960
A A2 1,000,000 Bank of New York Co., Inc.,
7.625% due 7/15/2002............ 1,076,500 1,034,050
A A1 726,000 Chase Manahattan Corporation,
7.25% due 6/01/2007............. 785,510 741,558
A A1 2,000,000 First Interstate/Wells Fargo
Company, 9.90% due 11/15/2001... 2,270,480 2,155,880
A- A2 1,000,000 First Union Corporation, 6.30%
due 4/15/2028***................ 996,220 951,266
BBB+ A3 1,000,000 Great Western Bank, 9.875% due
6/15/2001....................... 1,108,450 1,064,640
A- A3 1,000,000 HSBC Americas Inc., 7% due
11/01/2006...................... 991,600 983,210
BBB a1 2,000,000 KeyCorp Capital I, 6.089% due
7/01/2028***.................... 1,979,880 1,951,800
A- a2 1,000,000 Mellon Capital II, Series B,
7.995% due 1/15/2027............ 953,470 1,006,600
A A3 2,000,000 Mellon Financial Co., 6.875% due
3/01/2003....................... 1,822,480 2,015,680
Merita Bank Ltd.:
A- A2 1,500,000 6.50% due 1/15/2006.......... 1,454,700 1,446,450
A- A2 1,750,000 6.50% due 4/01/2009.......... 1,749,283 1,658,020
NationsBank NA:
A Aa3 1,000,000 6.50% due 8/15/2003.......... 1,036,730 1,001,520
A Aa3 1,500,000 7.75% due 8/15/2004.......... 1,616,655 1,576,620
------------- -------------
18,932,848 18,648,254
- ------------------------------------------------------------------------------------------------------------------------------
FINANCIAL Ford Motor Credit Company:
SERVICES- A A1 500,000 5.147% due 8/27/2006***...... 499,653 498,965
CAPTIVE-6.7% A A1 3,500,000 7.20% due 6/15/2007.......... 3,854,515 3,547,670
General Motors Acceptance Corp.:
A A2 1,000,000 8.50% due 1/01/2003.......... 1,089,880 1,061,200
A A2 1,000,000 7.125% due 5/01/2003......... 994,890 1,018,880
A A2 1,000,000 8.25% due 3/01/2005.......... 1,121,330 1,061,810
A A2 1,250,000 7.70% due 4/15/2016.......... 1,363,937 1,288,063
------------- -------------
8,924,205 8,476,588
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
36
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1999 (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- Associates Corporation of North
CONSUMER-6.7% America:
AA- Aa3 $1,000,000 7.40% due 5/15/2006.......... $ 1,089,690 $ 1,022,690
AA- Aa3 1,000,000 6.95% due 11/01/2018......... 994,120 963,500
A- aa3 1,000,000 CIT Capital Trust I, 7.70% due
2/15/2027....................... 995,440 941,897
A+ Aa3 2,000,000 CIT Group Inc., 6.625% due
6/15/2005....................... 2,006,780 1,959,160
A- Baa1 2,000,000 Finova Capital Corp., 6.25% due
11/01/2002...................... 1,992,340 1,981,220
Household Finance Corp.:
A A2 625,000 7.625% due 1/15/2003......... 664,150 646,181
A A2 1,000,000 6% due 5/01/2004............. 999,780 968,903
------------- -------------
8,742,300 8,483,551
- ------------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- A+ A1 1,000,000 Allstate Corp., 6.75% due
5/15/2018....................... 999,710 943,120
OTHER-12.1% A A2 500,000 Bear Stearns Companies, Inc.,
6.50% due 7/05/2000............. 499,090 501,125
A aa3 2,000,000 Citigroup Capital II, 7.75% due
12/01/2036...................... 2,003,400 2,005,868
A- A3 1,000,000 Donaldson, Lufkin & Jenrette
Inc., 6.875% due 11/01/2005..... 999,050 986,340
A A2 1,000,000 ++Equitable Life Assurance
Society of the US, 7.70% due
12/01/2015...................... 993,160 1,033,425
AAA Aaa 1,260,000 ++Florida Windstorm Under, 7.125%
due 2/25/2019................... 1,253,083 1,208,842
AAA Aaa 500,000 General Electric Capital Corp.,
8.125% due 5/15/2012............ 531,640 560,435
BBB- Baa3 1,000,000 Hospitality Properties Trust, 7%
due 3/01/2008................... 998,200 896,280
Lehman Brothers Holdings Inc.:
A Baa1 1,000,000 6.50% due 10/01/2002......... 999,050 986,660
A Baa1 500,000 7.625% due 6/01/2006......... 527,555 513,745
AA Aa2 1,350,000 MBIA, Inc., 7.15% due
7/15/2027....................... 1,346,693 1,289,790
A+ Aa3 1,500,000 Morgan Stanley, Dean Witter,
Discover & Co., 5.625% due
1/20/2004....................... 1,496,895 1,445,760
A Aa3 2,000,000 Salomon Smith Barney Holdings,
Inc., 7.20% due 2/01/2004....... 2,095,600 2,048,120
BBB Baa2 1,000,000 Spieker Properties LP, 7.35% due
12/01/2017...................... 999,950 923,088
------------- -------------
15,743,076 15,342,598
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
37
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1999 (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- A+ A1 $1,560,000 Anheuser-Busch Companies Inc.,
CONSUMER-8.2% 6.50% due 1/01/2028............. $ 1,564,696 $ 1,410,973
A A2 853,508 ++Disney Custom Repackaged Asset
Vehicle-403, 6.85% due
1/10/2007**..................... 852,919 851,118
A+ A1 500,000 Hershey Foods Co., 8.80% due
2/15/2021....................... 670,105 578,565
AAA Aaa 2,000,000 Johnson & Johnson, 8.72% due
11/01/2024...................... 2,019,140 2,261,060
AA Aa2 410,000 McDonald's Corporation, 6.375%
due 1/08/2028................... 423,592 370,611
A A2 1,000,000 Nordstrom, Inc., 6.95% due
3/15/2028....................... 1,012,960 939,380
A A1 750,000 Pepsico, Inc., 5.75% due
1/02/2003....................... 746,205 731,937
Phillip Morris Companies, Inc.:
A A2 500,000 7.25% due 1/15/2003.......... 503,440 509,505
A A2 1,690,000 7.50% due 4/01/2004.......... 1,779,164 1,739,348
BBB Baa2 1,000,000 Time Warner Entertainment Co.,
8.375% due 3/15/2023............ 1,070,290 1,083,170
------------- -------------
10,642,511 10,475,667
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- A- A3 850,000 Burlington Resources, 7.375% due
ENERGY-3.3% 3/01/2029....................... 847,773 823,151
AA- Aa3 500,000 Dresser Industries, Inc., 7.60%
due 8/15/2096................... 498,545 504,310
A- A3 1,000,000 Murphy Oil Corporation, 7.05% due
5/01/2029....................... 996,790 942,410
A+ A1 1,000,000 Texaco Capital Inc., 5.50% due
1/15/2009....................... 991,330 917,046
BBB+ Baa1 1,000,000 Vastar Resources Inc., 6.50% due
4/01/2009....................... 1,024,720 968,590
------------- -------------
4,359,158 4,155,507
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- BBB+ A3 500,000 Applied Materials Inc., 6.75% due
OTHER-8.1% 10/15/2007...................... 499,675 482,570
A- Baa1 1,000,000 The B.F. Goodrich Company, 7% due
4/15/2038....................... 994,110 892,740
A+ A1 1,000,000 Chrysler Corp., 7.45% due
3/01/2027....................... 995,140 1,006,230
A+ A1 1,000,000 ++Electronic Data Systems Corp.,
6.85% due 5/15/2000............. 999,210 1,005,761
First Data Corporation:
A A2 1,000,000 6.75% due 7/15/2005.......... 1,035,820 992,800
A A2 1,000,000 6.375% due 12/15/2007........ 997,430 972,750
BBB- Baa2 1,000,000 ++Jones Apparel Group, 7.875% due
6/15/2006....................... 996,560 1,003,113
A+ A1 1,000,000 Motorola Inc., 6.50% due
11/15/2028...................... 894,820 889,030
A- A3 1,000,000 ++Rohm & Haas Company, 6.95% due
7/15/2004....................... 998,130 998,130
AA- A2 1,000,000 TCI Communications Inc., 8.75%
due 8/01/2015................... 1,173,060 1,132,930
A- Baa1 1,000,000 Tyco International Group SA, 7%
due 6/15/2028................... 992,790 928,570
------------- -------------
10,576,745 10,304,624
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
38
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1999 (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 Baa3 $1,000,000 Comcast Cable Communications,
SERVICES-6.2% 8.875% due 5/01/2017............ $ 1,115,030 $ 1,115,030
A A2 2,000,000 Computer Sciences Corp., 6.25%
due 3/15/2009................... 1,989,680 1,900,156
A- A3 500,000 Dayton Hudson Corp., 6.40% due
2/15/2003....................... 516,005 497,675
AA Aa3 1,000,000 Eli Lilly and Company, 8.375% due
12/01/2006...................... 1,196,230 1,109,950
A- A3 1,000,000 Hertz Corporation, 6.50% due
5/15/2006....................... 998,290 970,390
A A1 1,000,000 May Department Stores Co., 6.70%
due 9/15/2028................... 1,051,920 930,630
A- A2 1,500,000 Sears Roebuck Acceptance Corp.,
6.25% due 5/01/2009............. 1,428,090 1,406,160
------------- -------------
8,295,245 7,929,991
- ------------------------------------------------------------------------------------------------------------------------------
SOVEREIGNS+-5.0% BBB+ A3 500,000 People's Republic of China, 7.30%
due 12/15/2008 (1).............. 499,300 486,370
AA- Aa3 1,000,000 Province of Manitoba, 5.50% due
10/01/2008 (1).................. 993,620 914,480
Province of Ontario (1):
AA- Aa3 1,200,000 7.625% due 6/22/2004......... 1,299,768 1,264,860
AA- Aa3 1,300,000 5.50% due 10/01/2008......... 1,292,304 1,196,312
Province of Quebec (1):
A+ A2 1,000,000 8.80% due 4/15/2003.......... 1,129,480 1,075,660
A+ A2 1,500,000 7.125% due 2/09/2024......... 1,650,765 1,460,385
------------- -------------
6,865,237 6,398,067
- ------------------------------------------------------------------------------------------------------------------------------
TRANSPORT Southwest Airlines Co.:
SERVICES-2.4% A- A3 2,000,000 9.40% due 7/01/2001.......... 2,407,120 2,108,980
A- A3 1,000,000 7.375% due 3/01/2027......... 1,119,060 976,370
------------- -------------
3,526,180 3,085,350
- ------------------------------------------------------------------------------------------------------------------------------
UTILITIES- A- A2 1,000,000 ALLTEL Corporation, 6.75% due
COMMUNICATION-6.3% 9/15/2005....................... 984,600 1,005,060
AA+ Aa3 1,000,000 Ameritech Capital Funding, 6.45%
due 1/15/2018................... 1,050,100 930,800
AA- A2 2,000,000 GTE California, Inc., Series C,
8.07% due 4/15/2024............. 2,137,460 2,039,880
A Baa1 2,000,000 GTE Corp., 9.375% due
12/01/2000...................... 2,189,690 2,090,320
Southwestern Bell
Telecommunications Corp.:
AA Aa3 1,000,000 6.125% due 3/01/2000......... 978,880 1,002,550
AA Aa3 1,000,000 6.375% due 11/15/2007........ 1,004,760 978,090
------------- -------------
8,345,490 8,046,700
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
39
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 1999 (Concluded)
- --------------------------------------------------------------------------------
<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>
- ------------------------------------------------------------------------------------------------------------------------------
UTILITIES- A A3 $ 500,000 Central Power & Light Co., 6.625%
ELECTRIC-5.7% due 7/01/2005................... $ 522,905 $ 495,020
AAA Aaa 750,000 Cleveland Electric/Toledo Edison,
Series B, 7.13% due 7/01/2007... 786,817 749,685
A+ A1 785,000 Consolidated Edison, Inc., Series
1998-A, 6.25% due 2/01/2008..... 785,000 759,456
A A1 1,000,000 Mississippi Power, Series B,
6.05% due 5/01/2003............. 1,022,480 987,330
PG&E Corp.:
AA- A1 1,500,000 Series 1993-C,
6.25% due 8/01/2003.......... 1,527,975 1,480,170
AA- A1 1,500,000 Series 1993-D,
7.25% due 8/01/2026.......... 1,550,820 1,418,010
A- A3 1,000,000 Pennsylvania Power & Light Co.,
6.125% due 5/01/2006***......... 999,400 1,000,620
AAA Aaa 300,000 Texas Utilities Electric Company,
Series B, 6.375% due
10/01/2004...................... 301,545 298,156
------------- -------------
7,496,942 7,188,447
- ------------------------------------------------------------------------------------------------------------------------------
YANKEE CORPORATES-3.8% AAA Aaa 1,000,000 Banco Santander-Chile, 6.50% due
11/01/2005...................... 995,290 963,636
A- A3 1,000,000 ++Israel Electric Corp. Ltd.,
7.75% due 3/01/2009............. 998,970 988,910
A Aa3 1,000,000 Midland Bank PLC, 7.65% due
5/01/2025....................... 1,095,840 979,290
A+ Aa3 1,000,000 Sony Corporation, 6.125% due
3/04/2003....................... 997,880 993,220
A A2 1,000,000 WMC Finance (USA) Ltd., 6.75% due
12/01/2006...................... 1,014,800 972,430
------------- -------------
5,102,780 4,897,486
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS &
NOTES-93.4% 123,068,287 118,825,550
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHORT-TERM INVESTMENTS
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
REPURCHASE 3,927,000 Warburg Dillon Read LLC,
AGREEMENTS****-3.1% purchased on 6/30/1999 to yield
4.80% to 7/01/1999.............. 3,927,000 3,927,000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS-3.1% 3,927,000 3,927,000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS-98.5%.......... $ 129,584,740 125,314,650
-------------
-------------
OTHER ASSETS
LESS LIABILITIES-1.5%........... 1,892,959
-------------
NET ASSETS-100.0%................ $ 127,207,609
-------------
-------------
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Not Rated.
** Subject to principal paydowns.
*** Floating Rate Note.
**** Repurchase Agreements are fully collateralized by US Government
Obligations.
+ Corresponding industry groups for foreign sovereigns:
(1) Government Entity.
++ The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
See Notes to Financial Statements.
40
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
AMOUNT ISSUE RATE* DATE (NOTE 1A)
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
BANK NOTES-9.4% $ 2,200,000 First Union National Bank+..................... 5.15% 8/30/1999 $ 2,200,000
6,000,000 First Union National Bank+..................... 5.15 9/01/1999 6,000,000
20,000,000 Harris Trust & Savings+........................ 4.91 4/06/2000 19,993,970
6,000,000 NationsBank NA+................................ 4.83 8/24/1999 5,999,653
5,800,000 NationsBank NA+................................ 4.92 3/16/2000 5,798,793
5,000,000 NationsBank NA+................................ 4.91 4/05/2000 4,998,498
8,500,000 PNC Bank NA+................................... 5.01 11/03/1999 8,496,999
- ------------------------------------------------------------------------------------------------------------------------
TOTAL BANK NOTES (COST-$53,490,486) 53,487,913
- ------------------------------------------------------------------------------------------------------------------------
CERTIFICATES OF 3,000,000 Abbey National Treasury Services PLC,
London+....................................... 5.026 10/29/1999 2,994,534
DEPOSIT-2.8% 3,000,000 Abbey National Treasury Services PLC,
London+....................................... 4.96 11/01/1999 3,000,000
10,000,000 Fleet National Bank N.A........................ 4.90 4/17/2000 9,996,221
- ------------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT
(COST-$15,996,221) 15,990,755
- ------------------------------------------------------------------------------------------------------------------------
CERTIFICATES OF 2,750,000 Commerzbank AG, NY............................. 5.085 2/17/2000 2,736,412
DEPOSIT- 2,000,000 Societe Generale, NY........................... 5.16 2/22/2000 1,990,752
YANKEE-2.9% 2,900,000 Societe Generale, NY........................... 5.18 2/28/2000 2,887,301
2,000,000 Societe Generale, NY........................... 5.22 2/28/2000 1,990,720
3,000,000 Svenska Handelsbanken AB, NY................... 5.195 2/28/2000 2,986,368
3,700,000 UBS AG, Stanford............................... 5.25 3/10/2000 3,683,635
- ------------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT-YANKEE
(COST-$16,346,139) 16,275,188
- ------------------------------------------------------------------------------------------------------------------------
COMMERCIAL 7,334,000 AESOP Funding Corporation...................... 5.05 7/09/1999 7,325,770
PAPER-39.2% 1,004,000 Alpine Securitization Corporation.............. 4.93 7/07/1999 1,003,175
10,588,000 Amsterdam Funding Corp......................... 5.05 7/26/1999 10,550,869
5,000,000 Apreco, Inc.................................... 5.07 8/16/1999 4,967,608
250,000 Atlantis One Funding Corp...................... 4.88 8/13/1999 248,539
1,020,000 Atlantis One Funding Corp...................... 4.85 9/20/1999 1,007,645
5,000,000 Concord Minutemen Capital Co. LLC.............. 4.84 7/15/1999 4,990,569
10,000,000 Corporate Asset Funding Co., Inc............... 5.08 9/08/1999 9,897,350
4,000,000 Countrywide Home Loans, Inc.................... 4.93 7/08/1999 3,996,166
15,000,000 Edison Asset Securitization, LLC............... 4.88 8/02/1999 14,935,200
10,000,000 Edison Asset Securitization, LLC............... 4.90 8/02/1999 9,956,800
10,000,000 Eureka Securitization Inc...................... 5.06 8/27/1999 9,919,537
2,000,000 Finova Capital Corp............................ 4.98 8/20/1999 1,986,156
7,000,000 Finova Capital Corp............................ 4.89 8/27/1999 6,943,676
4,000,000 Finova Capital Corp............................ 5.16 9/21/1999 3,950,928
15,000,000 Finova Capital Corp............................ 4.88 10/15/1999 14,760,795
1,465,000 Grand Funding Corp............................. 4.82 7/08/1999 1,463,627
291,000 Grand Funding Corp............................. 5.12 7/13/1999 290,503
10,000,000 Grand Funding Corp............................. 4.87 7/14/1999 9,982,414
15,000,000 Grand Funding Corp............................. 5.10 8/06/1999 14,923,500
2,013,000 International Securitization Corp.............. 5.05 7/16/1999 2,008,764
2,561,000 International Securitization Corp.............. 5.10 8/03/1999 2,549,027
17,439,000 International Securitization Corp.............. 5.15 8/03/1999 17,356,673
28,000,000 Lehman Brothers Holdings Inc................... 4.97 7/07/1999 27,976,807
4,455,000 Park Avenue Receivables Corp................... 4.93 7/01/1999 4,455,000
2,387,000 Park Avenue Receivables Corp................... 4.88 8/02/1999 2,376,688
8,179,000 Thames Asset Global Securitization, Inc........ 4.83 7/06/1999 8,173,513
9,948,000 Thames Asset Global Securitization, Inc........ 4.82 7/15/1999 9,929,237
7,120,000 Thames Asset Global Securitization, Inc........ 4.82 8/16/1999 7,074,511
3,500,000 Thames Asset Global Securitization, Inc........ 4.90 8/20/1999 3,475,773
3,000,000 Tulip Funding Corp............................. 5.10 9/21/1999 2,963,196
1,317,000 Variable Funding Capital Corp.................. 4.82 7/13/1999 1,314,880
- ------------------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (COST-$222,793,096) 222,754,896
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
41
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
AMOUNT ISSUE RATE* DATE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CORPORATE $ 2,900,000 Associates Corporation of North America........ 6.625% 7/15/1999 $ 2,901,526
NOTES-5.6% 1,500,000 Associates Corporation of North America........ 6.75 10/15/1999 1,504,119
5,000,000 Avco Financial Services Inc.................... 7.25 7/15/1999 5,003,692
1,000,000 First USA Bank, NA............................. 6.50 12/23/1999 1,002,674
11,644,000 Ford Motor Credit Company...................... 8.375 1/15/2000 11,795,023
4,243,000 Ford Motor Credit Company...................... 6.375 4/15/2000 4,255,657
2,500,000 Restructured Asset Securities with Enhanced
Returns 1998-MM-7-1 Trust+.................... 4.99 8/13/1999 2,500,000
2,900,000 Restructured Asset Securities with Enhanced
Returns 1998-MM-12-3 Trust+................... 5.053 1/21/2000 2,900,000
- ------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE NOTES (COST-$31,940,393) 31,862,691
- ------------------------------------------------------------------------------------------------------------------------
FUNDING 9,000,000 Jackson National Life Insurance Co............. 4.95 5/01/2000 9,000,000
AGREEMENTS-3.3% 5,000,000 John Hancock Mutual Life Insurance Co.......... 4.97 5/01/2000 5,000,000
5,000,000 Travelers Insurance Company (The).............. 4.97 2/01/2000 5,000,000
- ------------------------------------------------------------------------------------------------------------------------
TOTAL FUNDING AGREEMENTS (COST-$19,000,000) 19,000,000
- ------------------------------------------------------------------------------------------------------------------------
MASTER NOTES-1.8% 10,000,000 Goldman Sachs Group, Inc.+..................... 4.93 11/18/1999 10,000,000
- ------------------------------------------------------------------------------------------------------------------------
TOTAL MASTER NOTES (COST-$10,000,000) 10,000,000
- ------------------------------------------------------------------------------------------------------------------------
MEDIUM-TERM 14,000,000 Abbey National Treasury Services PLC,
London+....................................... 4.94 8/17/1999 13,998,576
NOTES-21.5% 6,000,000 BankAmerica Corporation........................ 5.04 10/15/1999 6,002,118
3,000,000 Bear Stearns Companies, Inc.................... 5.124 1/20/2000 3,000,186
1,000,000 Beneficial Corp................................ 8.17 11/10/1999 1,008,551
4,000,000 Beneficial Corp................................ 8.375 12/29/1999 4,048,572
2,250,000 The CIT Group Holdings, Inc.................... 6.70 5/02/2000 2,261,288
5,000,000 Caterpillar Inc................................ 5.03 1/20/2000 5,000,940
5,000,000 du Pont (E.I.) de Nemours and Company.......... 5.079 4/03/2000 4,966,085
1,500,000 Ford Motor Credit Company...................... 6.375 4/03/2000 1,502,415
2,700,000 Ford Motor Credit Company...................... 4.95 5/05/2000 2,700,000
3,000,000 General Electric Capital Corp.................. 5.069 9/03/1999 2,999,046
3,700,000 General Electric Capital Corp.................. 4.845 4/17/2000 3,696,039
1,500,000 General Electric Capital Corp.................. 4.945 5/03/2000 1,499,442
1,100,000 General Electric Capital Corp.................. 4.95 5/12/2000 1,099,380
2,200,000 General Electric Capital Corp.................. 5.89 5/15/2000 2,199,921
3,000,000 General Motors Acceptance Corp................. 4.975 2/03/2000 3,000,405
1,000,000 General Motors Acceptance Corp................. 8.125 2/23/2000 1,013,450
4,000,000 General Motors Acceptance Corp................. 6.65 5/24/2000 4,020,584
1,000,000 General Motors Acceptance Corp................. 6.875 6/07/2000 1,007,188
4,000,000 General Motors Acceptance Corp................. 4.96 7/20/2000 3,994,296
3,000,000 General Motors Acceptance Corp................. 5.75 7/28/2000 2,999,100
2,000,000 General Motors Acceptance Corp................. 5.201 12/01/2000 1,999,042
2,000,000 General Motors Acceptance Corp................. 5.077 2/27/2001 2,001,884
2,000,000 Goldman Sachs Group, Inc....................... 5.191 3/02/2000 2,000,058
1,200,000 Goldman Sachs Group, Inc....................... 5.08 7/12/2000 1,200,000
1,500,000 Household Finance Corp......................... 4.95 9/13/1999 1,499,599
3,000,000 Household Finance Corp......................... 6.75 6/01/2000 3,016,950
919,000 ING Bank N.V................................... 6.25 3/21/2000 923,565
10,000,000 Liberty Lighthouse US Capital Co. LLC.......... 4.98 10/08/1999 9,998,580
6,000,000 National Rural Utilities Cooperative Finance
Corp.......................................... 4.969 9/21/1999 5,999,202
5,000,000 PepsiCo, Inc................................... 4.838 8/19/1999 4,999,328
850,000 Toronto Dominion Bank.......................... 6.50 3/27/2000 853,595
500,000 Toyota Motor Credit Corp....................... 5.011 9/23/1999 499,854
5,000,000 Wells Fargo & Co............................... 5.31 3/31/2000 4,978,350
2,500,000 Wells Fargo & Co............................... 7.125 4/01/2000 2,522,193
1,750,000 Wells Fargo & Co............................... 5.225 4/10/2000 1,740,898
1,400,000 Xerox Capital (Europe) Plc..................... 4.92 8/20/1999 1,399,635
1,900,000 Xerox Credit Corp.............................. 4.87 4/06/2000 1,898,860
3,000,000 Xerox Credit Corp.............................. 5.70 7/26/2000 2,993,508
- ------------------------------------------------------------------------------------------------------------------------
TOTAL MEDIUM-TERM NOTES (COST-$122,714,648) 122,542,683
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
42
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of June 30, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
AMOUNT ISSUE RATE* DATE (NOTE 1A)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
US GOVERNMENT, $ 2,900,000 Federal National Mortgage Association.......... 4.54% 9/09/1999 $ 2,872,537
AGENCY & 7,800,000 US Treasury Bills.............................. 3.80 10/14/1999 7,694,435
INSTRUMENTALITY 1,950,000 US Treasury Bills.............................. 3.81 10/14/1999 1,923,609
OBLIGATIONS- 2,900,000 US Treasury Bills.............................. 4.36 12/09/1999 2,838,004
DISCOUNT-2.7%
- ------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT, AGENCY & INSTRUMENTALITY
OBLIGATIONS-DISCOUNT (COST-$15,359,733) 15,328,585
- ------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT,
AGENCY & 13,500,000 Federal Home Loan Banks+....................... 5.419 9/02/1999 13,498,835
INSTRUMENTALITY 5,000,000 Federal Home Loan Banks+....................... 5.399 4/24/2000 4,998,415
OBLIGATIONS-NON- 5,000,000 Federal Home Loan Mortgage Corporation
DISCOUNT-10.9% Participation Certificates+................... 5.389 4/14/2000 4,998,033
1,000,000 Federal Home Loan Mortgage Corporation
Participation Certificates.................... 5.05 11/17/2000 990,602
1,700,000 Federal Home Loan Mortgage Corporation
Participation Certificates.................... 5.18 11/24/2000 1,686,403
2,900,000 Federal Home Loan Mortgage Corporation
Participation Certificates.................... 5.25 1/19/2001 2,875,820
6,000,000 Federal National Mortgage Association+......... 5.294 7/30/1999 5,999,603
5,000,000 Federal National Mortgage Association+......... 5.354 8/19/1999 4,999,507
2,900,000 Federal National Mortgage Association.......... 5.08 9/24/1999 2,898,872
3,700,000 Federal National Mortgage Association+......... 5.389 10/27/1999 3,699,437
2,800,000 Federal National Mortgage Association.......... 5.07 12/14/2000 2,770,706
5,150,000 Student Loan Marketing Association+............ 5.334 2/04/2000 5,149,262
900,000 US Treasury Notes.............................. 4.50 9/30/2000 889,593
800,000 US Treasury Notes.............................. 4.625 11/30/2000 791,000
2,900,000 US Treasury Notes.............................. 4.625 12/31/2000 2,864,655
2,900,000 US Treasury Notes.............................. 4.50 1/31/2001 2,856,500
- ------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT, AGENCY &
INSTRUMENTALITY OBLIGATIONS-NON-DISCOUNT
(COST-$62,146,916) 61,967,243
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST-$569,787,632)-100.1%... 569,209,954
LIABILITIES IN EXCESS OF OTHER ASSETS-(0.1%)... (668,184)
-------------
NET ASSETS-100.0%.............................. $ 568,541,770
-------------
-------------
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commercial Paper and certain US Government, Agency & Instrumentality
Obligations are traded on a discount basis; the interest rates shown reflect
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 securities are adjusted periodically
based on appropriate indexes. The interest rates shown are the rates in effect
at June 30, 1999.
+ Variable Rate Notes.
See Notes to Financial Statements.
43
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS COST (NOTE 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 82,841 United Technologies
Corporation.................. $ 3,053,512 $ 5,938,664 0.4%
- --------------------------------------------------------------------------------------------------------------------
APPLICATION 141,000 +Siebel Systems, Inc........... 5,785,409 9,341,250 0.7
DEVELOPMENT SOFTWARE
- --------------------------------------------------------------------------------------------------------------------
AUTO & TRUCK 197,300 Delphi Automotive Systems
Corporation.................. 3,354,100 3,662,381 0.3
- --------------------------------------------------------------------------------------------------------------------
AUTOMOBILE RENTAL 90,300 The Hertz Corporation (Class
A)........................... 3,609,718 5,598,600 0.4
- --------------------------------------------------------------------------------------------------------------------
BANKING 93,488 Bank of America Corporation.... 4,585,971 6,853,839 0.5
309,600 The Bank of New York Company,
Inc.......................... 2,856,008 11,358,450 0.9
307,400 Mellon Bank Corporation........ 9,729,798 11,181,675 0.8
-------------- -------------- -----
17,171,777 29,393,964 2.2
- --------------------------------------------------------------------------------------------------------------------
BANKING & FINANCIAL 79,000 Citigroup Inc.................. 3,623,414 3,752,500 0.3
- --------------------------------------------------------------------------------------------------------------------
BEVERAGES 268,400 PepsiCo, Inc................... 10,443,509 10,383,725 0.8
- --------------------------------------------------------------------------------------------------------------------
BROADCASTING-CABLE 388,126 +AT&T Corp.-Liberty Media Group
(Class A).................... 4,277,227 14,263,630 1.0
- --------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS 117,900 +American Tower Corporation
(Class A).................... 2,947,500 2,829,600 0.2
- --------------------------------------------------------------------------------------------------------------------
CAPITAL EQUIPMENT 54,800 Eaton Corporation.............. 3,681,111 5,041,600 0.4
47,400 Hewlett-Packard Company........ 3,394,025 4,763,700 0.3
-------------- -------------- -----
7,075,136 9,805,300 0.7
- --------------------------------------------------------------------------------------------------------------------
CHEMICALS 72,850 E.I. du Pont de Nemours and
Company...................... 4,573,402 4,976,566 0.4
201,800 Rohm and Haas Company.......... 7,652,159 8,652,175 0.6
-------------- -------------- -----
12,225,561 13,628,741 1.0
- --------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 58,600 +America Online, Inc........... 5,072,410 6,475,300 0.5
362,700 +Cisco Systems, Inc............ 10,480,996.... 23,371,481 1.7
-------------- -------------- -----
15,553,406 29,846,781 2.2
- --------------------------------------------------------------------------------------------------------------------
COMPUTERS 196,800 +EMC Corporation............... 8,512,055 10,824,000 0.8
167,200 International Business Machines
Corporation.................. 12,017,825 21,610,600 1.6
28,900 +Sun Microsystems, Inc......... 1,770,293 1,990,487 0.2
292,000 Tandy Corporation.............. 5,849,831 14,271,500 1.0
-------------- -------------- -----
28,150,004 48,696,587 3.6
- --------------------------------------------------------------------------------------------------------------------
CONSUMER 113,300 +Dell Computer Corporation..... 4,146,651 4,185,019 0.3
ELECTRONICS
- --------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS 384,700 The Dial Corporation........... 8,556,936 14,306,031 1.0
- --------------------------------------------------------------------------------------------------------------------
ELECTRICAL 136,050 General Electric Company....... 12,523,319 15,373,650 1.1
EQUIPMENT 34,200 W. W. Grainger, Inc............ 1,839,198 1,840,387 0.2
-------------- -------------- -----
14,362,517 17,214,037 1.3
- --------------------------------------------------------------------------------------------------------------------
ELECTRONICS/ 161,250 Intel Corporation.............. 9,915,845 9,584,297 0.7
INSTRUMENTS 71,100 +Lattice Semiconductor
Corporation.................. 3,571,587 4,408,200 0.3
-------------- -------------- -----
13,487,432 13,992,497 1.0
- --------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 329,100 +Premier Parks Inc............. 9,561,934 12,094,425 0.9
49,600 The Walt Disney Company........ 1,734,814 1,528,300 0.1
-------------- -------------- -----
11,296,748 13,622,725 1.0
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
44
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS COST (NOTE 1A) NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FINANCE 54,800 +The Goldman Sachs Group,
Inc.......................... $ 2,904,400 $ 3,959,300 0.3%
269,800 +TD Waterhouse Group, Inc...... 6,475,200 6,761,862 0.5
-------------- -------------- -----
9,379,600 10,721,162 0.8
- --------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 297,800 Associates First Capital
Corporation (Class A)........ 11,241,598 13,196,262 1.0
174,500 Wells Fargo Company............ 6,857,828 7,459,875 0.5
-------------- -------------- -----
18,099,426 20,656,137 1.5
- --------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- 261,400 Household International,
CONSUMER Inc.......................... 11,338,772 12,383,825 0.9
- --------------------------------------------------------------------------------------------------------------------
FOODS 195,100 +Keebler Foods Company......... 5,642,794 5,926,162 0.4
- --------------------------------------------------------------------------------------------------------------------
HARDWARE PRODUCTS 84,900 The Black & Decker
Corporation.................. 4,882,532 5,359,312 0.4
- --------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 58,400 Colgate-Palmolive Company...... 5,357,510 5,767,000 0.4
- --------------------------------------------------------------------------------------------------------------------
INFORMATION 117,600 +Unisys Corporation............ 3,840,051 4,579,050 0.3
PROCESSING 32,000 Xerox Corporation.............. 1,791,667 1,890,000 0.2
-------------- -------------- -----
5,631,718 6,469,050 0.5
- --------------------------------------------------------------------------------------------------------------------
INSURANCE 61,600 American International Group,
Inc.......................... 7,360,153 7,211,050 0.5
42,600 The Equitable Companies
Incorporated................. 2,253,237 2,854,200 0.2
45,750 Providian Financial
Corporation.................. 2,553,703 4,277,625 0.3
-------------- -------------- -----
12,167,093 14,342,875 1.0
- --------------------------------------------------------------------------------------------------------------------
LASER SYSTEMS & 39,700 +JDS Uniphase Corporation...... 3,959,226 6,590,200 0.5
COMPONENTS
- --------------------------------------------------------------------------------------------------------------------
MACHINERY 89,150 Case Corporation............... 2,541,812 4,290,344 0.3
257,900 Ingersoll-Rand Company......... 8,526,381 16,666,787 1.2
-------------- -------------- -----
11,068,193 20,957,131 1.5
- --------------------------------------------------------------------------------------------------------------------
MACHINERY & 33,200 Caterpillar Inc................ 1,842,407 1,992,000 0.1
EQUIPMENT
- --------------------------------------------------------------------------------------------------------------------
MANUFACTURING 120,100 Tyco International Ltd......... 6,560,017 11,379,475 0.8
- --------------------------------------------------------------------------------------------------------------------
MEDIA 51,700 +Clear Channel Communications,
Inc.......................... 3,651,557 3,564,069 0.3
- --------------------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 134,700 Johnson & Johnson.............. 10,857,951 13,200,600 1.0
- --------------------------------------------------------------------------------------------------------------------
METALS 125,800 Alcoa Inc...................... 4,789,884 7,783,875 0.6
- --------------------------------------------------------------------------------------------------------------------
NATURAL GAS 157,430 Enron Corp..................... 7,105,642 12,869,902 0.9
- --------------------------------------------------------------------------------------------------------------------
OIL-INTEGRATED 77,150 Mobil Corporation.............. 6,153,869 7,637,850 0.6
- --------------------------------------------------------------------------------------------------------------------
OIL SERVICES 93,000 Schlumberger Limited........... 5,623,738 5,922,938 0.4
- --------------------------------------------------------------------------------------------------------------------
PAPER & FOREST 39,800 International Paper Company.... 1,960,283 2,009,900 0.1
PRODUCTS
- --------------------------------------------------------------------------------------------------------------------
PETROLEUM 218,300 Unocal Corporation............. 7,852,201 8,650,137 0.6
- --------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 195,500 American Home Products
Corporation.................. 11,458,716 11,241,250 0.8
245,200 Bristol-Myers Squibb Company... 11,731,453 17,271,275 1.3
145,200 Cardinal Health, Inc........... 10,055,905 9,310,950 0.7
50,600 Merck & Co., Inc............... 3,545,036 3,744,400 0.3
91,800 Pfizer Inc..................... 11,970,783 10,075,050 0.7
106,500 Pharmacia & Upjohn, Inc........ 6,372,142 6,050,531 0.4
-------------- -------------- -----
55,134,035 57,693,456 4.2
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
45
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
INDUSTRIES HELD US STOCKS COST (NOTE 1A) NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
RADIO & TELEVISION 530,900 +Capstar Broadcasting
Corporation (Class A)........ $ 10,218,681 $ 14,533,387 1.1%
- --------------------------------------------------------------------------------------------------------------------
RETAIL 72,400 +Best Buy Co., Inc............. 3,508,269 4,887,000 0.4
33,400 +Federated Department Stores,
Inc.......................... 1,772,204 1,768,112 0.1
150,300 +Safeway Inc................... 4,716,983 7,439,850 0.6
209,100 Wal-Mart Stores, Inc........... 4,309,883 10,089,075 0.7
-------------- -------------- -----
14,307,339 24,184,037 1.8
- --------------------------------------------------------------------------------------------------------------------
RETAIL SPECIALTY 134,900 Lowe's Companies, Inc.......... 4,909,917 7,647,144 0.6
- --------------------------------------------------------------------------------------------------------------------
RETAIL STORES 109,200 Dayton Hudson Corporation...... 7,252,032 7,098,000 0.5
- --------------------------------------------------------------------------------------------------------------------
SAVINGS & LOAN 209,200 GreenPoint Financial Corp...... 8,284,038 6,864,375 0.5
ASSOCIATIONS
- --------------------------------------------------------------------------------------------------------------------
SCIENTIFIC EQUIPMENT 85,700 Millipore Corporation.......... 1,782,157 3,476,206 0.3
- --------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS 72,000 +Applied Materials, Inc........ 4,651,341 5,319,000 0.4
138,350 Motorola, Inc.................. 8,454,728 13,108,662 1.0
-------------- -------------- -----
13,106,069 18,427,662 1.4
- --------------------------------------------------------------------------------------------------------------------
SERVICES 138,600 +Quintiles Transnational
Corp......................... 6,448,086 5,812,537 0.4
- --------------------------------------------------------------------------------------------------------------------
SOFTWARE 439,960 +Microsoft Corporation......... 33,418,753 39,651,395 2.9
45,800 +Transaction Systems
Architects, Inc. (Class A)... 1,839,443 1,786,200 0.1
-------------- -------------- -----
35,258,196 41,437,595 3.0
- --------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 281,676 AT&T Corp...................... 4,396,265 15,721,042 1.2
167,800 GTE Corporation................ 8,462,215 12,710,850 0.9
202,800 Lucent Technologies Inc........ 11,021,235 13,676,325 1.0
233,200 +MCI WorldCom Inc.............. 6,476,342 20,055,200 1.5
-------------- -------------- -----
30,356,057 62,163,417 4.6
- --------------------------------------------------------------------------------------------------------------------
TOBACCO 186,800 Philip Morris Companies Inc.... 8,182,847 7,507,025 0.5
- --------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 66,100 Royal Caribbean Cruises Ltd.... 1,594,045 2,891,875 0.2
- --------------------------------------------------------------------------------------------------------------------
UTILITIES- 217,000 Ameritech Corporation.......... 10,905,508 15,949,500 1.2
COMMUNICATIONS
- --------------------------------------------------------------------------------------------------------------------
UTILITIES- 71,250 PECO Energy Company............ 2,428,547 2,983,594 0.2
ELECTRIC 150,200 Public Service Enterprise Group
Incorporated................. 5,835,372 6,139,425 0.5
-------------- -------------- -----
8,263,919 9,123,019 0.7
- --------------------------------------------------------------------------------------------------------------------
WASTE MANAGEMENT 150,100 Waste Management, Inc.......... 6,394,559 8,067,875 0.6
- --------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS 535,442,455 727,522,742 53.3
- --------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT US CORPORATE BONDS
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES US$ 3,000,000 General Electric Capital Corp.,
8.75% due 5/21/2007.......... 3,373,650 3,401,460 0.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL US CORPORATE BONDS 3,373,650 3,401,460 0.2
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
46
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRIES HELD FOREIGN STOCKS+++ COST (NOTE 1A) NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
AUSTRALIA 186,000 Broken Hill Proprietary Company
Limited (15)................. $ 2,047,478 $ 2,154,485 0.2%
100,300 The News Corporation Limited
(Preferred) (ADR)(a) (30).... 3,366,200 3,165,719 0.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN AUSTRALIA 5,413,678 5,320,204 0.4
- --------------------------------------------------------------------------------------------------------------------
AUSTRIA 41,300 Mayr-Melnhof Karton AG (36).... 2,079,634 1,872,806 0.1
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN AUSTRIA 2,079,634 1,872,806 0.1
- --------------------------------------------------------------------------------------------------------------------
BRAZIL 97,800 Aracruz Celulose SA (ADR)(a)
(36)......................... 1,371,403 2,151,600 0.2
89,400 Companhia Vale do Rio Doce 'A'
(Preferred) (32)............. 1,278,462 1,755,711 0.1
75,400 Embratel Participacoes SA
(ADR)(a) (45)................ 1,246,667 1,046,175 0.1
16,400 +Telecomunicacoes Brasileiras
SA-Telebras (ADR)(a) (45).... 2,562 1,025 0.0
16,400 Telecomunicacoes Brasileiras
SA-Telebras (Preferred Block)
(ADR)(a) (45)................ 1,292,849 1,479,075 0.1
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BRAZIL 5,191,943 6,433,586 0.5
- --------------------------------------------------------------------------------------------------------------------
CANADA 75,900 +ATI Technologies Inc. (34).... 1,188,893 1,224,939 0.1
44,000 Nortel Networks Corporation
(9).......................... 2,938,265 3,819,750 0.3
105,800 Teleglobe Inc. (46)............ 2,911,187 3,147,550 0.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 7,038,345 8,192,239 0.6
- --------------------------------------------------------------------------------------------------------------------
FINLAND 134,800 +Amer Group Ltd. (14).......... 2,517,131 1,938,002 0.2
50,800 Nokia Oyj (9).................. 2,634,133 4,450,131 0.3
55,000 Sampo Insurance Company PLC 'A'
(24)......................... 2,543,141 1,592,792 0.1
114,850 Sponda Oyj (40)................ 831,615 579,986 0.0
187,000 +Stora Enso Oyj 'R' (36)....... 1,843,323 2,029,372 0.1
71,400 UPM-Kymmene Oyj (36)........... 1,880,807 2,045,659 0.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 12,250,150 12,635,942 0.9
- --------------------------------------------------------------------------------------------------------------------
FRANCE 43,800 Axa (24)....................... 5,312,414 5,340,095 0.4
6,200 Cap Gemini SA (23)............. 1,008,482 973,793 0.1
20,862 Carrefour SA (31).............. 2,588,417 3,063,804 0.2
37,800 Elf Aquitaine SA (35).......... 4,558,740 5,543,536 0.4
43,300 France Telecom SA (46)......... 3,369,270 3,268,780 0.2
12,600 Groupe Danone SA (20).......... 3,253,412 3,246,390 0.2
121,400 Pechiney SA 'A' (32)........... 5,526,967 5,214,787 0.4
77,700 STMicroelectronics NV (NY
Registered Shares) (43)...... 2,748,789 5,390,437 0.4
45,400 Scor (41)...................... 2,650,653 2,250,562 0.2
6,000 Societe Generale 'A' (3)....... 1,113,690 1,056,777 0.1
62,800 Thomson CSF (18)............... 2,292,838 2,181,121 0.1
22,200 +Total Fina SA 'B' (35)........ 2,920,202 2,862,203 0.2
46,200 Vivendi (49)................... 3,250,424 3,740,058 0.3
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 40,594,298 44,132,343 3.2
- --------------------------------------------------------------------------------------------------------------------
GERMANY 41,800 DaimlerChrysler AG (2)......... 3,796,253 3,618,643 0.3
31,000 Henkel KGaA (Preferred) (8).... 1,321,307 2,114,997 0.2
20,817 Mannesmann AG (28)............. 3,130,324 3,104,394 0.2
39,000 RWE AG (15).................... 2,081,060 1,804,282 0.1
38,800 Siemens AG (18)................ 2,684,875 2,991,049 0.2
34,400 Veba AG (33)................... 2,099,981 2,020,800 0.1
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 15,113,800 15,654,165 1.1
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
47
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRIES HELD FOREIGN STOCKS+++ COST (NOTE 1A) NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
HONG KONG 172,200 Hutchison Whampoa Limited
(33)......................... $ 1,569,471 $ 1,559,179 0.1%
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN
HONG KONG 1,569,471 1,559,179 0.1
- --------------------------------------------------------------------------------------------------------------------
IRELAND 131,000 Bank of Ireland (3)............ 2,770,717 2,209,229 0.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN IRELAND 2,770,717 2,209,229 0.2
- --------------------------------------------------------------------------------------------------------------------
ITALY 214,750 Mondadori (Arnoldo) Editore SpA
(39)......................... 1,809,665 3,718,199 0.3
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 1,809,665 3,718,199 0.3
- --------------------------------------------------------------------------------------------------------------------
JAPAN 198,000 The Bank of Tokyo-Mitsubishi,
Ltd. (4)..................... 2,542,081 2,819,921 0.2
92,000 Bridgestone Corp. (47)......... 2,251,684 2,783,270 0.2
92,000 Fuji Photo Film (38)........... 3,484,097 3,482,890 0.2
297,000 Fujitsu Limited (18)........... 4,072,344 5,977,806 0.4
38,000 Ito-Yokado Co., Ltd. (42)...... 2,127,091 2,544,222 0.2
150,000 Kao Corporation (13)........... 3,060,790 4,215,573 0.3
6,600 Keyence Corporation (18)....... 884,932 1,155,464 0.1
166,000 Marui Co., Ltd. (36)........... 2,942,135 2,744,255 0.2
218,000 Matsushita Electric Industrial
Company, Ltd. (18)........... 3,794,092 4,234,584 0.3
142,000 Minebea Company Ltd. (27)...... 1,474,690 1,584,559 0.1
180,000 Mitsukoshi, Ltd. (42).......... 783,329 782,609 0.0
287,000 NEC Corporation (11)........... 2,842,874 3,570,301 0.3
66 NTT Mobile Communications
Network, Inc. (46)........... 2,177,849 894,693 0.1
264 NTT Mobile Communications
Network, Inc. (New) (46)..... 0 3,535,130 0.3
847,000 Nippon Sheet Glass Company,
Ltd. (21).................... 2,647,354 3,017,499 0.2
289 Nippon Telegraph & Telephone
Corporation (NTT) (46)....... 2,453,237 3,368,243 0.2
121,000 Olympus Optical Co., Ltd.
(15)......................... 1,362,830 1,789,296 0.1
24,000 Orix Corporation (19).......... 1,742,523 2,142,503 0.2
24,000 Rohm Company Ltd. (18)......... 2,350,008 3,759,299 0.3
19,200 Softbank Corporation (14)...... 2,980,325 3,889,833 0.3
32,800 Sony Corporation (ADR)(a)
(1).......................... 2,731,055 3,620,300 0.3
28,000 TDK Corporation (18)........... 2,171,916 2,562,076 0.2
64,000 Takeda Chemical Industries
(37)......................... 2,313,037 2,967,763 0.2
214,000 The Tokio Marine & Fire
Insurance Co. Ltd. (24)...... 2,301,256 2,326,087 0.2
520,000 Toshiba Corporation (18)....... 3,446,198 3,709,373 0.3
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 58,937,727 73,477,549 5.4
- --------------------------------------------------------------------------------------------------------------------
NETHERLANDS 96,300 ABN AMRO Holding NV (3)........ 2,093,578 2,084,182 0.2
29,300 +ASM Lithography Holding NV
(17)......................... 1,225,912 1,694,028 0.1
51,500 +Baan Company, NV (10)......... 809,094 796,139 0.1
54,400 CSM NV (20).................... 2,858,050 2,716,332 0.2
41,100 Koninklijke Ahold NV (20)...... 1,601,986 1,414,746 0.1
40,892 Unilever NV 'A' (33)........... 3,335,892 2,754,064 0.2
75,200 Wolters Kluwer NV 'A' (39)..... 2,874,675 2,991,543 0.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
NETHERLANDS 14,799,187 14,451,034 1.1
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
48
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRIES HELD FOREIGN STOCKS+++ COST (NOTE 1A) NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NORWAY 107,600 Bergesen d.y. ASA 'B' (48)..... $ 1,538,692 $ 1,525,416 0.1%
207,500 Merkantildata ASA (10)......... 1,769,300 2,005,086 0.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 3,307,992 3,530,502 0.3
- --------------------------------------------------------------------------------------------------------------------
SINGAPORE 77,000 Development Bank of Singapore
Limited 'Foreign' (4)........ 796,542 941,287 0.1
78,400 +Flextronics International Ltd.
(17)......................... 2,701,857 4,331,600 0.3
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SINGAPORE 3,498,399 5,272,887 0.4
- --------------------------------------------------------------------------------------------------------------------
SOUTH KOREA 46,129 Pohang Iron & Steel Company,
Ltd. (ADR)(a) (44)........... 1,366,599 1,551,088 0.1
16,200 Samsung Electronics (18)....... 1,274,572 1,777,451 0.1
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH
KOREA 2,641,171 3,328,539 0.2
- --------------------------------------------------------------------------------------------------------------------
SPAIN 167,000 +Dinamia Capital Privado.
Sociedad de Capital Riesgo,
SA (50)...................... 3,090,997 1,783,062 0.1
132,000 Endesa, SA (49)................ 3,459,044 2,813,291 0.2
29,300 +Grupo Ferrovial, SA (12)...... 713,117 709,620 0.1
89,400 Metrovacesa, SA (40)........... 2,789,966 1,744,128 0.1
149,400 Repsol, SA (35)................ 3,012,448 3,048,638 0.2
79,600 +Telefonica, SA(46)............ 3,468,790 3,831,890 0.3
201,600 Uralita, SA (6)................ 2,771,163 1,693,317 0.1
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 19,305,525 15,623,946 1.1
- --------------------------------------------------------------------------------------------------------------------
SWEDEN 58,100 Autoliv, Inc. (2).............. 1,886,650 1,775,040 0.1
162,200 Castellum AB (40).............. 1,835,601 1,530,640 0.1
38,700 Custos AB 'A' (15)............. 996,756 833,117 0.1
42,000 Custos AB 'B' (15)............. 1,107,064 911,590 0.1
203,400 Fastighets AB Tornet (39)...... 3,013,321 2,771,183 0.2
104,250 ForeningsSparbanken AB (3)..... 1,852,452 1,475,671 0.1
160,200 Haldex AB (2).................. 2,833,165 2,097,576 0.1
257,400 Investment AB Bure (25)........ 1,424,916 1,366,323 0.1
254,800 Nordbanken Holding AB (3)...... 1,489,785 1,493,785 0.1
160,400 Telefonaktiebolaget LM Ericsson
(ADR)(a) (46)................ 3,965,909 5,273,150 0.4
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 20,405,619 19,528,075 1.4
- --------------------------------------------------------------------------------------------------------------------
SWITZERLAND 11,697 Credit Suisse Group (Registered
Shares) (3).................. 2,092,050 2,026,466 0.2
7,294 Swisscom AG (Registered Shares)
(45)......................... 2,024,672 2,748,110 0.2
6,407 UBS AG (Registered Shares)
(4).......................... 2,129,573 1,914,631 0.1
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN
SWITZERLAND 6,246,295 6,689,207 0.5
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
49
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE PERCENT OF
COUNTRIES HELD FOREIGN STOCKS+++ COST (NOTE 1A) NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
UNITED KINGDOM 87,200 AstraZeneca Group PLC (16)..... $ 3,505,009 $ 3,371,180 0.2%
384,300 BP Amoco PLC (35).............. 7,097,984 6,883,696 0.5
128,500 Bank of Scotland (3)........... 1,491,366 1,700,487 0.1
693,200 Billiton PLC (15).............. 1,633,806 2,416,199 0.2
324,700 The British Land Company
PLC (40)..................... 2,944,765 2,713,679 0.2
145,400 British Telecommunications
PLC (45)..................... 2,364,885 2,434,941 0.2
163,800 +Cable & Wireless PLC (45)..... 2,443,305 2,086,338 0.2
664,300 Devro PLC (20)................. 3,279,438 1,475,619 0.1
393,253 Diageo PLC (5)................. 4,490,170 4,104,391 0.3
135,700 Dixons Group PLC (42).......... 3,102,252 2,533,314 0.2
71,100 +Energis PLC (45).............. 1,924,296 1,694,726 0.1
106,600 Glaxo Wellcome PLC (37)........ 3,406,317 2,960,741 0.2
109,300 HSBC Holdings PLC (3).......... 2,896,747 3,869,137 0.3
592,000 Hilton Group PLC (26).......... 3,116,948 2,345,582 0.2
409,900 Lloyds TSB Group PLC (3)....... 5,514,261 5,553,506 0.4
147,600 The Peninsular and Oriental
Steam Navigation
Company (48)................. 2,274,718 2,214,839 0.2
223,300 Reed International PLC (39).... 1,873,399 1,488,938 0.1
246,900 Shell Transport & Trading
Company (ADR)(a) (35)........ 9,383,859 11,449,988 0.8
306,000 +TeleWest Communications
PLC (7)...................... 1,329,637 1,371,496 0.1
126,400 Vodafone AirTouch PLC (45)..... 2,345,863 2,489,132 0.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
UNITED KINGDOM 66,419,025 65,157,929 4.8
- --------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS 289,392,641 308,787,560 22.6
- --------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT FOREIGN BONDS
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
GERMANY [EURO] 7,000,000 BundesObligation, 4.75% due
11/20/2001 (22).............. 8,491,846 7,437,107 0.5
14,991,962 Bundesrepublik Deutschland,
4.75% due 7/04/2008 (22)..... 18,706,397 15,275,644 1.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 27,198,243 22,712,751 1.7
- --------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM L 4,545,000 United Kingdom Treasury Gilt,
7.25% due 12/07/2007 (22).... 8,565,462 8,083,568 0.6
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE
UNITED KINGDOM 8,565,462 8,083,568 0.6
- --------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN BONDS 35,763,705 30,796,319 2.3
- --------------------------------------------------------------------------------------------------------------------
<CAPTION>
US GOVERNMENT OBLIGATIONS
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
US GOVERNMENT AGENCY Federal National Mortgage
OBLIGATIONS Association:
US$ 43,530,000 5.625% due 3/15/2001....... 43,643,926 43,455,128 3.2
38,400,000 5.125% due 2/13/2004....... 37,665,408 36,816,000 2.7
59,330,000 5.75% due 2/15/2008........ 59,088,204 56,724,820 4.1
11,650,000 5.25% due 1/15/2009........ 10,904,400 10,641,576 0.8
52,000,000 6.375% due 6/15/2009....... 51,915,240 51,561,120 3.8
- --------------------------------------------------------------------------------------------------------------------
203,217,178 199,198,644 14.6
- --------------------------------------------------------------------------------------------------------------------
US GOVERNMENT 65,000,000 US Treasury Bonds, 6.625% due
OBLIGATIONS 2/15/2027.................... 74,009,250 68,645,850 5.0
- --------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT OBLIGATIONS 277,226,428 267,844,494 19.6
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
50
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE PERCENT OF
AMOUNT SHORT-TERM SECURITIES COST (NOTE 1A) NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
COMMERCIAL PAPER* $ 6,315,000 General Motors Acceptance
Corp., 5.63% due 7/01/1999... $ 6,315,000 $ 6,315,000 0.5%
- --------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 6,315,000 6,315,000 0.5
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS.............. $1,147,513,879 1,344,667,575 98.5
--------------
--------------
UNREALIZED APPRECIATION ON
FORWARD FOREIGN
EXCHANGE CONTRACTS++.......... 110,155 0.0
OTHER ASSETS LESS
LIABILITIES.................... 20,182,361 1.5
-------------- -----
NET ASSETS..................... $1,364,960,091 100.0%
-------------- -----
-------------- -----
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) American Depositary Receipts (ADR).
* Commercial Paper is traded on a discount basis; the interest rate shown
reflects the discount rate paid at the time of purchase by the Fund.
+ Non-income producing security.
++ Forward foreign exchange contracts as of June 30, 1999 were as follows:
<TABLE>
<S> <C> <C>
- -----------------------------------------
<CAPTION>
UNREALIZED
FOREIGN EXPIRATION APPRECIATION
CURRENCY SOLD DATE (NOTE 1B)
<S> <C> <C>
- -----------------------------------------
C$ 10,800,000 July 1999 $ 110,155
- -----------------------------------------
TOTAL UNREALIZED
APPRECIATION ON FORWARD
FOREIGN EXCHANGE
CONTRACTS--NET (US$
COMMITMENT--$7,420,640) $ 110,155
-------------
-------------
- -----------------------------------------
</TABLE>
+++ Corresponding industry groups for foreign stocks and bonds:
(1) Appliances
(2) Auto-Parts
(3) Banking
(4) Banking & Financial
(5) Beverages
(6) Building Products
(7) Cable Television Services
(8) Chemicals
(9) Communication Equipment
(10) Computer Software
(11) Computers
(12) Construction
(13) Cosmetics & Toiletries
(14) Distribution
(15) Diversified
(16) Drugs
(17) Electronic Components
(18) Electronics
(19) Finance
(20) Food
(21) Glass
(22) Government (Bonds)
(23) Information Processing
(24) Insurance
(25) Investment Management
(26) Leisure
(27) Machine Tools & Machinery
(28) Machinery & Equipment
(29) Manufacturing
(30) Media-Communications
(31) Merchandising
(32) Metals & Mining
(33) Multi-Industry
(34) Multimedia
(35) Oil-Integrated
(36) Paper & Forest Products
(37) Pharmaceuticals
(38) Photography
(39) Publishing
(40) Real Estate
(41) Reinsurance
(42) Retail
(43) Semiconductors
(44) Steel
(45) Telecommunications
(46) Telephone-Integrated
(47) Tires & Rubber
(48) Transport Services
(49) Utilities
(50) Venture Capital
See Notes to Financial Statements.
51
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE (NOTE PERCENT OF
INDUSTRIES HELD STOCKS COST 1A) NET ASSETS
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
ALUMINUM 2,388 Alcoa Inc........................... $ 65,152 $ 147,758 1.1%
- -----------------------------------------------------------------------------------------------------------------
CANADIAN 7,500 Alberta Energy Company Ltd.......... 163,337 240,053 1.8
INDEPENDENTS 27,625 +Canadian Hunter Exploration Ltd.... 191,251 414,992 3.1
5,968 +Northrock Resources Ltd............ 48,377 62,596 0.5
9,500 +Rio Alto Exploration Ltd........... 89,981 143,676 1.1
----------- ----------- -----
492,946 861,317 6.5
- -----------------------------------------------------------------------------------------------------------------
CHEMICALS 3,700 Air Products and Chemicals, Inc..... 106,111 148,925 1.1
4,100 Imperial Chemical Industries PLC
(ADR)*............................. 199,100 162,975 1.2
----------- ----------- -----
305,211 311,900 2.3
- -----------------------------------------------------------------------------------------------------------------
COAL 8,600 +CONSOL Energy Inc.................. 127,171 103,200 0.8
- -----------------------------------------------------------------------------------------------------------------
DIVERSIFIED RESOURCES 10,000 Asahi Glass Company, Limited........ 120,000 64,887 0.5
COMPANIES 3,400 Ashland Inc......................... 144,013 136,425 1.0
----------- ----------- -----
264,013 201,312 1.5
- -----------------------------------------------------------------------------------------------------------------
GOLD 83,800 Acacia Resources Limited............ 124,045 97,068 0.7
10,000 Ashanti Goldfields Company Ltd.
(GDR)**............................ 240,649 68,000 0.5
36,300 Delta Gold NL....................... 51,278 51,658 0.4
74,000 Normandy Mining Limited............. 83,790 49,274 0.4
----------- ----------- -----
499,762 266,000 2.0
- -----------------------------------------------------------------------------------------------------------------
METALS & MINING 218,698 +Centaur Mining and Exploration
Limited............................ 280,055 38,360 0.3
9,500 +Freeport-McMoRan Copper & Gold,
Inc. (Class B)..................... 134,681 170,406 1.2
173,700 M.I.M. Holdings Limited............. 199,265 123,020 0.9
23,612 Minsur SA........................... 55,784 50,283 0.4
11,800 Noranda, Inc........................ 149,617 154,906 1.1
9,500 Outokumpu Oyj....................... 175,414 106,719 0.8
1,200 Phelps Dodge Corporation............ 88,734 74,325 0.6
150 +Stillwater Mining Company.......... 3,368 4,903 0.0
38,600 WMC Limited......................... 228,351 165,815 1.2
14,260 +Zimbabwe Platinum Mines Limited.... 7,892 3,209 0.0
----------- ----------- -----
1,323,161 891,946 6.5
- -----------------------------------------------------------------------------------------------------------------
OIL & GAS PRODUCERS 4,200 Anadarko Petroleum Corporation...... 113,180 154,613 1.1
9,500 Apache Corporation.................. 272,864 370,500 2.7
3,700 +Barrett Resources Corporation...... 59,942 141,988 1.0
5,140 Burlington Resources Inc............ 167,528 222,305 1.6
12,100 Cabot Oil & Gas Corporation (Class
A)................................. 187,335 225,362 1.7
5,800 +Chieftain International, Inc....... 128,672 101,500 0.7
8,575 Devon Energy Corporation............ 245,937 306,556 2.3
10,400 Enron Oil & Gas Company............. 213,195 210,600 1.6
5,979 Kerr-McGee Corporation.............. 252,064 300,071 2.2
10,300 +Meridian Resource Corporation...... 62,561 39,913 0.3
4,300 Texaco Inc.......................... 242,400 268,750 2.0
13,700 Union Pacific Resources Group
Inc................................ 153,788 223,481 1.6
6,300 Unocal Corporation.................. 217,289 249,638 1.8
4,700 Vastar Resources, Inc............... 198,399 246,456 1.8
----------- ----------- -----
2,515,154 3,061,733 22.4
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
52
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of June 30, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE (NOTE PERCENT OF
INDUSTRIES HELD STOCKS COST 1A) NET ASSETS
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OIL-INTEGRATED 2,700 Amerada Hess Corporation............ $ 147,257 $ 160,650 1.2%
1,380 BP Amoco PLC (ADR)*................. 52,654 149,730 1.1
4,300 Chevron Corporation................. 348,722 409,306 3.0
5,200 ENI SpA (ADR)*...................... 249,494 312,000 2.3
1,900 Elf Aquitaine SA (ADR)*............. 69,655 139,769 1.0
1,600 Exxon Corporation................... 114,174 123,400 0.9
2,200 Mobil Corporation................... 173,244 217,800 1.6
4,100 Phillips Petroleum Company.......... 183,553 206,281 1.5
2,400 Royal Dutch Petroleum Company (NY
Registered Shares)................. 133,019 144,600 1.1
3,200 Total, SA 'B'....................... 200,508 412,570 3.0
6,900 USX-Marathon Group.................. 203,026 224,681 1.7
----------- ----------- -----
1,875,306 2,500,787 18.4
- -----------------------------------------------------------------------------------------------------------------
OIL SERVICES 4,600 Baker Hughes Incorporated........... 136,320 154,100 1.1
3,600 Coflexip SA (ADR)*.................. 73,320 157,500 1.2
4,100 +Cooper Cameron Corporation......... 145,477 151,956 1.1
5,200 Helmerich & Payne, Inc.............. 129,702 123,825 0.9
3,700 McDermott International, Inc........ 128,454 104,525 0.8
4,600 +Noble Drilling Corporation......... 141,944 90,563 0.7
5,500 +Stolt Comex Seaway, SA............. 136,371 59,469 0.4
3,050 +Stolt Comex Seaway, SA (ADR)*...... 36,202 32,406 0.2
2,600 Transocean Offshore Inc............. 82,139 68,250 0.5
4,300 +Weatherford International, Inc..... 183,169 157,488 1.2
----------- ----------- -----
1,193,098 1,100,082 8.1
- -----------------------------------------------------------------------------------------------------------------
PAPER 17,000 Abitibi-Consolidated Inc............ 178,677 194,411 1.4
5,600 Aracruz Celulose SA (ADR)*.......... 89,288 123,200 0.9
29,554 Nexfor Inc.......................... 130,398 181,988 1.3
27,000 +Slocan Forest Products Ltd......... 272,565 195,493 1.4
121,200 Smurfit Jefferson Group PLC......... 319,692 286,408 2.1
11,225 +Smurfit-Stone Container
Corporation........................ 141,387 230,113 1.7
25,700 +St. Laurent Paperboard Inc......... 227,532 325,206 2.4
22,700 +Tembec Inc. 'A'.................... 146,813 182,024 1.3
4,500 Westvaco Corporation................ 123,913 130,500 1.0
----------- ----------- -----
1,630,265 1,849,343 13.5
- -----------------------------------------------------------------------------------------------------------------
PIPELINES 3,500 Coastal Corporation................. 140,622 140,000 1.0
4,600 Equitable Resources, Inc............ 139,472 173,650 1.3
----------- ----------- -----
280,094 313,650 2.3
- -----------------------------------------------------------------------------------------------------------------
PLANTATION 73,000 Golden Hope Plantations Berhad
(a)................................ 131,880 62,626 0.5
70,000 Kuala Lumpur Kepong Berhad (a)...... 111,705 95,789 0.7
----------- ----------- -----
243,585 158,415 1.2
- -----------------------------------------------------------------------------------------------------------------
REFINING 3,100 Sun Co.............................. 86,478 93,581 0.7
- -----------------------------------------------------------------------------------------------------------------
STEEL 21,700 LTV Corporation..................... 124,750 145,119 1.1
- -----------------------------------------------------------------------------------------------------------------
WOOD 10,100 +Riverside Forest Products
Limited............................ 132,596 118,578 0.9
- -----------------------------------------------------------------------------------------------------------------
TOTAL STOCKS 11,158,742 12,124,721 89.3
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
53
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of June 30, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE VALUE (NOTE PERCENT OF
AMOUNT SHORT-TERM SECURITIES COST 1A) NET ASSETS
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
US GOVERNMENT AGENCY $1,501,000 Student Loan Marketing Association,
OBLIGATIONS*** 4.60% due 7/01/1999................ $ 1,500,808 $ 1,500,808 11.1%
- -----------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES 1,500,808 1,500,808 11.1
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS................... $12,659,550 13,625,529 100.4
-----------
-----------
LIABILITIES IN EXCESS OF OTHER
ASSETS............................. (54,586) (0.4)
----------- -----
NET ASSETS.......................... $13,570,943 100.0%
----------- -----
----------- -----
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
* American Depositary Receipts (ADR).
** Global Depositary Receipts (GDR).
*** US Government Agency Obligations are traded on a discount basis; the
interest rate shown reflects the discount rate paid at the time of purchase
by the Portfolio.
+ Non-income producing security.
(a) Effective February 16, 1999, the Portfolio's Board of Directors adopted a
change in valuation for Malaysian securities. The Portfolio will utilize a
Malaysian exchange rate of 3.80 and record an estimated exit tax on the
value of any investments made before February 15, 1999, based upon its
value as of August 31, 1998, in the amount of 30% through March 31, 1999,
20% from April 1, 1999 through May 31, 1999 and 10% from June 1, 1999
through August 31, 1999. These changes are due to the capital controls
implemented by the Malaysian government, which froze the Malaysian ringgit
at 3.80 until September 1, 1999 and initiated a tax at various rates, as
described above, on any funds repatriated from Malaysia.
See Notes to Financial Statements.
54
<PAGE>
(This page has been left blank intentionally.)
55
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Assets and Liabilities as of June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- --------------------------------------------------------------------------------
ASSETS:
Investments, at value* (Note
1a)......................... $ 121,729,833 $ 385,303,827 $ 216,341,684
Cash.......................... 480 -- --
Foreign cash (Note 1g)........ -- 15,276 152,703
Unrealized appreciation on
forward foreign exchange
contracts (Note 1f)......... -- 66,807 39,778
Receivable for securities
sold........................ 938,415 5,078,559 4,120,745
Interest receivable........... 798,550 -- 1,041,848
Dividends receivable.......... 42,817 224,288 214,633
Receivable for capital shares
sold........................ 33,189 20,501 169,019
Receivable for forward foreign
exchange contracts (Note
1f)......................... -- 159,251 40,811
Prepaid expenses and other
assets (Note 1e)............ 5,763 14,079 73,132
------------- ------------- -------------
Total assets................ 123,549,047 390,882,588 222,194,353
------------- ------------- -------------
LIABILITIES:
Payable for securities
purchased................... 760,694 4,907,172 1,648,402
Payable for capital shares
redeemed.................... 739 263,221 148,727
Payable to investment adviser
(Note 2).................... 35,252 108,197 63,266
Payable for forward foreign
exchange contracts (Note
1f)......................... -- 57,660 267,714
Accrued expenses and other
liabilities................. 23,180 341,894 833,591
------------- ------------- -------------
Total liabilities........... 819,865 5,678,144 2,961,700
------------- ------------- -------------
NET ASSETS.................... $ 122,729,182 $ 385,204,444 $ 219,232,653
------------- ------------- -------------
------------- ------------- -------------
NET ASSETS CONSIST OF:
Common Stock, $0.10 par
value+...................... $ 798,869 $ 1,381,796 $ 1,334,687
Paid-in capital in excess of
par......................... 101,553,283 265,817,977 182,167,474
Undistributed
(overdistributed) investment
income (loss) -- net........ 1,729,107 1,278,190 (823,220)
Undistributed (accumulated)
realized capital gains
(losses) on investments and
foreign currency
transactions -- net (Note
5).......................... 4,383,351 26,068,882 13,061,322
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions --
net......................... 14,264,572 90,657,599 23,492,390
------------- ------------- -------------
NET ASSETS.................... $ 122,729,182 $ 385,204,444 $ 219,232,653
------------- ------------- -------------
------------- ------------- -------------
Capital shares outstanding.... 7,988,692 13,817,965 13,346,874
------------- ------------- -------------
------------- ------------- -------------
Net asset value, offering and
redemption price per
share....................... $ 15.36 $ 27.88 $ 16.43
------------- ------------- -------------
------------- ------------- -------------
*Identified cost.............. $ 107,465,261 $ 294,712,190 $ 192,819,986
------------- ------------- -------------
------------- ------------- -------------
+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)......................... $ 515,842,942 $ 105,223,764 $ 257,682,136 $ 125,314,650 $ 569,209,954
Cash.......................... -- 831 726 128 2,372
Foreign cash (Note 1g)........ -- -- -- -- --
Unrealized appreciation on
forward foreign exchange
contracts (Note 1f)......... -- -- -- -- --
Receivable for securities
sold........................ 5,198,621 2,000 6 3,026,979 --
Interest receivable........... -- 2,291,245 2,634,487 2,057,512 3,425,713
Dividends receivable.......... 567,627 56,766 -- -- --
Receivable for capital shares
sold........................ 505,613 14,192 4,829 13,683 114,536
Receivable for forward foreign
exchange contracts (Note
1f)......................... -- -- -- -- --
Prepaid expenses and other
assets (Note 1e)............ 20,326 6,439 12,431 6,697 31,187
------------- ------------- ------------- ------------- --------------
Total assets................ 522,135,129 107,595,237 260,334,615 130,419,649 572,783,762
------------- ------------- ------------- ------------- --------------
LIABILITIES:
Payable for securities
purchased................... -- 40,594 29,634,013 3,110,763 2,999,100
Payable for capital shares
redeemed.................... 212,078 488,299 155,872 38,087 1,011,669
Payable to investment adviser
(Note 2).................... 145,910 31,901 67,607 37,222 152,803
Payable for forward foreign
exchange contracts (Note
1f)......................... -- -- -- -- --
Accrued expenses and other
liabilities................. 89,187 28,617 41,161 25,968 78,420
------------- ------------- ------------- ------------- --------------
Total liabilities........... 447,175 589,411 29,898,653 3,212,040 4,241,992
------------- ------------- ------------- ------------- --------------
NET ASSETS.................... $ 521,687,954 $ 107,005,826 $ 230,435,962 $ 127,207,609 $ 568,541,770
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
NET ASSETS CONSIST OF:
Common Stock, $0.10 par
value+...................... $ 1,422,718 $ 1,383,691 $ 2,136,169 $ 1,131,656 $ 56,911,945
Paid-in capital in excess of
par......................... 333,697,730 126,020,011 238,386,101 129,786,734 512,207,503
Undistributed
(overdistributed) investment
income (loss) -- net........ 2,412,493 975,327 1,212,868 750,371 --
Undistributed (accumulated)
realized capital gains
(losses) on investments and
foreign currency
transactions -- net (Note
5).......................... 51,434,500 (7,043,257) (7,683,875) (191,062) --
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions --
net......................... 132,720,513 (14,329,946) (3,615,301) (4,270,090) (577,678)
------------- ------------- ------------- ------------- --------------
NET ASSETS.................... $ 521,687,954 $ 107,005,826 $ 230,435,962 $ 127,207,609 $ 568,541,770
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
Capital shares outstanding.... 14,227,178 13,836,907 21,361,691 11,316,566 569,119,447
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
Net asset value, offering and
redemption price per
share....................... $ 36.67 $ 7.73 $ 10.79 $ 11.24 $ 1.00
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
*Identified cost.............. $ 383,122,429 $ 119,553,710 $ 261,297,437 $ 129,584,740 $ 569,787,632
------------- ------------- ------------- ------------- --------------
------------- ------------- ------------- ------------- --------------
+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)......................... $ 1,344,667,575 $ 13,625,529
Cash.......................... -- 897
Foreign cash (Note 1g)........ 141,502 318
Unrealized appreciation on
forward foreign exchange
contracts (Note 1f)......... 110,155 --
Receivable for securities
sold........................ 27,320,111 --
Interest receivable........... 5,906,895 --
Dividends receivable.......... 972,830 23,305
Receivable for capital shares
sold........................ 13,380 --
Receivable for forward foreign
exchange contracts (Note
1f)......................... 167,680 --
Prepaid expenses and other
assets (Note 1e)............ 67,461 703
--------------- ------------
Total assets................ 1,379,367,589 13,650,752
--------------- ------------
LIABILITIES:
Payable for securities
purchased................... 12,808,195 --
Payable for capital shares
redeemed.................... 150,850 47,739
Payable to investment adviser
(Note 2).................... 389,727 3,925
Payable for forward foreign
exchange contracts (Note
1f)......................... 439,865 --
Accrued expenses and other
liabilities................. 618,861 28,145
--------------- ------------
Total liabilities........... 14,407,498 79,809
--------------- ------------
NET ASSETS.................... $ 1,364,960,091 $ 13,570,943
--------------- ------------
--------------- ------------
NET ASSETS CONSIST OF:
Common Stock, $0.10 par
value+...................... $ 7,622,432 $ 163,802
Paid-in capital in excess of
par......................... 1,085,299,361 15,524,290
Undistributed
(overdistributed) investment
income (loss) -- net........ 12,353,254 111,776
Undistributed (accumulated)
realized capital gains
(losses) on investments and
foreign currency
transactions -- net (Note
5).......................... 62,525,872 (3,182,548)
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions --
net......................... 197,159,172 953,623
--------------- ------------
NET ASSETS.................... $ 1,364,960,091 $ 13,570,943
--------------- ------------
--------------- ------------
Capital shares outstanding.... 76,224,317 1,638,022
--------------- ------------
--------------- ------------
Net asset value, offering and
redemption price per
share....................... $ 17.91 $ 8.28
--------------- ------------
--------------- ------------
*Identified cost.............. $ 1,147,513,879 $ 12,659,550
--------------- ------------
--------------- ------------
+Authorized shares............ 300,000,000 100,000,000
--------------- ------------
--------------- ------------
</TABLE>
57
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Operations for the Six Months Ended June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- ----------------------------------------------------------------------------
INVESTMENT INCOME (NOTES 1C &
1D):
Interest and discount
earned*..................... $ 1,662,200 $ 200,988 $ 1,480,773
Dividends*.................... 294,940 1,728,969 1,326,472
Other income.................. -- -- --
----------- ------------ ------------
Total income.................. 1,957,140 1,929,957 2,807,245
----------- ------------ ------------
EXPENSES:
Investment advisory fees (Note
2).......................... 193,816 583,476 357,838
Custodian fees................ 9,923 29,264 73,009
Accounting services (Note
2).......................... 12,280 33,269 22,378
Professional fees............. 4,931 10,217 7,888
Printing and shareholder
reports..................... 1,433 1,162 2,934
Registration fees (Note 1e)... 1,517 3,644 --
Transfer agent fees (Note
2).......................... 2,587 2,309 2,682
Pricing services.............. 254 1,197 922
Directors' fees and
expenses.................... 417 1,112 823
Other......................... 876 2,537 251
----------- ------------ ------------
Total expenses before
reimbursement............... 228,034 668,187 468,725
Reimbursement of expenses
(Note 2).................... -- -- --
----------- ------------ ------------
Expenses after
reimbursement............... 228,034 668,187 468,725
----------- ------------ ------------
Investment income -- net...... 1,729,106 1,261,770 2,338,520
----------- ------------ ------------
REALIZED & UNREALIZED GAIN
(LOSS) ON INVESTMENTS &
FOREIGN CURRENCY
TRANSACTIONS -- NET (NOTES
1D, 1F, 1G & 3):
Realized gain (loss) on
investments -- net.......... 4,446,130 26,969,018 10,199,425
Realized gain (loss) on
foreign currency
transactions -- net......... -- 207,330 888,748
Change in unrealized
appreciation/depreciation on
investments -- net.......... (732,382) 17,172,647 (2,698,072)
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- 112,865 (94,842)
----------- ------------ ------------
Total realized and unrealized
gain (loss) on investments
and foreign currency
transactions -- net......... 3,713,748 44,461,860 8,295,259
----------- ------------ ------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $ 5,442,854 $ 45,723,630 $ 10,633,779
----------- ------------ ------------
----------- ------------ ------------
*Net of foreign withholding
tax......................... $ 1,567 $ 42,073 $ 142,729
----------- ------------ ------------
----------- ------------ ------------
</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*..................... $ 427,070 $ 5,641,370 $ 7,555,410 $ 4,355,307 $ 14,117,325 $ 10,059,332
Dividends*.................... 2,873,264 481,668 -- -- -- 6,532,811
Other income.................. -- 31,786 44,688 2,000 -- 2,251
------------ ------------ ------------- ------------ ------------ -------------
Total income.................. 3,300,334 6,154,824 7,600,098 4,357,307 14,117,325 16,594,394
------------ ------------ ------------- ------------ ------------ -------------
EXPENSES:
Investment advisory fees (Note
2).......................... 787,317 190,165 381,471 209,475 906,027 2,153,262
Custodian fees................ 18,923 11,193 13,623 9,583 18,213 197,075
Accounting services (Note
2).......................... 50,336 10,824 22,864 12,972 53,771 126,814
Professional fees............. 12,973 5,523 7,521 5,116 15,372 31,786
Printing and shareholder
reports..................... 5,254 1,479 2,338 1,398 4,465 15,652
Registration fees (Note 1e)... 6,579 -- 1,520 394 6,385 10,457
Transfer agent fees (Note
2).......................... 2,533 2,682 2,417 2,490 2,257 2,500
Pricing services.............. 419 4,321 949 3,546 -- 2,118
Directors' fees and
expenses.................... 1,523 473 804 453 1,762 4,475
Other......................... 2,070 893 1,399 893 3,316 8,719
------------ ------------ ------------- ------------ ------------ -------------
Total expenses before
reimbursement............... 887,927 227,553 434,906 246,320 1,011,568 2,552,858
Reimbursement of expenses
(Note 2).................... -- -- -- -- -- --
------------ ------------ ------------- ------------ ------------ -------------
Expenses after
reimbursement............... 887,927 227,553 434,906 246,320 1,011,568 2,552,858
------------ ------------ ------------- ------------ ------------ -------------
Investment income -- net...... 2,412,407 5,927,271 7,165,192 4,110,987 13,105,757 14,041,536
------------ ------------ ------------- ------------ ------------ -------------
REALIZED & UNREALIZED GAIN
(LOSS) ON INVESTMENTS &
FOREIGN CURRENCY
TRANSACTIONS -- NET (NOTES
1D, 1F, 1G & 3):
Realized gain (loss) on
investments -- net.......... 51,434,606 (568,456) (2,006,019) 61,375 28,160 57,088,552
Realized gain (loss) on
foreign currency
transactions -- net......... -- -- -- -- -- 6,081,560
Change in unrealized
appreciation/depreciation on
investments -- net.......... 13,834,660 (1,436,421) (9,277,735) (7,640,597) (513,962) 23,216,161
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- -- -- -- -- (85,021)
------------ ------------ ------------- ------------ ------------ -------------
Total realized and unrealized
gain (loss) on investments
and foreign currency
transactions -- net......... 65,269,266 (2,004,877) (11,283,754) (7,579,222) (485,802) 86,301,252
------------ ------------ ------------- ------------ ------------ -------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $ 67,681,673 $ 3,922,394 $ (4,118,562) $ (3,468,235) $ 12,619,955 $ 100,342,788
------------ ------------ ------------- ------------ ------------ -------------
------------ ------------ ------------- ------------ ------------ -------------
*Net of foreign withholding
tax......................... $ 110,359 -- -- -- -- $ 514,141
------------ ------------ ------------- ------------ ------------ -------------
------------ ------------ ------------- ------------ ------------ -------------
<CAPTION>
NATURAL
RESOURCES
PORTFOLIO
<S> <C>
- ------------------------------
INVESTMENT INCOME (NOTES 1C &
1D):
Interest and discount
earned*..................... $ 44,695
Dividends*.................... 99,206
Other income.................. --
------------
Total income.................. 143,901
------------
EXPENSES:
Investment advisory fees (Note
2).......................... 20,418
Custodian fees................ 8,658
Accounting services (Note
2).......................... 2,074
Professional fees............. 2,496
Printing and shareholder
reports..................... 55
Registration fees (Note 1e)... --
Transfer agent fees (Note
2).......................... 2,763
Pricing services.............. --
Directors' fees and
expenses.................... --
Other......................... --
------------
Total expenses before
reimbursement............... 36,464
Reimbursement of expenses
(Note 2).................... (4,954)
------------
Expenses after
reimbursement............... 31,510
------------
Investment income -- net...... 112,391
------------
REALIZED & UNREALIZED GAIN
(LOSS) ON INVESTMENTS &
FOREIGN CURRENCY
TRANSACTIONS -- NET (NOTES
1D, 1F, 1G & 3):
Realized gain (loss) on
investments -- net.......... (1,173,701)
Realized gain (loss) on
foreign currency
transactions -- net......... (854)
Change in unrealized
appreciation/depreciation on
investments -- net.......... 3,737,911
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... (12,566)
------------
Total realized and unrealized
gain (loss) on investments
and foreign currency
transactions -- net......... 2,550,790
------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $ 2,663,181
------------
------------
*Net of foreign withholding
tax......................... $ 7,515
------------
------------
</TABLE>
59
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED PORTFLOIO CAPITAL STOCK PORTFOLIO
------------------------------ ------------------------------
FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
INCREASE (DECREASE) IN NET JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
ASSETS: 1999 1998 1999 1998
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 1,729,106 $ 3,102,582 $ 1,261,770 $ 3,543,943
Realized gain (loss) on
investments and foreign
currency transactions --
net......................... 4,446,130 7,853,487 27,176,348 27,364,944
Change in unrealized
appreciation/depreciation on
investments -- net.......... (732,382) 3,434,242 17,172,647 17,602,882
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- -- 112,865 (49,325)
------------- ------------- ------------- -------------
Net increase (decrease) in net
assets resulting from
operations.................. 5,442,854 14,390,311 45,723,630 48,462,444
------------- ------------- ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS (NOTE 1H):
Investment income -- net...... (3,102,580) (3,524,792) (2,953,929) (6,269,261)
Realized gain on investments
-- net...................... (7,824,024) (6,923,679) (28,861,052) (36,415,502)
------------- ------------- ------------- -------------
Net decrease in net assets
resulting from dividends
and distributions to
shareholders................ (10,926,604) (10,448,471) (31,814,981) (42,684,763)
------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
(NOTE 4):
Net increase (decrease) in net
assets derived from
capital share
transactions................ 9,138,447 6,808,627 14,698,347 15,017,332
------------- ------------- ------------- -------------
NET ASSETS:
Total increase (decrease) in
net assets.................. 3,654,697 10,750,467 28,606,996 20,795,013
Beginning of period........... 119,074,485 108,324,018 356,597,448 335,802,435
------------- ------------- ------------- -------------
End of period*................ $ 122,729,182 $119,074,485 $ 385,204,444 $356,597,448
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
*Undistributed
(overdistributed) investment
income (loss) -- net........ $ 1,729,107 $ 3,102,581 $ 1,278,190 $ 2,970,349
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
60
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL STRATEGY PORTFOLIO GROWTH STOCK PORTFOLIO HIGH YIELD PORTFOLIO
------------------------------ ------------------------------ ------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1998 1999 1998 1999 1998
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 2,338,520 $ 6,679,586 $ 2,412,407 $ 2,333,481 $ 5,927,271 $ 13,245,621
Realized gain (loss) on
investments and foreign
currency transactions --
net......................... 11,088,173 923,052 51,434,606 57,447,732 (568,456) (5,883,144)
Change in unrealized
appreciation/depreciation on
investments -- net.......... (2,698,072) 13,588,593 13,834,660 65,374,802 (1,436,421) (12,768,024)
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... (94,842) 129,561 -- -- -- --
------------- ------------- ------------- ------------- ------------- -------------
Net increase (decrease) in net
assets resulting from
operations.................. 10,633,779 21,320,792 67,681,673 125,156,015 3,922,394 (5,405,547)
------------- ------------- ------------- ------------- ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS (NOTE 1H):
Investment income -- net...... (3,340,044) (9,908,154) (2,331,459) (2,484,030) (6,005,606) (13,357,566)
Realized gain on investments
-- net...................... (1,724,549) (30,525,752) (57,447,200) (61,563,233) -- --
------------- ------------- ------------- ------------- ------------- -------------
Net decrease in net assets
resulting from dividends
and distributions to
shareholders................ (5,064,593) (40,433,906) (59,778,659) (64,047,263) (6,005,606) (13,357,566)
------------- ------------- ------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
(NOTE 4):
Net increase (decrease) in net
assets derived from
capital share
transactions................ (17,480,605) 1,752,536 57,556,630 62,096,529 (7,521,313) (8,390,914)
------------- ------------- ------------- ------------- ------------- -------------
NET ASSETS:
Total increase (decrease) in
net assets.................. (11,911,419) (17,360,578) 65,459,644 123,205,281 (9,604,525) (27,154,027)
Beginning of period........... 231,144,072 248,504,650 456,228,310 333,023,029 116,610,351 143,764,378
------------- ------------- ------------- ------------- ------------- -------------
End of period*................ $ 219,232,653 $231,144,072 $ 521,687,954 $456,228,310 $ 107,005,826 $116,610,351
------------- ------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- ------------- -------------
*Undistributed
(overdistributed) investment
income (loss) -- net........ $ (823,220) $ 178,304 $ 2,412,493 $ 2,331,545 $ 975,327 $ 1,053,662
------------- ------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- ------------- -------------
</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 FOR THE FOR THE FOR THE
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
INCREASE (DECREASE) IN NET JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
ASSETS: 1999 1998 1999 1998
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 7,165,192 $ 14,537,865 $ 4,110,987 $ 8,111,343
Realized gain (loss) on
investments and foreign
currency transactions --
net......................... (2,006,019) 3,351,865 61,375 1,387,596
Change in unrealized
appreciation/depreciation on
investments and foreign --
net......................... (9,277,735) 1,409,484 (7,640,597) 778,418
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- -- -- --
------------- ------------- ------------- -------------
Net increase (decrease) in net
assets resulting from
operations.................. (4,118,562) 19,299,214 (3,468,235) 10,277,357
------------- ------------- ------------- -------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS (NOTE 1H):
Investment income -- net...... (7,223,333) (14,551,966) (4,051,273) (8,233,350)
Realized gain on investments
-- net...................... -- -- -- --
------------- ------------- ------------- -------------
Net decrease in net assets
resulting from dividends
and distributions to
shareholders................ (7,223,333) (14,551,966) (4,051,273) (8,233,350)
------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
(NOTE 4):
Net increase (decrease) in net
assets derived from
capital share
transactions................ 1,195,236 13,623,838 2,998,022 4,938,990
------------- ------------- ------------- -------------
NET ASSETS:
Total increase (decrease) in
net assets.................. (10,146,659) 18,371,086 (4,521,486) 6,982,997
Beginning of period........... 240,582,621 222,211,535 131,729,095 124,746,098
------------- ------------- ------------- -------------
End of period*................ $ 230,435,962 $240,582,621 $ 127,207,609 $131,729,095
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
*Undistributed investment
income -- net............... $ 1,212,868 $ 1,271,009 $ 750,371 $ 690,657
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
62
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NATURAL RESOURCES
MONEY RESERVE PORTFOLIO MULTIPLE STRATEGY PORTFOLIO PORTFOLIO
---------------------------- ------------------------------- --------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1998 1999 1998 1999 1998
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 13,105,757 $ 29,005,190 $ 14,041,536 $ 32,701,556 $ 112,391 $ 283,101
Realized gain (loss) on
investments and foreign
currency transactions --
net......................... 28,160 96,424 63,170,112 80,774,994 (1,174,555) (1,297,578)
Change in unrealized
appreciation/depreciation on
investments and foreign --
net......................... (513,962) (73,248) 23,216,161 23,078,285 3,737,911 (899,578)
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- -- (85,021) 161,413 (12,566) 561
------------- ------------- -------------- --------------- ------------ ------------
Net increase (decrease) in net
assets resulting from
operations.................. 12,619,955 29,028,366 100,342,788 136,716,248 2,663,181 (1,913,494)
------------- ------------- -------------- --------------- ------------ ------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS (NOTE 1H):
Investment income -- net...... (13,105,757) (29,005,190) (25,924,007) (40,282,464) (254,695) (392,711)
Realized gain on investments
-- net...................... (28,160) (96,424) (88,511,580) (140,628,156) -- --
------------- ------------- -------------- --------------- ------------ ------------
Net decrease in net assets
resulting from dividends
and distributions to
shareholders................ (13,133,917) (29,101,614) (114,435,587) (180,910,620) (254,695) (392,711)
------------- ------------- -------------- --------------- ------------ ------------
CAPITAL SHARE TRANSACTIONS
(NOTE 4):
Net increase (decrease) in net
assets derived from
capital share
transactions................ (9,746,696) 53,158,315 38,800,198 54,916,060 (601,872) (3,281,405)
------------- ------------- -------------- --------------- ------------ ------------
NET ASSETS:
Total increase (decrease) in
net assets.................. (10,260,658) 53,085,067 24,707,399 10,721,688 1,806,614 (5,587,610)
Beginning of period........... 578,802,428 525,717,361 1,340,252,692 1,329,531,004 11,764,329 17,351,939
------------- ------------- -------------- --------------- ------------ ------------
End of period*................ $ 568,541,770 $578,802,428 $1,364,960,091 $ 1,340,252,692 $ 13,570,943 $11,764,329
------------- ------------- -------------- --------------- ------------ ------------
------------- ------------- -------------- --------------- ------------ ------------
*Undistributed investment
income -- net............... -- -- $ 12,353,254 $ 24,235,725 $ 111,776 $ 254,080
------------- ------------- -------------- --------------- ------------ ------------
------------- ------------- -------------- --------------- ------------ ------------
</TABLE>
63
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED PORTFOLIO
------------------------------------------------
FOR THE
SIX
MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED --------------------------------------
INCREASE (DECREASE) IN NET JUNE 30,
ASSET VALUE: 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
period...................... $16.18 $ 15.78 $ 15.36 $ 14.86 $ 13.27
-------- -------- -------- -------- --------
Investment income -- net...... .22 .42 .51 .54 .60
Realized and unrealized gain
on investments and foreign
currency transactions --
net......................... .44 1.52 1.76 .83 2.07
-------- -------- -------- -------- --------
Total from investment
operations.................. .66 1.94 2.27 1.37 2.67
-------- -------- -------- -------- --------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.42 ) (.51) (.27) (.57) (.62)
Realized gain on investments
-- net...................... (1.06 ) (1.03) (1.58) (.30) (.46)
-------- -------- -------- -------- --------
Total dividends and
distributions............... (1.48 ) (1.54) (1.85) (.87) (1.08)
-------- -------- -------- -------- --------
Net asset value, end of
period...................... $15.36 $ 16.18 $ 15.78 $ 15.36 $ 14.86
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... 4.56% ++ 13.45% 16.93% 9.76% 21.59%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .38% * .38% .39% .39% .38%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Investment income -- net...... 2.89% * 2.73% 3.40% 3.63% 4.47%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $122,729 $119,074 $108,324 $ 98,853 $ 97,181
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Portfolio turnover............ 58.76% 106.73% 143.20% 234.79% 32.92%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
See Notes to Financial Statements.
64
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL STOCK PORTFOLIO GLOBAL STRATEGY PORTFOLIO
------------------------------------------------ ------------------------------------------------
FOR THE FOR THE
SIX SIX
MONTHS FOR THE YEAR ENDED DECEMBER 31, MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED -------------------------------------- ENDED --------------------------------------
JUNE 30, JUNE 30,
1999+ 1998+ 1997+ 1996+ 1995 1999+ 1998+ 1997+ 1996+ 1995
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
period...................... $27.03 $ 26.79 $ 23.25 $ 23.88 $ 21.64 $16.00 $ 17.44 $ 16.80 $ 15.25 $ 14.54
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Investment income -- net...... .09 .26 .33 .46 .41 .17 .43 .47 .47 .52
Realized and unrealized gain
on investments and foreign
currency transactions --
net......................... 3.17 3.39 4.57 2.86 3.70 .61 .97 1.35 1.56 .94
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total from investment
operations.................. 3.26 3.65 4.90 3.32 4.11 .78 1.40 1.82 2.03 1.46
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.22 ) (.50) (.22) (.47) (.34) (.23 ) (.70) (.55) (.39) (.55)
Realized gain on investments
-- net...................... (2.19 ) (2.91) (1.14) (3.48) (1.53) (.12 ) (2.14) (.63) (.09) (.20)
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total dividends and
distributions............... (2.41 ) (3.41) (1.36) (3.95) (1.87) (.35 ) (2.84) (1.18) (.48) (.75)
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Net asset value, end of
period...................... $27.88 $ 27.03 $ 26.79 $ 23.25 $ 23.88 $16.43 $ 16.00 $ 17.44 $ 16.80 $ 15.25
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... 13.28% ++ 15.56% 22.47% 16.54% 20.73% 4.98% ++ 9.49% 11.72% 13.78% 10.44%
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .38% * .38% .41% .40% .41% .42% * .41% .45% .42% .44%
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Investment income -- net...... .71% * 1.03% 1.38% 2.11% 1.98% 2.12% * 2.75% 2.69% 3.02% 3.59%
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $385,204 $356,597 $335,802 $289,696 $252,957 $219,233 $231,144 $248,505 $232,530 $212,683
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Portfolio turnover............ 49.37% 110.95% 90.19% 74.30% 130.54% 60.78% 124.92% 108.04% 160.89% 26.81%
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
65
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH STOCK PORTFOLIO
------------------------------------------------
FOR THE
SIX
MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED --------------------------------------
INCREASE (DECREASE) IN NET JUNE 30,
ASSET VALUE: 1999+ 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
period...................... $36.70 $ 32.82 $ 27.79 $ 24.06 $ 19.20
-------- -------- -------- -------- --------
Investment income -- net...... .17 .19 .24 .32 .15
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... 4.61 10.00 8.01 4.24 6.13
-------- -------- -------- -------- --------
Total from investment
operations.................. 4.78 10.19 8.25 4.56 6.28
-------- -------- -------- -------- --------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.19 ) (.24) (.18) (.24) (.23)
Realized gain on investments
-- net...................... (4.62 ) (6.07) (3.04) (.59) (1.19)
-------- -------- -------- -------- --------
Total dividends and
distributions............... (4.81 ) (6.31) (3.22) (.83) (1.42)
-------- -------- -------- -------- --------
Net asset value, end of
period...................... $36.67 $ 36.70 $ 32.82 $ 27.79 $ 24.06
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... 15.00% ++ 38.18% 33.75% 19.57% 35.35%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .37% * .37% .37% .38% .38%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Investment income -- net...... .99% * .61% .86% 1.25% .82%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $521,688 $456,228 $333,023 $240,666 $184,152
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Portfolio turnover............ 28.90% 60.69% 84.90% 78.04% 87.66%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
See Notes to Financial Statements.
66
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD PORTFOLIO
------------------------------------------------
FOR THE
SIX
MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED --------------------------------------
JUNE 30,
1999+ 1998+ 1997+ 1996+ 1995+
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
period...................... $ 7.90 $ 9.19 $ 9.15 $ 8.99 $ 8.53
-------- -------- -------- -------- --------
Investment income -- net...... .40 .85 .90 .89 .93
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... (.17 ) (1.29) .04 .16 .46
-------- -------- -------- -------- --------
Total from investment
operations.................. .23 (.44) .94 1.05 1.39
-------- -------- -------- -------- --------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.40 ) (.85) (.90) (.89) (.93)
Realized gain on investments
-- net...................... -- -- -- -- --
-------- -------- -------- -------- --------
Total dividends and
distributions............... (.40 ) (.85) (.90) (.89) (.93)
-------- -------- -------- -------- --------
Net asset value, end of
period...................... $ 7.73 $ 7.90 $ 9.19 $ 9.15 $ 8.99
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... 2.91% ++ (5.19%) 10.74% 12.32% 17.12%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .39% * .39% .39% .39% .38%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Investment income -- net...... 10.11% * 9.86% 9.67% 9.77% 10.25%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $107,006 $116,610 $143,764 $123,643 $107,378
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Portfolio turnover............ 24.85% 47.69% 60.94% 50.48% 63.39%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
67
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT PORTFOLIO
------------------------------------------------------------
FOR THE SIX
MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED --------------------------------------------
INCREASE (DECREASE) IN NET JUNE 30,
ASSET VALUE: 1999+ 1998+ 1997+ 1996+ 1995+
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
period...................... $ 11.32 $ 11.08 $ 10.93 $ 11.41 $ 10.32
----------- --------- --------- --------- ----------
Investment income -- net...... .33 .71 .73 .76 .78
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... (.52) .25 .15 (.49) 1.10
----------- --------- --------- --------- ----------
Total from investment
operations.................. (.19) .96 .88 .27 1.88
----------- --------- --------- --------- ----------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.34) (.72) (.73) (.75) (.79)
Realized gain on investments
-- net...................... -- -- -- -- --
----------- --------- --------- --------- ----------
Total dividends and
distributions............... (.34) (.72) (.73) (.75) (.79)
----------- --------- --------- --------- ----------
Net asset value, end of
period...................... $ 10.79 $ 11.32 $ 11.08 $ 10.93 $ 11.41
----------- --------- --------- --------- ----------
----------- --------- --------- --------- ----------
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... (1.73%)++ 8.94% 8.42% 2.61% 18.87%
----------- --------- --------- --------- ----------
----------- --------- --------- --------- ----------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .37%* .37% .37% .38% .38%
----------- --------- --------- --------- ----------
----------- --------- --------- --------- ----------
Investment income -- net...... 6.09%* 6.44% 6.74% 6.85% 7.22%
----------- --------- --------- --------- ----------
----------- --------- --------- --------- ----------
Investment income -- net and
realized gain on investments
-- net...................... -- -- -- -- --
----------- --------- --------- --------- ----------
----------- --------- --------- --------- ----------
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $230,436 $ 240,583 $ 222,212 $ 221,863 $ 239,340
----------- --------- --------- --------- ----------
----------- --------- --------- --------- ----------
Portfolio turnover............ 175.61% 65.67% 41.23% 29.35% 57.38%
----------- --------- --------- --------- ----------
----------- --------- --------- --------- ----------
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Amount is less than $.01 per share.
++ Aggregrate total investment return.
See Notes to Financial Statements.
68
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LONG TERM CORPORATE BOND PORTFOLIO
-------------------------------------------------------------
FOR THE
SIX
MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED -------------------------------------------------
JUNE 30,
1999+ 1998+ 1997+ 1996+ 1995+
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
period...................... $ 11.91 $ 11.72 $ 11.53 $ 12.02 $ 10.72
--------- ---------- ---------- ---------- ----------
Investment income -- net...... .37 .75 .79 .80 .83
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... (.68) .21 .18 (.50) 1.30
--------- ---------- ---------- ---------- ----------
Total from investment
operations.................. (.31) .96 .97 .30 2.13
--------- ---------- ---------- ---------- ----------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.36) (.77) (.78) (.79) (.83)
Realized gain on investments
-- net...................... -- -- -- -- --
--------- ---------- ---------- ---------- ----------
Total dividends and
distributions............... (.36) (.77) (.78) (.79) (.83)
--------- ---------- ---------- ---------- ----------
Net asset value, end of
period...................... $ 11.24 $ 11.91 $ 11.72 $ 11.53 $ 12.02
--------- ---------- ---------- ---------- ----------
--------- ---------- ---------- ---------- ----------
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... (2.64%)++ 8.45% 8.80% 2.77% 20.66%
--------- ---------- ---------- ---------- ----------
--------- ---------- ---------- ---------- ----------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .39%* .38% .38% .39% .40%
--------- ---------- ---------- ---------- ----------
--------- ---------- ---------- ---------- ----------
Investment income -- net...... 6.55%* 6.39% 6.87% 6.90% 7.32%
--------- ---------- ---------- ---------- ----------
--------- ---------- ---------- ---------- ----------
Investment income -- net and
realized gain on investments
-- net...................... -- -- -- -- --
--------- ---------- ---------- ---------- ----------
--------- ---------- ---------- ---------- ----------
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $127,208 $ 131,729 $ 124,746 $ 117,988 $ 125,033
--------- ---------- ---------- ---------- ----------
--------- ---------- ---------- ---------- ----------
Portfolio turnover............ 61.71% 106.93% 107.02% 92.45% 110.49%
--------- ---------- ---------- ---------- ----------
--------- ---------- ---------- ---------- ----------
<CAPTION>
---------------------------------------------------------
FOR THE
SIX
MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED ---------------------------------------------
JUNE 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
period...................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- --------- ---------
Investment income -- net...... .02 .05 .05 .05 .06
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... -- -- -- -- --
--------- --------- --------- --------- ---------
Total from investment
operations.................. .02 .05 .05 .05 .06
--------- --------- --------- --------- ---------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.02) (.05) (.05) (.05) (.06)
Realized gain on investments
-- net...................... --++ --++ --++ --++ --
--------- --------- --------- --------- ---------
Total dividends and
distributions............... (.02) (.05) (.05) (.05) (.06)
--------- --------- --------- --------- ---------
Net asset value, end of
period...................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- --------- ---------
--------- --------- --------- --------- ---------
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... 2.32%++ 5.42% 5.43% 5.33% 5.81%
--------- --------- --------- --------- ---------
--------- --------- --------- --------- ---------
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .36%* .36% .36% .36% .35%
--------- --------- --------- --------- ---------
--------- --------- --------- --------- ---------
Investment income -- net...... -- -- -- -- --
--------- --------- --------- --------- ---------
--------- --------- --------- --------- ---------
Investment income -- net and
realized gain on investments
-- net...................... 4.70%* 5.26% 5.30% 5.16% 5.67%
--------- --------- --------- --------- ---------
--------- --------- --------- --------- ---------
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $568,542 $ 578,802 $ 525,717 $ 557,690 $ 568,439
--------- --------- --------- --------- ---------
--------- --------- --------- --------- ---------
Portfolio turnover............ -- -- -- -- --
--------- --------- --------- --------- ---------
--------- --------- --------- --------- ---------
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Amount is less than $.01 per share.
++ Aggregrate total investment return.
69
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTIPLE STRATEGY PORTFOLIO
----------------------------------------------------------
FOR THE
SIX
MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED ----------------------------------------------
INCREASE (DECREASE) IN NET JUNE 30,
ASSET VALUE: 1999+ 1998+ 1997+ 1996+ 1995+
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
period...................... $ 18.17 $ 18.97 $ 17.13 $ 17.24 $ 16.22
---------- ---------- ---------- ---------- ----------
Investment income -- net...... .18 .43 .47 .53 .56
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... 1.11 1.35 2.57 1.63 2.03
---------- ---------- ---------- ---------- ----------
Total from investment
operations.................. 1.29 1.78 3.04 2.16 2.59
---------- ---------- ---------- ---------- ----------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.35 ) (.57) (.29) (.60) (.48)
Realized gain on investments
-- net...................... (1.20 ) (2.01) (.91) (1.67) (1.09)
---------- ---------- ---------- ---------- ----------
Total dividends and
distributions............... (1.55 ) (2.58) (1.20) (2.27) (1.57)
---------- ---------- ---------- ---------- ----------
Net asset value, end of
period...................... $ 17.91 $ 18.17 $ 18.97 $ 17.13 $ 17.24
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... 7.75% ++ 10.83% 19.17% 14.32% 17.55%
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of
reimbursement............... .39% * .38% .39% .39% .38%
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
Expenses...................... .39% * .38% .39% .39% .38%
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
Investment income -- net...... 2.13% * 2.45% 2.65% 3.26% 3.44%
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $1,364,960 $1,340,253 $1,329,531 $1,211,185 $1,169,357
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
Portfolio turnover............ 57.12% 110.08% 108.41% 143.82% 140.83%
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
See Notes to Financial Statements.
70
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NATURAL RESOURCES PORTFOLIO
------------------------------------------------
FOR THE
SIX
MONTHS FOR THE YEAR ENDED DECEMBER 31,
ENDED --------------------------------------
JUNE 30,
1999+ 1998+ 1997+ 1996+ 1995
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
period...................... $6.86 $ 8.12 $ 9.19 $ 8.17 $ 7.43
-------- -------- -------- -------- --------
Investment income -- net...... .07 .15 .14 .16 .17
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... 1.50 (1.23) (1.14) 1.03 .73
-------- -------- -------- -------- --------
Total from investment
operations.................. 1.57 (1.08) (1.00) 1.19 .90
-------- -------- -------- -------- --------
LESS DIVIDENDS AND
DISTRIBUTIONS:
Investment income -- net...... (.15 ) (.18) (.07) (.17) (.16)
Realized gain on investments
-- net...................... -- -- -- -- --
-------- -------- -------- -------- --------
Total dividends and
distributions............... (.15 ) (.18) (.07) (.17) (.16)
-------- -------- -------- -------- --------
Net asset value, end of
period...................... $8.28 $ 6.86 $ 8.12 $ 9.19 $ 8.17
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... 23.35% ++ (13.57%) (10.97%) 14.72% 12.22%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of
reimbursement............... .50% * .50% .50% .50% .47%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Expenses...................... .58% * .63% .59% .57% .47%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Investment income -- net...... 1.78% * 1.94% 1.65% 1.79% 1.99%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $13,571 $ 11,794 $ 17,352 $ 25,029 $ 21,035
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Portfolio turnover............ 35.19% 29.62% 24.10% 31.29% 38.50%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
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's financial
statements are prepared in accordance with generally accepted accounting
principles, which may require the use of management accruals and estimates.
These unaudited financial statements reflect all adjustments which are, in the
opinion of management, necessary to a fair statement of the results for the
interim period presented. All such adjustments are of a normal recurring nature.
The Fund offers its shares to Merrill Lynch Life Insurance Company, ML Life
Insurance Company of New York (indirect wholly-owned subsidiaries of Merrill
Lynch & Co., Inc. ("ML & Co.") and Monarch Life Insurance Company (an insurance
company not affiliated with ML & Co.)) separate accounts to fund benefits under
certain variable life insurance contracts. The following is a summary of
significant accounting policies followed by the Fund.
(a) VALUATION OF INVESTMENTS -- Money Reserve and Multiple Strategy Portfolios:
Investments maturing more than sixty days after the valuation date are valued at
the most recent bid price or yield equivalent as obtained from dealers that make
markets in such securities. When such securities are valued with sixty days or
less to maturity, the difference between the valuation existing on the
sixty-first day before maturity and maturity value is amortized on a
straight-line basis to maturity. Investments maturing within sixty days from
their date of acquisition are valued at amortized cost, which approximates
market value. For the purpose of valuation, the maturity of a variable rate
certificate of deposit is deemed to be the next coupon date on which the
interest rate is to be adjusted.
Balanced, Capital Stock, Global Strategy, Growth Stock, High Yield, Intermediate
Government Bond, Long Term Corporate Bond, Multiple Strategy and Natural
Resources Portfolios: Portfolio securities which are traded on stock exchanges
are valued at the last sale price as of the close of business on the day the
securities are being valued or, lacking any sales, at the closing bid price.
Securities other than money market securities traded in the over-the-counter
market are valued at the last available bid price prior to the time of
valuation. Portfolio securities which are traded both in the over-the-counter
market and on a stock exchange are valued according to the broadest and most
representative market, and it is expected that for debt securities this
ordinarily will be the over-the-counter market. Short-term securities are valued
at amortized cost, which approximates market value.
Options written or purchased are valued at the last sale price in the case of
exchange-traded options. In the case of options traded in the over-the-counter
market, valuation is the last asked price (options written) or the last bid
price (options purchased). Futures contracts are valued at settlement price at
the close of the applicable exchange. Securities and assets for which market
quotations are not readily available are valued at fair value as determined in
good faith by or under the direction of the Board of Directors of the Fund.
(b) REPURCHASE AGREEMENTS -- The Fund invests in US Government securities
pursuant to repurchase agreements. Under such agreements, the counterparty
agrees to repurchase the security at a mutually agreed upon time and price. The
Fund takes possession of the underlying securities, marks to market such
securities and, if necessary, receives additional securities daily to ensure
that the contract is fully collateralized.
(c) INCOME TAXES -- It is the Fund's policy to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to its shareholders.
Therefore, no Federal income tax provision is required. Under the applicable
foreign tax law, a withholding tax may be imposed on interest, dividends and
capital gains at various rates.
(d) SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
recorded on the dates the transactions are entered into (the trade dates).
Dividend income is recorded on the ex-dividend 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
73
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
amortization of premium and discount) is recognized on the accrual basis.
Realized gains and losses on security transactions are determined on the
identified cost basis.
(e) PREPAID REGISTRATION FEES -- Prepaid registration fees are charged to
expense as the related shares are issued.
(f) DERIVATIVE FINANCIAL INSTRUMENTS -- The Fund may engage in various portfolio
strategies to seek to increase its return by hedging its portfolio against
adverse movements in the equity, debt and currency markets. Losses may arise due
to changes in the value of the contract or if the counterparty does not perform
under the contract.
- - FOREIGN CURRENCY OPTIONS AND FUTURES -- Certain Portfolios may also purchase
or sell listed or over-the-counter foreign currency options, foreign currency
futures and related options on foreign currency futures as a short or long hedge
against possible variations in foreign exchange rates. Such transactions may be
effected with respect to hedges on non-US dollar denominated securities owned by
the Portfolio, sold by the Portfolio but not yet delivered, or committed or
anticipated to be purchased by the Portfolio.
- - FORWARD FOREIGN EXCHANGE CONTRACTS -- Capital Stock, Global Strategy, Multiple
Strategy and Natural Resources Portfolios are authorized to enter into forward
foreign exchange contracts as a hedge against either specific transactions or
portfolio positions. Such contracts are not entered on the Portfolio's records.
However, the effect on operations is recorded from the date the Portfolio enters
into such contracts.
- - OPTIONS -- Certain Portfolios are authorized to write and purchase call and
put options. When a Portfolio writes an option, an amount equal to the premium
received by the Portfolio is reflected as an asset and an equivalent liability.
The amount of the liability is subsequently marked to market to reflect the
current market value of the option written. When a security is purchased or sold
through an exercise of an option, the related premium paid (or received) is
added to (or deducted from) the basis of the security acquired or deducted from
(or added to) the proceeds of the security sold. When an option expires (or the
Portfolio enters into a closing transaction), the Portfolio realizes a gain or
loss on the option to the extent of the premiums received or paid (or gain or
loss to the extent the cost of the closing transaction exceeds the premium paid
or received).
Written and purchased options are non-income producing investments.
- - FINANCIAL FUTURES CONTRACTS -- Multiple Strategy and Natural Resources
Portfolios may purchase or sell financial futures contracts and options on such
futures contracts for the purpose of hedging the market risk on existing
securities or the intended purchase of securities. Futures contracts are
contracts for delayed delivery of securities at a specific future date and at a
specific price or yield. Upon entering into a contract, the Portfolio deposits
and maintains as collateral such initial margin as required by the exchange on
which the transaction is effected. Pursuant to the contract, the Portfolio
agrees to receive from or pay to the broker an amount of cash equal to the daily
fluctuation in the value of the contract . Such receipts or payments are known
as variation margin and are recorded by the Portfolio as unrealized gains or
losses. When the contract is closed, the Portfolio records a realized gain or
loss equal to the difference between the value of the contract at the time it
was opened and the value at the time it was closed.
(g) FOREIGN CURRENCY TRANSACTIONS -- Transactions denominated in foreign
currencies are recorded at the exchange rate prevailing when recognized. Assets
and liabilities denominated in foreign currencies are valued at the exchange
rate at the end of the period. Foreign currency transactions are the result of
settling (realized) or valuing (unrealized) assets or liabilities expressed in
foreign currencies into US dollars. Realized and unrealized gains or losses from
investments include the effects of foreign exchange rates on investments.
(h) DIVIDENDS AND DISTRIBUTIONS -- Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates.
74
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
2. INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH AFFILIATES:
The Fund has entered into an Investment Advisory Agreement with Merrill Lynch
Asset Management, L.P. ("MLAM"). The general partner of MLAM is Princeton
Services, Inc. ("PSI"), an indirect wholly-owned subsidiary of ML & Co., which
is the limited partner. The Fund has also entered into a Distribution Agreement
and Distribution Plan with Merrill Lynch Funds Distributor ("MLFD" or the
"Distributor"), a division of Princeton Funds Distributor, Inc. ("PFD"), which
is a wholly-owned subsidiary of Merrill Lynch Group, Inc. MLAM is responsible
for the management of the Fund's portfolios and provides the necessary
personnel, facilities, equipment and certain other services necessary to the
operations of the Fund. For such services, the Fund pays a monthly fee based
upon the aggregate average daily value of the ten combined Portfolios' net
assets at the following annual rates: 0.50% of the Fund's average daily net
assets not exceeding $250 million, 0.45% of the next $50 million, 0.40% of the
next $100 million, 0.35% of the next $400 million, and 0.30% of average daily
net assets in excess of $800 million.
MLAM, Merrill Lynch Life Agency, Inc. and Monarch entered into an agreement
which provided that Monarch will reimburse the Fund's expenses with respect to
each Portfolio, to the extent that these expenses exceed 0.50% of the
Portfolio's average daily net assets.
For the six months ended June 30, 1999, the Natural Resources Portfolio was
reimbursed in the amount of $4,954.
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), a subsidiary of
ML & Co., earned commissions on the execution of portfolio security transactions
aggregating $3,615 in the Balanced Portfolio, $28,747 in the Capital Stock
Portfolio, $11,258 in the Global Strategy Portfolio, $6,798 in the Growth Stock
Portfolio, $625 in the High Yield Portfolio, $108,362 in the Multiple Strategy
Portfolio, and $1,636 in the Natural Resources Portfolio for the six months
ended June 30, 1999.
Financial Data Services, Inc. ("FDS"), a wholly-owned subsidiary of ML & Co., is
the Fund's transfer agent.
During the six months ended June 30, 1999, Merrill Lynch Security Pricing
Service, an affiliate of MLPF&S, was paid by Balanced Portfolio $269; Global
Strategy $238; High Yield Portfolio $1,127; Intermediate Government Portfolio
$1,020; Long Term Corporate Bond Portfolio $2,896; and Multiple Strategy
Portfolio $253 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, FDS, PSI, PFD, and/or ML & Co.
3. INVESTMENTS:
Purchases and sales of investments, excluding short-term securities, for the six
months ended June 30, 1999 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.......... $ 68,792,506 $175,931,182 $133,431,432 $135,171,657 $27,455,251 $412,445,718 $ 78,975,973
------------ ------------ ------------ ------------ ----------- ----------- ------------
------------ ------------ ------------ ------------ ----------- ----------- ------------
Total Sales.............. $ 66,176,376 $198,747,163 $152,732,896 $155,076,917 $34,850,903 $410,610,292 $ 76,591,417
------------ ------------ ------------ ------------ ----------- ----------- ------------
------------ ------------ ------------ ------------ ----------- ----------- ------------
<CAPTION>
MULTIPLE NATURAL
STRATEGY RESOURCES
PORTFOLIO PORTFOLIO
<S> <C> <C>
- -------------------------
Total Purchases.......... $ 751,696,320 $ 4,233,712
-------------- --------------
-------------- --------------
Total Sales.............. $ 808,399,460 $ 3,760,195
-------------- --------------
-------------- --------------
</TABLE>
75
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
As of June 30, 1999, 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........ $ 16,312,170 $ 93,680,545 $ 34,449,726 $136,796,627 $ 3,392,869
Depreciated securities........ (2,047,598) (3,088,908) (10,928,028) (4,076,114) (17,722,815)
------------ ------------ ------------ ------------ ------------
Net unrealized appreciation
(depreciation).............. $ 14,264,572 $ 90,591,637 $ 23,521,697 $132,720,513 $(14,329,946)
------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------
Cost for Federal income tax
purposes.................... $107,465,261 $294,712,190 $192,819,986 $383,122,429 $119,553,710
------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------
Net realized gains (losses) for the six months ended June 30, 1999 and net unrealized gains (losses)
as of June 30, 1999 were as follows:
</TABLE>
<TABLE>
<CAPTION>
GLOBAL STRATEGY
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO PORTFOLIO
----------------------- ------------------------ ------------------------
UNREALIZED REALIZED UNREALIZED
REALIZED UNREALIZED REALIZED GAINS GAINS GAINS
GAINS GAINS GAINS (LOSSES) (LOSSES) (LOSSES)
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
Long-term securities.......... $4,446,130 $14,264,572 $26,969,018 $90,591,637 $10,199,425 $23,521,698
Short-term securities......... -- -- -- -- -- --
Forward foreign exchange
contracts................... -- -- -- 66,807 1,955,765 39,778
Foreign currency
transactions................ -- -- 207,330 (845) (1,067,017) (69,086)
---------- ----------- ----------- ----------- ----------- -----------
Total......................... $4,446,130 $14,264,572 $27,176,348 $90,657,599 $11,088,173 $23,492,390
---------- ----------- ----------- ----------- ----------- -----------
---------- ----------- ----------- ----------- ----------- -----------
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares were as follows:
<CAPTION>
GROWTH STOCK PORTFOLIO HIGH YIELD PORTFOLIO
------------------------- --------------------------
REALIZED UNREALIZED REALIZED UNREALIZED
GAINS GAINS LOSSES LOSSES
<S> <C> <C> <C> <C>
- ------------------------------
Long-term securities.......... $51,434,606 $132,720,513 $ (568,455) $ (14,329,946)
Short-term securities......... -- -- (1) --
Forward foreign exchange
contracts................... -- -- -- --
Foreign currency
transactions................ -- -- -- --
----------- ------------ ----------- -------------
Total......................... $51,434,606 $132,720,513 $ (568,456) $ (14,329,946)
----------- ------------ ----------- -------------
----------- ------------ ----------- -------------
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares
</TABLE>
<TABLE>
<CAPTION>
GLOBAL STRATEGY
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO PORTFOLIO
------------------------ ------------------------ ------------------------
FOR THE SIX MONTHS ENDED DOLLAR DOLLAR DOLLAR
JUNE 30, 1999 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
Shares sold................... 410,365 $ 6,092,123 401,451 $ 10,376,214 485,724 $ 7,738,470
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 746,863 10,926,604 1,296,982 31,814,981 321,970 5,064,593
---------- ------------ ---------- ------------ ---------- ------------
Total issued.................. 1,157,228 17,018,727 1,698,433 42,191,195 807,694 12,803,063
Shares redeemed............... (529,483) (7,880,280) (1,073,248) (27,492,848) (1,905,128) (30,283,668)
---------- ------------ ---------- ------------ ---------- ------------
Net increase (decrease)....... 627,745 $ 9,138,447 625,185 $ 14,698,347 (1,097,434) $(17,480,605)
---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------
<CAPTION>
GROWTH STOCK PORTFOLIO
------------------------
FOR THE SIX MONTHS ENDED DOLLAR
JUNE 30, 1999 SHARES AMOUNT
<S> <C> <C>
- ------------------------------
Shares sold................... 1,111,234 $ 38,733,451
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 1,876,881 59,778,659
---------- ------------
Total issued.................. 2,988,115 98,512,110
Shares redeemed............... (1,192,934) (40,955,480)
---------- ------------
Net increase (decrease)....... 1,795,181 $ 57,556,630
---------- ------------
---------- ------------
</TABLE>
<TABLE>
<CAPTION>
GLOBAL STRATEGY
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO PORTFOLIO
------------------------ ------------------------ ------------------------
FOR THE YEAR ENDED DOLLAR DOLLAR DOLLAR
DECEMBER 31, 1998 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
Shares sold................... 778,807 $ 11,679,510 1,114,323 $ 27,803,421 1,072,544 $ 16,568,269
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 731,174 10,448,471 1,821,223 42,684,763 2,756,231 40,433,906
---------- ------------ ---------- ------------ ---------- ------------
Total issued.................. 1,509,981 22,127,981 2,935,546 70,488,184 3,828,775 57,002,175
Shares redeemed............... (1,015,516) (15,319,354) (2,275,298) (55,470,852) (3,631,415) (55,249,639)
---------- ------------ ---------- ------------ ---------- ------------
Net increase (decrease)....... 494,465 $ 6,808,627 660,248 $ 15,017,332 197,360 $ 1,752,536
---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------
<CAPTION>
GROWTH STOCK PORTFOLIO
------------------------
FOR THE YEAR ENDED DOLLAR
DECEMBER 31, 1998 SHARES AMOUNT
<S> <C> <C>
- ------------------------------
Shares sold................... 2,365,185 $ 73,180,705
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 2,391,608 64,047,263
---------- ------------
Total issued.................. 4,756,793 137,227,968
Shares redeemed............... (2,471,233) (75,131,439)
---------- ------------
Net increase (decrease)....... 2,285,560 $ 62,096,529
---------- ------------
---------- ------------
</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........ $ 328,439 $ 680,057 $ 4,641 $ 237,745,458 $ 2,260,718
Depreciated securities........ (3,943,740) (4,950,147) (582,319) (40,591,762) (1,294,739)
------------ ------------ ------------ -------------- -----------
Net unrealized appreciation
(depreciation).............. $ (3,615,301) $ (4,270,090) $ (577,678) $ 197,153,696 $ 965,979
------------ ------------ ------------ -------------- -----------
------------ ------------ ------------ -------------- -----------
Cost for Federal income tax
purposes.................... $261,297,437 $129,584,740 $569,787,632 $1,147,513,879 $12,659,550
------------ ------------ ------------ -------------- -----------
------------ ------------ ------------ -------------- -----------
Net realized gains (losses) for the six months ended June 30, 1999 and net unrealized gains (losses)
as of June 30, 1999 were as follows:
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT LONG TERM CORPORATE BOND MONEY RESERVE
BOND PORTFOLIO PORTFOLIO PORTFOLIO
------------------------ ------------------------ -----------------
REALIZED
GAINS UNREALIZED REALIZED UNREALIZED REALIZED UNREALIZED
(LOSSES) LOSSES GAINS LOSSES GAINS LOSSES
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
Long-term securities.......... $(2,006,046) $(3,615,301) $ 61,375 $(4,270,090) -- --
Short-term securities......... 27 -- -- -- $28,160 $(577,678)
Forward foreign exchange
contracts................... -- -- -- -- -- --
Foreign currency
transactions................ -- -- -- -- -- --
----------- ----------- ----------- ----------- ------- --------
Total......................... $(2,006,019) $(3,615,301) $ 61,375 $(4,270,090) $28,160 $(577,678)
----------- ----------- ----------- ----------- ------- --------
----------- ----------- ----------- ----------- ------- --------
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares were as follows:
<CAPTION>
MULTIPLE STRATEGY PORTFOLIO
------------------------------ ------------------------------
REALIZED UNREALIZED REALIZED UNREALIZED
GAINS GAINS GAINS GAINS
(LOSSES) (LOSSES) (LOSSES) (LOSSES)
<S> <C> <C> <C> <C>
- ------------------------------
Long-term securities.......... $ 57,088,552 $197,153,696 $ (1,173,707) $ 965,979
Short-term securities......... -- -- 6 --
Forward foreign exchange
contracts................... 6,156,920 110,155 -- --
Foreign currency
transactions................ (75,360) (104,679) (854) (12,356)
------------- ------------- ------------- -------------
Total......................... $ 63,170,112 $197,159,172 $ (1,174,555) $ 953,623
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT LONG TERM CORPORATE BOND
HIGH YIELD PORTFOLIO BOND PORTFOLIO PORTFOLIO
------------------------ ------------------------ ------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
Shares sold................... 4,471,997 $ 34,993,850 1,061,053 $ 11,761,557 642,848 $ 7,462,199
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 766,913 6,005,606 654,417 7,223,333 350,362 4,051,273
---------- ------------ ---------- ------------ ---------- ------------
Total issued.................. 5,238,910 40,999,456 1,715,470 18,984,890 993,210 11,513,472
Shares redeemed............... (6,168,659) (48,520,769) (1,613,834) (17,789,654) (737,351) (8,515,450)
---------- ------------ ---------- ------------ ---------- ------------
Net increase (decrease)....... (929,749) $ (7,521,313) 101,636 $ 1,195,236 255,859 $ 2,998,022
---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------
<CAPTION>
MONEY RESERVE PORTFOLIO
------------------------------ ------------------------------ ------------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------
Shares sold................... 119,670,844 $ 119,670,844 246,189 $ 4,058,144 1,002,035 $ 7,649,055
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 13,145,010 13,145,010 6,873,008 114,435,587 37,676 254,695
------------- ------------- ------------- ------------- ------------- -------------
Total issued.................. 132,815,854 132,815,854 7,119,197 118,493,731 1,039,711 7,903,750
Shares redeemed............... (142,562,550) (142,562,550) (4,671,315) (79,693,533) (1,117,521) (8,505,622)
------------- ------------- ------------- ------------- ------------- -------------
Net increase (decrease)....... (9,746,696) $ (9,746,696) 2,447,882 $ 38,800,198 (77,810) $ (601,872)
------------- ------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- ------------- -------------
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT LONG TERM CORPORATE BOND
HIGH YIELD PORTFOLIO BOND PORTFOLIO PORTFOLIO
------------------------ ------------------------ ------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
Shares sold................... 7,507,390 $ 63,434,459 2,645,259 $ 29,677,244 1,377,909 $ 16,238,970
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 1,541,379 13,357,566 1,307,193 14,551,966 702,078 8,233,350
---------- ------------ ---------- ------------ ---------- ------------
Total issued.................. 9,048,769 76,792,025 3,952,452 44,229,210 2,079,987 24,472,320
Shares redeemed............... (9,924,680) (85,182,939) (2,742,781) (30,605,372) (1,662,749) (19,533,330)
---------- ------------ ---------- ------------ ---------- ------------
Net increase (decrease)....... (875,911) $ (8,390,914) 1,209,671 $ 13,623,838 417,238 $ 4,938,990
---------- ------------ ---------- ------------ ---------- ------------
---------- ------------ ---------- ------------ ---------- ------------
<CAPTION>
MONEY RESERVE PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------- ------------------------ ------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------
Shares sold................... 284,303,867 $284,303,867 633,962 $ 10,885,213 710,396 $ 5,326,430
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 29,096,871 29,096,871 11,010,994 180,910,620 49,398 392,711
------------ ------------ ---------- ------------ ---------- ------------
Total issued.................. 313,400,738 313,400,738 11,644,956 191,795,833 759,794 5,719,141
Shares redeemed............... (260,242,423) (260,242,423) (7,971,065) (136,879,773) (1,181,796) (9,000,546)
------------ ------------ ---------- ------------ ---------- ------------
Net increase (decrease)....... 53,158,315 $ 53,158,315 3,673,891 $ 54,916,060 (422,002) $ (3,281,405)
------------ ------------ ---------- ------------ ---------- ------------
------------ ------------ ---------- ------------ ---------- ------------
</TABLE>
77
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Concluded)
- --------------------------------------------------------------------------------
5. CAPITAL LOSS CARRYFORWARDS:
At December 31, 1998, the Fund had capital loss carryforwards of approximately
$3,820,000 in the High Yield Portfolio, of which $349,000 expires in 1999,
$231,000 expires in 2005 and $3,240,000 expires in 2006; $5,678,000 in the
Intermediate Government Bond Portfolio, of which $2,768,000 expires in 2002,
$1,088,000 expires in 2003, and $1,822,000 expires in 2004; $252,000 in the Long
Term Corporate Bond Portfolio, all of which expires in 2002; $1,782,000 in the
Natural Resources Portfolio, of which $155,000 expires in 1999, $297,000 expires
in 2000, and $1,330,000 expires in 2006. These amounts will be available to
offset like amounts of any future taxable capital gains. Expired capital loss
carryforward in the amount of $3,019,030 and $1,186,895 in the High Yield and
Natural Resources Portfolios, respectively, has been reclassified to paid-in
capital in excess of par.
6. COMMITMENTS:
At June 30, 1999, the Global Strategy Portfolio and Multiple Strategy Portfolio
entered into foreign exchange contracts, in addition to the contracts listed in
the Schedule of Investments, under which they agreed to purchase various foreign
currencies with values of approximately $722,000 and $2,398,000, respectively;
the Global Strategy Portfolio and Multiple Strategy Portfolio have entered into
foreign exchange contracts under which they have agreed to sell various foreign
currencies with values of approximately $2,381,000 and $8,529,000, respectively.
7. SUBSEQUENT EVENTS:
On July 1, 1999, the Board of Directors declared dividends and distributions per
share payable on July 1, 1999 to shareholders of record as of July 1, 1999 as
follows:
<TABLE>
<CAPTION>
ORDINARY
PORTFOLIO INCOME
<S> <C>
- -------------------------------------------------------------
High Yield........................................ $ .070487
Intermediate Government Bond...................... .056777
Long Term Corporate Bond.......................... .066307
- -------------------------------------------------------------
</TABLE>
78
<PAGE>
(This page has been left blank intentionally.)
79
<PAGE>
(This page has been left blank intentionally.)
80
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Directors and Officers
- --------------------------------------------------------------------------------
TERRY K. GLENN-President and Director
JACK B. SUNDERLAND-Director
STEPHEN B. SWENSRUD-Director
J. THOMAS TOUCHTON-Director
CHRISTOPHER G. AYOUB-Senior Vice President
ROBERT C. DOLL-Senior Vice President
LAWRENCE R. FULLER-Senior Vice President
VINCENT T. LATHBURY III-Senior Vice President
KEVIN J. MCKENNA-Senior Vice President
JOSEPH T. MONAGLE JR.-Senior Vice President
THOMAS R. ROBINSON-Senior Vice President
ROBERT M. SHEARER-Senior Vice President
JOEL HEYMSFELD-Vice President
ROBERT F. MURRAY-Vice President
JACQUELINE L. ROGERS-Vice President
DONALD C. BURKE-Treasurer
ALLAN J. OSTER-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
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, Florida 32246-6484
(800) 637-3863
81
<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. An investment in Money Reserve Portfolio is not
insured or guaranteed by the Federal Deposit Insurance Corporation, any
Government agency or MLAM. For Money Reserve Portfolio, although the Portfolio
seeks to preserve the value of your investment at $1.00 per share, it is
possible to lose money by investing in the Portfolio. Statements and other
information herein are as dated and are subject to change.
59828-6/99
