<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
- -----------------------------------------
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
US TREASURY SECURITIES, SERIES A, B, C, D, E,
F, G, H, I, J, K AND L
1999 ANNUAL REPORT
DECEMBER 31, 1999
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1999
- --------------------------------------------------------------------------------
DEAR SHAREHOLDER:
We are pleased to submit this annual report for Merrill Lynch
Series Fund, Inc., in which we provide a fiscal year in review of each portfolio
and outline our views of the investment environment. Performance information for
each Portfolio in Merrill Lynch Series Fund, Inc., excluding the Money Reserve
Portfolio, can be found in the tables on pages 12-17 of this report to
shareholders.
BALANCED PORTFOLIO
As was the case in 1998, the US equity sector had a positive impact on Portfolio
returns during the fiscal year ended December 31, 1999. The stock market again
was characterized by the significant outperformance of a narrow group of
equities, specifically the shares of technology companies. The Portfolio
benefited because we had allocated the largest portion of its equity assets to
the technology sector during the year. However, the Portfolio's return was held
down by the overall negative return produced by US fixed-income securities for
the year.
As of December 31, 1999, the Portfolio's asset allocation was: US stocks, 54% of
net assets; US bonds, 39%; and cash reserves, 7%.
We increased the Portfolio's US equity representation slightly from 52% of net
assets to 54% during the six months ended December 31, 1999. Technology remained
the largest single group represented in the portfolio, accounting for nearly
one-third of the Portfolio's US equity assets. This commitment reflects our
continuing emphasis on the shares of companies where we believe a consistent and
above-average rate of earnings growth could be extended over the next several
years and where valuations appear reasonable relative to earnings growth
potential. Consistent with this focus are the Portfolio's current significant
commitments in consumer staples, communication services, financials and health
care.
We reduced the Portfolio's commitment to US bonds from 43% of net assets to 39%
during the six months ended December 31, 1999. Late in 1999, we took advantage
of an interest rate increase to extend the Portfolio's average duration to 6.8
years, after reducing the duration earlier in the second half of 1999. In our
opinion, the Federal Reserve Board is likely to continue to tighten monetary
policy in early 2000 until the US economy slows down. Such a slowdown could ease
fears of a resurgence of inflation and could enable intermediate-term --
long-term US interest rates to decline, in our view.
CAPITAL STOCK PORTFOLIO
During 1999, the US equity market was characterized by outperformance of a
narrow group of common stocks, particularly technology-related sectors. For the
12 months ended December 31, 1999, the Portfolio benefited by having the largest
concentration of its US equity assets in the technology group. In the foreign
equity sector, we focused on the shares of companies in "new economy" sectors,
such as telecommunications equipment and technology. This strategy proved
rewarding, given the similar outperformance of equities in these sectors
relative to markets outside of the United States during 1999.
As of December 31, 1999, the Portfolio's asset allocation was: US equities, 73%
of net assets; foreign equities, 23%; and cash reserves, 4%.
We increased the foreign equity sector from 11% of net assets to 23% during the
six months ended December 31, 1999. Our strategy was to continue to focus on the
shares of companies that we
1
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
believed offered the best potential to outperform the US equity market as
reflected by the benchmark Standard & Poor's 500 Index. Technology continued to
account for the major portion of foreign equity assets. Positions included
Nortel Networks Corporation, Nokia Oyj, STMicroelectronics NV (NY Registered
Shares), Telefonaktiebolaget LM Ericsson 'B', Flextronics International Ltd. and
Sony Corporation.
We reduced the Portfolio's position in US equities from 87% of net assets to
73%. Technology remained the largest single group represented in the portfolio,
accounting for nearly one-third of the Portfolio's US equity assets. This
commitment reflects our continuing emphasis on the shares of companies where we
believe a consistent and above-average rate of earnings growth has the potential
to be extended over the next several years and where valuations currently appear
reasonable relative to earnings growth potential. Consistent with this focus is
the Portfolio's significant commitments in the consumer staples, communications
services, financial and health care sectors.
GLOBAL STRATEGY PORTFOLIO
Foreign equities provided the highest return among asset classes during 1999.
The Portfolio's return was enhanced by our decision to expand the foreign equity
representation beginning early in the year, with our focus on enlarging the
commitment to Japan and expanding representation in emerging markets. This
increase included the establishment of positions in Brazil, South Korea and
Singapore. The allocation of significant assets to "new economy" sectors in all
markets -- including technology, business services, telecommunications services
and telecommunications equipment -- also had a positive effect on the
Portfolio's performance. Within the United States, technology was the largest
sector represented throughout the year, and this allocation proved rewarding. In
contrast to 1998, the return on fixed-income securities lagged that of equities
by a substantial margin, but the negative impact was limited by a significant
reduction in our US bond representation during 1999.
As of December 31, 1999, the asset allocation for Global Strategy Portfolio was:
US stocks, 25% of net assets; foreign stocks, 52%; US bonds, 3%; foreign bonds,
16%; and cash reserves, 4%.
Equity representation was reduced from 79% of net assets to 77% during the six
months ended December 31, 1999, but we shifted the asset mix in favor of foreign
equities. We increased the allocation to this sector from 42% of net assets to
52% during the second half of 1999. We enlarged the Portfolio's representation
in European technology and business services through new positions such as Epcos
AG, Equant, Getronics NV, Telefonaktiebolaget LM Ericsson 'B' and Tandberg
Television ASA. Overall, Europe remained the largest regional commitment, while
Japan continued to be overweighted relative to the benchmark unmanaged Morgan
Stanley Capital International Europe, Australasia, Far East Index. We increased
the Portfolio's commitment to Asia (excluding Japan) through positions in City
Developments Limited and Singapore Airlines Limited in Singapore. In Latin
America, we continued to focus on Brazil because it offered the most favorable
reward/risk potential, in our view.
During the six months ended December 31, 1999, we reduced our US equity position
from 37% of net assets to 25%. Our technology holdings accounted for nearly
one-third of the Portfolio's US equity assets. This commitment reflects our
continuing emphasis on the shares of companies where we believe a consistent and
above-average rate of earnings growth has the potential to be extended over the
next several years and where valuations currently appear to us to be reasonable
relative to earnings growth potential. Consistent with this focus are the
Portfolio's significant commitments to the consumer staples, communication
services, financial and healthcare sectors.
In the fixed-income sector, we reduced our position in US bonds from 6% of net
assets to 3% during the six months ended December 31, 1999. Late in 1999, we
took advantage of an interest
2
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
rate increase to extend the Portfolio's average duration to 6.8 years, after
reducing the duration earlier in the second half of 1999. In our opinion, the
Federal Reserve Board is likely to continue to tighten monetary policy in early
2000 until the US economy slows down. Such a slowdown could ease fears of a
resurgence of inflation and enable intermediate-term -- long-term US interest
rates to decline. In the foreign bond sector, we increased the Portfolio's
representation to 16% of net assets from 13% during the second half of 1999. We
maintained positions in German and UK bonds throughout the second half of the
year. We reestablished a position in New Zealand bonds during the latter part of
1999, taking advantage of a widening yield differential between New Zealand and
US bonds of similar maturities.
GROWTH STOCK PORTFOLIO
For the fiscal year ended December 31, 1999, Growth Stock Portfolio had a total
return of +38.99%. This compares to total returns of +21.04% for the unmanaged
Standard & Poor's 500 (S&P 500) Index and +38.2% for the newly defined Lipper
Analytical Services Large-Cap Growth Funds average for the same 12-month period.
At December 31, 1999, eight of the Portfolio's top ten equity holdings
outperformed the total return for the Portfolio. The best comparative investment
returns were produced by companies in communications equipment, electronics,
computers, semiconductors and wireless communications industries.
During the 12 months ended December 31, 1999, the Portfolio's absolute and
comparative performance was influenced positively by our shift of industry
weightings in the Portfolio from an emphasis on companies in the banks and
financial services, insurance, household products, pharmaceuticals and retailing
industries to companies in the communications equipment, computers, electronics
and semiconductors industries.
Looking ahead, we plan to continue to focus our investment research and stock
selection primarily on high-quality, large-capitalization global growth
companies where we anticipate a potential for above-average long-term earnings
growth and reasonable valuations relative to projected growth rates in earnings
and prospective returns on equity.
HIGH YIELD PORTFOLIO
In the aftermath of the Asian crisis and Russian default, high-yield investors
began 1999 in a cautious mode. Nevertheless, with a healthy economy as a
backdrop, mutual fund flows were positive in 14 of the first 21 weeks of the
year. Newly created collateralized bonds obligations (CBOs) were another source
of buying power. As a result, new issues were generally well received. Two large
transactions in excess of $1 billion -- Charter Communications Holdings and
Lyondell Chemical Company -- were readily absorbed by the market.
Unfortunately, the tide began to turn in mid-May as the Federal Open Market
Committee (FOMC) moved to a tightening bias and in June effected the first of
three interest rate hikes. Predictably, new issuance fell off, and from mid-May
through June, the high-yield market suffered through six straight weeks of
mutual fund outflows. Secondary market making by dealers dried up.
In July, the high-yield market regained momentum as the FOMC's adoption of a
neutral bias brought investors back. Fund flows turned positive, and the market
again was able to absorb two huge transactions -- United Pan-European
Communications and Allied Waste North America. Investor sentiment quickly
turned, perhaps as a result of two large satellite credit defaults in August.
The August through October period was brutal, as the high-yield market
registered negative total returns each month, while fund flows were negative in
13 out of 14 weeks.
3
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
The month of November brought a strong rebound, spurred by a rally in the equity
markets and reduced inflationary fears as the FOMC effected its third interest
rate increase. The second-largest weekly inflow into high-yield mutual funds
emboldened issuers. Three seasoned telecommunications credits -- VoiceStream
Wireless Corporation/VoiceStream Wireless Holding Corporation, Nextel
Communications, Inc. and Global Crossing Holding Ltd. -- each priced more than
$1 billion in new bonds during the month. The positive trend continued into
December, as the market registered another positive return, while new-issue
volume wound down.
For the year, new-issue volume totaled $94.7 billion, down 32% from 1998, but
still the third largest in the market's history. Media/telecommunications
continued the trend of recent years as the dominant sector, accounting for over
40% of new-issue volume. Fund flows for the year were negative, recording the
worst year since 1994. Pension funds, insurance companies, equity funds,
crossover buyers and CBOs seem to have taken up the slack. As a result, the
high-yield market ended up posting its second consecutive low single-digit
return for the year, which is unprecedented in a nonrecessionary climate.
Besides being buffeted by the unfortunate combination of mutual fund outflows
and rising US Treasury yields, which increased by almost 180 basis points
(1.80%) during the year, the high-yield market suffered its worst year in terms
of defaults since the recession year of 1991. In contrast to the defaults of
that era, 1999's defaults were dominated by business plan failures or driven by
changes in Government policies, as witnessed in the healthcare sector. (The
collapse in oil prices also contributed to the demise of several credits.)
According to data compiled by Donaldson, Lufkin & Jenrette Securities Corp., a
leading underwriter of high-yield bonds, the high-yield market recorded a
default rate of 4.04% for 1999, up from 1.28% in 1998. In the peak year of 1991,
the tally was 8.80%. Data compiled by Edward Altman of New York University's
Stern School showed a similar trend. While a recent survey by the Federal
Reserve Board showed that more senior bank lending officers were tightening
rather than easing lending standards (thus making life more difficult for
marginal credits), we believe that the default rate may have peaked. Our belief
stems from two factors. First, the new-issue mix in 1999 showed an improvement
in the credit quality of new transactions. Second, the recovery in commodity
prices--oil, paper and pulp, and metals -- may bode well for credits in those
sectors.
Against this backdrop, the Portfolio recorded a total return of +5.85% for the
fiscal year ended December 31, 1999, which compared favorably to the unmanaged
Credit Suisse First Boston Global High Yield Bond Index's total return of
+3.28%. While lackluster by historical standards, the 1999 return looked quite
good relative to the ten-year US Treasury return of -8.43% for the same period.
For the six months ended December 31, 1999, the Portfolio recorded a total
return of +2.85%, as compared to +0.45% for the Index. The Portfolio's superior
performance relative to the Index stemmed from several factors. First, the
Portfolio was overweighted in emerging markets bonds (14.6% as compared to 7.6%
for the Index), which rebounded smartly from last year's selloff. Second, the
Portfolio benefited from its overweightings in the paper/packaging, cable and
utility/ independent power producer sectors, all of which posted strong returns
overall for the year and in particular during the second half. Finally,
benefiting Portfolio performance were its underweightings in the
supermarket/drug, entertainment and consumer/manufacturing sectors, all of which
posted negative returns for both the 12-month and six-month periods ended
December 31, 1999. Our very modest exposure to the textile sector was also
helpful, as many bonds in this ailing industry were hit hard.
Individual credit selection was also very important. We managed to avoid the
majority of the year's credit disasters, including the two large satellite
credits that filed for Chapter XI in August. On the plus side, positive event
risk also enhanced the Portfolio's return. Among the events helping Portfolio
performance were Sprint's takeover of American Telecasting, which caused its
bonds to soar
4
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
from distressed levels to about 105% of par; investment-grade Mannesmann AG's
takeover bid for Orange PLC, a major Portfolio holding; Tekni-Plex, Inc.'s
announcement that it planned a recapitalization, which would likely result in a
tender for its two bond issues, one of which is among the Portfolio's top ten
holdings; and Lyondell Chemical Company's announcement of a large asset sale.
During the latter half of the year, we focused most of our new-issue activity on
large credits, since we believed this was the approach to take given the limited
liquidity provided by dealers. We were also quite selective since the Portfolio
was somewhat cash constrained. Our major new-issue purchases were the bonds of
Exodus Communications, Georgia Gulf, Metromedia Fiber Network and VoiceStream
Wireless. All four issues have traded quite well in the secondary market.
Our major sales were motivated by our belief that certain bonds had become fully
valued. This was the case with Orange, Exodus and Georgia Gulf. Proceeds were
used to meet redemptions and to make room for attractively priced new issues. In
other cases, we believed that fundamentals had changed, as was the case with two
media concerns -- Hollinger International Publishing, Inc. and Garden State
Newspapers
At year-end, communications and media remained our largest broad industry
category, equaling 25.2% of the Portfolio's total market value. Of the more
narrowly classified sectors, the largest industries were: communications, 10.2%
of the Portfolio's market value; cable (domestic & international), 9.0%;
utilities/independent power producers, 8.3%; and packaging/paper & forest
products, 8.3%. Foreign bonds comprised 23.5% of the Portfolio, with emerging
market issues (mostly Latin American corporate bonds) accounting for 14.6% of
market value. At December 31, 1999, the average portfolio maturity was 7 years,
5 months, and cash and cash equivalents amounted to 3.4%.
Looking ahead, we are optimistic on the outlook for the high-yield market in
2000. There are currently several fundamental and technical factors that are
encouraging. Given that almost 70% of the universe is trading at a discount to
par, and with an increasing percentage of bonds callable in the next three
years, we believe bond retirements could rise this year. While we do not
presently expect to see much in the way of retail mutual funds flows, we could
see new money from institutional and CBO buyers in 2000. The continued lure of
the equity markets may make it difficult for the high-yield market to attract
retail money back until at least a few months of positive returns have been
posted. In addition, at present the general economy is expected to remain
healthy. On the supply side, many capital hungry high-yield credits are gaining
access to private and public equity, vendor financing, and convertible and bank
debt.
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
For the 12-month period ended December 31, 1999, the Portfolio had a -1.25%
total return as compared to a total return of -0.59% for the unmanaged Salomon
Smith Barney Government/ Mortgage Index and an average total return of -2.15%
for the Lipper Annuity U.S. Government Group. The Portfolio began using as its
benchmark the Salomon Smith Barney Government/Mortgage Index on July 1, 1999,
following the inclusion of mortgage-backed securities into the Portfolio's
expanded investment policies. Prior to that, the Portfolio had used as a
benchmark the unmanaged Merrill Lynch US Treasury/Agency Master Index. Since
adopting the new benchmark on July 1, 1999, the Portfolio had a total return of
+0.49%, while the Index produced a total return of +0.59%. With respect to the
Portfolio's performance relative to the Lipper Annuity US Government Group, the
Portfolio's excess performance is directly attributable to its overweighted
position in mortgage-backed securities. The Portfolio also benefited from its
emphasis on higher coupon issues that tend to outperform during periods of
rising interest rates.
5
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
During the six-month period ended December 31, 1999, we initially went to a
market-weighted position in mortgage-backed securities, relative to the Salomon
Smith Barney Government/Mortgage Index. During the final quarter of 1999, our
mortgage-backed position shifted to a 10% overweighting compared to the Index.
We also overweighted positions in agency debentures at the expense of Treasury
securities. Although the timing of this bias initially hurt relative performance
as yield spreads widened, the breakeven attributes (the total return given the
level of yield differences) were extremely favorable. In fact, during late
August and early September, yield spreads began to contract, a situation that
accelerated during the latter half of the six-month period. Fortunately, the
yield spread overweighting was taken in shorter maturity agencies, which tend to
perform better than longer-term agency issues in a spread-widening environment.
With respect to mortgage-backed securities, we remained committed to highly
liquid collateralized mortgage obligations. Also, we concentrated on keeping
coupon levels high. As a result, the Portfolio returned +0.49% for the six
months ended December 31, 1999, as compared to its Lipper Intermediate US
Government peer group average of +0.22%.
Going forward, we believe that the current high-yield levels available on agency
debentures and mortgage-backed securities are attractive. Over long periods of
time, we believe agency debentures have the potential to perform better than
Treasury debt given their current yield advantage and very similar credit
quality. Therefore, we expect to continue to overweight the Portfolio in agency
debentures, preferably in maturities in the five-year -- ten-year area. With
respect to mortgage-backed securities, we plan to maintain our 10% overweighted
position relative to the Index, given our belief that a low prepayment
environment could translate into outperformance for this sector. From an
interest rate perspective, we believe that the Federal Reserve Board may
continue to tighten monetary policy in an attempt to keep inflation under
control.
LONG TERM CORPORATE BOND PORTFOLIO
For the 12 months ended December 31, 1999, the Portfolio's total return was
- -2.35% compared to a total return of -2.39% for the unmanaged Merrill Lynch
Corporate A or Better Index and an average total return of -1.96% for the Lipper
Corporate A Rated Annuity Group. Overall, Portfolio performance benefited from
our 10% allocation to corporate bonds rated BBB/Baa, especially considering that
the Merrill Lynch Corporate BBB Rated Index outperformed the Merrill Lynch
Corporate AAA-A Index by 1.56%. However, the Portfolio's investment policies
limit our overall exposure to securities rated less than A. As a result, on
average the Lipper group had a greater allocation to the BBB sector, producing a
higher return.
During the six-month period ended December 31, 1999, the fixed-income markets
remained very volatile as interest rates continued to trend higher. Investor
expectations that the Federal Reserve Board would move to tighten monetary
policy in the face of strong economic growth around the world led to the rise in
Treasury yields. Although inflationary pressures were relatively well contained,
the Federal Reserve Board raised interest rates 0.75% during the period in
response to the growth of gross domestic product (GDP) and the correlating
effect it has had on the labor market. This shift in monetary policy served to
reverse the accommodative policy that was implemented during the financial
crises of 1998.
Despite second quarter GDP growth of 1.8%, the US economy continued to move
forward at a strong pace, as highlighted by the strong rebound in third quarter
GDP to 5.7%. Consumer spending continued to lead the way, although recent
reports related to housing and auto purchases are beginning to show the effect
of higher interest rates. Consumers continued to benefit from low unemployment
rates and the wealth effect generated from a strong stock market, although much
of the gains have been limited to only a few sectors with performance in many of
the established
6
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
industries lagging. Overseas, Asian countries at the heart of the crises in 1998
continue to recover. This global recovery has, at times, led to fears of a
rekindling of inflation. Commodities, such as copper, plywood and other building
materials, and chemicals gained in price. More importantly, the price of oil
surged, spurred on mainly by an agreement by the Organization of Petroleum
Exporting Countries to limit production, but also on expectations of increased
demand by recovering economies. Wage inflation continued to be of concern given
the level of unemployment that the economy has achieved. However, inflation as
measured by both the producer price index and consumer price index remains well
within acceptable levels, for the most part, with productivity measurements
still extremely favorable. Beyond the gain in interest rates, the market
environment was still being influenced by a flight from quality. This is in
stark reversal of the flight to quality trades we saw in the third quarter of
1998.
On the corporate bond front, by mid-year underwriting activity increased
significantly as issuers sought to get their funding programs in before the
final quarter of 1999. Corporate yield spreads relative to US Treasury
securities widened across all sectors during the period from May through
September. With respect to sector performance, Yankee or foreign issues
outperformed the domestic issues, and bonds rated BBB outperformed those rated A
or better on both a price and total return basis. However, since late September,
corporate yield spreads tightened following a sooner-than-expected drop in new
underwriting activity. Furthermore, investors began to pump new money into the
investment-grade sector, given the higher yields and strong relative value
attributes.
The Portfolio's investment strategy remained somewhat conservative given the
outlook for higher interest rates and wider yield spreads. From a duration
perspective, we continued to maintain a duration that was modestly short (0.15
years -- 0.25 years) as compared to the benchmark Merrill Lynch Corporate A
Rated Index. Initially, it was our strategy to bring duration closer to the
Index when yields would climb closer to the high end of the expected range. By
early August, we began to reallocate a portion of assets away from securities
with a spread to US Treasury issues and into cash and Treasury securities, in
preparation for year-end liquidity needs. Initially, we shifted approximately
10% of the Portfolio into this sector, although improved fundamentals within the
investment-grade market prompted a partial reallocation back into high-grade,
large benchmark issues. By period-end, we reduced the Portfolio's allocation to
cash and Treasury issues down to the 6% area.
With respect to the Portfolio's corporate bond holdings, we remained committed
to the bigger, more liquid issues as well as those issues with higher coupons.
As part of our liquidity strategy, we attempted to consolidate industry holdings
into the benchmark issues. Although this came at modest yield concessions, we
believed this was the prudent course of action given the uncertainty surrounding
the Year 2000 computer concerns. Given the increased supply and higher interest
rate environment, many of the new corporate transactions were done at
larger-than-anticipated yield spread concessions in order to attract investors.
In view of the temporary supply factor and wider spreads, we believed corporate
bonds possessed some very attractive long-term relative value attributes.
Accordingly, during the final quarter of 1999, we continued to redirect excess
assets back to corporate bonds in an effort to seek to enhance current income.
We held an overweighted position in electric utilities, finance companies, cable
and media entities, retailers, energy-related issuers, airlines and defense
contractors and information technology entities for most of the period. During
the latter part of the period, we began to reduce the Portfolio's holdings in
defense issues, high-end retailers, airlines and real estate investment trusts.
On the other hand, we concentrated on adding to positions in domestic banks,
supermarkets, railroads and metals/mining companies. We also continued to
underweight property and casualty insurers and health care companies.
7
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
Going forward, we have formulated an investment strategy based on our belief
that the long-term trend could be toward lower interest rates and a flatter
yield curve if the economy slows during the second half of 2000. With respect to
corporate bonds, we are looking for yield spread relationships to exhibit
possible further improvement as we proceed through the first quarter of 2000.
However, in the near term, the Treasury market could remain under pressure as
the Federal Reserve Board may move short-term interest rates higher in the
coming months.
MONEY RESERVE PORTFOLIO
For the year ended December 31, 1999, Money Reserve Portfolio's net annualized
yield was 5.01%. For the six-month period ended December 31, 1999, Money Reserve
Portfolio's net annualized yield was 5.22%. The Portfolio's 7-day yield as of
December 31, 1999 was 5.62%. The average portfolio maturity was 61 days at
December 31, 1999, compared to 75 days at June 30, 1999.
The US economy finished 1999 with strong growth, low inflation, accelerating
productivity, strong earnings and rising real wages. At its meeting on
November 16, 1999, the Federal Reserve Board announced its move to tighten
interest rates by 25 basis points (0.25%), essentially putting short-term
interest rates back to where they were before the three quarter-point cuts that
were made in the fall of 1998. Monetary policy was kept steady at the central
bank's last meeting in 1999 on December 21 over Year 2000 concerns, but
indications point to further tightening in early 2000. (The Federal Reserve
Board did raise the Federal Funds rate by 0.25% on February 2, 2000.)
US stock markets rebounded in October and advanced on a technology-driven rally
in November. Significant strength in small-capitalization stocks also emerged in
November, particularly in the small cap growth sector. Overall, US stock markets
ended the year at new highs. In the fixed-income area, the two-year Treasury
note yield hit a two-year high over concerns of the continued strength of the
economy and potential future action by the Federal Reserve Board. Against the
background of still higher interest rates, we positioned the Portfolio more
conservatively. We expect to continue to concentrate new investments in the
one-month and three-month areas as we wait for a clearer economic picture to
develop.
The Portfolio's composition at the end of December and as of our last report to
shareholders is detailed below:
<TABLE>
<CAPTION>
12/31/99 6/30/99
<S> <C> <C>
- ----------------------------------------------------------------------------------
Bank Notes.................................................. 10.7% 9.4%
Certificates of Deposit..................................... 1.7 2.8
Certificates of Deposit -- Yankee........................... 2.9 2.9
Commercial Paper............................................ 36.8 39.2
Corporate Notes............................................. 4.2 5.6
Euro Medium-Term Notes...................................... 0.3 --
Funding Agreements.......................................... 3.9 3.3
Master Notes................................................ -- 1.8
Medium-Term Notes........................................... 27.4 21.5
Promissory Notes............................................ 1.8 --
Repurchase Agreements....................................... 1.8 --
US Government Agency & Instrumentality Obligations --
Discount.................................................. -- 2.7
US Government Agency & Instrumentality Obligations --
Non-Discount.............................................. 8.1 10.9
Other Assets Less Liabilities............................... 0.4 --
Liabilities in Excess of Other Assets....................... -- (0.1)
----- -----
Total....................................................... 100.0% 100.0%
===== =====
</TABLE>
8
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO
US equities were the most significant positive contributor to overall Portfolio
performance in 1999. Of our US holdings, technology was the largest single
sector represented throughout the year. As a result, the Portfolio benefited
from the strong performance of the group. Within the foreign equity sector, our
decision to enlarge the Portfolio's commitment to Japan early in the year
enabled the Portfolio to benefit from the recovery in the Japanese stock market,
particularly in technology and telecommunications services. In contrast to 1998,
the return on fixed-income securities lagged that of equities by a substantial
margin, but the negative impact was limited by our reduction in the proportion
of fixed-income assets in the Portfolio.
As of December 31, 1999, the asset allocation for Multiple Strategy Portfolio
was: US stocks, 42% of net assets; foreign stocks, 27%; US bonds, 26%; and cash
reserves, 5%.
We reduced our position in equities from 76% of net assets to 69% during the six
months ended December 31, 1999. We shifted the mix away from US equities, which
we reduced from 53% of net assets to 42%. Technology remained the largest single
group represented, accounting for nearly one-third of the Portfolio's US equity
assets. This commitment reflects our continuing emphasis on the shares of
companies where we believe a consistent and above-average rate of earnings
growth could be extended over the next several years and where valuations
presently appear to us to be reasonable relative to earnings growth potential.
Consistent with this focus are the Portfolio's significant commitments in the
consumer staples, communication services, financial and healthcare sectors.
We increased our foreign equity position from 23% of net assets to 27%. We
enlarged the Portfolio's representation in European technology and business
services through new positions such as Getronics NV, Telefonaktiebolaget LM
Ericsson 'B' and Tandberg Television ASA. Overall, Europe remained the largest
regional commitment, while Japan continued to be overweighted relative to the
benchmark unmanaged Morgan Stanley Capital International Europe Australasia Far
East Index. We increased the Portfolio's commitment to Asia (excluding Japan)
through positions in City Developments Limited and Singapore Airlines Limited in
Singapore. In Latin America, we continued to focus on Brazil because it offered
the most favorable reward/risk potential, in our view.
During the six months ended December 31, 1999, we increased our position in US
bonds from 20% of net assets to 26%. Late in 1999, we took advantage of an
interest rate rise to extend the Portfolio's average duration to 6.8 years,
after reducing the duration earlier in the second half of 1999. In our opinion,
the Federal Reserve Board is likely to continue to tighten monetary policy in
early 2000 until the US economy slows down. Such a slowdown could ease fears of
a resurgence of inflation and enable intermediate-term -- long-term US interest
rates to decline.
NATURAL RESOURCES PORTFOLIO
During the 12 months ended December 31, 1999, the Portfolio had a total return
of +25.50%. The Portfolio outperformed the +24.60% total return of the unmanaged
Morgan Stanley Capital International (MSCI) Natural Resource Fund Index.
Additionally, the Portfolio's total return exceeded the +24.67% return for the
Lipper Natural Resources Annuity Group average.
We continued to follow a strategy of identifying commodity sectors with rising
capacity utilization trends and selecting attractively valued companies within
favored sectors. Early in 1999, we identified favorable trends in North American
natural gas markets, as well as selected paper and forest products. We
overweighted these sectors in the Portfolio, largely at the expense of the
chemical sector, where rising energy feedstock costs and excess capacity were
expected to result in margin pressures for chemical producers. This strategy
generated favorable absolute and relative returns
9
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
for the Portfolio through October 1999, as many natural gas and paper stocks
delivered dramatic double-digit returns. The chemical sector, suffering from
margins pressures and earnings disappointments, lagged almost all other
commodity groups.
The Portfolio's performance stagnated during the fourth quarter of 1999, despite
generally rising commodity prices. While selected paper stocks continued to
deliver strong relative and absolute performance, we surrendered significant
gains in our natural gas holdings as the winter heating season started with
temperatures averaging 25% warmer than normal. This unseasonably warm start to
winter was even greater than the record warm start to the 1998 -- 1999 heating
season, and resulted in the Portfolio falling sharply from the strong gains it
delivered during the first ten months of 1999. However, the fundamental outlook
for energy stocks at present remains favorable, and, assuming this outlook
continues, we intend to maintain the Portfolio's exposure to oil, oil service
and natural gas leveraged companies. OPEC has continued to maintain solid
compliance with its production quotas set in March 1999. This is leading to a
rapid fall in global inventories, as economic activity remains robust in the
United States and continues to recover in Asia. With oil prices currently above
$25 per barrel, profits from oil and gas production are well positioned to post
strong earnings gains. We also believe that refining margins have the potential
to recover, as global gasoline and heating oil inventories are reduced. However,
this recovery may be slower since surplus capacity constructed in Asia in recent
years needs to be absorbed by rising consumption in the region. Nonetheless, as
the large surplus supplies continue to be reduced, gasoline prices have the
potential to rally during the upcoming summer driving season. Petrochemical
prices also may show strength in 2000; however, we remain concerned that further
gains may be muted by the construction of new petrochemical plants in Canada and
the Middle East.
The valuation of energy sector stocks currently remains highly attractive when
compared to historic relative benchmarks. Large-capitalization stocks are
trading at near record low relative price/earnings and dividend yields. In
addition, we believe that earnings may recover in the oil service sector, as
drilling expenditures resume following a release of budget constraints set
during last year's oil price weakness, and as recently merged energy companies
turn to their core businesses following consolidation and restructuring
activities. Finally, at present, North American natural gas producers continue
to have a favorable supply and demand outlook, provided normal weather patterns
return. North American natural gas storage continues to run below year ago
levels, so normal withdrawal rates for the remainder of the year could drive gas
prices back to the $2.50 per thousand cubic feet range that prevailed last year.
However, we will be monitoring demand and supply factors closely in this sector.
We also sold all of the Portfolio's gold holdings by the end of 1999. This had a
generally favorable impact on Portfolio performance, as gold stocks have
continued to languish in the current benign inflation environment, and from
ongoing sales from various central banks. While we believe that there is the
potential for commodity inflation to accelerate in 2000, we believe that other
commodity investments may offer a better inflation hedge than gold. Gold's
failure to exhibit its defensive characteristics during the recent periods of
economic uncertainty and unrest has dimmed its investment appeal, in our view.
We continue to maintain a relatively high exposure to the paper and forest
products industry. Positive supply and demand fundamentals continued to exert
themselves in several forest and paper products, and price increases have been
announced across several products. The industry continues to maintain capital
spending discipline, and we believe that there is the potential for further
consolidation among companies in this sector. We are currently inclined to
continue our overweighting of paper and forest product stocks, although we did
sell some of our holdings in companies leveraged to lumber production. While
housing starts remain strong, we are concerned
10
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Annual Report
December 31, 1999 (Concluded)
- --------------------------------------------------------------------------------
that higher interest rates may slow the pace of new home construction.
Therefore, we sold our long-term holdings in Riverside Forest Products Ltd. and
Slocan Forest Products Ltd.
In the metals/mining sector, we continued to hold a neutral weighting relative
to the MSCI Natural Resource Index during the year. Alcoa Inc. was the best
performer in this sector, with a total return from its stock exceeding 100%
during the year. Good gains were also achieved in Portfolio holdings of M.I.M.
Holdings Limited and WMC Limited in Australia. While we believe these stocks may
continue to perform well in sympathy with strong global economic growth, we
continue to fear that idled capacity could return to global markets should metal
prices continue to rally.
Should the trend in improving global economic conditions persist, we believe
that the Portfolio could continue to enjoy positive investment results in the
first year of the new millennium. The energy and forest products sectors
currently continue to show the best supply and demand fundamentals, so we are
maintaining our concentrations in these sectors. However, we have been
marginally increasing our oil service exposure, as these stocks appear to have
stronger earnings growth potential as we progress to the second half of the
year. While the unseasonably warm start to winter surrendered some of the year's
strong gains, we believe that valuations of resource sector stocks are
compelling at current levels and we continue to be optimistic that resource
investments could 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 June
semi-annual report to shareholders.
Sincerely,
/s/ Terry K. Glenn
Terry K. Glenn
PRESIDENT
February 15, 2000
11
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Performance Information
December 31, 1999
- --------------------------------------------------------------------------------
RECENT PERFORMANCE RESULTS*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
6 MONTH 12 MONTH
TOTAL TOTAL
AS OF DECEMBER 31, 1999 RETURN RETURN
<S> <C> <C>
- -----------------------------------------------------------------------------------------
BALANCED PORTFOLIO + 3.81% + 8.55%
- -----------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO +16.20 + 31.63
- -----------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO +15.61 + 21.36
- -----------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +20.86 + 38.99
- -----------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO + 2.85 + 5.85
- -----------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 0.49 - 1.25
- -----------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO + 0.30 - 2.35
- -----------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO +11.56 + 20.21
- -----------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO + 1.74 + 25.50
- -----------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIVE YEARS TEN YEARS
YEAR ENDED ENDED ENDED
12/31/99 12/31/99 12/31/99
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO + 8.55% +13.96% +10.67%
- -------------------------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO + 31.63 +21.25 +14.50
- -------------------------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO + 21.36 +13.28 +11.29
- -------------------------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO + 38.99 +32.97 +18.65
- -------------------------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO + 5.85 + 7.89 + 9.89
- -------------------------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO - 1.25 + 7.31 + 7.34
- -------------------------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO - 2.35 + 7.40 + 7.64
- -------------------------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO + 20.21 +16.36 +12.54
- -------------------------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO + 25.50 + 4.45 + 3.08
- -------------------------------------------------------------------------------------------------------
</TABLE>
* The returns shown are based on changes in net asset value for the periods
shown, and assume reinvestment of all dividends and capital gains
distributions at net asset value on the ex-dividend/payable date.
Insurance-related fees and expenses are not reflected in these returns.
Past results shown should not be considered a representation of future
performance.
12
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment
- --------------------------------------------------------------------------------
BALANCED PORTFOLIO
A line graph depicting the growth of an investment in the Fund compared to
growth of an investment in the Standard & Poor's 500 Index and a Weighted Index.
Beginning and ending values are:
<TABLE>
<CAPTION>
12/89 12/99
-------- --------
<S> <C> <C>
Balanced Portfolio+ $10,000 $27,555
Standard & Poor's 500 Index++ $10,000 $53,277
Weighted Index+++ $10,000 $27,062
</TABLE>
<TABLE>
<S> <C>
+ Assuming transaction costs and other operating expenses,
including advisory fees. Does not include insurance-related
fees and expenses. Balanced Portfolio invests in a balanced
portfolio of fixed-income and equity securities.
++ This unmanaged broad-based index is comprised of common
stocks.
+++ This unmanaged index, which is an equally weighted blend of
the Three-Month US Treasury Bill Index, the Merrill Lynch US
Corporate & Government Master Bond Index and the Standard &
Poor's 500 Index, is comprised of US Treasury bills maturing
in up to 3 months, investment-grade bonds and common stocks.
</TABLE>
Past performance is not predictive of future performance.
CAPITAL STOCK PORTFOLIO
A line graph depicting the growth of an investment in the Fund compared to
growth of an investment in the Standard & Poor's 500 Index. Beginning and ending
values are:
<TABLE>
<CAPTION>
12/89 12/99
-------- --------
<S> <C> <C>
Capital Stock Portfolio+ $10,000 $38,715
Standard & Poor's 500 Index++ $10,000 $53,277
</TABLE>
<TABLE>
<S> <C>
+ Assuming transaction costs and other operating expenses,
including advisory fees. Does not include insurance-related
fees and expenses. Capital Stock Portfolio generally invests
in equity securities that are considered to be of good or
improving quality or which are thought to be undervalued
based on criteria such as historical price/book value ratios
and price/earnings ratios.
++ This unmanaged broad-based index is comprised of common
stocks.
</TABLE>
Past performance is not predictive of future performance.
13
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (Continued)
- --------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO
A line graph depicting the growth of an investment in the Fund compared to
growth of an investment in the Morgan Stanley Capital International World Index
and a Weighted Index. Beginning and ending values are:
<TABLE>
<CAPTION>
12/89 12/99
-------- --------
<S> <C> <C>
Global Strategy Portfolio+ $10,000 $29,132
Morgan Stanley Capital International World Index++ $10,000 $29,499
Weighted Index+++ $10,000 $30,077
</TABLE>
<TABLE>
<S> <C>
+ Assuming transaction costs and other operating expenses,
including advisory fees. Does not include insurance-related
fees and expenses. Global Strategy Portfolio invests
primarily in equity and fixed-income securities of issuers
located in the United States, Canada, Western Europe, the
Far East and Latin America.
++ This unmanaged market capitalization-weighted index,
calculated by Morgan Stanley Capital International, is
comprised of a representative sampling of stocks of large-,
medium-, and small-capitalization companies in 22 countries,
including the United States.
+++ This unmanaged index, which is an equally weighted blend of
the MSCI EAFE Index, the Salomon Smith Barney World
Government Bond Index, and the Three-Month US Treasury Bill
Index, is comprised of a representative sampling of stocks
of large-, medium-, and small-capitalization companies in 20
countries, and government bonds and money market securities
in the major markets, including the United States.
</TABLE>
Past performance is not predictive of future performance.
GROWTH STOCK PORTFOLIO
A line graph depicting the growth of an investment in the Fund compared to
growth of an investment in the Standard & Poor's 500 Index. Beginning and ending
values are:
<TABLE>
<CAPTION>
12/89 12/99
-------- --------
<S> <C> <C>
Growth Stock Portfolio+ $10,000 $55,314
Standard & Poor's 500 Index++ $10,000 $53,277
</TABLE>
<TABLE>
<S> <C>
+ Assuming transaction costs and other operating expenses,
including advisory fees. Does not include insurance-related
fees and expenses. Growth Stock Portfolio invests in a
diversified portfolio of securities, primarily common
stocks, of aggressive growth companies that the Investment
Adviser believes have special investment value.
++ This unmanaged broad-based index is comprised of common
stocks.
</TABLE>
Past performance is not predictive of future performance.
14
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (Continued)
- --------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO
A line graph depicting the growth of an investment in the Fund compared to
growth of an investment in the Credit Suisse First Boston High Yield Global
Index. Beginning and ending values are:
<TABLE>
<CAPTION>
12/89 12/99
-------- --------
<S> <C> <C>
High Yield Portfolio+ $10,000 $25,671
Credit Suisse First Boston High Yield Global Index++ $10,000 $28,542
</TABLE>
<TABLE>
<S> <C>
+ Assuming transaction costs and other operating expenses,
including advisory fees. Does not include insurance-related
fees and expenses. High Yield Portfolio invests principally
in fixed-income securities, including corporate bonds and
notes, convertible securities and preferred stocks, that are
rated in the lower rating categories of the established
rating services (Baa or lower by Moody's and BBB or lower by
S&P), or in unrated securities of comparable quality.
++ This unmanaged market-weighted index is comprised of
high-yield debt securities rated BBB or lower.
</TABLE>
Past performance is not predictive of future performance.
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
A line graph depicting the growth of an investment in the Fund compared to
growth of an investment in the Merrill Lynch US Treasury 7-10 Years Index and
the Salomon Smith Barney Government/Mortgage Index. Beginning and ending values
are:
<TABLE>
<CAPTION>
12/89 12/99
-------- --------
<S> <C> <C>
Intermediate Government Bond Portfolio+ $10,000 $20,306
Merrill Lynch US Treasury 7-10 Years Index++ $10,000 $21,414
Salomon Smith Barney Government/Mortage Index+++ $10,000 $20,883
</TABLE>
<TABLE>
<S> <C>
+ Assuming transaction costs and other operating expenses,
including advisory fees. Does not include insurance-related
fees and expenses. Intermediate Government Bond Portfolio
invests only in securities issued or guaranteed by the US
Government and its agencies with a maximum maturity not to
exceed 15 years.
++ This unmanaged index is comprised of intermediate-term US
Government bond and US Treasury securities maturing in
7 years--10 years.
+++ This unmanaged Index is comprised of 30-year and 15-year
GNMA, FNMA and FHLMC securities, and FNMA and FHLMC balloon
mortgages.
</TABLE>
Past performance is not predictive of future performance.
15
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (Continued)
- --------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO
A line graph depicting the growth of an investment in the Fund compared to
growth of an investment in the Merrill Lynch Corporate Master Index and the
Merrill Lynch US Corporates A-AAA Rated Index. Beginning and ending values are:
<TABLE>
<CAPTION>
12/89 12/99
-------- --------
<S> <C> <C>
Long-Term Corporate Bond Portfolio+ $10,000 $20,883
Merrill Lynch Corporate Master Index++ $10,000 $22,277
Merrill Lynch US Corporates A-AAA Rated Index+++ $10,000 $22,078
</TABLE>
<TABLE>
<S> <C>
+ Assuming transaction costs and other operating expenses,
including advisory fees. Does not include insurance-related
fees and expenses. Long Term Corporate Bond Portfolio
normally invests in at least 80% of the value of its assets
in straight debt securities which have a rating within the
three highest grades as determined by the Standard & Poor's
Ratings Groups (AAA, AA or A) or Moody's Investors Service,
Inc. (Aaa, Aa or A).
++ This unmanaged index is comprised of all corporate bonds
rated BBB3 or higher, of all maturities.
+++ This unmanaged index is comprised of bonds rated A-AAA, of
all maturities.
</TABLE>
Past performance is not predictive of future performance.
MULTIPLE STRATEGY PORTFOLIO
A line graph depicting the growth of an investment in the Fund compared to
growth of an investment in the Standard & Poor's 500 Index and a Weighted Index.
Beginning and ending values are:
<TABLE>
<CAPTION>
12/89 12/99
-------- --------
<S> <C> <C>
Multiple Strategy Portfolio+ $10,000 $32,591
Standard & Poor's 500 Index++ $10,000 $53,277
Weighted Index+++ $10,000 $34,116
</TABLE>
<TABLE>
<S> <C>
+ Assuming transaction costs and other operating expenses,
including advisory fees. Does not include insurance-related
fees and expenses. Multiple Strategy Portfolio, which uses a
fully managed investment policy, invests in equity, interme-
diate- and long-term debt and money market securities.
++ This unmanaged broad-based index is comprised of common
stocks.
+++ This unmanaged index, which is an equally weighted blend of
the S&P 500 Index and the Merrill Lynch US Corporate &
Government Master Index, is comprised of common stocks as
well as investment-grade bonds.
</TABLE>
Past performance is not predictive of future performance.
16
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Total Investment Return Based on a $10,000 Investment (Concluded)
- --------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO
A line graph depicting the growth of an investment in the Fund compared to
growth of an investment in the Standard & Poor's Industrials Index, the Consumer
Price Index, and the Lipper Natural Resources Average. Beginning and ending
values are:
<TABLE>
<CAPTION>
12/89 12/99
-------- --------
<S> <C> <C>
Natural Resources Portfolio+ $10,000 $13,537
Standard & Poor's Industrials Index++ $10,000 $56,772
Consumer Price Index+++ $10,000 $13,354
Lipper Natural Resources Average++++ $10,000 $18,073
</TABLE>
<TABLE>
<S> <C>
+ Assuming transaction costs and other operating expenses,
including advisory fees. Does not include insurance- related
fees and expenses. Natural Resources Portfolio invests
primarily in a portfolio of equity securities (e.g., com-
mon stocks and securities convertible into common stocks) of
domestic and foreign companies with substantial natural
resource assets. The Portfolio may also invest in debt.
++ This unmanaged index measures the pattern of movements of
the common stocks of large industrial companies and their
weighting by capitalization.
+++ This unmanaged index is the most widely used index of price
changes over time and is designed to measure changes in the
typical market basket of purchases by urban consumers.
++++ This average is comprised of all US mutual funds classified
by Lipper Analytical Services Inc. as natural resource-
related funds.
</TABLE>
Past performance is not predictive of future performance.
17
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE PERCENT OF
INDUSTRIES AMOUNT BONDS & NOTES VALUE NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FINANCIAL SERVICES $ 2,000,000 General Electric Capital Corp., 8.75% due
5/21/2007...................................... $ 2,160,480 1.8%
- ----------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY 743,526 Federal Home Loan Mortgage Corporation
OBLIGATIONS Participation Certificates--Gold Program, 7.50%
due 6/01/2007++................................ 751,684 0.6
Federal National Mortgage Association:
4,770,000 5.625% due 3/15/2001............................ 4,726,021 4.0
2,350,000 5.25% due 1/15/2009............................. 2,072,771 1.7
19,000,000 6.375% due 6/15/2009............................ 18,141,960 15.2
US Treasury Bonds:
1,200,000 5.25% due 11/15/2028............................ 988,500 0.8
10,800,000 6.125% due 8/15/2029............................ 10,295,424 8.6
US Treasury Notes:
3,800,000 5% due 4/30/2001................................ 3,744,178 3.2
3,050,000 5.75% due 6/30/2001............................. 3,030,938 2.6
375,000 6% due 8/15/2004................................ 369,139 0.3
525,000 6% due 8/15/2009................................ 508,594 0.4
------------ -----
44,629,209 37.4
- ----------------------------------------------------------------------------------------------------------------------
TOTAL BONDS & NOTES (COST-$48,128,116) 46,789,689 39.2
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES
HELD COMMON STOCKS
- ----------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 8,329 United Technologies Corporation. 541,385 0.5
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
APPLICATION DEVELOPMENT 9,700 +Siebel Systems, Inc............................ 817,225 0.7
SOFTWARE
- ----------------------------------------------------------------------------------------------------------------------
BANKING 7,750 Bank of America Corporation..................... 388,953 0.3
12,000 The Bank of New York Company, Inc............... 480,000 0.4
3,600 The Chase Manhattan Corporation................. 279,675 0.2
------------ -----
1,148,628 0.9
- ----------------------------------------------------------------------------------------------------------------------
BANKING & FINANCIAL 20,700 Citigroup Inc................................... 1,150,144 1.0
- ----------------------------------------------------------------------------------------------------------------------
BEVERAGES 13,800 The Coca-Cola Company........................... 803,850 0.7
29,700 PepsiCo, Inc.................................... 1,046,925 0.9
------------ -----
1,850,775 1.6
- ----------------------------------------------------------------------------------------------------------------------
BROADCASTING 4,900 +UnitedGlobalCom Inc. (Class A)................. 344,225 0.3
- ----------------------------------------------------------------------------------------------------------------------
BROADCASTING--CABLE 30,852 +AT&T Corp.--Liberty Media Group (Class A)...... 1,750,851 1.5
- ----------------------------------------------------------------------------------------------------------------------
BROADCASTING--RADIO & 4,500 +Clear Channel Communications, Inc.............. 401,625 0.3
TELEVISION
- ----------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS 9,700 +American Tower Corporation (Class A)........... 296,456 0.2
- ----------------------------------------------------------------------------------------------------------------------
BUSINESS SERVICES 2,200 +Oracle Corporation............................. 246,400 0.2
- ----------------------------------------------------------------------------------------------------------------------
CABLE 52,500 +Charter Communications, Inc.................... 1,148,437 1.0
- ----------------------------------------------------------------------------------------------------------------------
CHEMICALS 7,850 E.I. du Pont de Nemours and Company............. 517,119 0.4
17,400 Rohm and Haas Company........................... 707,963 0.6
------------ -----
1,225,082 1.0
- ----------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES 6,050 +Convergys Corporation.......................... 186,037 0.2
- ----------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 4,000 +America Online, Inc............................ 301,750 0.2
23,220 +Cisco Systems, Inc............................. 2,485,991 2.1
------------ -----
2,787,741 2.3
- ----------------------------------------------------------------------------------------------------------------------
COMPUTER SOFTWARE 1,200 +i2 Technologies, Inc........................... 233,550 0.2
3,800 +Symantic Corporation, Inc...................... 222,775 0.2
700 +Yahoo! Inc..................................... 302,881 0.2
------------ -----
759,206 0.6
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
18
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD COMMON STOCKS VALUE NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMPUTERS 6,400 Compaq Computer Corporation..................... $ 173,200 0.1%
4,900 +EMC Corporation................................ 535,325 0.5
2,100 +Gateway Inc.................................... 151,331 0.1
7,545 International Business Machines Corporation..... 814,860 0.7
5,300 +Sun Microsystems, Inc.......................... 410,088 0.3
16,050 Tandy Corporation............................... 789,459 0.7
------------ -----
2,874,263 2.4
- ----------------------------------------------------------------------------------------------------------------------
CONGLOMERATES 16,200 The Dial Corporation............................ 393,862 0.3
8,700 Honeywell International Inc..................... 501,881 0.4
------------ -----
895,743 0.7
- ----------------------------------------------------------------------------------------------------------------------
COSMETICS 12,500 The Gillette Company............................ 514,844 0.4
- ----------------------------------------------------------------------------------------------------------------------
ELECTRIC & GAS 15,800 +Calpine Corporation............................ 1,011,200 0.8
- ----------------------------------------------------------------------------------------------------------------------
ELECTRICAL & 4,800 +The AES Corporation............................ 358,800 0.3
ELECTRONICS
- ----------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 19,200 General Electric Company........................ 2,971,200 2.5
- ----------------------------------------------------------------------------------------------------------------------
ELECTRONICS 900 +Broadcom Corporation (Class A)................. 245,081 0.2
9,050 Intel Corporation............................... 744,362 0.6
3,400 Texas Instruments Incorporated.................. 329,375 0.3
------------ -----
1,318,818 1.1
- ----------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 12,800 Associates First Capital Corporation
(Class A)...................................... 351,200 0.3
16,200 Wells Fargo Company............................. 655,088 0.5
------------ -----
1,006,288 0.8
- ----------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES-- 8,900 Household International, Inc.................... 331,525 0.3
CONSUMER
- ----------------------------------------------------------------------------------------------------------------------
FOODS 23,800 +Keebler Foods Company.......................... 669,375 0.6
- ----------------------------------------------------------------------------------------------------------------------
HEALTHCARE 13,700 Columbia/HCA Healthcare Corporation............. 401,581 0.3
PRODUCTS & SERVICES
- ----------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 20,400 Colgate-Palmolive Company....................... 1,326,000 1.1
4,800 The Procter & Gamble Company.................... 525,900 0.4
------------ -----
1,851,900 1.5
- ----------------------------------------------------------------------------------------------------------------------
INFORMATION PROCESSING 10,400 +Unisys Corporation............................. 332,150 0.3
- ----------------------------------------------------------------------------------------------------------------------
INSURANCE 9,400 AXA Financial, Inc.............................. 318,425 0.3
7,700 American International Group, Inc............... 832,562 0.7
------------ -----
1,150,987 1.0
- ----------------------------------------------------------------------------------------------------------------------
INTERNETWORKING 800 +InfoSpace.com, Inc............................. 171,150 0.1
2,200 +Inktomi Corporation............................ 194,975 0.2
1,300 +Internet Capital Group, Inc.................... 220,431 0.2
------------ -----
586,556 0.5
- ----------------------------------------------------------------------------------------------------------------------
LASER SYSTEMS & 13,400 +JDS Uniphase Corporation....................... 2,160,750 1.8
COMPONENTS
- ----------------------------------------------------------------------------------------------------------------------
MACHINERY & EQUIPMENT 4,400 Caterpillar Inc................................. 207,075 0.2
- ----------------------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 11,750 Johnson & Johnson............................... 1,094,219 0.9
- ----------------------------------------------------------------------------------------------------------------------
METALS 15,200 Alcoa Inc....................................... 1,261,600 1.1
- ----------------------------------------------------------------------------------------------------------------------
NATURAL GAS 21,200 Enron Corp...................................... 940,750 0.8
- ----------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES 13,700 Burlington Resources Inc........................ 452,956 0.4
- ----------------------------------------------------------------------------------------------------------------------
OIL--INTEGRATED 9,703 Exxon Mobil Corporation......................... 781,698 0.6
23,550 Shell Transport & Trading Company (ADR)(a)...... 1,159,838 1.0
------------ -----
1,941,536 1.6
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
19
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD COMMON STOCKS VALUE NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OIL SERVICE 9,570 Schlumberger Limited............................ $ 538,313 0.5%
1,853 Transocean Sedco Forex Inc...................... 58,709 0.0
------------ -----
597,022 0.5
- ----------------------------------------------------------------------------------------------------------------------
PAPER & FOREST 12,800 International Paper Company..................... 722,400 0.6
PRODUCTS
- ----------------------------------------------------------------------------------------------------------------------
PETROLEUM 14,700 Unocal Corporation.............................. 493,369 0.4
- ----------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 4,960 American Home Products Corporation.............. 195,610 0.2
14,800 Bristol-Myers Squibb Company.................... 949,975 0.8
13,700 Cardinal Health, Inc............................ 655,887 0.5
1,900 Eli Lilly and Company........................... 126,350 0.1
13,400 Merck & Co., Inc................................ 898,637 0.7
17,700 Pfizer Inc...................................... 574,144 0.5
4,900 Pharmacia & Upjohn, Inc......................... 220,500 0.2
------------ -----
3,621,103 3.0
- ----------------------------------------------------------------------------------------------------------------------
RADIO & TELEVISION 18,300 +AMFM Inc....................................... 1,431,975 1.2
- ----------------------------------------------------------------------------------------------------------------------
RESTAURANTS 15,600 McDonald's Corporation.......................... 628,875 0.5
- ----------------------------------------------------------------------------------------------------------------------
RETAIL 8,300 +Federated Department Stores, Inc............... 419,669 0.4
17,300 +Safeway Inc.................................... 615,231 0.5
17,400 Wal-Mart Stores, Inc............................ 1,202,775 1.0
------------ -----
2,237,675 1.9
- ----------------------------------------------------------------------------------------------------------------------
RETAIL SPECIALTY 14,200 Lowe's Companies, Inc........................... 848,450 0.7
- ----------------------------------------------------------------------------------------------------------------------
SCIENTIFIC INSTRUMENTS 8,400 Millipore Corporation........................... 324,450 0.3
- ----------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS 10,330 Motorola, Inc................................... 1,521,093 1.3
- ----------------------------------------------------------------------------------------------------------------------
SOFTWARE 22,850 +Microsoft Corporation.......................... 2,666,309 2.2
7,000 +Network Associates, Inc........................ 186,375 0.2
------------ -----
2,852,684 2.4
- ----------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 9,000 +3Com Corporation............................... 422,438 0.3
29,894 AT&T Corporation................................ 1,517,120 1.3
5,100 +Adelphia Business Solutions, Inc............... 241,294 0.2
8,400 +Amdocs Limited................................. 289,800 0.2
23,400 GTE Corporation................................. 1,651,163 1.4
9,300 +Global TeleSystems Group, Inc.................. 322,013 0.3
7,400 Lucent Technologies Inc......................... 553,612 0.5
28,725 +MCI WorldCom Inc............................... 1,522,425 1.3
------------ -----
6,519,865 5.5
- ----------------------------------------------------------------------------------------------------------------------
TRANSPORTATION SERVICES 3,100 United Parcel Service, Inc. (Class B)........... 213,900 0.2
- ----------------------------------------------------------------------------------------------------------------------
UTILITIES-- 25,135 SBC Communications Inc.......................... 1,225,331 1.0
COMMUNICATION
- ----------------------------------------------------------------------------------------------------------------------
UTILITIES--ELECTRIC 13,200 Public Service Enterprise Group Incorporated.... 459,525 0.4
- ----------------------------------------------------------------------------------------------------------------------
WIRELESS 4,500 +Sprint Corp. (PCS Group)....................... 461,250 0.4
COMMUNICATION
- ----------------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATION-- 5,600 +Nextel Communications, Inc. (Class A).......... 577,150 0.5
DOMESTIC PAGING & CELLULAR
- ----------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (COST-$47,192,847) 63,724,450 53.4
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
20
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of December 31, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE PERCENT OF
AMOUNT SHORT-TERM SECURITIES VALUE NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMERCIAL PAPER* $ 4,967,000 General Motors Acceptance Corp., 5% due
1/03/2000...................................... $ 4,964,930 4.2%
- ----------------------------------------------------------------------------------------------------------------------
US GOVERNMENT 1,500,000 Federal Home Loan Banks, 5.65% due 1/12/2000.... 1,497,175 1.2
AGENCY OBLIGATIONS* 1,700,000 Federal National Mortgage Association, 5.67% due
1/18/2000...................................... 1,695,181 1.4
- ----------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES (COST--$8,157,286) 8,157,286 6.8
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST--$103,478,249).......... 118,671,425 99.4
OTHER ASSETS LESS LIABILITIES................... 679,309 0.6
------------ -----
NET ASSETS...................................... $119,350,734 100.0%
============ =====
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) American Depositary Receipts (ADR).
* Commercial Paper and certain US Government Agency Obligations are 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.
++ Subject to principal paydowns.
See Notes to Financial Statements.
21
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD US STOCKS VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
AEROSPACE & DEFENSE 39,393 United Technologies Corporation......... $ 2,560,545 0.6%
- ---------------------------------------------------------------------------------------------------------------------
APPLICATION DEVELOPMENT 51,400 +Siebel Systems, Inc.................... 4,330,450 1.0
SOFTWARE
- ---------------------------------------------------------------------------------------------------------------------
BANKING 89,369 Bank of America Corporation............. 4,485,207 1.0
91,750 The Bank of New York Company, Inc....... 3,670,000 0.9
28,700 The Chase Manhattan Corporation......... 2,229,631 0.5
110,900 Citigroup Inc........................... 6,161,881 1.4
------------ -----
16,546,719 3.8
- ---------------------------------------------------------------------------------------------------------------------
BEVERAGES 23,300 The Coca-Cola Company................... 1,357,225 0.3
113,600 PepsiCo, Inc............................ 4,004,400 0.9
------------ -----
5,361,625 1.2
- ---------------------------------------------------------------------------------------------------------------------
BROADCASTING--CABLE 151,558 +AT&T Corp.--Liberty Media Group
(Class A).............................. 8,600,916 2.0
- ---------------------------------------------------------------------------------------------------------------------
BROADCASTING--RADIO & 23,000 +Clear Channel Communications Inc....... 2,052,750 0.5
TELEVISION
- ---------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS 49,200 +American Tower Corporation (Class A)... 1,503,675 0.3
- ---------------------------------------------------------------------------------------------------------------------
BUSINESS SERVICES 12,000 +Oracle Corporation..................... 1,344,000 0.3
- ---------------------------------------------------------------------------------------------------------------------
CABLE 247,600 +Charter Communications, Inc.
(Class A).............................. 5,416,250 1.3
- ---------------------------------------------------------------------------------------------------------------------
CHEMICALS 37,200 E.I. du Pont de Nemours and Company..... 2,450,550 0.6
88,600 Rohm and Haas Company................... 3,604,913 0.8
------------ -----
6,055,463 1.4
- ---------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES 49,500 +Convergys Corporation.................. 1,522,125 0.4
- ---------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT 99,375 +MCI WorldCom Inc....................... 5,266,875 1.2
- ---------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 14,200 +America Online, Inc.................... 1,071,212 0.3
117,300 +Cisco Systems, Inc..................... 12,558,431 2.9
------------ -----
13,629,643 3.2
- ---------------------------------------------------------------------------------------------------------------------
COMPUTER SOFTWARE 6,300 +i2 Technologies, Inc................... 1,226,138 0.3
37,000 +Network Associates, Inc................ 985,125 0.2
20,800 +Symantec Corporation................... 1,219,400 0.3
3,700 +Yahoo! Inc............................. 1,600,944 0.4
------------ -----
5,031,607 1.2
- ---------------------------------------------------------------------------------------------------------------------
COMPUTERS 34,300 Compaq Computer Corporation............. 928,244 0.2
47,100 +EMC Corporation........................ 5,145,675 1.2
11,400 +Gateway Inc............................ 821,512 0.2
43,960 International Business Machines
Corporation............................ 4,747,680 1.1
61,380 +Sun Microsystems, Inc.................. 4,749,278 1.1
86,750 Tandy Corporation....................... 4,267,016 1.0
------------ -----
20,659,405 4.8
- ---------------------------------------------------------------------------------------------------------------------
CONGLOMERATES 23,700 Honeywell International Inc............. 1,367,194 0.3
- ---------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS 89,500 The Dial Corporation.................... 2,175,969 0.5
- ---------------------------------------------------------------------------------------------------------------------
COSMETICS 22,000 The Gillette Company.................... 906,125 0.2
- ---------------------------------------------------------------------------------------------------------------------
ELECTRIC & GAS 56,200 +Calpine Corporation.................... 3,596,800 0.8
- ---------------------------------------------------------------------------------------------------------------------
ELECTRICAL & ELECTRONICS 12,700 +The AES Corporation.................... 949,325 0.2
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
22
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD US STOCKS VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ELECTRICAL EQUIPMENT 101,950 General Electric Company................ $ 15,776,762 3.7%
- ---------------------------------------------------------------------------------------------------------------------
ELECTRONICS 4,800 +Broadcom Corporation (Class A)......... 1,307,100 0.3
45,150 Intel Corporation....................... 3,713,587 0.9
17,500 Texas Instruments Incorporated.......... 1,695,313 0.4
------------ -----
6,716,000 1.6
- ---------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 91,500 Associates First Capital Corporation
(Class A).............................. 2,510,531 0.6
114,100 Wells Fargo Company..................... 4,613,919 1.1
------------ -----
7,124,450 1.7
- ---------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES-- 61,800 Household International, Inc............ 2,302,050 0.5
CONSUMER
- ---------------------------------------------------------------------------------------------------------------------
FOODS 109,800 +Keebler Foods Company.................. 3,088,125 0.7
- ---------------------------------------------------------------------------------------------------------------------
HEALTHCARE--PRODUCTS & 49,800 Columbia/HCA Healthcare Corporation..... 1,459,762 0.3
SERVICES
- ---------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 102,600 Colgate-Palmolive Company............... 6,669,000 1.5
38,100 The Procter & Gamble Company............ 4,174,331 1.0
------------ -----
10,843,331 2.5
- ---------------------------------------------------------------------------------------------------------------------
INFORMATION PROCESSING 127,400 +Unisys Corporation..................... 4,068,838 0.9
- ---------------------------------------------------------------------------------------------------------------------
INSURANCE 42,600 AXA Financial, Inc...................... 1,443,075 0.3
43,750 American International Group, Inc....... 4,730,469 1.1
------------ -----
6,173,544 1.4
- ---------------------------------------------------------------------------------------------------------------------
INTERNETWORKING 4,500 +InfoSpace.com, Inc..................... 962,719 0.2
12,400 +Inktomi Corporation.................... 1,098,950 0.3
7,100 +Internet Capital Group, Inc............ 1,203,894 0.3
------------ -----
3,265,563 0.8
- ---------------------------------------------------------------------------------------------------------------------
LASER SYSTEMS & COMPONENTS 69,600 +JDS Uniphase Corporation............... 11,223,000 2.6
- ---------------------------------------------------------------------------------------------------------------------
MACHINERY & EQUIPMENT 14,600 Caterpillar Inc......................... 687,112 0.2
- ---------------------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 42,300 Johnson & Johnson....................... 3,939,188 0.9
- ---------------------------------------------------------------------------------------------------------------------
METALS 61,600 Alcoa Inc............................... 5,112,800 1.2
- ---------------------------------------------------------------------------------------------------------------------
NATURAL GAS 113,400 Enron Corp.............................. 5,032,125 1.2
- ---------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES 68,900 Burlington Resources Inc................ 2,278,006 0.5
- ---------------------------------------------------------------------------------------------------------------------
NETWORKING PRODUCTS 38,000 +3Com Corporation....................... 1,783,625 0.4
- ---------------------------------------------------------------------------------------------------------------------
OIL--INTEGRATED 65,611 Exxon Mobil Corporation................. 5,285,786 1.2
- ---------------------------------------------------------------------------------------------------------------------
OIL SERVICES 41,200 Schlumberger Limited.................... 2,317,500 0.5
7,976 Transocean Sedco Forex Inc.............. 268,702 0.1
------------ -----
2,586,202 0.6
- ---------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS 34,600 International Paper Company............. 1,952,738 0.5
- ---------------------------------------------------------------------------------------------------------------------
PETROLEUM 74,100 Unocal Corporation...................... 2,486,981 0.6
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
23
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD US STOCKS VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PHARMACEUTICALS 24,400 American Home Products Corporation...... $ 962,275 0.2%
70,050 Bristol-Myers Squibb Company............ 4,496,334 1.0
50,200 Cardinal Health, Inc.................... 2,403,325 0.6
10,200 Eli Lilly and Company................... 678,300 0.2
71,600 Merck & Co., Inc........................ 4,801,675 1.1
93,100 Pfizer Inc.............................. 3,019,931 0.7
48,800 Pharmacia & Upjohn, Inc................. 2,196,000 0.5
------------ -----
18,557,840 4.3
- ---------------------------------------------------------------------------------------------------------------------
RADIO & TELEVISION 109,900 +AMFM Inc............................... 8,599,675 2.0
- ---------------------------------------------------------------------------------------------------------------------
RESTAURANTS 83,700 McDonald's Corporation.................. 3,374,156 0.8
- ---------------------------------------------------------------------------------------------------------------------
RETAIL 54,800 +Federated Department Stores, Inc....... 2,770,825 0.6
76,300 +Safeway Inc............................ 2,713,419 0.6
89,600 Wal-Mart Stores, Inc.................... 6,193,600 1.5
------------ -----
11,677,844 2.7
- ---------------------------------------------------------------------------------------------------------------------
RETAIL SPECIALTY 72,100 Lowe's Companies, Inc................... 4,307,975 1.0
- ---------------------------------------------------------------------------------------------------------------------
SCIENTIFIC INSTRUMENTS 34,350 Millipore Corporation................... 1,326,769 0.3
- ---------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS 50,920 Motorola, Inc........................... 7,497,970 1.7
- ---------------------------------------------------------------------------------------------------------------------
SOFTWARE 139,500 +Microsoft Corporation.................. 16,277,906 3.8
- ---------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 112,574 AT&T Corp............................... 5,713,130 1.3
25,900 +Adelphia Business Solutions, Inc....... 1,225,394 0.3
45,900 +Amdocs Limited......................... 1,583,550 0.3
84,900 GTE Corporation......................... 5,990,756 1.4
23,000 +Global TeleSystems Group, Inc.......... 796,375 0.2
39,300 Lucent Technologies Inc................. 2,940,131 0.7
24,500 +Sprint Corp. (PCS Group)............... 2,511,250 0.6
------------ -----
20,760,586 4.8
- ---------------------------------------------------------------------------------------------------------------------
TRANSPORTATION-- 17,100 United Parcel Service, Inc. (Class B)... 1,179,900 0.3
SERVICES
- ---------------------------------------------------------------------------------------------------------------------
UTILITIES-- 120,150 SBC Communications Inc.................. 5,857,313 1.4
COMMUNICATION
- ---------------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATION-- 15,800 +Nextel Communications, Inc.
DOMESTIC PAGING & CELLULAR (Class A).............................. 1,628,388 0.4
- ---------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS (COST-$226,339,541) 313,109,771 72.7
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
COUNTRIES FOREIGN STOCKS++
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
AUSTRALIA 129,800 The News Corporation Limited (Preferred)
(ADR)(a)(5)............................ 4,340,187 1.0
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN AUSTRALIA 4,340,187 1.0
- ---------------------------------------------------------------------------------------------------------------------
BERMUDA 29,100 +Global Crossing Ltd. (11).............. 1,453,181 0.3
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BERMUDA 1,453,181 0.3
- ---------------------------------------------------------------------------------------------------------------------
CANADA 22,000 BCE Inc. (10)........................... 1,984,125 0.5
106,600 Nortel Networks Corporation (11)........ 10,766,600 2.5
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 12,750,725 3.0
- ---------------------------------------------------------------------------------------------------------------------
FINLAND 59,800 Nokia Oyj (11).......................... 10,839,348 2.5
55,000 UPM-Kymmene Oyj (7)..................... 2,215,400 0.5
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 13,054,748 3.0
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
24
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of December 31, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
COUNTRIES HELD FOREIGN STOCKS++ VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FRANCE 15,200 Banque Nationale de Paris (BNP) (2)..... $ 1,402,066 0.3%
59,400 STMicroelectronics NV
(NY Registered Shares) (9)............. 8,995,388 2.1
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 10,397,454 2.4
- ---------------------------------------------------------------------------------------------------------------------
GERMANY 18,200 Deutsche Bank AG (Registered
Shares) (2)............................ 1,536,752 0.4
24,500 Dresdner Bank AG (Registered
Shares) (2)............................ 1,332,261 0.3
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 2,869,013 0.7
- ---------------------------------------------------------------------------------------------------------------------
JAPAN 10,000 Kyocera Corporation (3)................. 2,593,209 0.6
248 Nippon Telegraph & Telephone Corporation
(NTT) (11)............................. 4,246,991 1.0
39,500 Sony Corporation (ADR)(a) (3)........... 11,247,625 2.6
55,000 Toyota Motor Corporation
(ADR)(a) (1)........................... 5,355,625 1.3
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 23,443,450 5.5
- ---------------------------------------------------------------------------------------------------------------------
NETHERLANDS 18,200 +ASM Lithography Holding NV (3)......... 2,021,512 0.5
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE NETHERLANDS 2,021,512 0.5
- ---------------------------------------------------------------------------------------------------------------------
SINGAPORE 124,800 +Flextronics International Ltd. (3)..... 5,740,800 1.3
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SINGAPORE 5,740,800 1.3
- ---------------------------------------------------------------------------------------------------------------------
SWEDEN 44,400 Telefonaktiebolaget LM Ericsson
'B' (11)............................... 2,859,289 0.7
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 2,859,289 0.7
- ---------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 116,200 AstraZeneca Group PLC (4)............... 4,816,799 1.1
708,100 BP Amoco PLC (6)........................ 7,115,269 1.7
126,000 Shell Transport & Trading Company
(ADR)(a) (6)........................... 6,205,500 1.4
143,300 SmithKline Beecham PLC (8).............. 1,827,387 0.4
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE UNITED KINGDOM 19,964,955 4.6
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS (COST-$54,620,686) 98,895,314 23.0
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SHORT-TERM SECURITIES
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMERCIAL PAPER* $18,109,000 General Motors Acceptance Corp., 5% due
1/03/2000.............................. 18,101,455 4.2
- ---------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES
(COST-$18,101,455)..................... 18,101,455 4.2
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST-$299,061,682)... 430,106,540 99.9
OTHER ASSETS LESS LIABILITIES........... 273,644 0.1
------------ -----
NET ASSETS.............................. $430,380,184 100.0%
============ =====
- ---------------------------------------------------------------------------------------------------------------------
</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.
++ Corresponding industry groups for foreign securities:
<TABLE>
<C> <S>
(1) Automobile
(2) Banking
(3) Electronic Components
(4) Medical-Drugs
(5) Multimedia
(6) Oil-Integrated
(7) Paper & Forest Products
(8) Pharmaceuticals
(9) Semiconductors
(10) Telecommunications
(11) Telecommunications Equipment
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD US STOCKS VALUE NET ASSETS
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 9,801 United Technologies Corporation.......... $ 637,065 0.3%
- --------------------------------------------------------------------------------------------------------------------
APPLICATION DEVELOPMENT 9,640 +Siebel Systems, Inc..................... 812,170 0.3
SOFTWARE
- --------------------------------------------------------------------------------------------------------------------
BANKING 11,626 Bank of America Corporation.............. 583,480 0.3
30,560 The Bank of New York Company, Inc........ 1,222,400 0.5
4,000 The Chase Manhattan Corporation.......... 310,750 0.1
------------ ------
2,116,630 0.9
- --------------------------------------------------------------------------------------------------------------------
BEVERAGES 4,000 The Coca-Cola Company.................... 233,000 0.1
21,850 PepsiCo, Inc............................. 770,212 0.3
------------ ------
1,003,212 0.4
- --------------------------------------------------------------------------------------------------------------------
BROADCASTING 5,000 +UnitedGlobalCom Inc. (Class A).......... 351,250 0.1
- --------------------------------------------------------------------------------------------------------------------
BROADCASTING--CABLE 35,734 +AT&T Corp.--Liberty Media Group
(Class A)............................... 2,027,904 0.8
- --------------------------------------------------------------------------------------------------------------------
BROADCASTING--RADIO & 5,040 +Clear Channel Communications, Inc....... 449,820 0.2
TELEVISION
- --------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS 9,240 +American Tower Corporation (Class A).... 282,398 0.1
- --------------------------------------------------------------------------------------------------------------------
BUSINESS SERVICES 2,200 +Oracle Corporation...................... 246,400 0.1
- --------------------------------------------------------------------------------------------------------------------
CABLE 44,200 +Charter Communications, Inc.
(Class A)............................... 966,875 0.4
- --------------------------------------------------------------------------------------------------------------------
CHEMICALS 6,836 E.I. du Pont de Nemours and Company...... 450,322 0.2
19,244 Rohm and Haas Company.................... 782,990 0.3
------------ ------
1,233,312 0.5
- --------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES 6,600 +Convergys Corporation................... 202,950 0.1
- --------------------------------------------------------------------------------------------------------------------
COMMUNICATION EQUIPMENT 23,115 +MCI WorldCom Inc........................ 1,225,095 0.5
- --------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 2,600 +America Online, Inc..................... 196,137 0.1
27,310 +Cisco Systems, Inc...................... 2,923,877 1.2
------------ ------
3,120,014 1.3
- --------------------------------------------------------------------------------------------------------------------
COMPUTER SOFTWARE 1,200 +i2 Technologies, Inc.................... 233,550 0.1
6,500 +Network Associates, Inc................. 173,062 0.1
3,800 +Symantec Corporation.................... 222,775 0.1
700 +Yahoo! Inc.............................. 302,881 0.1
------------ ------
932,268 0.4
- --------------------------------------------------------------------------------------------------------------------
COMPUTERS 8,200 Compaq Computer Corporation.............. 221,913 0.1
9,310 +EMC Corporation......................... 1,017,118 0.4
2,100 +Gateway Inc............................. 151,331 0.1
7,895 International Business Machines
Corporation............................. 852,660 0.3
24,200 +Sun Microsystems, Inc................... 1,872,475 0.8
16,000 Tandy Corporation........................ 787,000 0.3
------------ ------
4,902,497 2.0
- --------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS 16,540 The Dial Corporation..................... 402,129 0.2
4,400 Honeywell International Inc.............. 253,825 0.1
------------ ------
655,954 0.3
- --------------------------------------------------------------------------------------------------------------------
COSMETICS 4,000 The Gillette Company..................... 164,750 0.1
- --------------------------------------------------------------------------------------------------------------------
ELECTRIC & GAS 10,500 +Calpine Corporation..................... 672,000 0.3
- --------------------------------------------------------------------------------------------------------------------
ELECTRICAL & ELECTRONICS 2,600 +The AES Corporation..................... 194,350 0.1
- --------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 15,650 General Electric Company................. 2,421,838 1.0
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
26
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD US STOCKS VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ELECTRONICS 900 +Broadcom Corporation (Class A).......... $ 245,081 0.1%
8,550 Intel Corporation........................ 703,237 0.3
3,300 Texas Instruments Incorporated........... 319,688 0.1
------------ ------
1,268,006 0.5
- --------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 19,190 Associates First Capital Corporation
(Class A)............................... 526,526 0.2
15,800 Citigroup Inc............................ 877,888 0.4
16,740 Wells Fargo Company...................... 676,923 0.3
------------ ------
2,081,337 0.9
- --------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES-- 10,100 Household International, Inc............. 376,225 0.2
CONSUMER
- --------------------------------------------------------------------------------------------------------------------
FOODS 28,410 +Keebler Foods Company................... 799,031 0.3
- --------------------------------------------------------------------------------------------------------------------
HEALTHCARE 10,000 Columbia/HCA Healthcare Corporation...... 293,125 0.1
PRODUCTS & SERVICES
- --------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 8,310 Colgate-Palmolive Company................ 540,150 0.2
5,400 The Procter & Gamble Company............. 591,637 0.3
------------ ------
1,131,787 0.5
- --------------------------------------------------------------------------------------------------------------------
INFORMATION PROCESSING 10,280 +Unisys Corporation...................... 328,318 0.1
- --------------------------------------------------------------------------------------------------------------------
INSURANCE 10,780 AXA Financial, Inc....................... 365,172 0.1
4,500 American International Group, Inc........ 486,563 0.2
------------ ------
851,735 0.3
- --------------------------------------------------------------------------------------------------------------------
INTERNETWORKING 800 +InfoSpace.com, Inc...................... 171,150 0.1
2,200 +Inktomi Corporation..................... 194,975 0.1
1,300 +Internet Capital Group, Inc............. 220,431 0.1
------------ ------
586,556 0.3
- --------------------------------------------------------------------------------------------------------------------
LASER SYSTEMS & 14,560 +JDS Uniphase Corporation................ 2,347,800 1.0
COMPONENTS
- --------------------------------------------------------------------------------------------------------------------
MACHINERY & EQUIPMENT 3,387 Caterpillar Inc.......................... 159,401 0.1
- --------------------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 6,410 Johnson & Johnson........................ 596,931 0.2
- --------------------------------------------------------------------------------------------------------------------
METALS 8,136 Alcoa Inc................................ 675,288 0.3
- --------------------------------------------------------------------------------------------------------------------
NATURAL GAS 21,460 Enron Corp............................... 952,288 0.4
- --------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES 13,050 Burlington Resources Inc................. 431,466 0.2
- --------------------------------------------------------------------------------------------------------------------
NETWORKING PRODUCTS 7,000 +3Com Corporation........................ 328,563 0.1
- --------------------------------------------------------------------------------------------------------------------
OIL--INTEGRATED 13,465 Exxon Mobil Corporation.................. 1,084,774 0.4
- --------------------------------------------------------------------------------------------------------------------
OIL SERVICES 14,900 Schlumberger Limited..................... 838,125 0.4
2,885 Transocean Sedco Forex Inc............... 97,176 0.0
------------ ------
935,301 0.4
- --------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS 8,124 International Paper Company.............. 458,498 0.2
- --------------------------------------------------------------------------------------------------------------------
PETROLEUM 14,100 Unocal Corporation....................... 473,231 0.2
- --------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 5,990 American Home Products Corporation....... 236,231 0.1
15,150 Bristol-Myers Squibb Company............. 972,441 0.4
10,950 Cardinal Health, Inc..................... 524,231 0.2
1,900 Eli Lilly and Company.................... 126,350 0.1
14,460 Merck & Co., Inc......................... 969,724 0.4
17,890 Pfizer Inc............................... 580,307 0.2
5,810 Pharmacia & Upjohn, Inc.................. 261,450 0.1
------------ ------
3,670,734 1.5
- --------------------------------------------------------------------------------------------------------------------
RADIO & TELEVISION 16,425 +AMFM Inc................................ 1,285,256 0.5
- --------------------------------------------------------------------------------------------------------------------
RESTAURANTS 20,000 McDonald's Corporation................... 806,250 0.3
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
27
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD US STOCKS VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
RETAIL 7,400 +Federated Department Stores, Inc........ $ 374,163 0.2%
18,970 +Safeway Inc............................. 674,621 0.3
17,690 Wal-Mart Stores, Inc..................... 1,222,821 0.5
------------ ------
2,271,605 1.0
- --------------------------------------------------------------------------------------------------------------------
RETAIL SPECIALTY 13,920 Lowe's Companies, Inc.................... 831,720 0.3
- --------------------------------------------------------------------------------------------------------------------
SCIENTIFIC EQUIPMENTS 5,600 Millipore Corporation.................... 216,300 0.1
- --------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS 7,690 Motorola, Inc............................ 1,132,352 0.5
- --------------------------------------------------------------------------------------------------------------------
SOFTWARE 24,690 +Microsoft Corporation................... 2,881,014 1.2
- --------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 29,059 AT&T Corp................................ 1,474,744 0.6
5,000 +Adelphia Business Solutions, Inc........ 236,562 0.1
8,400 +Amdocs Limited.......................... 289,800 0.1
19,710 GTE Corporation.......................... 1,390,787 0.6
4,300 +Global TeleSystems Group, Inc........... 148,888 0.1
7,270 Lucent Technologies Inc.................. 543,887 0.2
4,500 +Sprint Corp. (PCS Group)................ 461,250 0.2
------------ ------
4,545,918 1.9
- --------------------------------------------------------------------------------------------------------------------
TRANSPORTATION--SERVICES 3,200 United Parcel Service, Inc. (Class B).... 220,800 0.1
- --------------------------------------------------------------------------------------------------------------------
UTILITIES--COMMUNICATION 19,832 SBC Communications Inc................... 966,810 0.4
- --------------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATION-- 3,000 +Nextel Communications, Inc. (Class A)... 309,187 0.1
DOMESTIC PAGING & CELLULAR
- --------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS (COST-$42,221,762) 59,916,359 24.8
- --------------------------------------------------------------------------------------------------------------------
<CAPTION>
COUNTRIES FOREIGN STOCKS++
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
AUSTRALIA 68,500 Broken Hill Proprietary Company Limited
(18).................................... 895,614 0.4
19,000 The News Corporation Limited (Preferred)
(ADR)* (33)............................. 635,313 0.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN AUSTRALIA 1,530,927 0.6
- --------------------------------------------------------------------------------------------------------------------
AUSTRIA 12,100 Mayr-Melnhof Karton AG (39).............. 560,496 0.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN AUSTRIA 560,496 0.2
- --------------------------------------------------------------------------------------------------------------------
BERMUDA 5,400 +Global Crossing Ltd. (48)............... 269,662 0.1
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BERMUDA 269,662 0.1
- --------------------------------------------------------------------------------------------------------------------
BRAZIL 27,400 Aracruz Celulose SA (ADR)* (38).......... 719,250 0.3
25,200 +Companhia Vale do Rio Doce 'A'
(Preferred) (35)........................ 698,448 0.3
21,200 Embratel Participacoes SA (ADR)* (47).... 577,700 0.2
1,660,000 Petroleo Brasileiro SA (38).............. 368,043 0.2
4,600 Telecomunicacoes Brasileiras SA-Telebras
(Preferred Block) (ADR)* (47)........... 591,100 0.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BRAZIL 2,954,541 1.2
- --------------------------------------------------------------------------------------------------------------------
CANADA 15,000 Alberta Energy Company Ltd. (38)......... 465,935 0.2
13,200 BCE Inc. (47)............................ 1,190,475 0.5
61,100 Domtar, Inc. (39)........................ 721,205 0.3
13,000 Nortel Networks Corporation (12)......... 1,313,000 0.6
25,100 Teleglobe Inc. (48)...................... 569,456 0.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 4,260,071 1.8
- --------------------------------------------------------------------------------------------------------------------
DENMARK 4,100 +ISS International Service System A/S 'B'
(11).................................... 275,853 0.1
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN DENMARK 275,853 0.1
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
28
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
COUNTRIES HELD FOREIGN STOCKS++ VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FINLAND 35,100 Amer Group Ltd. (4)...................... $ 712,216 0.3%
10,600 Nokia Oyj (12)........................... 1,921,356 0.8
23,000 Sampo Insurance Company Ltd. 'A' (28).... 803,687 0.3
20,100 UPM-Kymmene Oyj (39)..................... 809,628 0.4
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 4,246,887 1.8
- --------------------------------------------------------------------------------------------------------------------
FRANCE 1,900 +Atos SA (14)............................ 314,929 0.1
17,950 Aventis SA (10).......................... 1,042,965 0.4
9,800 Axa (28)................................. 1,365,814 0.6
6,000 Banque Nationale de Paris (BNP) (5)...... 553,447 0.2
1,860 Cap Gemini SA (27)....................... 472,001 0.2
5,376 Carrefour SA (34)........................ 991,236 0.4
5 Elf Aquitaine SA (36).................... 770 0.0
13,000 France Telecom SA (48)................... 1,718,848 0.7
2,700 Groupe Danone (23)....................... 636,223 0.3
19,200 Pechiney SA 'A' (35)..................... 1,371,776 0.6
17,100 STMicroelectronics NV (NY Registered
Shares) (45)............................ 2,589,581 1.1
18,900 Scor (43)................................ 833,615 0.4
2,312 Societe Generale 'A' (5)................. 537,810 0.2
18,800 Thomson CSF (21)......................... 620,767 0.3
9,500 +Thomson Multimedia (37)................. 511,808 0.2
15,085 Total Fina SA 'B' (38)................... 2,012,754 0.8
14,400 Vivendi (51)............................. 1,299,997 0.5
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 16,874,341 7.0
- --------------------------------------------------------------------------------------------------------------------
GERMANY 9,300 BASF AG (10)............................. 477,620 0.2
7,200 Deutsche Bank AG (Registered Shares)
(6)..................................... 607,946 0.3
9,700 Dresdner Bank AG (5)..................... 527,467 0.2
12,983 +Epcos AG (20)........................... 974,004 0.4
12,200 Henkel KGaA (Preferred) (10)............. 804,694 0.3
6,250 Mannesmann AG (31)....................... 1,507,353 0.6
9,500 RWE AG (18).............................. 372,137 0.2
10,000 Siemens AG (21).......................... 1,271,841 0.5
14,138 Veba AG (51)............................. 686,934 0.3
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 7,229,996 3.0
- --------------------------------------------------------------------------------------------------------------------
HONG KONG 46,600 Hutchison Whampoa Limited (36)........... 677,448 0.3
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN HONG KONG 677,448 0.3
- --------------------------------------------------------------------------------------------------------------------
IRELAND 107,000 Bank of Ireland (5)...................... 851,217 0.4
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN IRELAND 851,217 0.4
- --------------------------------------------------------------------------------------------------------------------
ITALY 148,800 ENI SpA (38)............................. 818,135 0.3
30,000 Mondadori (Arnoldo) Editore SpA (41)..... 951,615 0.4
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 1,769,750 0.7
- --------------------------------------------------------------------------------------------------------------------
JAPAN 72,000 The Bank of Tokyo-Mitsubishi, Ltd. (6)... 1,003,308 0.4
28,000 Bridgestone Corp. (49)................... 616,499 0.3
41,000 The Daimaru, Inc. (44)................... 138,820 0.1
158 East Japan Railway Company (50).......... 851,923 0.4
31,000 Fujitsu Limited (21)..................... 1,413,641 0.6
40,000 Hitachi Ltd. (21)........................ 641,941 0.3
20,000 Honda Motor Co., Ltd. (3)................ 743,713 0.3
3,900 +Internet Initiative Japan Inc. (ADR)*
(13).................................... 378,300 0.2
14,000 Ito-Yokado Co., Ltd. (44)................ 1,520,697 0.6
37,000 Kao Corporation (16)..................... 1,055,436 0.4
2,300 Keyence Corporation (21)................. 934,044 0.4
10,000 Kyocera Corporation (21)................. 2,593,209 1.1
49,000 Marui Co., Ltd. (39)..................... 731,715 0.3
</TABLE>
29
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
COUNTRIES HELD FOREIGN STOCKS++ VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
JAPAN (CONCLUDED) 44,000 Matsushita Electric Industrial Company,
Ltd. (21)............................... $ 1,218,515 0.5%
41,000 Minebea Company Ltd. (30)................ 703,327 0.3
55,000 +Mitsukoshi, Ltd. (44)................... 193,757 0.1
61,000 NEC Corporation (14)..................... 1,453,518 0.6
76 NTT Mobile Communications Network, Inc.
(48).................................... 2,922,791 1.2
251,000 Nippon Sheet Glass Company, Ltd. (24).... 1,301,791 0.5
230,000 Nippon Steel Corporation (46)............ 537,920 0.2
101 Nippon Telegraph & Telephone Corporation
(NTT) (48).............................. 1,729,621 0.7
37,000 Olympus Optical Co., Ltd. (18)........... 523,192 0.2
7,000 Orix Corporation (22).................... 1,576,867 0.6
6,000 Rohm Company Ltd. (21)................... 2,465,995 1.0
93,000 The Sanwa Bank, Ltd. (6)................. 1,131,216 0.5
21,000 Shin-Etsu Chemical Co., Ltd. (10)........ 904,198 0.4
2,400 Softbank Corporation (17)................ 2,296,898 0.9
7,200 Sony Corporation (ADR)* (1).............. 2,050,200 0.8
81,000 The Sumitomo Bank, Ltd. (5).............. 1,108,905 0.5
8,000 TDK Corporation (32)..................... 1,104,609 0.5
19,000 Takeda Chemical Industries, Ltd. (40).... 938,937 0.4
62,000 The Tokio Marine & Fire Insurance Co.
Ltd. (28)............................... 725,022 0.3
117,000 Toshiba Corporation (21)................. 893,042 0.4
27,000 Toyota Motor Corporation (3)............. 1,307,858 0.5
8,000 Toyota Motor Corporation (ADR)* (3)...... 779,000 0.3
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 40,490,425 16.8
- --------------------------------------------------------------------------------------------------------------------
NETHERLANDS 24,600 ABN AMRO Holding NV (5).................. 614,351 0.3
4,200 +ASM Lithography Holding NV (20)......... 466,503 0.2
9,400 Akzo Nobel NV (10)....................... 471,397 0.2
15,800 +Baan Company, NV (13)................... 223,226 0.1
33,400 CSM NV (23).............................. 713,037 0.3
2,800 +Equant (14)............................. 317,769 0.1
4,400 Getronics NV (13)........................ 350,919 0.1
17,850 Koninklijke Ahold NV (23)................ 528,284 0.2
4,400 Koninklijke (Royal) Philips Electronics
NV (NY Registered Shares) (21).......... 594,000 0.2
8,571 Unilever NV 'A' (36)..................... 473,324 0.2
18,800 VNU NV (41).............................. 987,851 0.4
12,600 Vedior NV 'A' (26)....................... 129,420 0.1
15,500 Vendex KBB NV (44)....................... 412,064 0.2
22,400 Wolters Kluwer NV 'A' (35)............... 757,908 0.3
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE NETHERLANDS 7,040,053 2.9
- --------------------------------------------------------------------------------------------------------------------
NORWAY 25,300 Bergesen d.y. ASA 'B' (50)............... 433,046 0.2
61,900 Merkantildata ASA (13)................... 750,162 0.3
43,400 +Tandberg Television ASA (47)............ 601,874 0.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 1,785,082 0.7
- --------------------------------------------------------------------------------------------------------------------
SINGAPORE 97,000 City Developments Limited (15)........... 568,018 0.2
25,586 DBS Group Holdings Limited (6)........... 419,518 0.2
28,400 +Flextronics International Ltd. (20)..... 1,306,400 0.6
48,900 Singapore Airlines Limited (50).......... 555,081 0.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SINGAPORE 2,849,017 1.2
- --------------------------------------------------------------------------------------------------------------------
SOUTH KOREA 14,500 Pohang Iron & Steel Company Ltd. (ADR)*
(46).................................... 507,500 0.2
1,700 Samsung Electronics (21)................. 398,414 0.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH KOREA 905,914 0.4
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
30
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
COUNTRIES HELD FOREIGN STOCKS++ VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SPAIN 51,000 +Dinamia Capital Privado. Sociedad de
Capital Riesgo, SA (52)................. $ 444,238 0.2%
39,200 Endesa SA (51)........................... 778,040 0.3
8,350 +Grupo Ferrovial, SA (15)................ 121,082 0.0
25,900 Metrovacesa, SA (42)..................... 448,598 0.2
43,400 Repsol-YPF, SA (38)...................... 1,006,061 0.4
53,700 +Telefonica SA (48)...................... 1,341,082 0.6
79,200 Uralita, SA (8).......................... 559,078 0.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 4,698,179 1.9
- --------------------------------------------------------------------------------------------------------------------
SWEDEN 17,200 Autoliv, Inc. (4)........................ 504,215 0.2
48,400 Castellum AB (42)........................ 472,946 0.2
4,900 Custos AB 'A' (18)....................... 119,125 0.0
19,100 Custos AB 'B' (18)....................... 458,724 0.2
63,000 Fastighets AB Tornet (42)................ 875,206 0.4
29,400 ForeningsSparbanken AB (5)............... 432,658 0.2
63,000 Haldex AB (4)............................ 734,283 0.3
75,400 Investment AB Bure (29).................. 514,858 0.2
95,400 Nordbanken Holding AB (5)................ 561,573 0.2
53,000 Stora Enso Oyj 'R' (39).................. 910,996 0.4
11,000 Telefonaktiebolaget LM Ericsson 'B'
(48).................................... 708,382 0.3
17,700 Volvo AB 'B' (2)......................... 458,441 0.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 6,751,407 2.8
- --------------------------------------------------------------------------------------------------------------------
SWITZERLAND 418 Adecco SA (Registered Shares) (26)....... 325,639 0.1
2,909 Credit Suisse Group (Registered Shares)
(5)..................................... 578,437 0.3
325 Novartis AG (Registered Shares) (19)..... 477,383 0.2
86 Roche Holding AG (40).................... 1,021,172 0.4
1,579 UBS AG (Registered Shares) (6)........... 426,569 0.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWITZERLAND 2,829,200 1.2
- --------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 25,800 AstraZeneca Group PLC (19)............... 1,069,479 0.4
89,600 BP Amoco PLC (38)........................ 900,336 0.4
164,500 Billiton PLC (18)........................ 969,870 0.4
55,300 British Telecommunications PLC (47)...... 1,350,583 0.6
45,300 Cable & Wireless PLC (47)................ 767,063 0.3
237,400 Devro PLC (23)........................... 386,085 0.2
98,348 Diageo PLC (7)........................... 790,592 0.3
38,800 Dixons Group PLC (44).................... 932,575 0.4
20,700 +Energis PLC (47)........................ 993,731 0.4
31,600 Glaxo Wellcome PLC (39).................. 892,653 0.4
72,800 HSBC Holdings PLC (5).................... 1,014,144 0.4
167,700 Hilton Group PLC (53).................... 536,665 0.2
132,000 Lloyds TSB Group PLC (5)................. 1,650,261 0.7
56,900 The Peninsular and Oriental Steam
Navigation Company (50)................. 948,790 0.4
69,300 Reckitt Benckiser PLC (41)............... 649,371 0.3
25,900 Shell Transport & Trading Company (ADR)*
(38).................................... 1,275,575 0.5
79,200 SmithKline Beecham PLC (40).............. 1,009,973 0.4
88,600 +TeleWest Communications PLC (9)......... 472,317 0.2
174,500 Vodafone AirTouch PLC (47)............... 864,047 0.3
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE UNITED KINGDOM 17,474,110 7.2
- --------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS (COST--$94,393,405) 126,324,576 52.3
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
31
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of December 31, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE PERCENT OF
COUNTRIES AMOUNT FOREIGN BONDS++ VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
GERMANY Bundesrepublik Deutschland (25):
[EURO] 24,510,000 4.75% due 11/20/2001................... $ 24,918,883 10.3%
9,680,000 4.75% due 7/04/2028.................... 8,122,477 3.4
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 33,041,360 13.7
- --------------------------------------------------------------------------------------------------------------------
NEW ZEALAND NZ$ 4,600,000 New Zealand Government Bond, 8% due
4/15/2004 (25).......................... 2,482,872 1.0
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NEW ZEALAND 2,482,872 1.0
- --------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM L 1,800,000 UK Treasury Gilt, 7.25% due
12/07/2007 (25)......................... 3,167,159 1.3
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE UNITED KINGDOM 3,167,159 1.3
- --------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN BONDS (COST--$43,069,270) 38,691,391 16.0
- --------------------------------------------------------------------------------------------------------------------
<CAPTION>
US GOVERNMENT & AGENCY OBLIGATIONS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
US GOVERNMENT & Federal National Mortgage Association:
AGENCY OBLIGATIONS US$ 480,000 5.625% due 3/15/2001................... 475,574 0.2
1,850,000 6.375% due 6/15/2009................... 1,766,454 0.7
2,500,000 US Treasury Bonds, 6.125% due 8/15/2029.. 2,383,200 1.0
US Treasury Notes:
1,200,000 5% due 4/30/2001....................... 1,182,372 0.5
800,000 5.75% due 6/30/2001.................... 794,872 0.3
- --------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY
OBLIGATIONS (COST--$6,715,088) 6,602,472 2.7
- --------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHORT-TERM SECURITIES
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMERCIAL PAPER** 9,281,000 General Motors Acceptance Corp., 5% due
1/03/2000............................... 9,278,422 3.8
- --------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES
(COST--$9,278,422) 9,278,422 3.8
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST--$195,677,947)... 240,813,220 99.6
OTHER ASSETS LESS LIABILITIES............ 885,505 0.4
------------ ------
NET ASSETS............................... $241,698,725 100.0%
============ ======
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
* 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.
++ 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) Human Resources
(27) Information Processing
(28) Insurance
(29) Investment Management
(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) Publishing
(42) Real Estate
(43) Reinsurance
(44) Retail
(45) Semiconductors
(46) Steel
(47) Telecommunications
(48) Telephone-Integrated
(49) Tires & Rubber
(50) Transport Services
(51) Utilities
(52) Venture Capital
(53) Leisure
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD STOCKS VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PERCENT OF
INDUSTRIES SHARES HELD STOCKS VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
ADVERTISING 100,000 The Interpublic Group of Companies, Inc.... $ 5,768,750 0.9%
- --------------------------------------------------------------------------------------------------------------------
AUTOMOBILE 125,000 Toyota Motor Corporation................... 6,054,898 1.0
- --------------------------------------------------------------------------------------------------------------------
BANKING & FINANCIAL 90,000 Bank of America Corporation................ 4,516,875 0.7
145,000 Citigroup Inc.............................. 8,056,562 1.3
6,300 State Street Corporation................... 460,294 0.1
------------ -----
13,033,731 2.1
- --------------------------------------------------------------------------------------------------------------------
BEVERAGES 190,000 The Coca-Cola Company...................... 11,067,500 1.8
- --------------------------------------------------------------------------------------------------------------------
BROADCASTING--MEDIA 100,000 +Infinity Broadcasting Corporation
(Class A)................................. 3,618,750 0.6
- --------------------------------------------------------------------------------------------------------------------
BROADCASTING-- 80,000 +AMFM Inc.................................. 6,260,000 1.0
RADIO & TELEVISION 70,000 +CBS Corporation........................... 4,475,625 0.7
125,000 +Clear Channel Communications, Inc......... 11,156,250 1.8
------------ -----
21,891,875 3.5
- --------------------------------------------------------------------------------------------------------------------
COMMUNICATION 200,000 +3Com Corporation.......................... 9,387,500 1.5
EQUIPMENT 287,000 +Cisco Systems, Inc........................ 30,726,937 4.9
60,000 +Etek dynamics Inc......................... 8,055,000 1.3
90,000 +JDS Uniphase Corporation.................. 14,512,500 2.3
247,000 Lucent Technologies Inc.................... 18,478,687 3.0
114,000 Motorola, Inc.............................. 16,786,500 2.7
127,000 Nokia Oyj.................................. 23,020,020 3.7
165,000 Nortel Networks Corporation................ 16,665,000 2.7
145,000 Telefonaktiebolaget LM Ericsson (ADR)*..... 9,515,625 1.5
------------ -----
147,147,769 23.6
- --------------------------------------------------------------------------------------------------------------------
COMPUTER--SOFTWARE 30,000 SAP AG (Systeme, Anwendungen, Produkte in
der Datenverarbeitung) (ADR)*............. 1,561,875 0.3
- --------------------------------------------------------------------------------------------------------------------
COMPUTERS 200,000 +EMC Corporation........................... 21,850,000 3.5
88,000 International Business Machines
Corporation............................... 9,504,000 1.5
266,000 +Sun Microsystems, Inc..................... 20,581,750 3.3
------------ -----
51,935,750 8.3
- --------------------------------------------------------------------------------------------------------------------
DIVERSIFIED 64,000 Mannesmann AG.............................. 15,435,296 2.5
- --------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 10,000 Emerson Electric Co. ...................... 573,750 0.1
185,000 General Electric Company................... 28,628,750 4.6
------------ -----
29,202,500 4.7
- --------------------------------------------------------------------------------------------------------------------
ELECTRONICS 13,000 +Broadcom Corporation (Class A)............ 3,540,063 0.6
90,000 +LSI Logic Corporation..................... 6,075,000 1.0
128,000 STMicroelectornics......................... 19,695,309 3.1
182,000 Texas Instruments Incorporated............. 17,631,250 2.8
40,000 +Xilinx, Inc............................... 1,817,500 0.3
------------ -----
48,759,122 7.8
- --------------------------------------------------------------------------------------------------------------------
ENERGY 190,500 BP Amoco PLC (ADR)*........................ 11,299,031 1.8
40,000 Duke Energy Corporation.................... 2,005,000 0.3
200,000 El Paso Energy Corporation................. 7,762,500 1.3
261,000 Enron Corp................................. 11,581,875 1.9
75,000 Exxon Mobil Corporation.................... 6,042,187 1.0
165,000 Royal Dutch Petroleum Company (NY
Registered Shares)........................ 9,972,188 1.6
40,000 UtiliCorp United Inc....................... 777,500 0.1
------------ -----
49,440,281 8.0
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
33
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
ENTERTAINMENT 50,000 +AT&T Corp.--Liberty Media Group
(Class A)................................. 2,837,500 0.5
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD STOCKS VALUE NET ASSETS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
135,000 The Walt Disney Company.................... 3,948,750 0.6
------------ -----
6,786,250 1.1
- --------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 32,100 T. Rowe Price Associates, Inc.............. 1,181,681 0.2
- --------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 13,000 The Procter & Gamble Company............... $ 1,424,313 0.2%
- --------------------------------------------------------------------------------------------------------------------
INFORMATION PROCESSING 260,000 +America Online, Inc....................... 19,613,750 3.1
100,000 +At Home Corporation (Class A)............. 4,293,750 0.7
------------ -----
23,907,500 3.8
- --------------------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 10,000 Johnson & Johnson.......................... 931,250 0.2
- --------------------------------------------------------------------------------------------------------------------
OIL SERVICES 190,000 Baker Hughes Incorporated.................. 4,001,875 0.6
20,000 Diamond Offshore Drilling, Inc............. 611,250 0.1
150,000 Schlumberger Limited....................... 8,437,500 1.4
29,040 Transocean Sedco Forex Inc................. 978,285 0.2
------------ -----
14,028,910 2.3
- --------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 120,000 +Amgen Inc................................. 7,200,000 1.2
100,000 Bristol-Myers Squibb Company............... 6,418,750 1.0
38,000 +Immunex Corporation....................... 4,158,625 0.7
115,000 Merck & Co., Inc........................... 7,712,187 1.2
235,000 Pfizer Inc................................. 7,622,812 1.2
------------ -----
33,112,374 5.3
- --------------------------------------------------------------------------------------------------------------------
PHOTOGRAPHY 68,000 Eastman Kodak Company...................... 4,505,000 0.7
- --------------------------------------------------------------------------------------------------------------------
RESTAURANTS 50,000 McDonald's Corporation..................... 2,015,625 0.3
- --------------------------------------------------------------------------------------------------------------------
RETAIL 52,000 +Amazon.com, Inc........................... 3,958,500 0.6
35,000 +Best Buy Co., Inc......................... 1,756,563 0.3
------------ -----
5,715,063 0.9
- --------------------------------------------------------------------------------------------------------------------
RETAIL SPECIALTY 15,000 CVS Corporation............................ 599,063 0.1
50,000 Walgreen Co................................ 1,462,500 0.2
------------ -----
2,061,563 0.3
- --------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS 100,000 +Applied Materials, Inc.................... 12,662,500 2.0
35,000 +ASM Lithography Holding NV................ 3,887,524 0.6
30,000 +KLA-Tencor Corporation.................... 3,339,375 0.5
------------ -----
19,889,399 3.1
- --------------------------------------------------------------------------------------------------------------------
TRAVEL & LODGING 60,000 Carnival Corporation....................... 2,868,750 0.5
- --------------------------------------------------------------------------------------------------------------------
WIRELESS 20,000 +Sprint Corp. (PCS Group).................. 2,050,000 0.3
COMMUNICATION 185,000 Vodafone AirTouch PLC (ADR)*............... 9,157,500 1.5
------------ -----
11,207,500 1.8
- --------------------------------------------------------------------------------------------------------------------
WIRELINE COMMUNICATION 247,500 AT&T Corp.................................. 12,560,625 2.0
155,000 +Covad Communications Group, Inc........... 8,621,875 1.4
120,000 +Equant (NY Registered Shares)............. 13,440,000 2.2
313,683 +Fibernet Group PLC........................ 8,962,344 1.4
27,600 +Infonet Services Corporation (Class B).... 724,500 0.1
180,000 +MCI WorldCom Inc.......................... 9,540,000 1.5
100,000 +NorthPoint Communications Group, Inc...... 2,381,250 0.4
220,000 +Qwest Communications
International Inc......................... 9,446,250 1.5
314,000 Sprint Corp. (FON Group)................... 21,136,125 3.4
------------ -----
86,812,969 13.9
- --------------------------------------------------------------------------------------------------------------------
TOTAL STOCKS (COST--$427,333,012) 621,366,244 99.7
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
34
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of December 31, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE PERCENT OF
INDUSTRIES AMOUNT SHORT-TERM SECURITIES VALUE NET ASSETS
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER** $1,787,000 Associates First Capital Corp., 4% due
1/03/2000................................. $ 1,786,404 0.3%
- --------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES
(COST--$1,786,404) 1,786,404 0.3
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST--$429,119,416)..... 623,152,648 100.0
OTHER ASSETS LESS LIABILITIES.............. 249,886 0.0
------------ -----
NET ASSETS................................. $623,402,534 100.0%
============ =====
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
* 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.
See Notes to Financial Statements.
35
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE VALUE
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CORPORATE BONDS
- ---------------------------------------------------------------------------------------------------------------
AIRLINES--0.7% BB Ba3 $ 750,000 USAir Inc., 10.375% due 3/01/2013....... $ 720,000
- ---------------------------------------------------------------------------------------------------------------
AUTOMOTIVE--1.0% NR* NR* 1,000,000 Breed Technologies Inc., 9.25% due
4/15/2008(e)........................... 11,250
B B2 1,000,000 Venture Holdings Trust, 11% due
6/01/2007.............................. 960,000
-----------
971,250
- ---------------------------------------------------------------------------------------------------------------
BROADCASTING--RADIO & B B1 2,000,000 Chancellor Media Corp., 9% due
TELEVISION--3.1% 10/01/2008............................. 2,080,000
B- B3 1,000,000 Cumulus Media, Inc., 10.375% due
7/01/2008.............................. 1,040,000
-----------
3,120,000
- ---------------------------------------------------------------------------------------------------------------
CABLE--DOMESTIC--3.1% BB- B1 2,000,000 Century Communications Corporation,
9.50% due 3/01/2005.................... 2,000,000
B+ B1 1,000,000 Olympus Communications LP/Capital Corp.,
10.625% due 11/15/2006................. 1,055,000
-----------
3,055,000
- ---------------------------------------------------------------------------------------------------------------
CABLE-- Australis Media Ltd.(e)(h):
INTERNATIONAL--4.8% D NR* 2,000,000 1.75%/15.75% due 5/15/2003(g).......... 20,000
D NR* 34,214 1.75%/15.75% due 5/15/2003.............. 342
BB B1 1,000,000 Cablevision SA, 13.75% due
5/01/2009(b)........................... 977,500
B+ B2 1,000,000 Globo Comunicacoes e Participacoes,
Ltd., 10.50% due 12/20/2006(b)......... 865,000
BB Ba2 1,000,000 Grupo Televisa SA, 11.875% due
5/15/2006.............................. 1,070,000
B- B3 2,000,000 International Cabletel, Inc., Series B,
10.688%** due 2/01/2006................ 1,810,000
-----------
4,742,842
- ---------------------------------------------------------------------------------------------------------------
CAPITAL GOODS--3.6% B+ B1 1,000,000 Bucyrus International, 9.75% due
9/15/2007.............................. 717,500
B B2 1,000,000 Columbus McKinnon Corp., 8.50% due
4/01/2008.............................. 887,500
B- B3 1,500,000 International Wire Group, Inc., 11.75%
due 6/01/2005.......................... 1,548,750
CCC- Ca 1,250,000 Morris Materials Handling, 9.50% due
4/01/2008.............................. 412,500
-----------
3,566,250
- ---------------------------------------------------------------------------------------------------------------
CHEMICALS--1.3% BB- Ba3 744,000 ISP Holdings Inc., 9.75% due
2/15/2002.............................. 744,930
BB Ba3 500,000 Lyondell Chemical Company, 9.875% due
5/01/2007(b)........................... 510,000
-----------
1,254,930
- ---------------------------------------------------------------------------------------------------------------
COMPUTER B- B3 1,000,000 PSINet, Inc., Series B, 10% due
SERVICES--1.0% 2/15/2005.............................. 988,750
- ---------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES BB- Ba3 2,000,000 Amkor Technologies Inc., 9.25% due
ELECTRONICS--2.0% 5/01/2006(b)........................... 1,950,000
- ---------------------------------------------------------------------------------------------------------------
DIVERSIFIED--4.2% B+ B1 3,000,000 Applied Power Inc., 8.75% due
4/01/2009.............................. 2,936,250
B- B2 500,000 Koppers Industries, Inc., 9.875% due
12/01/2007............................. 455,000
B+ Caa1 1,000,000 RBX Corp, 12% due 1/15/2003............. 770,000
-----------
4,161,250
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
36
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE VALUE
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CORPORATE BONDS
- ---------------------------------------------------------------------------------------------------------------
ENERGY--6.9% B B3 $ 500,000 Chesapeake Energy Corp., 9.125% due
4/15/2006.............................. $ 450,000
B- Caa1 2,000,000 Energy Corp. of America, 9.50% due
5/15/2007.............................. 1,420,000
BB- Ba3 1,000,000 Ocean Energy Inc., 8.375% due
7/01/2008.............................. 960,000
CCC B3 1,000,000 Ocean Rig Norway AS, 10.25% due
6/01/2008.............................. 830,000
B+ B1 500,000 Parker Drilling Co., 9.75% due
11/15/2006............................. 488,750
NR* B2 1,500,000 Petroleo Brasileiro SA, 10% due
10/17/2006(b).......................... 1,421,250
BB Ba3 200,000 Port Arthur Finance Corporation, 12.50%
due 1/15/2009.......................... 202,000
CCC- Caa2 1,000,000 Southwest Royalties Inc., 10.50% due
10/15/2004............................. 560,000
NR* C 5,150,000 TransAmerican Energy Corp., 13.163%**
due 6/15/2002(e)....................... 515,000
-----------
6,847,000
- ---------------------------------------------------------------------------------------------------------------
ENTERTAINMENT--0.4% CCC+ Caa1 1,252,000 AMF Bowling Worldwide Inc., 12.082%**
due 3/15/2006.......................... 400,640
- ---------------------------------------------------------------------------------------------------------------
FINANCIAL NR* ba1 1,000,000 IBJ Preferred Capital Co. LLC, 8.79% due
SERVICES--0.9% 12/29/2049(b)(d)....................... 927,012
- ---------------------------------------------------------------------------------------------------------------
FOOD & BB Ba2 1,500,000 Canandaigua Brands, 8.625% due
BEVERAGE--2.2% 8/01/2006.............................. 1,494,375
B+ B1 1,000,000 Chiquita Brands International Inc.,
9.125% due 3/01/2004................... 695,000
-----------
2,189,375
- ---------------------------------------------------------------------------------------------------------------
GAMING--1.7% D Caa1 1,000,000 GB Property Funding Corp., 10.875% due
1/15/2004(e)........................... 697,500
NR* NR* 915,751 Jazz Casino Co. LLC, 5.987%** due
11/15/2009(a).......................... 544,872
NR* NR* 84,000 Jazz Casino Co. LLC, Contigent Notes due
11/15/2009(f).......................... 0
B- Caa1 500,000 Venetian Casino/LV Sands, 12.25% due
11/15/2004............................. 431,250
-----------
1,673,622
- ---------------------------------------------------------------------------------------------------------------
HEALTHCARE--5.5% B+ Ba3 1,000,000 Beverly Enterprises Inc., 9% due
2/15/2006.............................. 920,000
BB+ Ba2 750,000 Columbia HCA/Healthcare Corp., 7.15% due
3/30/2004.............................. 705,000
B+ ba3 1,000,000 Fresenius Medical Capital Trust II,
7.875% due 2/01/2008................... 920,000
BB Ba3 2,000,000 ICN Pharmaceutical Inc., 8.75% due
11/15/2008(b).......................... 1,910,000
D C 1,000,000 Mariner Post-Acute Network, 9.50% due
11/01/2007(e).......................... 20,000
NR* B2 1,000,000 Quest Diagnostic Inc., 10.75% due
12/15/2006............................. 1,047,500
-----------
5,522,500
- ---------------------------------------------------------------------------------------------------------------
HOTELS--1.8% BB Ba2 2,000,000 HMH Properties, Inc., Series B, 7.875%
due 8/01/2008.......................... 1,782,500
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
37
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE VALUE
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CORPORATE BONDS
- ---------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER BB Ba3 $2,250,000 The AES Corporation, 8.375% due
PRODUCERS--3.0% 8/15/2007.............................. $ 2,086,875
BB Ba1 1,000,000 Monterrey Power, SA de CV, 9.625% due
11/15/2009(b).......................... 910,000
-----------
2,996,875
- ---------------------------------------------------------------------------------------------------------------
INDUSTRIAL--SERVICES-- B B3 2,000,000 Anthony Crane Rental LP, 10.375% due
2.9% 8/01/2008.............................. 1,700,000
B B3 1,000,000 Neff Corp., 10.25% due 6/01/2008........ 960,000
CCC+ Caa1 500,000 Thermadyne Holdings Corp., 12.50%** due
6/01/2008.............................. 228,750
-----------
2,888,750
- ---------------------------------------------------------------------------------------------------------------
MACHINERY--0.8% CCC+ B3 1,000,000 Numatics Inc., 9.625% due 4/01/2008..... 750,000
- ---------------------------------------------------------------------------------------------------------------
METALS & CCC+ B3 500,000 Kaiser Aluminum & Chemical Corp., 12.75%
MINING--2.5% due 2/01/2003.......................... 500,000
B B2 2,000,000 P & L Coal Holdings Corp., 9.625% due
5/15/2008.............................. 1,970,000
-----------
2,470,000
- ---------------------------------------------------------------------------------------------------------------
PACKAGING--4.2% BB- B1 500,000 Ball Corporation, 8.25% due 8/01/2008... 480,000
B- Caa2 1,500,000 Indesco International, 9.75% due
4/15/2008.............................. 675,000
B B2 1,000,000 Portola Packaging Inc., 10.75% due
10/01/2005............................. 1,002,500
B B1 1,000,000 Silgan Holdings, Inc., 9% due
6/01/2009.............................. 960,000
B- B3 1,000,000 Tekni-Plex, Inc., 9.25% due 3/01/2008... 1,015,000
-----------
4,132,500
- ---------------------------------------------------------------------------------------------------------------
PAPER & FOREST B Caa1 1,000,000 Doman Industries Limited, 8.75% due
PRODUCTS--3.6% 3/15/2004.............................. 860,000
CCC+ Caa1 1,000,000 Pindo Deli Financial Mauritius, 10.75%
due 10/01/2007......................... 737,500
BB+ Ba2 2,000,000 Tembec Industries, Inc., 8.625% due
6/30/2009.............................. 1,995,000
-----------
3,592,500
- ---------------------------------------------------------------------------------------------------------------
PRINTING & BB- Ba3 750,000 Primedia, Inc., 7.625% due 4/01/2008.... 701,250
PUBLISHING--
0.7%
- ---------------------------------------------------------------------------------------------------------------
PRODUCT CCC+ Caa1 1,000,000 AmeriServe Food Distributors, 10.125%
DISTRIBUTION-- due 7/15/2007.......................... 330,000
0.3%
- ---------------------------------------------------------------------------------------------------------------
RETAIL NR* NR* 383,000 Cumberland Farms, Inc., 10.50% due
SPECIALTY--0.4% 10/01/2003............................. 367,680
- ---------------------------------------------------------------------------------------------------------------
STEEL--1.9% B+ B2 2,000,000 Wheeling Pittsburgh Corp., 9.25% due
11/15/2007............................. 1,860,000
- ---------------------------------------------------------------------------------------------------------------
TELEPHONY--3.3% NR* NR* 500,000 Comtel Brasileira Ltd., 10.75% due
9/26/2004(b)........................... 482,500
B+ B2 1,750,000 Metromedia Fiber Network, 10% due
12/15/2009............................. 1,793,750
B B2 1,000,000 Time-Warner Telecom LLC, 9.75% due
7/15/2008.............................. 1,030,000
-----------
3,306,250
- ---------------------------------------------------------------------------------------------------------------
TEXTILES--0.8% B- B3 1,000,000 Anvil Knitwear Inc., Series B, 10.875%
due 3/15/2007.......................... 825,000
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
38
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE VALUE
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CORPORATE BONDS
- ---------------------------------------------------------------------------------------------------------------
TRANSPORTATION--5.9% BB- NR* $1,000,000 Autopistas del Sol SA, 10.25% due
8/01/2009(b)........................... $ 795,000
BB B1 2,000,000 GS Superhighway Holdings, 10.25% due
8/15/2007.............................. 1,237,914
B NR* 1,000,000 MRS Logistica SA, 10.625% due
8/15/2005(b)........................... 820,000
BB- B1 1,000,000 Sea Containers Ltd., Series A, 12.50%
due 12/01/2004......................... 1,025,000
B- B2 2,000,000 Transtar Holdings LP, Series B,
11.376%** due 12/15/2003............... 2,040,000
-----------
5,917,914
- ---------------------------------------------------------------------------------------------------------------
UTILITIES--4.7% NR* NR* 1,000,000 CIA Saneamento Basico, 10% due
7/28/2005(b)(i)........................ 865,000
BB Ba3 500,000 CMS Energy Corp., 7.50% due 1/15/2009... 451,366
B+ B2 1,000,000 Espirito Santo-Escelsa, 10% due
7/15/2007.............................. 840,000
BB NR* 1,000,000 Inversora de Electrica, 9% due
9/16/2004(b)........................... 680,000
BBB- B1 1,000,000 MetroGas SA, 12% due 8/15/2000.......... 1,016,250
BB+ Ba2 974,400 TransGas de Occidente SA, 9.79% due
11/01/2010(b)(i)....................... 845,292
-----------
4,697,908
- ---------------------------------------------------------------------------------------------------------------
WASTE B+ B2 2,500,000 Allied Waste North America, 10% due
MANAGEMENT--2.3% 8/01/2009(b)........................... 2,237,500
- ---------------------------------------------------------------------------------------------------------------
WIRELESS B B1 2,000,000 Nextel Communications, Inc., 14.085%**
COMMUNICATION-- due 8/15/2004.......................... 2,060,000
DOMESTIC PAGING &
CELLULAR--4.2% B- B2 2,000,000 VoiceStream Wireless Corporation/
VoiceStream Wireless Holding
Corporation, 10.375% due
11/15/2009(b).......................... 2,060,000
-----------
4,120,000
- ---------------------------------------------------------------------------------------------------------------
WIRELESS B- Caa1 1,995,000 McCaw International Ltd., 12.469%** due
COMMUNICATION-- 4/15/2007.............................. 1,376,550
INTERNATIONAL--3.1% B- Caa1 2,000,000 Millicom International Cellular,
13.116%** due 6/01/2006................ 1,650,000
-----------
3,026,550
- ---------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CORPORATE BONDS
(COST-$104,681,436)-88.8% 88,093,598
- ---------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES
HELD COMMON STOCKS & WARRANTS
- ---------------------------------------------------------------------------------------------------------------
GAMING--0.1% 24,357 JCC Holding Company (Class A)(e). 68,504
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------
SPECIALTY 3,846 Bradlees Inc. (Warrants)(c)............. 11,538
RETAILING--0.0%
- ---------------------------------------------------------------------------------------------------------------
SUPERMARKETS--0.0% 936 Grand Union Co. (Warrants)(c)........... 936
- ---------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATION--DOMESTIC 3,098 Nextel Communications, Inc.
PAGING & CELLULAR--0.3% (Class A)(e)........................... 319,288
- ---------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN COMMON STOCKS &
WARRANTS (COST-$1,171,818)--0.4% 400,266
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PREFERRED STOCKS
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CABLE--DOMESTIC--1.6% 14,676 CSC Holdings Inc. (Series A)(a)(e)...... 1,603,353
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
39
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of December 31, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
+TCR Holdings (Convertible):
<CAPTION>
SHARES
INDUSTRIES HELD PREFERRED STOCKS VALUE
- -----------------------------------------------------------------------------------------------------------------
ENERGY--0.4% 1,248 +Clark USA Inc. (a)(e). $ 336,960
<S> <C> <C> <C> <C> <C>
8,273 (Class B)............................. 83
4,550 (Class C)............................. 45
11,996 (Class D)............................. 120
24,819 (Class E)............................. 248
-----------
337,456
- -----------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES--0.9% 40,000 California Federal Bank (Series A)...... 902,500
- -----------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING--0.7% 7,500 Primedia, Inc. (Series H)(e)............ 652,500
- -----------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATION--DOMESTIC 678 Nextel Communications, Inc.
PAGING & CELLULAR--0.7% (Series D)(a)(e)........................ 725,460
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN PREFERRED STOCKS
(COST--$4,941,415)--4.3% 4,221,269
- -----------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SHORT-TERM SECURITIES
- -----------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER***--3.3% $ 3,304,000 General Motors Acceptance Corp., 5% due
<S> <C> <C> <C> <C> <C>
1/03/2000.............................. 3,302,623
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SHORT-TERM
SECURITIES (COST--$3,302,623)--3.3% 3,302,623
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(COST--$114,097,292)--96.8%............. 96,017,756
OTHER ASSETS LESS LIABILITIES--3.2%..... 3,199,030
-----------
NET ASSETS--100.0%...................... $99,216,786
===========
- -----------------------------------------------------------------------------------------------------------------
</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 Portfolio.
*** 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>
--------------------------------------------------------------------------------------------------------------------
ISSUE ACQUISITION DATE(S) COST VALUE
--------------------------------------------------------------------------------------------------------------------
9/26/1997 --
Clark USA Inc............................................... 9/13/1999 $1,198,461 $336,960
<S> <C> <C> <C>
TCR Holdings (Convertible):
(Class B).............................................. 12/10/1998 496 83
(Class C).............................................. 12/10/1998 255 45
(Class D).............................................. 12/10/1998 636 120
(Class E).............................................. 12/10/1998 1,564 248
--------------------------------------------------------------------------------------------------------------------
TOTAL $1,201,412 $337,456
========== ========
--------------------------------------------------------------------------------------------------------------------
</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) The security is a perpetual bond and has no definite maturity date.
(e) Non-income producing security.
(f) Represents an obligation by Jazz Casino Co. LLC to pay a semi-annual amount
to the Portfolio 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 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 an annual rate of 15.75% until maturity.
(i) Subject to principal paydowns.
Ratings of issues shown have not been audited by Deloitte & Touche LLP.
See Notes to Financial Statements.
40
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT ISSUE VALUE
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
<CAPTION>
US GOVERNMENT & AGENCY OBLIGATIONS
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
FEDERAL FARM CREDIT $15,000,000 Federal Farm Credit Bank, 5.25% due 5/01/2002............... $ 14,545,350
BANK--6.7%
- -----------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL FARM CREDIT BANK 14,545,350
- -----------------------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN 5,000,000 Federal Home Loan Bank, 5.875% due 9/17/2001................ 4,950,800
BANK--2.3%
- -----------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL HOME LOAN BANK 4,950,800
- -----------------------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN 3,000,000 Federal Home Loan Mortgage Corporation,
MORTGAGE 6.56% due 3/25/2016..................................... 2,936,250
CORPORATION--1.3%
- -----------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION 2,936,250
- -----------------------------------------------------------------------------------------------------------------
FEDERAL NATIONAL Federal National Mortgage Association:
MORTGAGE 3,000,000 5.43% due 3/29/2001..................................... 2,963,430
ASSOCIATION--10.4% 7,000,000 5.91% due 3/19/2004..................................... 6,730,920
6,000,000 7.40% due 7/01/2004..................................... 6,119,040
3,000,000 6.28% due 3/04/2009..................................... 2,770,770
4,000,000 6.96% due 9/05/2012..................................... 3,814,360
- -----------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION 22,398,520
- -----------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED 20,223,162 Federal Home Loan Mortgage Corporation,
SECURITIES(A)--42.0% CMO, Series 2166--AC, 6.50% due 3/15/2026............... 19,422,011
Federal Home Loan Mortgage Corporation Participation
Certificates--Gold Program:
57,450 6% due 12/01/2012....................................... 54,854
86,134 6% due 6/01/2013........................................ 81,970
991,852 6% due 7/01/2013........................................ 943,890
403,504 6% due 12/01/2013....................................... 383,992
432,312 6.50% due 4/01/2014..................................... 419,747
1,046,412 6.50% due 5/01/2014..................................... 1,016,001
7,238,266 6.50% due 6/01/2014..................................... 7,027,902
6,000,000 7% due 1/15/2024........................................ 5,841,035
8,967,155 7% due 8/01/2029........................................ 8,682,261
Federal National Mortgage Association:
88,431 9% due 1/01/2002........................................ 90,166
550,493 7% due 9/01/2010........................................ 545,974
554,498 7% due 6/01/2012........................................ 549,315
2,914,502 7% due 8/01/2012........................................ 2,887,259
366,827 6% due 7/01/2013........................................ 348,588
413,470 6% due 10/01/2013....................................... 392,912
1,037,957 6% due 11/01/2013....................................... 986,350
99,360 6% due 12/01/2013....................................... 94,419
377,302 6% due 1/01/2014........................................ 358,543
1,308,913 7.50% due 10/01/2027.................................... 1,295,758
648,951 7.50% due 11/01/2027.................................... 642,429
819,930 7.50% due 12/01/2027.................................... 811,541
3,523,662 7.50% due 4/01/2028..................................... 3,487,757
2,662,486 7.50% due 6/01/2028..................................... 2,635,136
67,050 7.50% due 7/01/2028..................................... 66,359
380,741 7.50% due 9/01/2028..................................... 376,817
1,061,452 7.50% due 11/01/2028.................................... 1,050,785
1,437,576 7% due 3/01/2029........................................ 1,390,556
1,618,001 7.50% due 3/01/2029..................................... 1,601,146
1,276,331 7% due 5/01/2029........................................ 1,235,294
4,496,403 7% due 6/01/2029........................................ 4,349,333
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
41
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of December 31, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT ISSUE VALUE
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
<CAPTION>
US GOVERNMENT & AGENCY OBLIGATIONS
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
MORTGAGE-BACKED $ 5,500,000 Federal National Mortgage Association Mortgage Backed
SECURITIES Securities--REMICs(b)--Multi-Family, 6.50% due 10/25/2003... $ 5,398,855
(CONCLUDED) Government National Mortgage Association:
86,306 7% due 1/15/2027........................................ 83,544
662,704 7% due 2/15/2027........................................ 641,495
79,884 7% due 5/15/2027........................................ 77,327
1,261,423 7% due 11/15/2027....................................... 1,221,052
347,156 7% due 11/15/2028....................................... 335,623
761,846 7% due 12/15/2028....................................... 736,534
1,994,446 7% due 1/15/2029........................................ 1,927,342
2,037,303 7% due 2/15/2029........................................ 1,968,755
1,808,232 7% due 3/15/2029........................................ 1,747,395
1,796,161 7% due 4/15/2029........................................ 1,735,726
5,123,542 7% due 5/15/2029........................................ 4,951,157
762,283 7% due 6/15/2029........................................ 736,634
- -----------------------------------------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES 90,631,539
- -----------------------------------------------------------------------------------------------------------------
PRIVATE EXPORT 7,000,000 Private Export Funding Co., 8.35% due 1/31/2001............. 7,127,960
FUNDING
CORPORATION-3.3%
- -----------------------------------------------------------------------------------------------------------------
TOTAL PRIVATE EXPORT FUNDING CORPORATION 7,127,960
- -----------------------------------------------------------------------------------------------------------------
TENNESSEE VALLEY Tennessee Valley Authority, Series E:
AUTHORITY--5.3% 5,000,000 6% due 9/24/2002........................................ 4,920,300
7,000,000 6.75% due 11/01/2025.................................... 6,490,750
- -----------------------------------------------------------------------------------------------------------------
TOTAL TENNESSEE VALLEY AUTHORITY 11,411,050
- -----------------------------------------------------------------------------------------------------------------
US TREASURY US Treasury Bonds:
BONDS & 8,000,000 12% due 5/15/2005....................................... 9,938,720
NOTES--26.4% 1,000,000 10.75% due 8/15/2005.................................... 1,192,660
2,000,000 8.875% due 8/15/2017.................................... 2,417,180
4,000,000 8.75% due 5/15/2020..................................... 4,841,240
13,000,000 6.625% due 2/15/2027.................................... 12,884,170
US Treasury Notes:
10,000,000 6.375% due 3/31/2001.................................... 10,021,900
3,000,000 6.375% due 8/15/2002.................................... 3,006,570
9,000,000 4.75% due 11/15/2008.................................... 7,938,270
5,000,000 6% due 8/15/2009........................................ 4,843,750
- -----------------------------------------------------------------------------------------------------------------
TOTAL US TREASURY BONDS & NOTES 57,084,460
- -----------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY OBLIGATIONS
(COST--$220,134,709)--97.7% 211,085,929
- -----------------------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES
- -----------------------------------------------------------------------------------------------------------------
REPURCHASE 2,521,000 Warburg Dillon Read LLC, purchased on 12/31/1999 to
AGREEMENTS*-1.2% yield 2.70% to 1/03/2000................................... 2,521,000
- -----------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES (COST--$2,521,000)--1.2% 2,521,000
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST--$222,655,709)--98.9%............... 213,606,929
OTHER ASSETS LESS LIABILITIES--1.1%......................... 2,356,601
------------
NET ASSETS--100.0%.......................................... $215,963,530
============
- -----------------------------------------------------------------------------------------------------------------
</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.
(b) Real Estate Mortgage Investment Conduits (REMIC).
* Repurchase Agreements are fully collateralized by US Government & Agency
Obligations.
See Notes to Financial Statements.
42
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE VALUE
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
US GOVERNMENT OBLIGATIONS
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
US TREASURY AAA Aaa $2,800,000 US Treasury Bonds, 5.25% due 2/15/2029.... $ 2,315,236
BONDS & NOTES--4.4% US Treasury Notes:
AAA Aaa 2,000,000 6.625% due 3/31/2002.................. 2,013,740
AAA Aaa 1,000,000 5.50% due 5/31/2003................... 973,590
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT OBLIGATIONS
(COST $5,433,938)--4.4% 5,302,566
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
CORPORATE BONDS & NOTES
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSET BACKED & NR* Baa2 3,500,000 ++Bistro Trust 1998-1000, 6.58% due
3/26/2001................................ 3,397,310
COMMERCIAL NR* Aaa 1,000,000 First Union-Chase Commercial Mortgage
MORTGAGE-BACKED 1999-C2 A2, 6.645% due 4/15/2009........ 944,910
SECURITIES**--4.4% AAA Aaa 1,000,000 The Money Store Home Equity Trust, Series
1998-B, 6.225% due 9/15/2023***........... 981,060
------------
5,323,280
- ------------------------------------------------------------------------------------------------------------------------------
BANKING--16.2% A A2 1,000,000 Bank of New York Co., Inc., 7.625% due
7/15/2002................................ 1,013,270
A A1 726,000 Chase Manhattan Corporation, 7.25% due
6/01/2007................................ 715,858
A A1 2,000,000 First Interstate/Wells Fargo Company,
9.90% due 11/15/2001..................... 2,096,380
A- A2 1,000,000 First Union Corporation, 6.30% due
4/15/2028***............................. 916,220
A- A2 1,000,000 Firstar Bank NA, 7.125% due 12/01/2009.... 967,960
BBB+ A3 1,000,000 Great Western Bank, 9.875% due 6/15/2001.. 1,036,700
A A3 1,000,000 HSBC Americas Inc., 7% due 11/01/2006..... 963,690
BBB a1 2,000,000 KeyCorp Capital I, 6.744% due
7/01/2028***............................. 1,893,200
A- a2 1,000,000 Mellon Capital II, Series B, 7.995% due
1/15/2027................................ 947,410
A A3 2,000,000 Mellon Financial Co., 6.875% due
3/01/2003................................ 1,972,360
Merita Bank Ltd.:
A- A2 1,500,000 6.50% due 1/15/2006................... 1,418,505
A- A3 1,750,000 6.50% due 4/01/2009................... 1,597,715
A- A2 500,000 National City Corp., 5.75% due
2/01/2009................................ 437,470
NationsBank Corp.:
A Aa3 1,000,000 6.50% due 8/15/2003................... 978,260
A Aa3 1,500,000 7.75% due 8/15/2004................... 1,525,950
BBB+ A3 1,000,000 Washington Mutual Inc., 7.50% due
8/15/2006................................ 989,250
------------
19,470,198
- ------------------------------------------------------------------------------------------------------------------------------
FINANCIAL Ford Motor Credit Company:
SERVICES-- A+ A1 500,000 6.206% due 8/27/2006***............... 499,180
CAPTIVE--3.4% A+ A1 2,500,000 7.375% due 10/28/2009................. 2,468,125
A A2 1,000,000 General Motors Acceptance Corp., 8.25% due
3/01/2005................................ 1,038,710
------------
4,006,015
- ------------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES-- Associates Corporation of North America:
CONSUMER--6.1% AA- Aa3 1,000,000 7.40% due 5/15/2006................... 1,002,380
AA- Aa3 1,000,000 6.95% due 11/01/2018.................. 923,130
A- a1 1,000,000 CIT Capital Trust I, 7.70% due
2/15/2027................................ 901,660
BBB+ Baa1 2,000,000 Comdisco Inc., 6% due 1/30/2002........... 1,938,500
A- A3 1,000,000 ++Heller Financial Inc., 7.375% due
11/01/2009............................... 972,197
Household Finance Corp.
A A2 625,000 7.625% due 1/15/2003.................. 629,381
A A2 1,000,000 6% due 5/01/2004...................... 942,260
------------
7,309,508
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
43
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
<CAPTION>
CORPORATE BONDS & NOTES
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FINANCIAL SERVICES--
OTHER--13.8% A A2 $1,500,000 Bear Stearns Companies, Inc., 6.875% due
10/01/2005............................... $ 1,441,935
A aa3 2,000,000 Citigroup Capital II, 7.75% due
12/01/2036............................... 1,822,360
A- A3 1,000,000 Donaldson, Lufkin & Jenrette Inc., 6.875%
due 11/01/2005........................... 966,660
BBB+ A3 1,000,000 ERP Operating LP, 7.125% due 10/15/2017... 872,900
A+ A2 1,000,000 ++Equitable Life Assurance Society of the
US,
7.70% due 12/01/2015................... 978,243
AAA Aaa 1,260,000 ++Florida Windstorm Underwriters, 7.125%
due
2/25/2019.............................. 1,156,356
AAA Aaa 500,000 General Electric Capital Corp., 8.125% due
5/15/2012................................ 526,865
Lehman Brothers Holdings Inc.:
A A3 1,000,000 7% due 5/15/2003...................... 986,680
A A3 500,000 7.625% due 6/01/2006.................. 496,030
BBB Baa3 500,000 Mack-Cali Realty L.P., 7.25% due
3/15/2009................................ 463,915
Morgan Stanley, Dean Witter, Discover &
Co.:
A+ Aa3 1,000,000 7.125% due 1/15/2003.................. 999,210
A+ Aa3 1,500,000 5.625% due 1/20/2004.................. 1,412,895
A+ A1 2,000,000 Newcourt Credit Group, Series B, 6.875%
due 2/16/2005............................ 1,959,240
A+ A2 575,000 ++Prudential Insurance Co., 6.375% due
7/23/2006.............................. 536,121
A Aa3 2,000,000 Salomon Smith Barney Holdings, Inc., 7.20%
due 2/01/2004............................ 1,987,120
------------
16,606,530
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL-- A+ A1 1,560,000 Anheuser-Busch Companies Inc., 6.50% due
CONSUMER--7.5% 1/01/2028................................ 1,356,389
A A2 814,276 ++Disney Custom Repackaged Asset Vehicle--
403, 6.85% due 1/10/2007**............. 799,212
A+ A1 500,000 Hershey Foods Co., 8.80% due 2/15/2021.... 536,345
AAA Aaa 2,000,000 Johnson & Johnson, 8.72% due 11/01/2024... 2,188,600
AA Aa2 410,000 McDonald's Corporation, 6.375% due
1/08/2028................................ 353,502
A A2 1,000,000 Nordstrom, Inc., 6.95% due 3/15/2028...... 883,570
A A1 750,000 PepsiCo, Inc., 5.75% due 1/02/2003........ 721,590
Phillip Morris Companies, Inc.:
A A2 500,000 7.25% due 1/15/2003................... 490,335
A A2 1,690,000 7.50% due 4/01/2004................... 1,654,814
------------
8,984,357
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL-- BBB Baa1 1,000,000 Amerada Hess Corporation, 7.375% due
ENERGY--2.6% 10/01/2009............................... 975,910
A- A3 850,000 Burlington Resources, 7.375% due
3/01/2029................................ 795,269
AA- Aa3 500,000 Dresser Industries, Inc., 7.60% due
8/15/2096................................ 477,095
A- A3 1,000,000 Murphy Oil Corporation, 7.05% due
5/01/2029................................ 898,770
------------
3,147,044
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
44
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
<CAPTION>
CORPORATE BONDS & NOTES
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INDUSTRIAL--
A+ A1 $1,000,000 Chrysler Corp., 7.45% due 3/01/2027....... $ 969,010
OTHER--6.6% A+ A1 2,000,000 DaimlerChrysler NA Holdings, 7.20% due
9/01/2009................................ 1,964,480
A A1 1,000,000 Dow Chemical Company, 7.375% due
11/01/2029............................... 956,120
A A2 1,000,000 First Data Corporation 6.75% due
7/15/2005................................ 960,400
BBB- Baa2 1,000,000 ++Jones Apparel Group, 7.875% due
6/15/2006................................ 970,893
AA- A2 1,000,000 TCI Communications Inc., 8.75% due
8/01/2015................................ 1,090,970
United Technologies Corporation:
A+ A2 500,000 6.625% due 11/15/2004................. 491,020
A+ A2 500,000 7.50% due 9/15/2029................... 488,650
------------
7,891,543
- ------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL-- BBB Baa3 1,000,000 Comcast Cable Communications, 8.875% due
SERVICES--6.9% 5/01/2017................................ 1,083,470
A A2 2,000,000 Computer Sciences Corp., 6.25% due
3/15/2009................................ 1,818,600
AA Aa3 1,000,000 Eli Lilly and Company, 8.375% due
12/01/2006............................... 1,061,420
A- A3 2,500,000 Hertz Corporation, 7.625% due 8/15/2007... 2,499,700
BBB- Baa3 1,000,000 J Seagrams & Sons, 7% due 4/15/2008....... 950,600
A+ A1 1,000,000 May Department Stores Co., 6.70% due
9/15/2028................................ 874,650
------------
8,288,440
- ------------------------------------------------------------------------------------------------------------------------------
SOVEREIGNS+--2.6% AA- Aa3 1,000,000 Province of Manitoba, 5.50% due
10/01/2008 (1)........................... 884,880
AA- Aa3 1,200,000 Province of Ontario, 7.625% due
6/22/2004 (1)............................ 1,226,256
A+ A2 1,000,000 Province of Quebec, 8.80% due
4/15/2003 (1)............................ 1,051,090
------------
3,162,226
- ------------------------------------------------------------------------------------------------------------------------------
TRANSPORT Southwest Airlines Co.:
SERVICES--2.5% A- A3 2,000,000 9.40% due 7/01/2001................... 2,062,060
A- A3 1,000,000 7.375% due 3/01/2027.................. 901,050
------------
2,963,110
- ------------------------------------------------------------------------------------------------------------------------------
UTILITIES-- AA- A1 1,000,000 AT&T Corporation, 6% due 3/15/2009........ 907,120
COMMUNICATION--7.2% AA+ Aa3 1,000,000 Ameritech Capital Funding, 6.45% due
1/15/2018................................ 882,260
AA- A2 2,000,000 GTE California, Inc., Series C, 8.07% due
4/15/2024................................ 1,940,100
A Baa1 2,000,000 GTE Corp., 9.375% due 12/01/2000.......... 2,048,140
A+ A1 1,000,000 Motorola Inc., 7.50% due 5/15/2025........ 979,670
AA Aa2 1,000,000 Southwestern Bell Telecommunications
Corp., 6.375% due 11/15/2007............. 940,370
BBB+ Baa1 1,000,000 Sprint Capital Corporation, 6.125% due
11/15/2008............................... 906,680
------------
8,604,340
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
45
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of December 31, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
<CAPTION>
CORPORATE BONDS & NOTES
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
UTILITIES--ELECTRIC--5.8%
AAA Aaa $ 750,000 Cleveland Electric/Toledo Edison, Series
B, 7.13% due 7/01/2007................... $ 716,190
A+ A1 785,000 Consolidated Edison, Inc., Series 1998-A,
6.25% due 2/01/2008...................... 725,497
A A3 500,000 Duke Capital Corp., 7.50% due
10/01/2009............................... 494,180
A A1 1,000,000 Mississippi Power, Series B, 6.05% due
5/01/2003................................ 971,690
PG&E Corp.:
AA- A1 1,500,000 Series 1993-C, 6.25% due 8/01/2003.... 1,459,530
A A1 1,500,000 Series 1993-D, 7.25% due 8/01/2026.... 1,354,950
A- A3 1,000,000 Pennsylvania Power & Light Co., 6.125% due
5/01/2006***............................. 992,550
AAA Baa3 300,000 Texas Utilities Company, Series B, 6.375%
due 10/01/2004........................... 288,030
------------
7,002,617
- ------------------------------------------------------------------------------------------------------------------------------
YANKEE A- A3 1,000,000 BHP Finance USA, 8.50% due 12/01/2012..... 1,037,980
CORPORATES--6.4% AAA Aaa 1,000,000 Banco Santander-Chile, 6.50% due
11/01/2005............................... 940,341
A- A3 1,000,000 ++Israel Electric Corp. Ltd., 7.75% due
3/01/2009.............................. 966,896
A+ Aa3 1,000,000 Midland Bank PLC, 7.65% due 5/01/2025..... 984,560
A+ Aa3 1,000,000 Sony Corporation, 6.125% due 3/04/2003.... 974,950
A- A2 2,000,000 Trans-Canada Pipelines, 6.49% due
1/21/2009................................ 1,843,140
A A2 1,000,000 WMC Finance (USA) Ltd., 6.75% due
12/01/2006............................... 940,040
------------
7,687,907
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES
(COST $116,420,376)--92.0%................ 110,447,115
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHORT-TERM INVESTMENTS
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
REPURCHASE 1,975,000 Warburg Dillon Read LLC, purchased on
AGREEMENTS****--1.7% 12/31/1999 to yield 2.70% to 1/03/2000... 1,975,000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(COST $1,975,000)--1.7%................... 1,975,000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(COST--$123,829,314)--98.1%............... 117,724,681
OTHER ASSETS LESS LIABILITIES--1.9%....... 2,282,372
------------
NET ASSETS--100.0%........................ $120,007,053
============
- ------------------------------------------------------------------------------------------------------------------------------
</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.
Ratings of issues shown have not been audited by Deloitte & Touche LLP.
See Notes to Financial Statements.
46
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE INTEREST
AMOUNT ISSUE RATE*
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
BANK $ 5,000,000 American Express Centurion Bank+................ 5.75 %
NOTES--10.7% 5,000,000 First USA Bank N.A.............................. 6.215
5,000,000 First Union National Bank+...................... 5.87
20,000,000 Harris Trust & Savings+......................... 5.66
10,000,000 KeyBank NA+..................................... 6.478
5,000,000 KeyBank NA+..................................... 6.235
5,800,000 NationsBank NA+................................. 5.67
5,000,000 NationsBank NA+................................. 5.66
- -----------------------------------------------------------------------------------------------------------------------
TOTAL BANK NOTES (COST--$60,795,623)
- -----------------------------------------------------------------------------------------------------------------------
CERTIFICATES OF 10,000,000 Fleet National Bank NA+......................... 5.65
DEPOSIT--1.7%
- -----------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT
(COST--$9,998,636)
- -----------------------------------------------------------------------------------------------------------------------
CERTIFICATES OF 2,750,000 Commerzbank AG, NY.............................. 5.085
DEPOSIT-- 2,000,000 Societe Generale, NY............................ 5.16
YANKEE--2.9% 2,900,000 Societe Generale, NY............................ 5.18
2,000,000 Societe Generale, NY............................ 5.22
3,000,000 Svenska Handelsbanken AB, NY.................... 5.195
3,700,000 UBS AG, Stamford................................ 5.25
- -----------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT--YANKEE
(COST--$16,349,095)
- -----------------------------------------------------------------------------------------------------------------------
COMMERCIAL 5,000,000 AT&T Corporation+............................... 6.529
PAPER--36.8% 768,000 Alpine Securitization Corporation............... 6.05
3,500,000 Amsterdam Funding Corp.......................... 5.78
572,000 Apreco, Inc..................................... 5.87
4,500,000 Apreco, Inc..................................... 6.07
10,000,000 Asset Securitization Cooperative Corp.+......... 6.571
5,000,000 Bear Stearns Companies, Inc..................... 5.88
10,000,000 CXC Incorporated+............................... 6.573
10,000,000 Corporate Asset Funding Co., Inc................ 6.40
5,000,000 Corporate Receivables Corp...................... 6.50
1,285,000 Edison Asset Securitization, LLC................ 6.05
10,000,000 Edison Asset Securitization, LLC................ 5.82
11,516,000 Edison Asset Securitization, LLC................ 5.80
5,000,000 Edison Asset Securitization, LLC................ 5.97
9,000,000 Finova Capital Corp............................. 5.85
4,000,000 Finova Capital Corp.+........................... 6.641
4,000,000 Grand Funding Corp.............................. 6.15
1,821,000 Grand Funding Corp.............................. 6.11
18,000,000 Grand Funding Corp.............................. 6.13
1,379,000 Greenwich Funding Corp.......................... 5.99
8,000,000 Greenwich Funding Corp.......................... 6.20
3,000,000 Kitty Hawk Funding Corp......................... 5.78
6,365,000 Kitty Hawk Funding Corp......................... 5.80
927,000 Knight-Ridder, Inc.............................. 6.10
8,173,000 Knight-Ridder, Inc.............................. 6.02
7,000,000 Lehman Brothers Holdings Inc.................... 5.90
15,000,000 Lehman Brothers Holdings Inc.................... 5.95
6,000,000 Lehman Brothers Holdings Inc.................... 5.95
5,158,000 Park Avenue Receivables Corp.................... 6.05
1,000,000 Park Avenue Receivables Corp.+.................. 6.561
929,000 Tulip Funding Corp.............................. 6.14
1,900,000 Tulip Funding Corp.............................. 6.19
265,000 Tulip Funding Corp.............................. 5.82
4,000,000 Tulip Funding Corp.............................. 5.82
7,000,000 Variable Funding Capital Corp................... 6.45
10,000,000 Variable Funding Capital Corp................... 5.80
5,000,000 Windmill Funding Corp........................... 5.86
- -----------------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (COST-$208,763,402)
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
MATURITY
DATE VALUE
<S> <C> <C>
- ---------------------
BANK 7/13/2000 $ 5,000,000
NOTES--10.7% 10/18/2000 4,980,715
8/28/2000 5,002,016
4/06/2000 19,997,976
2/21/2000 9,999,038
3/20/2000 5,000,000
3/16/2000 5,799,660
4/05/2000 4,999,499
- ---------------------
60,778,904
- ---------------------
CERTIFICATES OF 4/17/2000 9,998,636
DEPOSIT--1.7%
- ---------------------
9,998,636
- ---------------------
CERTIFICATES OF 2/17/2000 2,745,302
DEPOSIT-- 2/22/2000 1,996,131
YANKEE--2.9% 2/28/2000 2,895,733
2/28/2000 1,997,177
2/28/2000 2,995,652
3/10/2000 3,693,266
- ---------------------
16,323,261
- ---------------------
COMMERCIAL 8/07/2000 5,000,000
PAPER--36.8% 1/13/2000 766,752
2/04/2000 3,481,710
2/03/2000 569,104
2/11/2000 4,471,091
3/13/2000 10,000,000
3/22/2000 4,934,260
3/15/2000 9,999,803
2/01/2000 9,948,444
1/14/2000 4,990,069
1/21/2000 1,281,198
2/22/2000 9,913,756
2/29/2000 11,412,009
2/29/2000 4,954,850
2/22/2000 8,922,380
3/20/2000 3,999,887
1/13/2000 3,993,501
1/20/2000 1,815,910
1/27/2000 17,929,928
1/20/2000 1,375,099
1/21/2000 7,975,200
2/15/2000 2,978,113
3/20/2000 6,283,445
2/11/2000 921,045
2/18/2000 8,109,333
2/23/2000 6,938,517
3/21/2000 14,805,300
3/22/2000 5,921,112
1/18/2000 5,145,277
2/11/2000 999,979
1/26/2000 925,534
1/31/2000 1,891,299
2/07/2000 263,485
2/15/2000 3,970,817
1/10/2000 6,991,221
2/25/2000 9,914,611
2/25/2000 4,954,463
- ---------------------
208,748,502
- ---------------------
</TABLE>
47
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE INTEREST
AMOUNT ISSUE RATE*
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
CORPORATE $11,644,000 Ford Motor Credit Company....................... 8.375%
NOTES--4.2% 4,243,000 Ford Motor Credit Company....................... 6.375
2,900,000 Restructured Asset Securities with Enhanced
Returns, Series 1998-MM-7-1 Trust+............. 5.50
5,000,000 SMM Trust (1999-H)+............................. 6.255
- -----------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE NOTES (COST--$23,811,507)
- -----------------------------------------------------------------------------------------------------------------------
EURO MEDIUM-TERM 919,000 ING Bank N.V.................................... 6.25
NOTES--0.3% 850,000 Toronto-Dominion Bank, NY....................... 6.50
- -----------------------------------------------------------------------------------------------------------------------
TOTAL EURO MEDIUM-TERM NOTES
(COST--$1,772,193)
- -----------------------------------------------------------------------------------------------------------------------
FUNDING 3,000,000 GE Life and Annuity Assurance Co................ 6.556
AGREEMENTS--3.9% 9,000,000 Jackson National Life Insurance Co.............. 6.496
5,000,000 Monumental Life Insurance Company............... 6.621
5,000,000 The Travelers Insurance Company................. 6.506
- -----------------------------------------------------------------------------------------------------------------------
TOTAL FUNDING AGREEMENTS
(COST--$22,000,000)
- -----------------------------------------------------------------------------------------------------------------------
MEDIUM-TERM 3,000,000 Bear Stearns Companies, Inc.+................... 6.561
NOTES--27.4% 6,250,000 The CIT Group Holdings, Inc..................... 6.70
3,000,000 The CIT Group Holdings, Inc.+................... 5.80
5,000,000 Caterpillar Financial Services Corp.+........... 6.228
5,000,000 du Pont (E.I.) de Nemours and Company........... 5.079
8,500,000 Finova Capital Corp............................. 8.55
1,500,000 Ford Motor Credit Company....................... 6.375
2,700,000 Ford Motor Credit Company+...................... 5.70
7,000,000 Ford Motor Credit Company+...................... 5.499
3,700,000 General Electric Capital Corp.+................. 4.845
1,500,000 General Electric Capital Corp.+................. 6.111
1,100,000 General Electric Capital Corp.+................. 5.39
2,200,000 General Electric Capital Corp................... 5.89
3,000,000 General Motors Acceptance Corp.+................ 6.141
1,000,000 General Motors Acceptance Corp.................. 8.125
4,000,000 General Motors Acceptance Corp.................. 6.65
1,000,000 General Motors Acceptance Corp.................. 6.875
4,000,000 General Motors Acceptance Corp.+................ 6.158
3,000,000 General Motors Acceptance Corp.................. 5.75
3,000,000 General Motors Acceptance Corp.+................ 6.10
5,000,000 General Motors Acceptance Corp.+................ 6.114
2,000,000 General Motors Acceptance Corp.+................ 6.26
2,000,000 General Motors Acceptance Corp.+................ 6.136
2,000,000 Goldman Sachs Group, Inc.+...................... 6.24
10,000,000 Goldman Sachs Group, Inc.+...................... 6.546
2,000,000 Goldman Sachs Group, Inc........................ 6.00
1,200,000 Goldman Sachs Group, Inc.+...................... 5.39
11,000,000 Household Finance Corp.+........................ 6.095
5,225,000 Household Finance Corp.......................... 6.75
5,600,000 Household Finance Corp.......................... 7.15
10,000,000 Morgan Stanley, Dean Witter & Co.+.............. 5.465
10,000,000 Morgan Stanley, Dean Witter & Co.+.............. 6.201
2,500,000 Norwest Corporation............................. 7.125
6,000,000 Norwest Financial Inc.+......................... 6.499
5,000,000 Wells Fargo & Co................................ 5.31
1,750,000 Wells Fargo & Co................................ 5.225
3,000,000 Xerox Credit Corp............................... 5.70
1,900,000 Xerox Credit Corp.+............................. 5.62
- -----------------------------------------------------------------------------------------------------------------------
TOTAL MEDIUM-TERM NOTES
(COST--$155,793,488)
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
MATURITY
DATE VALUE
<S> <C> <C>
- ---------------------
CORPORATE 1/15/2000 $ 11,651,327
NOTES--4.2% 4/15/2000 4,244,761
1/21/2000 2,900,000
9/25/2000 5,000,000
- ---------------------
23,796,088
- ---------------------
EURO MEDIUM-TERM 3/21/2000 919,081
NOTES--0.3% 3/27/2000 850,340
- ---------------------
1,769,421
- ---------------------
FUNDING 9/01/2000 3,000,000
AGREEMENTS--3.9% 5/01/2000 9,000,000
11/17/2000 5,000,000
2/01/2000 5,000,000
- ---------------------
22,000,000
- ---------------------
MEDIUM-TERM 1/20/2000 3,000,016
NOTES--27.4% 5/02/2000 6,263,231
9/15/2000 2,997,952
1/20/2000 5,000,447
4/03/2000 4,988,190
6/15/2000 8,573,211
4/03/2000 1,500,780
5/05/2000 2,700,000
10/02/2000 7,000,686
4/17/2000 3,698,571
5/03/2000 1,500,314
5/12/2000 1,100,087
5/15/2000 2,199,611
2/03/2000 2,999,958
2/23/2000 1,002,716
5/24/2000 4,010,572
6/07/2000 1,003,607
7/20/2000 3,999,227
7/28/2000 2,992,782
9/01/2000 2,999,109
10/06/2000 4,998,805
12/01/2000 2,001,234
2/27/2001 1,998,340
3/02/2000 2,000,209
8/04/2000 10,000,000
8/07/2000 1,993,824
1/12/2001 1,200,000
5/15/2000 10,999,109
6/01/2000 5,231,129
6/15/2000 5,620,272
2/11/2000 10,000,284
1/22/2001 10,000,000
4/01/2000 2,507,273
9/07/2000 5,997,601
3/31/2000 4,994,085
4/10/2000 1,747,177
7/26/2000 2,986,035
4/06/2000 1,899,617
- ---------------------
155,706,061
- ---------------------
</TABLE>
48
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of December 31, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE INTEREST
AMOUNT ISSUE RATE*
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
PROMISSORY $10,000,000 Goldman Sachs Group, Inc........................ 6.55 %
NOTES--1.8%
- -----------------------------------------------------------------------------------------------------------------------
TOTAL PROMISSORY NOTES (COST--$10,000,000)
- -----------------------------------------------------------------------------------------------------------------------
US GOVERNMENT, 5,000,000 Federal Home Loan Banks+........................ 5.973
AGENCY & 1,000,000 Federal Home Loan Mortgage Corporation.......... 5.05
INSTRUMENTALITY 1,700,000 Federal Home Loan Mortgage Corporation.......... 5.18
OBLIGATIONS- 2,900,000 Federal Home Loan Mortgage Corporation.......... 5.25
NON-DISCOUNT-8.1% 5,000,000 Federal Home Loan Mortgage Corporation+......... 5.963
2,800,000 Federal National Mortgage Association........... 5.07
5,150,000 Student Loan Marketing Association+............. 5.908
15,000,000 Student Loan Marketing Association+............. 6.216
900,000 US Treasury Notes............................... 4.50
800,000 US Treasury Notes............................... 4.625
2,900,000 US Treasury Notes............................... 4.625
2,900,000 US Treasury Notes............................... 4.50
- -----------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT, AGENCY &
INSTRUMENTALITY OBLIGATIONS--NON-DISCOUNT
(COST--$46,048,925)
- -----------------------------------------------------------------------------------------------------------------------
REPURCHASE 10,322,000 Nomura Securities International,Inc., purchased
AGREEMENTS**-1.8% on 12/31/1999 to yield 5% to 1/03/2000.........
- -----------------------------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS
(COST--$10,322,000)
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(COST--$565,654,869)--99.6%.....................
OTHER ASSETS LESS LIABILITIES--0.4%.............
NET ASSETS--100.0%..............................
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
MATURITY
DATE VALUE
<S> <C> <C>
- ---------------------
PROMISSORY 12/22/2000 $ 10,000,000
NOTES--1.8%
- ---------------------
10,000,000
- ---------------------
US GOVERNMENT, 4/24/2000 4,999,404
AGENCY & 11/17/2000 988,800
INSTRUMENTALITY 11/24/2000 1,682,289
OBLIGATIONS- 1/19/2001 2,865,354
NON-DISCOUNT-8.1% 4/14/2000 4,999,303
12/14/2000 2,766,484
2/04/2000 5,149,892
9/29/2000 14,997,912
9/30/2000 890,156
11/30/2000 790,000
12/31/2000 2,858,313
1/31/2001 2,851,967
- ---------------------
45,839,874
- ---------------------
REPURCHASE
AGREEMENTS**-1.8% 10,322,000
- ---------------------
10,322,000
- ---------------------
565,282,747
2,080,740
------------
$567,363,487
============
- ---------------------
</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 December 31, 1999.
** Repurchase Agreements are fully collaterized by US Government & Agency
Obligations.
+ Variable Rate Notes.
See Notes to Financial Statements.
49
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD US STOCKS VALUE NET ASSETS
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 79,541 United Technologies Corporation........... $ 5,170,165 0.4%
- ----------------------------------------------------------------------------------------------------------------------
APPLICATION 98,520 +Siebel Systems, Inc...................... 8,300,310 0.6
DEVELOPMENT SOFTWARE
- ----------------------------------------------------------------------------------------------------------------------
BANKING 89,758 Bank of America Corporation............... 4,504,730 0.3
327,600 The Bank of New York Company, Inc......... 13,104,000 0.9
39,800 The Chase Manhattan Corporation........... 3,091,963 0.2
-------------- -----
20,700,693 1.4
- ----------------------------------------------------------------------------------------------------------------------
BANKING & FINANCIAL 136,900 Citigroup Inc............................. 7,606,506 0.5
- ----------------------------------------------------------------------------------------------------------------------
BEVERAGES 44,800 The Coca-Cola Company..................... 2,609,600 0.2
217,720 PepsiCo, Inc.............................. 7,674,630 0.5
-------------- -----
10,284,230 0.7
- ----------------------------------------------------------------------------------------------------------------------
BROADCAST 53,400 +UnitedGlobalCom Inc. (Class A)........... 3,751,350 0.3
- ----------------------------------------------------------------------------------------------------------------------
BROADCASTING--CABLE 335,896 +AT&T Corp.--Liberty Media Group
(Class A)............................... 19,062,098 1.3
- ----------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS 93,900 +American Tower Corporation (Class A)..... 2,869,819 0.2
- ----------------------------------------------------------------------------------------------------------------------
BUSINESS SERVICES 22,800 +Oracle Corporation....................... 2,553,600 0.2
- ----------------------------------------------------------------------------------------------------------------------
CABLE 473,200 +Charter Communications, Inc. (Class A)... 10,351,250 0.7
- ----------------------------------------------------------------------------------------------------------------------
CHEMICALS 69,687 E.I. du Pont de Nemours and Company....... 4,590,631 0.3
192,453 Rohm and Haas Company..................... 7,830,431 0.6
-------------- -----
12,421,062 0.9
- ----------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES 88,000 +Convergys Corporation.................... 2,706,000 0.2
- ----------------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 26,800 +America Online, Inc...................... 2,021,725 0.2
313,400 +Cisco Systems, Inc....................... 33,553,388 2.3
-------------- -----
35,575,113 2.5
- ----------------------------------------------------------------------------------------------------------------------
COMPUTER SOFTWARE 12,000 +i2 Technologies, Inc..................... 2,335,500 0.1
65,000 +Network Associates, Inc.................. 1,730,625 0.1
40,000 +Symantec Corporation..................... 2,345,000 0.2
7,100 +Yahoo! Inc............................... 3,072,081 0.2
-------------- -----
9,483,206 0.6
- ----------------------------------------------------------------------------------------------------------------------
COMPUTERS 74,200 Compaq Computer Corporation............... 2,008,038 0.1
114,180 +EMC Corporation.......................... 12,474,165 0.9
21,800 +Gateway Inc.............................. 1,570,962 0.1
80,015 International Business Machines
Corporation............................. 8,641,620 0.6
121,720 +Sun Microsystems, Inc.................... 9,418,085 0.7
168,350 Tandy Corporation......................... 8,280,716 0.6
-------------- -----
42,393,586 3.0
- ----------------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS 171,880 The Dial Corporation...................... 4,178,832 0.3
48,200 Honeywell International Inc............... 2,780,537 0.2
-------------- -----
6,959,369 0.5
- ----------------------------------------------------------------------------------------------------------------------
COSMETICS 43,000 The Gillette Company...................... 1,771,062 0.1
- ----------------------------------------------------------------------------------------------------------------------
ELECTRIC & GAS 107,400 +Calpine Corporation...................... 6,873,600 0.5
- ----------------------------------------------------------------------------------------------------------------------
ELECTRICAL & 24,900 +The AES Corporation...................... 1,861,275 0.1
ELECTRONICS
- ----------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 188,250 General Electric Company.................. 29,131,687 2.0
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
50
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD US STOCKS VALUE NET ASSETS
<S> <C> <C> <C> <C>
ELECTRONICS/ 9,000 +Broadcom Corporation (Class A)........... $ 2,450,813 0.2%
INSTRUMENTS 87,150 Intel Corporation......................... 7,168,087 0.5
33,200 Texas Instruments Incorporated............ 3,216,250 0.2
-------------- -----
12,835,150 0.9
- ----------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 194,330 Associates First Capital Corporation
(Class A)............................... 5,331,929 0.4
167,580 Wells Fargo Company....................... 6,776,516 0.5
-------------- -----
12,108,445 0.9
- ----------------------------------------------------------------------------------------------------------------------
FINANCIAL 120,800 Household International, Inc.............. 4,499,800 0.3
SERVICES--CONSUMER
- ----------------------------------------------------------------------------------------------------------------------
FOODS 187,460 +Keebler Foods Company.................... 5,272,313 0.4
- ----------------------------------------------------------------------------------------------------------------------
HEALTHCARE-- 97,400 Columbia/HCA Healthcare Corporation....... 2,855,038 0.2
PRODUCTS & SERVICES
- ----------------------------------------------------------------------------------------------------------------------
HOUSEHOLD 112,100 Colgate-Palmolive Company................. 7,286,500 0.5
PRODUCTS 53,900 The Procter & Gamble Company.............. 5,905,419 0.4
-------------- -----
13,191,919 0.9
- ----------------------------------------------------------------------------------------------------------------------
INFORMATION PROCESSING 112,810 +Unisys Corporation....................... 3,602,869 0.3
- ----------------------------------------------------------------------------------------------------------------------
INSURANCE 81,880 AXA Financial, Inc........................ 2,773,685 0.2
81,450 American International Group, Inc......... 8,806,781 0.6
-------------- -----
11,580,466 0.8
- ----------------------------------------------------------------------------------------------------------------------
INTERNETWORKING 72,000 +3Com Corporation......................... 3,379,500 0.2
8,600 +InfoSpace.com, Inc....................... 1,839,862 0.1
23,600 +Inktomi Corporation...................... 2,091,550 0.1
13,600 +Internet Capital Group, Inc.............. 2,306,050 0.2
-------------- -----
9,616,962 0.6
- ----------------------------------------------------------------------------------------------------------------------
LASER SYSTEMS & 152,680 +JDS Uniphase Corporation................. 24,619,650 1.7
COMPONENTS
- ----------------------------------------------------------------------------------------------------------------------
MACHINERY & EQUIPMENT 31,802 Caterpillar Inc........................... 1,496,682 0.1
- ----------------------------------------------------------------------------------------------------------------------
MEDIA 49,680 +Clear Channel Communications, Inc........ 4,433,940 0.3
- ----------------------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 79,350 Johnson & Johnson......................... 7,389,469 0.5
- ----------------------------------------------------------------------------------------------------------------------
METALS 120,385 Alcoa Inc................................. 9,991,955 0.7
- ----------------------------------------------------------------------------------------------------------------------
NATURAL GAS 218,740 Enron Corp................................ 9,706,587 0.7
- ----------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES 131,900 Burlington Resources Inc.................. 4,360,944 0.3
- ----------------------------------------------------------------------------------------------------------------------
OIL--INTEGRATED 91,684 Exxon Mobil Corporation................... 7,386,292 0.5
- ----------------------------------------------------------------------------------------------------------------------
OIL SERVICES 93,000 Schlumberger Limited...................... 5,231,250 0.4
18,005 Transocean Sedco Forex Inc................ 606,537 0.0
-------------- -----
5,837,787 0.4
- ----------------------------------------------------------------------------------------------------------------------
PAPER & FOREST 38,070 International Paper Company............... 2,148,576 0.2
PRODUCTS
- ----------------------------------------------------------------------------------------------------------------------
PETROLEUM 141,300 Unocal Corporation........................ 4,742,381 0.3
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
51
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD US STOCKS VALUE NET ASSETS
<S> <C> <C> <C> <C>
PHARMACEUTICALS 54,400 American Home Products Corporation........ $ 2,145,400 0.1%
134,000 Bristol-Myers Squibb Company.............. 8,601,125 0.6
107,970 Cardinal Health, Inc...................... 5,169,064 0.4
19,500 Eli Lilly and Company..................... 1,296,750 0.1
145,310 Merck & Co., Inc.......................... 9,744,852 0.7
183,320 Pfizer Inc................................ 5,946,442 0.4
102,290 Pharmacia & Upjohn, Inc................... 4,603,050 0.3
-------------- -----
37,506,683 2.6
- ----------------------------------------------------------------------------------------------------------------------
RADIO & TELEVISION 204,090 +AMFM Inc................................. 15,970,043 1.1
- ----------------------------------------------------------------------------------------------------------------------
RESTAURANTS 182,400 McDonald's Corporation.................... 7,353,000 0.5
- ----------------------------------------------------------------------------------------------------------------------
RETAIL 66,800 +Federated Department Stores, Inc......... 3,377,575 0.2
144,480 +Safeway Inc.............................. 5,138,070 0.4
179,950 Wal-Mart Stores, Inc...................... 12,439,044 0.9
-------------- -----
20,954,689 1.5
- ----------------------------------------------------------------------------------------------------------------------
RETAIL SPECIALTY 142,650 Lowe's Companies, Inc..................... 8,523,337 0.6
- ----------------------------------------------------------------------------------------------------------------------
SCIENTIFIC EQUIPMENT 82,330 Millipore Corporation..................... 3,179,996 0.2
- ----------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS 82,870 Motorola, Inc............................. 12,202,608 0.8
- ----------------------------------------------------------------------------------------------------------------------
SOFTWARE 236,260 +Microsoft Corporation.................... 27,568,589 1.9
- ----------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 268,606 AT&T Corp................................. 13,631,755 0.9
50,000 +Adelphia Business Solutions, Inc......... 2,365,625 0.2
87,300 +Amdocs Limited........................... 3,011,850 0.2
161,200 GTE Corporation........................... 11,374,675 0.8
43,000 +Global TeleSystems Group, Inc............ 1,488,875 0.1
75,630 Lucent Technologies Inc................... 5,658,069 0.4
226,920 +MCI WorldCom Inc......................... 12,026,760 0.8
46,600 +Sprint Corp. (PCS Group)................. 4,776,500 0.3
-------------- -----
54,334,109 3.7
- ----------------------------------------------------------------------------------------------------------------------
TRANSPORTATION-- 32,400 United Parcel Service, Inc. (Class B)..... 2,235,600 0.2
SERVICES
- ----------------------------------------------------------------------------------------------------------------------
UTILITIES-- 274,004 SBC Communications Inc.................... 13,357,695 0.9
COMMUNICATIONS
- ----------------------------------------------------------------------------------------------------------------------
WIRELESS 29,800 +Nextel Communications, Inc. (Class A).... 3,071,263 0.2
COMMUNICATION--
DOMESTIC
PAGING & CELLULAR
- ----------------------------------------------------------------------------------------------------------------------
TOTAL US STOCKS (COST--$414,818,439) 603,760,818 41.9
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT US CORPORATE BONDS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FINANCIAL SERVICES $ 3,000,000 General Electric Capital Corp., 8.75%
due 5/21/2007........................... 3,240,720 0.2
- ----------------------------------------------------------------------------------------------------------------------
TOTAL US CORPORATE BONDS (COST--
$3,373,650) 3,240,720 0.2
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES
COUNTRIES HELD FOREIGN STOCKS++
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
AUSTRALIA 250,400 Broken Hill Proprietary Company Limited
(12).................................... 3,273,893 0.2
146,300 The News Corporation Limited (Preferred)
(ADR)(a) (24)........................... 4,891,906 0.4
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN AUSTRALIA 8,165,799 0.6
- ----------------------------------------------------------------------------------------------------------------------
BERMUDA 55,400 +Global Crossing Ltd. (38)................ 2,766,538 0.2
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BERMUDA 2,766,538 0.2
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
52
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
COUNTRIES HELD FOREIGN STOCKS++ VALUE NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
BRAZIL 89,400 +Companhia Vale do Rio Doce 'A'
(Preferred) (26)........................ $ 2,477,827 0.2%
75,400 Embratel Participacoes SA (ADR)(a) (37)... 2,054,650 0.1
5,200,000 Petroleo Brasileiro SA (29)............... 1,152,907 0.1
16,400 Telecomunicacoes Brasileiras SA-Telebras
(Preferred Block) (ADR)(a) (37)......... 2,107,400 0.1
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN BRAZIL 7,792,784 0.5
- ----------------------------------------------------------------------------------------------------------------------
CANADA 43,000 BCE Inc. (37)............................. 3,878,063 0.3
223,400 Domtar, Inc. (30)......................... 2,636,943 0.2
93,400 Nortel Networks Corporation (6)........... 9,433,400 0.6
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CANADA 15,948,406 1.1
- ----------------------------------------------------------------------------------------------------------------------
FINLAND 134,800 Amer Group Ltd. (11)...................... 2,735,234 0.2
41,600 Nokia Oyj (6)............................. 7,540,416 0.5
80,600 Sampo Insurance Company Ltd. 'A' (20)..... 2,816,398 0.2
187,000 Stora Enso Oyj 'R' (33)................... 3,214,269 0.2
71,400 UPM-Kymmene Oyj (30)...................... 2,875,992 0.2
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FINLAND 19,182,309 1.3
- ----------------------------------------------------------------------------------------------------------------------
FRANCE 61,300 Aventis SA (5)............................ 3,561,769 0.3
29,000 Axa (20).................................. 4,041,695 0.3
6,200 Cap Gemini SA (19)........................ 1,573,337 0.1
15,162 Carrefour SA (25)......................... 2,795,595 0.2
7 Elf Aquitaine SA (29)..................... 1,078 0.0
36,300 France Telecom SA (38).................... 4,799,553 0.3
9,900 Groupe Danone(a) (17)..................... 2,332,816 0.2
67,400 Pechiney SA 'A' (26)...................... 4,815,504 0.3
46,200 STMicroelectronics NV (NY Registered
Shares) (36)............................ 6,996,412 0.5
45,400 Scor (34)................................. 2,002,440 0.1
10,000 Societe Generale 'A' (3).................. 2,326,170 0.2
62,800 Thomson CSF (15).......................... 2,073,626 0.1
63,800 +Thomson Multimedia (28).................. 3,437,193 0.2
38,759 +Total Fina SA 'B' (29)................... 5,171,516 0.4
59,800 Vivendi (41).............................. 5,398,597 0.4
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FRANCE 51,327,301 3.6
- ----------------------------------------------------------------------------------------------------------------------
GERMANY 25,900 Deutsche Bank AG (Registered Shares)
(3)..................................... 2,186,917 0.2
35,000 Dresdner Bank AG (3)...................... 1,903,230 0.1
20,817 Mannesmann AG (23)........................ 5,020,571 0.3
39,000 RWE AG (12)............................... 1,527,720 0.1
28,200 Siemens AG (15)........................... 3,586,592 0.3
51,000 Veba AG (27).............................. 2,477,975 0.2
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN GERMANY 16,703,005 1.2
- ----------------------------------------------------------------------------------------------------------------------
HONG KONG 172,200 Hutchison Whampoa Limited (27)............ 2,503,358 0.2
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN HONG KONG 2,503,358 0.2
- ----------------------------------------------------------------------------------------------------------------------
IRELAND 358,300 Bank of Ireland (3)....................... 2,850,384 0.2
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN IRELAND 2,850,384 0.2
- ----------------------------------------------------------------------------------------------------------------------
ITALY 513,000 ENI SpA (29).............................. 2,820,587 0.2
98,350 +Mondadori (Arnoldo) Editore SpA (32)..... 3,119,711 0.2
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN ITALY 5,940,298 0.4
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
53
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
COUNTRIES HELD FOREIGN STOCKS++ VALUE NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
JAPAN 214,000 The Bank of Tokyo-Mitsubishi, Ltd. (4).... $ 2,982,053 0.2%
92,000 Bridgestone Corp. (39).................... 2,025,639 0.1
518 East Japan Railway Company (40)........... 2,793,013 0.2
102,000 Fujitsu Limited (15)...................... 4,651,336 0.3
130,000 Hitachi Ltd. (15)......................... 2,086,310 0.1
66,000 Honda Motor Co., Ltd. (2)................. 2,454,252 0.2
13,700 +Internet Initiative Japan Inc. (ADR)(a)
(7)..................................... 1,328,900 0.1
38,000 Ito-Yokado Co., Ltd. (35)................. 4,127,605 0.3
120,000 Kao Corporation (10)...................... 3,423,036 0.2
6,600 Keyence Corporation (15).................. 2,680,301 0.2
35,000 Kyocera Corporation (15).................. 9,076,231 0.6
166,000 Marui Co., Ltd. (30)...................... 2,478,873 0.2
135,000 Matsushita Electric Industrial Company,
Ltd. (15)............................... 3,738,624 0.3
142,000 Minebea Company Ltd. (22)................. 2,435,913 0.2
209,000 NEC Corporation (8)....................... 4,980,086 0.3
230 NTT Mobile Communications Network, Inc.
(38).................................... 8,845,288 0.6
735,000 Nippon Sheet Glass Company, Ltd. (18)..... 3,812,017 0.3
406 Nippon Telegraph & Telephone Corporation
(NTT) (38).............................. 6,952,735 0.5
121,000 Olympus Optical Co., Ltd. (12)............ 1,710,980 0.1
24,000 Orix Corporation (16)..................... 5,406,400 0.4
19,000 Rohm Company Ltd. (15).................... 7,808,983 0.5
298,000 The Sanwa Bank, Ltd. (3).................. 3,624,758 0.3
7,400 Softbank Corporation (11)................. 7,082,102 0.5
36,300 Sony Corporation (ADR)(a) (1)............. 10,336,425 0.7
248,000 The Sumitomo Bank, Ltd. (33).............. 3,395,166 0.2
28,000 TDK Corporation (15)...................... 3,866,132 0.3
64,000 Takeda Chemical Industries, Ltd. (31)..... 3,162,736 0.2
214,000 The Tokio Marine & Fire Insurance Co. Ltd.
(20).................................... 2,502,495 0.2
402,000 Toshiba Corporation (15).................. 3,068,402 0.2
90,000 Toyota Motor Corporation (2).............. 4,359,526 0.3
16,700 Toyota Motor Corporation (ADR)(a) (2)..... 1,626,162 0.1
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN JAPAN 128,822,479 8.9
- ----------------------------------------------------------------------------------------------------------------------
NETHERLANDS 96,300 ABN AMRO Holding NV (3)................... 2,404,958 0.2
17,100 +ASM Lithography Holding NV (14).......... 1,899,333 0.1
108,800 CSM NV (17)............................... 2,322,706 0.1
16,100 Getronics NV (7).......................... 1,284,046 0.1
108,322 Koninklijke Ahold NV (17)................. 3,205,869 0.2
12,900 Koninklijke (Royal) Philips Electronics NV
(NY Registered Shares) (15)............. 1,741,500 0.1
99,200 VNU NV (32)............................... 5,212,490 0.4
56,100 Vendex KBB NV (35)........................ 1,491,407 0.1
75,200 Wolters Kluwer NV 'A' (32)................ 2,544,407 0.2
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE NETHERLANDS 22,106,716 1.5
- ----------------------------------------------------------------------------------------------------------------------
NORWAY 207,500 Merkantildata ASA (7)..................... 2,514,680 0.2
153,600 +Tandberg Television ASA (37)............. 2,130,135 0.1
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN NORWAY 4,644,815 0.3
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
54
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1999 (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
COUNTRIES HELD FOREIGN STOCKS++ VALUE NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SINGAPORE 326,000 City Developments Limited (9)............. $ 1,909,009 0.1%
69,200 +Flextronics International Ltd. (14)...... 3,183,200 0.2
336,400 Singapore Airlines Limited (40)........... 3,818,595 0.3
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SINGAPORE 8,910,804 0.6
- ----------------------------------------------------------------------------------------------------------------------
SOUTH KOREA 12,400 Samsung Electronics (15).................. 2,906,079 0.2
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SOUTH KOREA 2,906,079 0.2
- ----------------------------------------------------------------------------------------------------------------------
SPAIN 132,000 Endesa SA (41)............................ 2,619,932 0.2
149,400 Repsol-YPF, SA (29)....................... 3,463,262 0.3
195,800 +Telefonica SA (38)....................... 4,889,831 0.3
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SPAIN 10,973,025 0.8
- ----------------------------------------------------------------------------------------------------------------------
SWEDEN 162,200 Castellum AB (33)......................... 1,584,954 0.1
38,700 Custos AB 'A' (12)........................ 940,846 0.0
42,000 Custos AB 'B' (12)........................ 1,008,712 0.1
203,400 Fastighets AB Tornet (32)................. 2,825,665 0.2
109,310 Telefonaktiebolaget LM Ericsson 'B'
(38).................................... 7,039,389 0.5
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWEDEN 13,399,566 0.9
- ----------------------------------------------------------------------------------------------------------------------
SWITZERLAND 9,855 Credit Suisse Group (Registered Shares)
(3)..................................... 1,959,608 0.1
1,100 Novartis AG (Registered Shares) (13)...... 1,615,757 0.1
312 Roche Holding AG (31)..................... 3,704,718 0.3
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SWITZERLAND 7,280,083 0.5
- ----------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM 91,800 AstraZeneca Group PLC (13)................ 3,805,354 0.3
313,800 BP Amoco PLC (29)......................... 3,153,186 0.2
145,400 British Telecommunications PLC (37)....... 3,551,082 0.3
163,800 +Cable & Wireless PLC (37)................ 2,773,619 0.2
71,100 +Energis PLC (37)......................... 3,413,248 0.2
122,700 Glaxo Wellcome PLC (31)................... 3,466,091 0.2
239,900 HSBC Holdings PLC (3)..................... 3,341,938 0.2
592,000 Hilton Group PLC (21)..................... 1,894,490 0.1
281,700 Lloyds TSB Group PLC (3).................. 3,521,807 0.3
147,600 +The Peninsular and Oriental Steam
Navigation Company (40)................. 2,461,184 0.2
237,000 Reckitt Benckiser PLC (32)................ 2,220,792 0.2
258,500 Shell Transport & Trading Company (ADR)(a)
(29).................................... 12,731,125 0.9
273,600 SmithKline Beecham PLC (31)............... 3,488,996 0.2
632,000 Vodafone AirTouch PLC (37)................ 3,129,385 0.2
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN THE UNITED KINGDOM 52,952,297 3.7
- ----------------------------------------------------------------------------------------------------------------------
TOTAL FOREIGN STOCKS (COST-$279,475,573) 385,176,046 26.7
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT US GOVERNMENT & AGENCY OBLIGATIONS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Federal National Mortgage Association:
$ 43,530,000 5.625% due 3/15/2001.................... 43,128,653 3.0
38,400,000 5.125% due 2/13/2004.................... 36,102,144 2.5
49,330,000 5.75% due 2/15/2008 45,530,110.... 3.1
28,850,000 5.25% due 1/15/2009..................... 25,446,566 1.8
52,000,000 6.375% due 6/15/2009.................... 49,651,680 3.4
-------------- -----
199,859,153 13.8
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
55
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of December 31, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE PERCENT OF
AMOUNT US GOVERNMENT & AGENCY OBLIGATIONS VALUE NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
US Treasury Bonds:
$ 2,700,000 6.625% due 2/15/2027.................... $ 2,675,943 0.2%
16,300,000 5.25% due 11/15/2028.................... 13,427,125 0.9
90,750,000 6.125% due 8/15/2029.................... 86,510,160 6.0
US Treasury Notes:
27,900,000 5% due 4/30/2001........................ 27,490,149 1.9
8,190,000 5.75% due 6/30/2001..................... 8,138,813 0.6
14,300,000 6% due 8/15/2004........................ 14,076,491 1.0
19,700,000 6% due 8/15/2009........................ 19,084,375 1.3
-------------- -----
171,403,056 11.9
- ----------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY OBLIGATIONS
(COST--$382,738,679) 371,262,209 25.7
- ----------------------------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES
- ----------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER* 64,000,000 Associates First Capital Corp., 4%
due 1/03/2000........................... 63,985,778 4.4
6,579,000 General Motors Acceptance Corp., 5%
due 1/03/2000........................... 6,577,173 0.5
- ----------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES
(COST--$70,562,951) 70,562,951 4.9
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST--$1,150,969,292).. 1,434,002,744 99.4
OTHER ASSETS LESS LIABILITIES............. 8,015,684 0.6
-------------- -----
NET ASSETS................................ $1,442,018,428 100.0%
============== =====
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) 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.
++ Corresponding industry groups for foreign stocks and bonds:
(1) Appliances
(2) Automotive
(3) Banking
(4) Banking & Financial
(5) Chemicals
(6) Communication Equipment
(7) Computer Software
(8) Computers
(9) Construction
(10) Cosmetics & Toiletries
(11) Distribution
(12) Diversified
(13) Drugs
(14) Electronic Components
(15) Electronics
(16) Finance
(17) Food
(18) Glass
(19) Information Processing
(20) Insurance
(21) Leisure
(22) Machine Tools & Machinery
(23) Machinery & Equipment
(24) Media-Communications
(25) Merchandising
(26) Metals & Mining
(27) Multi-Industry
(28) Multimedia
(29) Oil-Integrated
(30) Paper & Forest Products
(31) Pharmaceuticals
(32) Publishing
(33) Real Estate
(34) Reinsurance
(35) Retail
(36) Semiconductors
(37) Telecommunications
(38) Telephone-Integrated
(39) Tires & Rubber
(40) Transport Services
(41) Utilities
See Notes to Financial Statements.
56
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD STOCKS VALUE NET ASSETS
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
ALUMINUM 2,388 Alcoa Inc........................................ $ 198,204 1.5%
- ---------------------------------------------------------------------------------------------------------------------
CANADIAN 8,500 Alberta Energy Company Ltd....................... 264,030 2.0
INDEPENDENTS 15,000 +Anderson Exploration Ltd........................ 178,608 1.4
17,500 +Baytex Energy Ltd............................... 106,302 0.8
26,225 +Canadian Hunter Exploration Ltd................. 429,933 3.4
5,700 +Canadian Natural Resources Ltd.................. 138,693 1.1
10,900 Canadian Occidental Petroleum Ltd................ 214,434 1.7
5,968 +Northrock Resources Ltd......................... 39,548 0.3
13,900 Paramount Resources Ltd.......................... 163,112 1.3
10,800 +Rio Alto Exploration Ltd........................ 152,081 1.2
7,600 +Talisman Energy Inc............................. 193,580 1.5
----------- -----
1,880,321 14.7
- ---------------------------------------------------------------------------------------------------------------------
CHEMICALS 4,300 Air Products and Chemicals, Inc.................. 144,319 1.1
- ---------------------------------------------------------------------------------------------------------------------
COAL 4,300 +CONSOL Energy Inc............................... 43,537 0.3
- ---------------------------------------------------------------------------------------------------------------------
DIVERSIFIED RESOURCES 3,400 Ashland Inc...................................... 111,988 0.9
COMPANIES 7,800 +UCAR International Inc.......................... 138,938 1.1
----------- -----
250,926 2.0
- ---------------------------------------------------------------------------------------------------------------------
INTEGRATED OIL 3,000 Amerada Hess Corporation......................... 170,250 1.3
COMPANIES 4,700 Chevron Corporation.............................. 407,137 3.2
1,800 Conoco Inc. (Class A)............................ 44,550 0.3
6,400 Conoco Inc. (Class B)............................ 159,200 1.2
3,400 ENI SpA (ADR)*................................... 187,425 1.5
5,004 Exxon Mobil Corporation.......................... 403,135 3.2
6,100 Murphy Oil Corporation........................... 349,987 2.7
1,500 Phillips Petroleum Company....................... 70,500 0.6
2,400 Royal Dutch Petroleum Company (NY Registered
Shares)......................................... 145,050 1.1
1,600 +Stone Energy Corporation........................ 57,000 0.5
6,000 USX-Marathon Group............................... 148,125 1.2
----------- -----
2,142,359 16.8
- ---------------------------------------------------------------------------------------------------------------------
METALS & MINING 173,700 M.I.M. Holdings Limited.......................... 178,270 1.4
11,800 Noranda, Inc..................................... 158,018 1.2
1,200 Phelps Dodge Corporation......................... 80,550 0.6
13,250 +Stillwater Mining Company....................... 422,344 3.3
38,600 WMC Limited...................................... 211,956 1.7
14,260 +Zimbabwe Platinum Mines Limited................. 6,525 0.1
----------- -----
1,057,663 8.3
- ---------------------------------------------------------------------------------------------------------------------
OIL & GAS PRODUCERS 5,300 Anadarko Petroleum Corporation................... 180,863 1.4
7,900 Apache Corporation............................... 291,806 2.3
3,700 +Barrett Resources Corporation................... 108,919 0.9
3,440 Burlington Resources Inc......................... 113,735 0.9
4,200 Cabot Oil & Gas Corporation (Class A)............ 67,462 0.5
2,900 +Chieftain International, Inc.................... 50,025 0.4
9,775 Devon Energy Corporation......................... 321,353 2.5
16,200 EOG Resources, Inc............................... 284,513 2.2
3,079 Kerr-McGee Corporation........................... 190,898 1.5
7,100 +Quicksilver Resources Inc....................... 31,062 0.2
2,500 Texaco Inc....................................... 135,781 1.1
6,800 Unocal Corporation............................... 228,225 1.8
5,500 Vastar Resources, Inc............................ 324,500 2.5
----------- -----
2,329,142 18.2
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
57
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of December 31, 1999 (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD STOCKS VALUE NET ASSETS
<S> <C> <C> <C> <C>
OIL SERVICES 6,300 +BJ Services Company............................. $ 263,419 2.1%
4,800 Baker Hughes Incorporated........................ 101,100 0.8
3,600 Coflexip SA (ADR)*............................... 135,000 1.0
4,100 +Cooper Cameron Corporation...................... 200,644 1.6
5,900 Ensign Resource Service Group, Inc............... 136,433 1.1
5,200 Helmerich & Payne, Inc........................... 113,425 0.9
3,700 McDermott International, Inc..................... 33,531 0.3
6,100 +Noble Drilling Corporation...................... 199,775 1.6
9,000 +Precision Drilling Corporation.................. 229,861 1.8
6,900 +R&B Falcon Corporation.......................... 91,425 0.7
5,500 +Stolt Comex Seaway, SA.......................... 60,500 0.5
3,050 +Stolt Comex Seaway, SA (ADR)*................... 33,550 0.2
5,600 +Weatherford International, Inc.................. 223,650 1.7
----------- -----
1,822,313 14.3
- ---------------------------------------------------------------------------------------------------------------------
PAPER & FOREST 17,000 Abitibi-Consolidated Inc......................... 198,316 1.6
PRODUCTS 5,000 Aracruz Celulose SA (ADR)*....................... 131,250 1.0
16,400 +Canfor Corporation.............................. 191,316 1.5
48,200 Smurfit Jefferson Group PLC...................... 144,327 1.1
6,025 +Smurfit-Stone Container Corporation............. 147,236 1.2
24,300 +St. Laurent Paperboard Inc...................... 322,893 2.5
27,400 +Tembec Inc. 'A'................................. 304,507 2.4
----------- -----
1,439,845 11.3
- ---------------------------------------------------------------------------------------------------------------------
PIPELINES 4,200 Coastal Corporation.............................. 148,838 1.2
4,600 Equitable Resources, Inc......................... 153,525 1.2
----------- -----
302,363 2.4
- ---------------------------------------------------------------------------------------------------------------------
REFINING 3,100 Sunoco, Inc...................................... 72,850 0.6
- ---------------------------------------------------------------------------------------------------------------------
STEEL 21,700 LTV Corporation.................................. 89,512 0.7
- ---------------------------------------------------------------------------------------------------------------------
TOTAL STOCKS (COST--$10,805,455) 11,773,354 92.2
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SHORT-TERM SECURITIES
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
US GOVERNMENT AGENCY $722,000 Federal Home Loan Banks, 1.50% due 1/03/2000..... 721,910 5.7
OBLIGATIONS**
- ---------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES (COST--$721,910) 721,910 5.7
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST--$11,527,365)............ 12,495,264 97.9
OTHER ASSETS LESS LIABILITIES.................... 268,946 2.1
----------- -----
NET ASSETS....................................... $12,764,210 100.0%
=========== =====
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
* American Depositary Receipts (ADR).
** 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.
See Notes to Financial Statements.
58
<PAGE>
(This page has been left blank intentionally.)
59
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Assets and Liabilities as of December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- ---------------------------------------------------------------------------
ASSETS:
Investments, at value*........ $118,671,425 $430,106,540 $240,813,220
Cash.......................... 640 737 49,513
Foreign cash.................. -- -- 245,658
Interest receivable........... 520,484 -- 500,628
Receivable for securities
sold........................ 6,276,501 -- 894,802
Dividends receivable.......... 41,300 213,279 190,415
Receivable for capital shares
sold........................ 66,589 231,242 28,550
Prepaid expenses and other
assets...................... 6,036 15,820 9,742
------------ ------------ ------------
Total assets................ 125,582,975 430,567,618 242,732,528
------------ ------------ ------------
LIABILITIES:
Payable for securities
purchased................... 6,171,732 -- 881,676
Payable for capital shares
redeemed.................... 2,731 893 8,909
Payable to investment
adviser..................... 36,731 127,247 71,497
Payable for dividends to
shareholders................ -- -- --
Accrued expenses and other
liabilities................. 21,047 59,294 71,721
------------ ------------ ------------
Total liabilities........... 6,232,241 187,434 1,033,803
------------ ------------ ------------
NET ASSETS.................... $119,350,734 $430,380,184 $241,698,725
============ ============ ============
NET ASSETS CONSIST OF:
Common Stock, $.10 par
value+...................... $ 808,840 $ 1,462,624 $ 1,407,451
Paid-in capital in excess of
par......................... 102,699,913 289,728,685 194,465,626
Undistributed investment
income -- net............... -- 9,996 --
Accumulated distributions in
excess of investment
income--net................. -- -- (739,737)
Undistributed (accumulated)
realized capital gains
(losses) on investments and
foreign currency
transactions -- net......... 648,805 8,134,386 1,442,972
Unrealized appreciation
(depreciation) on
investments and foreign
currency
transactions -- net......... 15,193,176 131,044,493 45,122,413
------------ ------------ ------------
NET ASSETS.................... $119,350,734 $430,380,184 $241,698,725
============ ============ ============
Capital shares outstanding.... 8,088,397 14,626,235 14,074,511
============ ============ ============
Net asset value, offering and
redemption price per
share....................... $ 14.76 $ 29.43 $ 17.17
============ ============ ============
*Identified cost.............. $103,478,249 $299,061,682 $195,677,947
============ ============ ============
+Authorized shares............ 100,000,000 100,000,000 100,000,000
============ ============ ============
</TABLE>
See Notes to Financial Statements.
60
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE
GROWTH HIGH GOVERNMENT
STOCK YIELD BOND
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at value*...................................... $623,152,648 $ 96,017,756 $213,606,929
Cash........................................................ 942 86,899 402
Foreign cash................................................ -- -- --
Interest receivable......................................... -- 2,097,631 2,670,736
Receivable for securities sold.............................. -- 1,032,000 --
Dividends receivable........................................ 371,723 43,174 --
Receivable for capital shares sold.......................... 109,248 36,223 7,371
Prepaid expenses and other assets........................... 25,912 5,678 11,854
------------ ------------ ------------
Total assets.............................................. 623,660,473 99,319,361 216,297,292
------------ ------------ ------------
LIABILITIES:
Payable for securities purchased............................ -- 43,174 --
Payable for capital shares redeemed......................... 1,580 1,146 224,992
Payable to investment adviser............................... 184,595 33,409 67,820
Payable for dividends to shareholders....................... -- -- --
Accrued expenses and other liabilities...................... 71,764 24,846 40,950
------------ ------------ ------------
Total liabilities......................................... 257,939 102,575 333,762
------------ ------------ ------------
NET ASSETS.................................................. $623,402,534 $ 99,216,786 $215,963,530
============ ============ ============
NET ASSETS CONSIST OF:
Common Stock, $.10 par value+............................... $ 1,639,388 $ 1,331,345 $ 2,067,360
Paid-in capital in excess of par............................ 415,961,417 121,614,146 231,087,508
Undistributed investment income -- net...................... 26,708 -- 10
Accumulated distributions in excess of investment
income--net............................................... -- (208,472) --
Undistributed (accumulated) realized capital gains (losses)
on investments and foreign currency
transactions -- net....................................... 11,741,789 (5,440,697) (8,142,568)
Unrealized appreciation (depreciation) on investments and
foreign currency transactions -- net...................... 194,033,232 (18,079,536) (9,048,780)
------------ ------------ ------------
NET ASSETS.................................................. $623,402,534 $ 99,216,786 $215,963,530
============ ============ ============
Capital shares outstanding.................................. 16,393,884 13,313,454 20,673,603
============ ============ ============
Net asset value, offering and redemption price per share.... $ 38.03 $ 7.45 $ 10.45
============ ============ ============
*Identified cost............................................ $429,119,416 $114,097,292 $222,655,709
============ ============ ============
+Authorized shares.......................................... 100,000,000 100,000,000 100,000,000
============ ============ ============
<CAPTION>
LONG TERM
CORPORATE MONEY MULTIPLE NATURAL
BOND RESERVE STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C>
-----------------------------------------------------------
- ------------------------------------------------------------
ASSETS:
Investments, at value*...................................... $117,724,681 $ 565,282,747 $1,434,002,744 $12,495,264
Cash........................................................ 611 70,067 989 897
Foreign cash................................................ -- -- 425,178 --
Interest receivable......................................... 2,171,842 4,323,411 6,712,103 --
Receivable for securities sold.............................. -- -- 50,019,404 20,819
Dividends receivable........................................ -- -- 900,337 10,975
Receivable for capital shares sold.......................... 168,267 -- -- 249,846
Prepaid expenses and other assets........................... 6,549 30,680 69,804 752
------------ ------------- -------------- -----------
Total assets.............................................. 120,071,950 569,706,905 1,492,130,559 12,778,553
------------ ------------- -------------- -----------
LIABILITIES:
Payable for securities purchased............................ -- -- 49,226,907 --
Payable for capital shares redeemed......................... 1,806 2,081,997 189,421 70
Payable to investment adviser............................... 37,616 171,938 432,486 1,204
Payable for dividends to shareholders....................... -- 1,405 -- --
Accrued expenses and other liabilities...................... 25,475 88,078 263,317 13,069
------------ ------------- -------------- -----------
Total liabilities......................................... 64,897 2,343,418 50,112,131 14,343
------------ ------------- -------------- -----------
NET ASSETS.................................................. $120,007,053 $ 567,363,487 $1,442,018,428 $12,764,210
============ ============= ============== ===========
NET ASSETS CONSIST OF:
Common Stock, $.10 par value+............................... $ 1,108,451 $ 56,773,561 $ 7,928,441 $ 153,850
Paid-in capital in excess of par............................ 127,236,450 510,962,048 1,139,909,180 14,587,686
Undistributed investment income -- net...................... 7 -- -- --
Accumulated distributions in excess of investment
income--net............................................... -- -- (1,661,114) --
Undistributed (accumulated) realized capital gains (losses)
on investments and foreign currency
transactions -- net....................................... (2,233,222) -- 12,821,118 (2,945,236)
Unrealized appreciation (depreciation) on investments and
foreign currency transactions -- net...................... (6,104,633) (372,122) 283,020,803 967,910
------------ ------------- -------------- -----------
NET ASSETS.................................................. $120,007,053 $ 567,363,487 $1,442,018,428 $12,764,210
============ ============= ============== ===========
Capital shares outstanding.................................. 11,084,514 567,735,609 79,284,412 1,538,504
============ ============= ============== ===========
Net asset value, offering and redemption price per share.... $ 10.83 $ 1.00 $ 18.19 $ 8.30
============ ============= ============== ===========
*Identified cost............................................ $123,829,314 $ 565,654,869 $1,150,969,292 $11,527,365
============ ============= ============== ===========
+Authorized shares.......................................... 100,000,000 2,000,000,000 300,000,000 100,000,000
============ ============= ============== ===========
</TABLE>
61
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Operations for the Year Ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
- ------------------------------------------------------------------------
INVESTMENT INCOME:
Interest and discount
earned*..................... $3,491,629 $ 653,506 $ 3,044,195
Dividends*.................... 565,718 3,260,193 1,966,640
Other income.................. -- 5,982 1,095
---------- ------------ -----------
Total income.................. 4,057,347 3,919,681 5,011,930
---------- ------------ -----------
EXPENSES:
Investment advisory fees...... 387,972 1,204,735 718,504
Custodian fees................ 20,554 56,252 141,971
Accounting services........... 19,754 62,904 32,916
Professional fees............. 14,850 27,712 22,136
Printing and shareholder
reports..................... 6,267 13,258 11,981
Registration fees............. 831 4,255 --
Transfer agent fees........... 5,078 5,078 5,076
Pricing services.............. 920 3,752 4,281
Directors' fees and
expenses.................... 983 2,462 1,747
Other......................... 2,214 7,231 1,266
---------- ------------ -----------
Total expenses before
reimbursement............... 459,423 1,387,639 939,878
Reimbursement of expenses..... -- -- --
---------- ------------ -----------
Total expenses after
reimbursement............... 459,423 1,387,639 939,878
---------- ------------ -----------
Investment income -- net...... 3,597,924 2,532,042 4,072,052
---------- ------------ -----------
REALIZED & UNREALIZED GAIN
(LOSS) ON INVESTMENTS &
FOREIGN CURRENCY
TRANSACTIONS -- NET:
Realized gain (loss) on
investments -- net.......... 5,946,357 45,403,018 20,653,150
Realized gain (loss) on
foreign currency
transactions -- net......... -- 266,613 51,983
Change in unrealized
appreciation/depreciation on
investments -- net.......... 196,222 57,625,867 18,915,503
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- 46,539 (78,394)
---------- ------------ -----------
Total realized and unrealized
gain (loss) on investments
and foreign currency
transactions -- net......... 6,142,579 103,342,037 39,542,242
---------- ------------ -----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $9,740,503 $105,874,079 $43,614,294
========== ============ ===========
* Net of foreign withholding
tax......................... $ 2,986 $ 66,510 $ 191,104
========== ============ ===========
</TABLE>
See Notes to Financial Statements.
62
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GROWTH HIGH GOVERNMENT CORPORATE MONEY MULTIPLE NATURAL
STOCK YIELD BOND BOND RESERVE STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest and discount
earned*................ $ 1,300,152 $10,900,283 $14,982,064 $ 8,797,018 $29,901,024 $ 21,595,363 $ 70,008
Dividends*............... 4,895,887 750,991 -- -- -- 10,468,451 180,271
Other income............. 252 31,786 50,076 2,834 -- 14,877 40
------------ ----------- ------------ ------------ ----------- ------------ -----------
Total income............. 6,196,291 11,683,060 15,032,140 8,799,852 29,901,024 32,078,691 250,319
------------ ----------- ------------ ------------ ----------- ------------ -----------
EXPENSES:
Investment advisory
fees................... 1,642,499 365,404 746,399 411,847 1,837,853 4,355,147 42,651
Custodian fees........... 43,338 18,518 36,646 19,758 35,062 409,096 18,507
Accounting services...... 81,521 15,492 37,947 20,336 109,901 206,544 316
Professional fees........ 34,677 16,327 22,568 15,927 38,775 85,935 10,151
Printing and shareholder
reports................ 24,961 5,896 11,557 7,784 27,037 70,626 398
Registration fees........ 11,892 -- 2,787 70 17,588 14,076 --
Transfer agent fees...... 5,075 5,079 5,080 5,079 5,070 5,078 5,075
Pricing services......... 1,462 7,541 6,196 7,001 420 14,002 --
Directors' fees and
expenses............... 3,160 1,055 1,858 1,085 4,072 9,202 141
Other.................... 6,535 2,095 3,836 2,329 7,272 22,121 --
------------ ----------- ------------ ------------ ----------- ------------ -----------
Total expenses before
reimbursement.......... 1,855,120 437,407 874,874 491,216 2,083,050 5,191,827 77,239
Reimbursement of
expenses............... -- -- -- -- -- -- (11,447)
------------ ----------- ------------ ------------ ----------- ------------ -----------
Total expenses after
reimbursement.......... 1,855,120 437,407 874,874 491,216 2,083,050 5,191,827 65,792
------------ ----------- ------------ ------------ ----------- ------------ -----------
Investment income --
net.................... 4,341,171 11,245,653 14,157,266 8,308,636 27,817,974 26,886,864 184,527
------------ ----------- ------------ ------------ ----------- ------------ -----------
REALIZED & UNREALIZED
GAIN (LOSS) ON
INVESTMENTS & FOREIGN
CURRENCY TRANSACTIONS
-- NET:
Realized gain (loss) on
investments -- net..... 95,440,437 726,859 (2,464,712) (1,980,786) 28,040 111,689,746 (1,090,723)
Realized gain (loss) on
foreign currency
transactions -- net.... (46,567) -- -- -- -- 2,906,698 (3,451)
Change in unrealized
appreciation/depreciation
on investments --
net.................... 75,147,379 (5,186,011) (14,711,214) (9,475,140) (308,406) 109,095,917 3,739,831
Change in unrealized
appreciation/depreciation
on foreign currency
transactions -- net.... -- -- -- -- -- (103,146) (199)
------------ ----------- ------------ ------------ ----------- ------------ -----------
Total realized and
unrealized gain (loss)
on investments and
foreign currency
transactions -- net.... 170,541,249 (4,459,152) (17,175,926) (11,455,926) (280,366) 223,589,215 2,645,458
------------ ----------- ------------ ------------ ----------- ------------ -----------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $174,882,420 $ 6,786,501 $(3,018,660) $ (3,147,290) $27,537,608 $250,476,079 $ 2,829,985
============ =========== ============ ============ =========== ============ ===========
* Net of foreign
withholding tax........ $ 118,035 -- -- -- -- $ 689,925 $ 9,569
============ =========== ============ ============ =========== ============ ===========
</TABLE>
63
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO
--------------------------- ---------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
DECEMBER 31, DECEMBER 31,
--------------------------- ---------------------------
INCREASE (DECREASE) IN NET ASSETS: 1999 1998 1999 1998
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net........ $ 3,597,924 $ 3,102,582 $ 2,532,042 $ 3,543,943
Realized gain (loss) on
investments and foreign currency
transactions -- net........... 5,946,357 7,853,487 45,669,631 27,364,944
Change in unrealized
appreciation/depreciation on
investments -- net............ 196,222 3,434,242 57,625,867 17,602,882
Change in unrealized
appreciation/depreciation on
foreign currency transactions --
net........................... -- -- 46,539 (49,325)
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations.................... 9,740,503 14,390,311 105,874,079 48,462,444
------------ ------------ ------------ ------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS:
Investment income -- net........ (6,700,505) (3,524,792) (5,502,391) (6,269,261)
In excess of investment income --
net........................... (4,135) -- (256,618) --
Realized gain on investments --
net........................... (13,054,658) (6,923,679) (65,022,220) (36,415,502)
------------ ------------ ------------ ------------
Net decrease in net assets
resulting from dividends and
distributions to shareholders... (19,759,298) (10,448,471) (70,781,229) (42,684,763)
------------ ------------ ------------ ------------
CAPITAL SHARE TRANSACTIONS:
Net increase (decrease) in net
assets derived from capital
share transactions............ 10,295,044 6,808,627 38,689,886 15,017,332
------------ ------------ ------------ ------------
NET ASSETS:
Total increase (decrease) in net
assets........................ 276,249 10,750,467 73,782,736 20,795,013
Beginning of year............... 119,074,485 108,324,018 356,597,448 335,802,435
------------ ------------ ------------ ------------
End of year*.................... $119,350,734 $119,074,485 $430,380,184 $356,597,448
============ ============ ============ ============
*Undistributed (accumulated
distributions in
excess of) investment income --
net........................... -- $ 3,102,581 -- $ 2,970,349
============ ============ ============ ============
</TABLE>
See Notes to Financial Statements.
64
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL STRATEGY PORTFOLIO GROWTH STOCK PORTFOLIO HIGH YIELD PORTFOLIO
--------------------------- --------------------------- ---------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31,
--------------------------- --------------------------- ---------------------------
1999 1998 1999 1998 1999 1998
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 4,072,052 $ 6,679,586 $ 4,341,171 $ 2,333,481 $ 11,245,653 $ 13,245,621
Realized gain (loss) on
investments and foreign
currency transactions --
net......................... 20,705,133 923,052 95,393,870 57,447,732 726,859 (5,883,144)
Change in unrealized
appreciation/depreciation on
investments -- net.......... 18,915,503 13,588,593 75,147,379 65,374,802 (5,186,011) (12,768,024)
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... (78,394) 129,561 -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations.................. 43,614,294 21,320,792 174,882,420 125,156,015 6,786,501 (5,405,547)
------------ ------------ ------------ ------------ ------------ ------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS:
Investment income -- net...... (4,250,356) (9,908,154) (6,599,346) (2,484,030) (12,299,315) (13,357,566)
In excess of investment income
-- net...................... (2,896,892) -- -- -- (249,990) --
Realized gain on investments
-- net...................... (20,802,708) (30,525,752) (141,145,837) (61,563,233) -- --
------------ ------------ ------------ ------------ ------------ ------------
Net decrease in net assets
resulting from dividends and
distributions to
shareholders................ (27,949,956) (40,433,906) (147,745,183) (64,047,263) (12,549,305) (13,357,566)
------------ ------------ ------------ ------------ ------------ ------------
CAPITAL SHARE TRANSACTIONS:
Net increase (decrease) in net
assets derived from capital
share transactions.......... (5,109,685) 1,752,536 140,036,987 62,096,529 (11,630,761) (8,390,914)
------------ ------------ ------------ ------------ ------------ ------------
NET ASSETS:
Total increase (decrease) in
net assets.................. 10,554,653 (17,360,578) 167,174,224 123,205,281 (17,393,565) (27,154,027)
Beginning of year............. 231,144,072 248,504,650 456,228,310 333,023,029 116,610,351 143,764,378
------------ ------------ ------------ ------------ ------------ ------------
End of year*.................. $241,698,725 $231,144,072 $623,402,534 $456,228,310 $ 99,216,786 $116,610,351
============ ============ ============ ============ ============ ============
*Undistributed (accumulated
distributions in
excess of) investment income
-- net...................... $ (739,737) $ 178,304 $ 26,708 $ 2,331,545 $ (208,472) $ 1,053,662
============ ============ ============ ============ ============ ============
</TABLE>
65
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT LONG TERM CORPORATE
BOND PORTFOLIO BOND PORTFOLIO
--------------------------- ---------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED
DECEMBER 31, DECEMBER 31,
--------------------------- ---------------------------
INCREASE (DECREASE) IN NET ASSETS: 1999 1998 1999 1998
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net........ $ 14,157,266 $ 14,537,865 $ 8,308,636 $ 8,111,343
Realized gain (loss) on
investments and foreign currency
transactions -- net........... (2,464,712) 3,351,865 (1,980,786) 1,387,596
Change in unrealized
appreciation/depreciation on
investments -- net............ (14,711,214) 1,409,484 (9,475,140) 778,418
Change in unrealized
appreciation/depreciation on
foreign currency transactions --
net........................... -- -- -- --
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations.................... (3,018,660) 19,299,214 (3,147,290) 10,277,357
------------ ------------ ------------ ------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS:
Investment income -- net........ (15,428,265) (14,551,966) (8,999,286) (8,233,350)
In excess of investment income --
net........................... -- -- -- --
Realized gain on investments --
net........................... -- -- -- --
------------ ------------ ------------ ------------
Net decrease in net assets
resulting from dividends and
distributions to shareholders... (15,428,265) (14,551,966) (8,999,286) (8,233,350)
------------ ------------ ------------ ------------
CAPITAL SHARE TRANSACTIONS:
Net increase (decrease) in net
assets derived from capital
share transactions............ (6,172,166) 13,623,838 424,534 4,938,990
------------ ------------ ------------ ------------
NET ASSETS:
Total increase (decrease) in net
assets........................ (24,619,091) 18,371,086 (11,722,042) 6,982,997
Beginning of year............... 240,582,621 222,211,535 131,729,095 124,746,098
------------ ------------ ------------ ------------
End of year*.................... $215,963,530 $240,582,621 $120,007,053 $131,729,095
============ ============ ============ ============
*Undistributed (accumulated
distributions in
excess of) investment income --
net........................... $ 10 $ 1,271,009 $ 7 $ 690,657
============ ============ ============ ============
</TABLE>
See Notes to Financial Statements.
66
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY RESERVE PORTFOLIO MULTIPLE STRATEGY PORTFOLIO NATURAL RESOURCES PORTFOLIO
--------------------------- ------------------------------ ---------------------------
FOR THE YEAR ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31,
--------------------------- ------------------------------ ---------------------------
1999 1998 1999 1998 1999 1998
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 27,817,974 $ 29,005,190 $ 26,886,864 $ 32,701,556 $ 184,527 $ 283,101
Realized gain (loss) on
investments and foreign
currency transactions --
net......................... 28,040 96,424 114,596,444 80,774,994 (1,094,174) (1,297,578)
Change in unrealized
appreciation/depreciation on
investments -- net.......... (308,406) (73,248) 109,095,917 23,078,285 3,739,831 (899,578)
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- -- (103,146) 161,413 (199) 561
------------ ------------ -------------- -------------- ----------- -----------
Net increase (decrease) in net
assets resulting from
operations.................. 27,537,608 29,028,366 250,476,079 136,716,248 2,829,985 (1,913,494)
------------ ------------ -------------- -------------- ----------- -----------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS:
Investment income -- net...... (27,817,974) (29,005,190) (51,122,589) (40,282,464) (436,658) (392,711)
In excess of investment income
-- net...................... -- -- (4,567,812) -- -- --
Realized gain on investments
-- net...................... (28,040) (96,424) (186,735,970) (140,628,156) -- --
------------ ------------ -------------- -------------- ----------- -----------
Net decrease in net assets
resulting from dividends and
distributions to
shareholders................ (27,846,014) (29,101,614) (242,426,371) (180,910,620) (436,658) (392,711)
------------ ------------ -------------- -------------- ----------- -----------
CAPITAL SHARE TRANSACTIONS:
Net increase (decrease) in net
assets derived from capital
share transactions.......... (11,130,535) 53,158,315 93,716,028 54,916,060 (1,393,446) (3,281,405)
------------ ------------ -------------- -------------- ----------- -----------
NET ASSETS:
Total increase (decrease) in
net assets.................. (11,438,941) 53,085,067 101,765,736 10,721,688 999,881 (5,587,610)
Beginning of year............. 578,802,428 525,717,361 1,340,252,692 1,329,531,004 11,764,329 17,351,939
------------ ------------ -------------- -------------- ----------- -----------
End of year*.................. $567,363,487 $578,802,428 $1,442,018,428 $1,340,252,692 $12,764,210 $11,764,329
============ ============ ============== ============== =========== ===========
*Undistributed (accumulated
distributions in
excess of) investment income
-- net...................... -- -- $ (1,661,114) $ 24,235,725 -- $ 254,080
============ ============ ============== ============== =========== ===========
</TABLE>
67
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED PORTFOLIO
-------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
-------------------------------------------------------------------
INCREASE (DECREASE) IN NET 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 year................. $ 16.18 $ 15.78 $ 15.36 $ 14.86 $ 13.27
-------- -------- -------- -------- --------
Investment income -- net........................... .45 .42 .51 .54 .60
Realized and unrealized gain on investments and
foreign currency transactions -- net............. .79 1.52 1.76 .83 2.07
-------- -------- -------- -------- --------
Total from investment operations................... 1.24 1.94 2.27 1.37 2.67
-------- -------- -------- -------- --------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income -- net........................... (.90) (.51) (.27) (.57) (.62)
In excess of investment income -- net.............. --++ -- -- -- --
Realized gain on investments -- net................ (1.76) (1.03) (1.58) (.30) (.46)
-------- -------- -------- -------- --------
Total dividends and distributions.................. (2.66) (1.54) (1.85) (.87) (1.08)
-------- -------- -------- -------- --------
Net asset value, end of year....................... $ 14.76 $ 16.18 $ 15.78 $ 15.36 $ 14.86
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:*
Based on net asset value per share................. 8.55% 13.45% 16.93% 9.76% 21.59%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses........................................... .38% .38% .39% .39% .38%
======== ======== ======== ======== ========
Investment income -- net........................... 3.01% 2.73% 3.40% 3.63% 4.47%
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)............. $119,351 $119,074 $108,324 $ 98,853 $ 97,181
======== ======== ======== ======== ========
Portfolio turnover................................. 117.05% 106.73% 143.20% 234.79% 32.92%
======== ======== ======== ======== ========
</TABLE>
<TABLE>
<C> <S>
* Total investment returns exclude insurance-related fees and
expenses.
+ Based on average shares outstanding.
++ Amount is less than $.01 per share.
</TABLE>
See Notes to Financial Statements.
68
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL STOCK PORTFOLIO GLOBAL STRATEGY PORTFOLIO
--------------------------------------------------------- ---------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, FOR THE YEAR ENDED DECEMBER 31,
--------------------------------------------------------- ---------------------------------------------------------
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
year... $ 27.03 $ 26.79 $ 23.25 $ 23.88 $ 21.64 $ 16.00 $ 17.44 $ 16.80 $ 15.25 $ 14.54
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Investment
income
--
net... .18 .26 .33 .46 .41 .30 .43 .47 .47 .52
Realized
and
unrealized
gain on
investments
and
foreign
currency
transactions
-- net... 7.56 3.39 4.57 2.86 3.70 3.02 .97 1.35 1.56 .94
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total
from
investment
operations... 7.74 3.65 4.90 3.32 4.11 3.32 1.40 1.82 2.03 1.46
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
LESS
DIVIDENDS
&
DISTRIBUTIONS:
Investment
income
--
net... (.41) (.50) (.22) (.47) (.34) (.32) (.70) (.55) (.39) (.55)
In
excess
of
investment
income --
net... (.02) -- -- -- -- (.21) -- -- -- --
Realized
gain
on
investments
-- net... (4.91) (2.91) (1.14) (3.48) (1.53) (1.62) (2.14) (.63) (.09) (.20)
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total
dividends
and
distributions... (5.34) (3.41) (1.36) (3.95) (1.87) (2.15) (2.84) (1.18) (.48) (.75)
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Net
asset
value,
end
of
year... $ 29.43 $ 27.03 $ 26.79 $ 23.25 $ 23.88 $ 17.17 $ 16.00 $ 17.44 $ 16.80 $ 15.25
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
TOTAL
INVESTMENT
RETURN:*
Based
on
net
asset
value
per
share... 31.63% 15.56% 22.47% 16.54% 20.73% 21.36% 9.49% 11.72% 13.78% 10.44%
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
RATIOS
TO
AVERAGE
NET
ASSETS:
Expenses... .37% .38% .41% .40% .41% .42% .41% .45% .42% .44%
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
Investment
income
--
net... .68% 1.03% 1.38% 2.11% 1.98% 1.84% 2.75% 2.69% 3.02% 3.59%
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
SUPPLEMENTAL
DATA:
Net
assets,
end
of
year
(in
thousands)... $430,380 $356,597 $335,802 $289,696 $252,957 $241,699 $231,144 $248,505 $232,530 $212,683
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
Portfolio
turnover... 81.60% 110.95% 90.19% 74.30% 130.54% 106.83% 124.92% 108.04% 160.89% 26.81%
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
</TABLE>
<TABLE>
<C> <S>
* Total investment returns exclude insurance-related fees and
expenses.
+ Based on average shares outstanding.
++ Amount is less than $.01 per share.
</TABLE>
69
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH STOCK PORTFOLIO
---------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
---------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 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 year............ $ 36.70 $ 32.82 $ 27.79 $ 24.06 $ 19.20
-------- -------- -------- -------- --------
Investment income -- net...................... .31 .19 .24 .32 .15
Realized and unrealized gain (loss) on
investments and foreign currency
transactions -- net......................... 12.06 10.00 8.01 4.24 6.13
-------- -------- -------- -------- --------
Total from investment operations.............. 12.37 10.19 8.25 4.56 6.28
-------- -------- -------- -------- --------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income -- net...................... (.49) (.24) (.18) (.24) (.23)
In excess of investment income -- net......... -- -- -- -- --
Realized gain on investments -- net........... (10.55) (6.07) (3.04) (.59) (1.19)
-------- -------- -------- -------- --------
Total dividends and distributions............. (11.04) (6.31) (3.22) (.83) (1.42)
-------- -------- -------- -------- --------
Net asset value, end of year.................. $ 38.03 $ 36.70 $ 32.82 $ 27.79 $ 24.06
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:*
Based on net asset value per share............ 38.99% 38.18% 33.75% 19.57% 35.35%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses...................................... .37% .37% .37% .38% .38%
======== ======== ======== ======== ========
Investment income -- net...................... .86% .61% .86% 1.25% .82%
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)........ $623,403 $456,228 $333,023 $240,666 $184,152
======== ======== ======== ======== ========
Portfolio turnover............................ 90.44% 60.69% 84.90% 78.04% 87.66%
======== ======== ======== ======== ========
</TABLE>
<TABLE>
<C> <S>
* Total investment returns exclude insurance-related fees and
expenses.
+ Based on average shares outstanding.
</TABLE>
See Notes to Financial Statements.
70
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD PORTFOLIO
--------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
--------------------------------------------------------------------
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
year... $ 7.90 $ 9.19 $ 9.15 $ 8.99 $ 8.53
------- -------- -------- -------- --------
Investment
income -- net..... .77 .85 .90 .89 .93
Realized
and
unrealized
gain
(loss) on
investments
and foreign
currency
transactions -- net..... (.35) (1.29) .04 .16 .46
------- -------- -------- -------- --------
Total
from
investment
operations... .42 (.44) .94 1.05 1.39
------- -------- -------- -------- --------
LESS
DIVIDENDS
&
DISTRIBUTIONS:
Investment
income -- net..... (.85) (.85) (.90) (.89) (.93)
In
excess
of
investment
income -- net..... (.02) -- -- -- --
Realized
gain
on
investments -- net..... -- -- -- -- --
------- -------- -------- -------- --------
Total
dividends
and
distributions... (.87) (.85) (.90) (.89) (.93)
------- -------- -------- -------- --------
Net
asset
value,
end
of
year... $ 7.45 $ 7.90 $ 9.19 $ 9.15 $ 8.99
======= ======== ======== ======== ========
TOTAL
INVESTMENT
RETURN:*
Based
on
net
asset
value
per
share... 5.85% (5.19%) 10.74% 12.32% 17.12%
======= ======== ======== ======== ========
RATIOS
TO
AVERAGE
NET
ASSETS:
Expenses... .39% .39% .39% .39% .38%
======= ======== ======== ======== ========
Investment
income -- net..... 9.98% 9.86% 9.67% 9.77% 10.25%
======= ======== ======== ======== ========
SUPPLEMENTAL
DATA:
Net
assets,
end
of
year
(in
thousands)... $99,217 $116,610 $143,764 $123,643 $107,378
======= ======== ======== ======== ========
Portfolio
turnover... 57.86% 47.69% 60.94% 50.48% 63.39%
======= ======== ======== ======== ========
</TABLE>
<TABLE>
<C> <S>
* Total investment returns exclude insurance-related fees and
expenses.
+ Based on average shares outstanding.
</TABLE>
71
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT PORTFOLIO
---------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
---------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 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 year............ $ 11.32 $ 11.08 $ 10.93 $ 11.41 $ 10.32
-------- -------- -------- -------- --------
Investment income -- net...................... .67 .71 .73 .76 .78
Realized and unrealized gain (loss) on
investments and foreign currency
transactions -- net......................... (.81) .25 .15 (.49) 1.10
-------- -------- -------- -------- --------
Total from investment operations.............. (.14) .96 .88 .27 1.88
-------- -------- -------- -------- --------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income -- net...................... (.73) (.72) (.73) (.75) (.79)
Realized gain on investments -- net........... -- -- -- -- --
-------- -------- -------- -------- --------
Total dividends and distributions............. (.73) (.72) (.73) (.75) (.79)
-------- -------- -------- -------- --------
Net asset value, end of year.................. $ 10.45 $ 11.32 $ 11.08 $ 10.93 $ 11.41
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:*
Based on net asset value per share............ (1.25%) 8.94% 8.42% 2.61% 18.87%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses...................................... .38% .37% .37% .38% .38%
======== ======== ======== ======== ========
Investment income -- net...................... 6.15% 6.44% 6.74% 6.85% 7.22%
======== ======== ======== ======== ========
Investment income -- net and realized gain on
investments -- net.......................... -- -- -- -- --
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)........ $215,964 $240,583 $222,212 $221,863 $239,340
======== ======== ======== ======== ========
Portfolio turnover............................ 206.20% 65.67% 41.23% 29.35% 57.38%
======== ======== ======== ======== ========
</TABLE>
<TABLE>
<C> <S>
* Total investment returns exclude insurance-related fees and
expenses.
+ Based on average shares outstanding.
++ Amount is less than $.01 per share.
</TABLE>
See Notes to Financial Statements.
72
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LONG TERM CORPORATE BOND PORTFOLIO MONEY RESERVE PORTFOLIO
--------------------------------------------------------- ---------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31, FOR THE YEAR ENDED DECEMBER 31,
--------------------------------------------------------- ---------------------------------------------------------
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
year... $ 11.91 $ 11.72 $ 11.53 $ 12.02 $ 10.72 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Investment
income -- net..... .74 .75 .79 .80 .83 .05 .05 .05 .05 .06
Realized
and
unrealized
gain
(loss) on
investments
and foreign
currency
transactions -- net..... (1.02) .21 .18 (.50) 1.30 --++ --++ --++ --++ --++
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total
from
investment
operations... (.28) .96 .97 .30 2.13 .05 .05 .05 .05 .06
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
LESS
DIVIDENDS
&
DISTRIBUTIONS:
Investment
income -- net..... (.80) (.77) (.78) (.79) (.83) (.05) (.05) (.05) (.05) (.06)
Realized
gain
on
investments -- net..... -- -- -- -- -- --++ --++ --++ --++ --
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total
dividends
and
distributions... (.80) (.77) (.78) (.79) (.83) (.05) (.05) (.05) (.05) (.06)
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Net
asset
value,
end
of
year... $ 10.83 $ 11.91 $ 11.72 $ 11.53 $ 12.02 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
TOTAL
INVESTMENT
RETURN:*
Based
on
net
asset
value
per
share... (2.35%) 8.45% 8.80% 2.77% 20.66% 5.01% 5.42% 5.43% 5.33% 5.81%
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
RATIOS
TO
AVERAGE
NET
ASSETS:
Expenses... .39% .38% .38% .39% .40% .37% .36% .36% .36% .35%
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
Investment
income -- net..... 6.54% 6.39% 6.87% 6.90% 7.32% -- -- -- -- --
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
Investment
income -- net
and realized
gain on
investments -- net..... -- -- -- -- -- 4.91% 5.26% 5.30% 5.16% 5.67%
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
SUPPLEMENTAL
DATA:
Net
assets,
end
of
year
(in
thousands)... $120,007 $131,729 $124,746 $117,988 $125,033 $567,363 $578,802 $525,717 $557,690 $568,439
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
Portfolio
turnover... 110.90% 106.93% 107.02% 92.45% 110.49% -- -- -- -- --
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
</TABLE>
<TABLE>
<C> <S>
* Total investment returns exclude insurance-related fees and
expenses.
+ Based on average shares outstanding.
++ Amount is less than $.01 per share.
</TABLE>
73
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTIPLE STRATEGY PORTFOLIO
-----------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
-----------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: 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 year............ $ 18.17 $ 18.97 $ 17.13 $ 17.24 $ 16.22
---------- ---------- ---------- ---------- ----------
Investment income -- net...................... .35 .43 .47 .53 .56
Realized and unrealized gain (loss) on
investments and foreign currency
transactions -- net......................... 2.99 1.35 2.57 1.63 2.03
---------- ---------- ---------- ---------- ----------
Total from investment operations.............. 3.34 1.78 3.04 2.16 2.59
---------- ---------- ---------- ---------- ----------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income -- net...................... (.70) (.57) (.29) (.60) (.48)
In excess of investment income -- net......... (.06) -- -- -- --
Realized gain on investments -- net........... (2.56) (2.01) (.91) (1.67) (1.09)
---------- ---------- ---------- ---------- ----------
Total dividends and distributions............. (3.32) (2.58) (1.20) (2.27) (1.57)
---------- ---------- ---------- ---------- ----------
Net asset value, end of year.................. $ 18.19 $ 18.17 $ 18.97 $ 17.13 $ 17.24
========== ========== ========== ========== ==========
TOTAL INVESTMENT RETURN:*
Based on net asset value per share............ 20.21% 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...................... 2.00% 2.45% 2.65% 3.26% 3.44%
========== ========== ========== ========== ==========
SUPPLEMENTAL DATA:
Net assets, end of year (in thousands)........ $1,442,018 $1,340,253 $1,329,531 $1,211,185 $1,169,357
========== ========== ========== ========== ==========
Portfolio turnover............................ 106.04% 110.08% 108.41% 143.82% 140.83%
========== ========== ========== ========== ==========
</TABLE>
<TABLE>
<C> <S>
* Total investment returns exclude insurance-related fees and
expenses.
+ Based on average shares outstanding.
</TABLE>
See Notes to Financial Statements.
74
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NATURAL RESOURCES PORTFOLIO
-----------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
-----------------------------------------------------------------
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
year... $ 6.86 $ 8.12 $ 9.19 $ 8.17 $ 7.43
------- -------- -------- -------- -------
Investment
income -- net..... .11 .15 .14 .16 .17
Realized
and
unrealized
gain
(loss) on
investments
and foreign
currency
transactions -- net..... 1.60 (1.23) (1.14) 1.03 .73
------- -------- -------- -------- -------
Total
from
investment
operations... 1.71 (1.08) (1.00) 1.19 .90
------- -------- -------- -------- -------
LESS
DIVIDENDS
&
DISTRIBUTIONS:
Investment
income -- net..... (.27) (.18) (.07) (.17) (.16)
In
excess
of
investment
income -- net
Realized
gain
on
investments -- net..... -- -- -- -- --
------- -------- -------- -------- -------
Total
dividends
and
distributions... (.27) (.18) (.07) (.17) (.16)
------- -------- -------- -------- -------
Net
asset
value,
end
of
year... $ 8.30 $ 6.86 $ 8.12 $ 9.19 $ 8.17
======= ======== ======== ======== =======
TOTAL
INVESTMENT
RETURN:*
Based
on
net
asset
value
per
share... 25.50% (13.57%) (10.97%) 14.72% 12.22%
======= ======== ======== ======== =======
RATIOS
TO
AVERAGE
NET
ASSETS:
Expenses,
net of
reimbursement... .50% .50% .50% .50% .47%
======= ======== ======== ======== =======
Expenses... .59% .63% .59% .57% .47%
======= ======== ======== ======== =======
Investment
income -- net..... 1.40% 1.94% 1.65% 1.79% 1.99%
======= ======== ======== ======== =======
SUPPLEMENTAL
DATA:
Net
assets,
end
of
year
(in
thousands)... $12,764 $ 11,764 $ 17,352 $ 25,029 $21,035
======= ======== ======== ======== =======
Portfolio
turnover... 73.71% 29.62% 24.10% 31.29% 38.50%
======= ======== ======== ======== =======
</TABLE>
<TABLE>
<C> <S>
* Total investment returns exclude insurance-related fees and
expenses.
+ Based on average shares outstanding.
</TABLE>
75
<PAGE>
(This page has been left blank intentionally.)
76
<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. 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. If the counterparty defaults and the
fair value of the collateral declines, liquidation of the collateral by the Fund
may be delayed or limited.
(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
77
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
dates. Dividends from foreign securities where the ex-dividend date may have
passed are subsequently recorded when the Portfolios have determined the
ex-dividend date. Interest income (including amortization of premium and
discount) is recognized on the accrual basis. Realized gains and losses on
security transactions are determined on the identified cost basis.
(e) PREPAID REGISTRATION FEES -- Prepaid registration fees are charged to
expense as the related shares are issued.
(f) DERIVATIVE FINANCIAL INSTRUMENTS -- The Fund may engage in various portfolio
strategies to seek to increase its return by hedging its portfolio against
adverse movements in the equity, debt and currency markets. Losses may arise due
to changes in the value of the contract or if the counterparty does not perform
under the contract.
- - FOREIGN CURRENCY OPTIONS AND FUTURES -- Certain Portfolios may also purchase
or sell listed or over-the-counter foreign currency options, foreign currency
futures and related options on foreign currency futures as a short or long hedge
against possible variations in foreign exchange rates. Such transactions may be
effected with respect to hedges on non-US dollar denominated securities owned by
the Portfolio, sold by the Portfolio but not yet delivered, or committed or
anticipated to be purchased by the Portfolio.
- - FORWARD FOREIGN EXCHANGE CONTRACTS -- Capital Stock, Global Strategy, Multiple
Strategy and Natural Resources Portfolios are authorized to enter into forward
foreign exchange contracts as a hedge against either specific transactions or
portfolio positions. Such contracts are not entered on the Portfolio's records.
However, the effect on operations is recorded from the date the Portfolio enters
into such contracts.
- - 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.
78
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
(h) DIVIDENDS AND DISTRIBUTIONS -- Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates. Distributions in excess of investment
income are due primarily to differing tax treatments for foreign currency
transactions.
(i) RECLASSIFICATION -- Generally accepted accounting principles require that
certain components of net assets be adjusted to reflect permanent differences
between financial and tax reporting. These reclassifications have no effect on
net assets or net asset value per share.
2. INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH AFFILIATES:
The Fund has entered into an Investment Advisory Agreement with Merrill Lynch
Asset Management, L.P. ("MLAM"). The general partner of MLAM is Princeton
Services, Inc. ("PSI"), an indirect wholly-owned subsidiary of ML & Co., which
is the limited partner. The Fund has also entered into a Distribution Agreement
and Distribution Plan with Merrill Lynch Funds Distributor ("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: .50% of the Fund's average daily net
assets not exceeding $250 million, .45% of the next $50 million, .40% of the
next $100 million, .35% of the next $400 million, and .30% of average daily net
assets in excess of $800 million.
MLAM, Merrill Lynch Life Agency, Inc. and Monarch entered into an agreement that
provided that Monarch will reimburse the Fund's expenses with respect to each
Portfolio, to the extent that these expenses exceed .50% of the Portfolio's
average daily net assets. For the year ended December 31, 1999, the Natural
Resources Portfolio was reimbursed in the amount of $11,447.
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), a subsidiary of
ML & Co., earned commissions on the execution of portfolio security transactions
aggregating $10,455 in the Balanced Portfolio, $71,381 in the Capital Stock
Portfolio, $37,360 in the Global Strategy Portfolio, $51,182 in the Growth Stock
Portfolio, $625 in the High Yield Portfolio, $265,149 in the Multiple Strategy
Portfolio, and $4,592 in the Natural Resources Portfolio for the year ended
December 31, 1999.
Financial Data Services, Inc. ("FDS"), a wholly-owned subsidiary of ML & Co., is
the Fund's transfer agent.
During the year ended December 31, 1999, Merrill Lynch Security Pricing Service,
an affiliate of MLPF&S, was paid by Balanced Portfolio $458; Global Strategy
$337; High Yield Portfolio $1,681; Intermediate Government Bond Portfolio
$2,960; Long Term Corporate Bond Portfolio $4,929; and Multiple Strategy
Portfolio $428 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
year ended December 31, 1999 were as follows:
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
CAPITAL GLOBAL GROWTH GOVERNMENT CORPORATE
BALANCED STOCK STRATEGY STOCK HIGH YIELD BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
Total Purchases...... $130,512,413 $293,679,409 $231,354,818 $440,014,194 $60,710,102 $464,869,881 $135,212,674
============ ============ ============ ============ =========== ============ ============
Total Sales.......... $136,258,635 $341,220,520 $266,809,741 $435,383,444 $76,231,776 $470,190,119 $134,591,131
============ ============ ============ ============ =========== ============ ============
<CAPTION>
MULTIPLE NATURAL
STRATEGY RESOURCES
PORTFOLIO PORTFOLIO
<S> <C> <C>
---------------------------
- ---------------------
Total Purchases...... $1,384,549,827 $8,491,241
============== ==========
Total Sales.......... $1,553,950,975 $8,453,989
============== ==========
</TABLE>
79
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
As of December 31, 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................................. $ 18,234,135 $139,827,162 $ 57,580,239 $202,966,312 $ 1,792,776
Depreciated securities................................. (3,102,347) (8,875,921) (13,877,705) (9,555,841) (20,132,586)
------------ ------------ ------------ ------------ ------------
Net unrealized appreciation (depreciation)............. $ 15,131,788 $130,951,241 $ 43,702,534 $193,410,471 $(18,339,810)
============ ============ ============ ============ ============
Cost for Federal income tax purposes................... $103,539,637 $290,155,299 $197,110,686 $429,742,177 $114,357,566
============ ============ ============ ============ ============
Net realized gains (losses) for the year ended December 31, 1999 and net unrealized gains (losses) as of December 31, 1999 were
as follows:
</TABLE>
<TABLE>
<CAPTION>
GLOBAL STRATEGY
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO PORTFOLIO
------------------------ -------------------------- -------------------------
REALIZED UNREALIZED REALIZED UNREALIZED
REALIZED UNREALIZED GAINS GAINS GAINS GAINS
GAINS GAINS (LOSSES) (LOSSES) (LOSSES) (LOSSES)
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------
Long-term
securities......... $5,946,357 $15,193,176 $45,403,018 $131,044,858 $20,653,150 $45,135,273
Short-term
securities......... -- -- -- -- -- --
Forward foreign
exchange
contracts.......... -- -- 328,169 -- 1,987,023 --
Foreign currency
transactions....... -- -- (61,556) (365) (1,935,040) (12,860)
---------- ----------- ----------- ------------ ----------- -----------
Total................ $5,946,357 $15,193,176 $45,669,631 $131,044,493 $20,705,133 $45,122,413
========== =========== =========== ============ =========== ===========
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares were as follows:
<CAPTION>
GROWTH STOCK PORTFOLIO HIGH YIELD PORTFOLIO
---------------------------- --------------------------
REALIZED REALIZED
GAINS UNREALIZED GAINS UNREALIZED
(LOSSES) GAINS (LOSSES) LOSSES
<S> <C> <C> <C> <C>
---------------------------------------------------------
- ---------------------
Long-term
securities......... $95,441,552 $ 194,033,232 $ 727,004 $(18,079,536)
Short-term
securities......... (1,115) -- (145) --
Forward foreign
exchange
contracts.......... -- -- --
Foreign currency
transactions....... (46,567) -- -- --
----------- -------------- ----------- ------------
Total................ $95,393,870 $ 194,033,232 $ 726,859 $(18,079,536)
=========== ============== =========== ============
4. CAPITAL SHARE TRAN
Transactions in capit
</TABLE>
<TABLE>
<CAPTION>
GLOBAL STRATEGY
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO PORTFOLIO
------------------------ ------------------------- -------------------------
FOR THE YEAR ENDED DOLLAR DOLLAR DOLLAR
DECEMBER 31, 1999 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold.................................. 612,976 $ 9,171,521 750,073 $ 20,134,480 838,946 $ 13,766,098
Shares issued to shareholders in reinvestment
of dividends and distributions............. 1,348,135 19,759,298 2,636,950 70,781,229 1,676,134 27,949,955
---------- ----------- ---------- ------------ ---------- ------------
Total issued................................. 1,961,111 28,930,819 3,387,023 90,915,709 2,515,080 41,716,053
Shares redeemed.............................. (1,233,661) (18,635,775) (1,953,568) (52,225,823) (2,884,877) (46,825,738)
---------- ----------- ---------- ------------ ---------- ------------
Net increase (decrease)...................... 727,450 $10,295,044 1,433,455 $ 38,689,886 (369,797) $ (5,109,685)
========== =========== ========== ============ ========== ============
<CAPTION>
GROWTH STOCK PORTFOLIO
--------------------------
FOR THE YEAR ENDED DOLLAR
DECEMBER 31, 1999 SHARES AMOUNT
<S> <C> <C>
--------------------------
- ---------------------------------------------
Shares sold.................................. 1,987,875 $ 71,412,836
Shares issued to shareholders in reinvestment
of dividends and distributions............. 4,209,592 147,745,182
---------- -------------
Total issued................................. 6,197,467 219,158,018
Shares redeemed.............................. (2,235,580) (79,121,031)
---------- -------------
Net increase (decrease)...................... 3,961,887 $ 140,036,987
========== =============
</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............................ (1,015,515) (15,319,354) (2,275,298) (55,470,852) (3,631,415) (55,249,639)
---------- ------------ ------------ ------------ ---------- ------------
Net increase (decrease).................... 494,466 $ 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>
80
<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... $ 62,801 $ 343,430 $ 21,410 $ 318,960,501 $ 1,742,743
Depreciated
securities... (9,111,581) (6,449,430) (393,624) (40,523,179) (777,946)
------------ ------------ ------------ -------------- -----------
Net
unrealized
appreciation
(depreciation)... $ (9,048,780) $ (6,106,000) $ (372,214) $ 278,437,322 $ 964,797
============ ============ ============ ============== ===========
Cost
for
Federal
income
tax
purposes... $222,655,709 $123,830,681 $565,654,961 $1,155,565,422 $11,530,467
============ ============ ============ ============== ===========
Net realized gains (losses) for the year ended December 31, 1999 and net unrealized gains
(losses) as of December 31, 1999 were as follows:
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT LONG TERM CORPORATE
BOND PORTFOLIO BOND PORTFOLIO MONEY RESERVE PORTFOLIO MULTIPLE STRATEGY PORTFOLIO
--------------------------- ------------------------- ------------------------ ---------------------------
REALIZED REALIZED UNREALIZED
GAINS UNREALIZED REALIZED UNREALIZED REALIZED UNREALIZED GAINS GAINS
(LOSSES) LOSSES LOSSES LOSSES GAINS LOSSES (LOSSES) (LOSSES)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
Long-term
securities.. $ (2,464,739) $ (9,048,780) $(1,980,786) $(6,104,633) -- -- $111,689,746 $283,033,452
Short-term
securities.. 27 -- -- -- $ 28,040 $(372,122) -- --
Forward
foreign
exchange
contracts.... -- -- -- -- -- -- 6,185,832 --
Foreign
currency
transactions... -- -- -- -- -- -- (3,279,134) (12,649)
------------ ------------ ----------- ----------- ----------- --------- ------------ ------------
Total... $ (2,464,712) $ (9,048,780) $(1,980,786) $(6,104,633) $ 28,040 $(372,122) $114,596,444 $283,020,803
============ ============ =========== =========== =========== ========= ============ ============
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares were as follows:
<CAPTION>
NATURAL RESOURCES
PORTFOLIO
------------------------
REALIZED
GAINS UNREALIZED
(LOSSES) GAINS
<S> <C> <C>
------------------------
- ---
Lon
sec $(1,090,729) $967,899
Sho
sec 6 --
For
for
e
c -- --
For
cur
t (3,451) 11
----------- --------
Tot $(1,094,174) $967,910
=========== ========
4.
Tra
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE
GOVERNMENT BOND LONG TERM CORPORATE
HIGH YIELD PORTFOLIO PORTFOLIO BOND PORTFOLIO MONEY RESERVE PORTFOLIO
-------------------------- ------------------------- ------------------------ ----------------------------
DOLLAR DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
Shares
sold... 9,447,464 $ 72,457,978 1,587,860 $ 17,371,016 899,017 $10,295,844 247,045,323 $ 247,045,323
Shares
issued
to
shareholders
in
reinvestment
of
dividends
and
distributions... 1,640,184 12,549,306 1,429,234 15,428,265 800,850 8,999,286 27,846,014 27,846,014
----------- ------------ ---------- ------------ ---------- ----------- ------------ -------------
Total
issued... 11,087,648 85,007,284 3,017,094 32,799,281 1,699,867 19,295,130 274,891,337 274,891,337
Shares
redeemed... (12,540,850) (96,638,045) (3,603,546) (38,971,447) (1,676,060) (18,870,596) (286,021,872) (286,021,872)
----------- ------------ ---------- ------------ ---------- ----------- ------------ -------------
Net
increase
(decrease)... (1,453,202) $(11,630,761) (586,452) $ (6,172,166) 23,807 $ 424,534 (11,130,535) $ (11,130,535)
=========== ============ ========== ============ ========== =========== ============ =============
<CAPTION>
MULTIPLE STRATEGY NATURAL RESOURCES
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
-------------------------------------------------------
- ---
Sha
sol 480,406 $ 8,506,913 1,537,019 $ 12,218,004
Sha
iss
t
s
i
r
o
d
a
d 13,983,607 242,426,372 60,003 436,658
----------- ------------ ---------- -------------
Tot
iss 14,464,013 250,933,285 1,597,022 12,654,662
Sha
red (8,956,036) (157,217,257) (1,774,350) (14,048,108)
----------- ------------ ---------- -------------
Net
inc
(de 5,507,977 $ 93,716,028 (177,328) $ (1,393,446)
=========== ============ ========== =============
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT LONG TERM CORPORATE
HIGH YIELD PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO MONEY RESERVE PORTFOLIO
-------------------------- ---------------------------- ------------------------- ----------------------------
DOLLAR DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Shares
sold... 7,507,390 $ 63,434,459 2,645,259 $ 29,677,244 1,377,909 $ 16,238,970 284,303,867 $ 284,303,867
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 29,096,871 29,096,871
----------- ------------ ------------ ------------- ---------- ------------ ------------ -------------
Total
issued... 9,048,769 76,792,025 3,952,452 44,229,210 2,079,987 24,472,320 313,400,738 313,400,738
Shares
redeemed... (9,924,680) (85,182,939) (2,742,781) (30,605,372) (1,662,749) (19,533,330) (260,242,423) (260,242,423)
----------- ------------ ------------ ------------- ---------- ------------ ------------ -------------
Net
increase
(decrease)... (875,911) $ (8,390,914) 1,209,671 $ 13,623,838 417,238 $ 4,938,990 53,158,315 $ 53,158,315
=========== ============ ============ ============= ========== ============ ============ =============
<CAPTION>
MULTIPLE STRATEGY NATURAL RESOURCES
PORTFOLIO PORTFOLIO
-------------------------- ------------------------
DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
-----------------------------------------------------
- ---
Sha
sol 633,962 $ 10,885,213 710,396 $ 5,326,430
Sha
iss
t
s
i
r
of
di
a
d 11,010,994 180,910,620 49,398 392,711
---------- ------------- ---------- -----------
Tot
iss 11,644,956 191,795,833 759,794 5,719,141
Sha
red (7,971,065) (136,879,773) (1,181,796) (9,000,546)
---------- ------------- ---------- -----------
Net
inc
(de 3,673,891 $ 54,916,060 (422,002) $(3,281,405)
========== ============= ========== ===========
</TABLE>
81
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Concluded)
- --------------------------------------------------------------------------------
5. CAPITAL LOSS CARRYFORWARDS:
At December 31, 1999, the Fund had capital loss carryforwards of approximately
$5,295,000 in the High Yield Portfolio, of which $231,000 expires in 2005,
$3,240,000 expires in 2006 and $1,824,000 expires in 2007; $8,142,000 in the
Intermediate Government Bond Portfolio, of which $2,768,000 expires in 2002,
$1,088,000 expires in 2003, $1,822,000 expires in 2004 and $2,464,000 expires in
2007; $1,506,000 in the Long Term Corporate Bond Portfolio, $252,000 expires in
2002 and $1,254,000 expires in 2007; $2,941,000 in the Natural Resources
Portfolio, of which $297,000 expires in 2000, $1,330,000 expires in 2006 and
$1,314,000 expires in 2007. These amounts will be available to offset like
amounts of any future taxable capital gains. Expired capital loss carryforward
in the amount of $348,764 and $154,874 in the High Yield and Natural Resources
Portfolios, respectively, has been reclassified to paid-in capital in excess of
par.
6. COMMITMENTS:
At December 31, 1999, the Natural Resources Portfolio entered into foreign
exchange contracts, under which they agreed to sell various foreign currencies
with a value of approximately $21,000.
7. LOANED SECURITIES:
At December 31, 1999, the Global Strategy and Multiple Strategy Portfolios held
US Treasury Notes having an aggregate value of approximately $2,019,000 and
$7,905,000, respectively, as collateral for portfolio securities loaned having a
market value of approximately $2,118,000 and $8,219,000, respectively.
8. SUBSEQUENT EVENTS:
On February 1, 2000, the Board of Directors declared dividends and distributions
per share payable on February 1, 2000 to shareholders of record as of February
1, 2000 as follows:
<TABLE>
<CAPTION>
ORDINARY
PORTFOLIO INCOME
<S> <C>
- ------------------------------------------------------------------------
High Yield.................................................. $ .062645
Intermediate Government Bond................................ .056252
Long Term Corporate Bond.................................... .062893
- ------------------------------------------------------------------------
</TABLE>
82
<PAGE>
- --------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Independent Auditors' Report
- --------------------------------------------------------------------------------
THE BOARD OF DIRECTORS AND SHAREHOLDERS,
MERRILL LYNCH SERIES FUND, INC.:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of Merrill Lynch Series Fund, Inc. (comprising,
respectively, the Balanced, Capital Stock, Global Strategy, Growth Stock, High
Yield, Intermediate Government Bond, Long Term Corporate Bond, Money Reserve,
Multiple Strategy, and Natural Resources Portfolios) as of December 31, 1999,
and the related statements of operations for the year then ended, the statements
of changes in net assets for each of the years in the two-year period then
ended, and the financial highlights for each of the years in the five-year
period then ended. These financial statements and the financial highlights are
the responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and the financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and the financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned at December
31, 1999 by correspondence with the custodian and brokers; where replies were
not received from brokers, we performed other auditing procedures. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of each of the
respective portfolios constituting the Merrill Lynch Series Fund, Inc. as of
December 31, 1999, the results of their operations, the changes in their net
assets, and their financial highlights for the respective stated periods in
conformity with generally accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
February 21, 2000
83
<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
84
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
REPORT OF INDEPENDENT ACCOUNTANTS
The Sponsor, Trustee and Holders
of The Merrill Lynch Fund of Stripped ("Zero")
U.S. Treasury Securities, Series A (2003 Trust),
Series B (2001 and 2005 Trusts), Series C (2006 Trust),
Series D (2007 Trust), Series E (2008 Trust),
Series F (2009 Trust), Series G (2000 and
2010 Trusts), Series H (2011 Trust),
Series I (2002 Trust), Series J (2013 Trust),
Series K (2004 and 2014 Trusts)and Series L(2019 Trust)(the Funds):
We have audited the accompanying statements of condition of the Funds, including
the portfolios, as of December 31, 1999 and the related statements of operations
and of changes in net assets for the years ended December 31, 1999, 1998 and
1997 (as applicable). These financial statements are the responsibility of the
Trustee. Our responsibility is to express an opinion on these financial
statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Securities owned at
December 31, 1999, as shown in such portfolios, were confirmed to us by The
Chase Manhattan Bank, the Trustee. An audit also includes assessing the
accounting principles used and significant estimates made by the Trustee, as
well as evaluating the overall financial statement presentation. We believe that
our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of the Funds at December 31, 1999
and the results of their operations and changes in their net assets for the
above-stated years in conformity with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
New York, N.Y.
February 10, 2000
D-1
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES A
STATEMENT OF CONDITION
AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
2003 TRUST
<S> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1)................................... $41,865,327
Other.......................................................... 92,891
-----------
Total trust property................................. 41,958,218
LESS LIABILITY - Other........................................... 3,559
-----------
NET ASSETS (Note 2).............................................. $41,954,659
-----------
-----------
UNITS OUTSTANDING................................................ 52,539,538
-----------
-----------
UNIT VALUE....................................................... $.79853
-----------
-----------
</TABLE>
See Notes to Financial Statements.
D-2
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES A
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2003 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income......................................... $ 20,187 $ 22,308 $ 24,902
Accretion of original issue
discount.............................................. 3,456,482 3,487,242 3,628,183
Trustee's fees and expenses............................. (14,447) (15,733) (16,828)
---------- ---------- ----------
Net investment income................................... 3,462,222 3,493,817 3,636,257
---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Realized gain on securities sold........................ 704,433 732,262 818,013
Unrealized appreciation (depreciation) of
investments........................................... (4,967,831) 893,998 31,844
---------- ---------- -----------
Realized and unrealized gain (loss) on
investments........................................... (4,263,398) 1,626,260 849,857
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............................... $ (801,176) $5,120,077 $4,486,114
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-3
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES A
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2003 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
OPERATIONS:
Net investment income................................... $ 3,462,222 $ 3,493,817 $ 3,636,257
Realized gain on securities sold........................ 704,433 732,262 818,013
Unrealized appreciation (depreciation) of
investments........................................... (4,967,831) 893,998 31,844
----------- ---------- -----------
Net increase (decrease) in net assets
resulting from operations............................. (801,176) 5,120,077 4,486,114
----------- ---------- -----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional units............................ 598,839 199,957
Redemptions of units.................................... (6,430,805) (4,447,838) (5,561,092)
----------- ----------- -----------
Net capital share transactions.......................... (5,831,966) (4,447,838) (5,361,135)
----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS..................... (6,633,142) 672,239 (875,021)
NET ASSETS, BEGINNING OF YEAR............................. 48,587,801 47,915,562 48,790,583
----------- ----------- -----------
NET ASSETS, END OF YEAR................................... $41,954,659 $48,587,801 $47,915,562
----------- ----------- -----------
----------- ----------- -----------
UNIT VALUE, END OF YEAR................................... $.79853 $.81181 $.72956
----------- ----------- -----------
----------- ----------- -----------
UNITS OUTSTANDING, END OF YEAR............................ 52,539,538 59,850,919 65,677,446
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
See Notes to Financial Statements.
D-4
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES B
STATEMENTS OF CONDITION
AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
2001 TRUST 2005 TRUST
<S> <C> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1).............................. $45,021,276 $20,969,664
Other..................................................... 76,922 24,611
----------- -----------
Total trust property............................. 45,098,198 20,994,275
LESS LIABILITY - Other...................................... 3,506 1,048
----------- -----------
NET ASSETS (Note 2)......................................... $45,094,692 $20,993,227
----------- -----------
----------- -----------
UNITS OUTSTANDING........................................... 47,974,296 28,909,581
----------- -----------
----------- -----------
UNIT VALUE.................................................. $.93998 $.72617
----------- -----------
----------- -----------
</TABLE>
See Notes to Financial Statements.
D-5
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES B
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2001 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income........................................... $ 17,896 $ 19,477 $ 21,215
Accretion of original issue discount...................... 3,885,779 3,908,822 3,964,020
Trustee's fees and expenses............................... (13,493) (14,505) (15,315)
---------- ---------- ----------
Net investment income..................................... 3,890,182 3,913,794 3,969,920
---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain on securities sold.......................... 205,466 320,464 444,680
Unrealized appreciation (depreciation) of
investments............................................. (2,681,639) (413,110) (876,128)
---------- ---------- ----------
Realized and unrealized gain (loss) on
investments............................................. (2,476,173) (92,646) (431,448)
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS........................................... $1,414,009 $3,821,148 $3,538,472
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-6
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES B
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2005 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income................................................ $ 10,941 $ 11,497 $ 12,069
Accretion of original issue discount........................... 1,571,255 1,509,134 1,503,945
Trustee's fees and expenses.................................... (9,886) (10,112) (10,338)
---------- ---------- ----------
Net investment income.......................................... 1,572,310 1,510,519 1,505,676
---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain on securities sold............................... 541,792 287,941 202,442
Unrealized appreciation (depreciation) of
investments.................................................. (3,111,597) 911,552 648,748
---------- ---------- ----------
Realized and unrealized gain (loss) on
investments.................................................. (2,569,805) 1,199,493 851,190
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................................ $ (997,495) $2,710,012 $2,356,866
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-7
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES B
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2001 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
OPERATIONS:
Net investment income.......................................... $ 3,890,182 $ 3,913,794 $ 3,969,920
Realized gain on securities sold............................... 205,466 320,464 444,680
Unrealized appreciation (depreciation)
of investments............................................... (2,681,639) (413,110) (876,128)
----------- ----------- -----------
Net increase (decrease) in net assets
resulting from operations.................................... 1,414,009 3,821,148 3,538,472
----------- --------- -----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional units................................... 1,022,006 647,129 397,111
Redemptions of units........................................... (6,152,489) (4,102,436) (4,861,241)
----------- ----------- -----------
Net capital share transactions................................. (5,130,483) (3,455,307) (4,464,130)
----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS............................ (3,716,474) 365,841 (925,658)
NET ASSETS, BEGINNING OF YEAR .................................. 48,811,166 48,445,325 49,370,983
----------- ----------- -----------
NET ASSETS, END OF YEAR ........................................ $45,094,692 $48,811,166 $48,445,325
----------- ----------- -----------
----------- ----------- -----------
UNIT VALUE, END OF YEAR ........................................ $.93998 $.91202 $.84350
----------- ----------- -----------
----------- ----------- -----------
UNITS OUTSTANDING, END OF YEAR................................... 47,974,296 53,520,078 57,433,435
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
See Notes to Financial Statements.
D-8
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES B
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2005 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
OPERATIONS:
Net investment income.......................................... $ 1,572,310 $ 1,510,519 $ 1,505,676
Realized gain on securities sold............................... 541,792 287,941 202,442
Unrealized appreciation (depreciation)
of investments............................................... (3,111,597) 911,552 648,748
----------- ----------- -----------
Net increase (decrease) in net assets
resulting from operations.................................... (997,495) 2,710,012 2,356,866
----------- ----------- -----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional units................................... 2,239,894 743,426
Redemptions of units........................................... (3,660,496) (1,664,525) (1,854,199)
----------- ----------- -----------
Net capital share transactions................................. (3,660,496) 575,369 (1,110,773)
----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS............................ (4,657,991) 3,285,381 1,246,093
NET ASSETS, BEGINNING OF YEAR .................................. 25,651,218 22,365,837 21,119,744
----------- ----------- -----------
NET ASSETS, END OF YEAR ......................................... $20,993,227 $25,651,218 $22,365,837
----------- ----------- -----------
----------- ----------- -----------
UNIT VALUE, END OF YEAR ......................................... $.72617 $.75741 $.67280
----------- ----------- -----------
----------- ----------- -----------
UNITS OUTSTANDING, END OF YEAR................................... 28,909,581 33,867,164 33,242,884
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
See Notes to Financial Statements.
D-9
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES C
STATEMENT OF CONDITION
AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
2006 TRUST
<S> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1)................................ $8,189,087
Other....................................................... 8,561
----------
Total trust property............................... 8,197,648
LESS LIABILITY - Other........................................ 6,344
----------
NET ASSETS (Note 2)........................................... $8,191,304
----------
----------
UNITS OUTSTANDING............................................. 11,853,450
----------
----------
UNIT VALUE.................................................... $.69105
----------
----------
</TABLE>
See Notes to Financial Statements.
D-10
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES C
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2006 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income......................................... $ 3,845 $ 3,561 $ 3,792
Accretion of original issue discount.................... 509,644 466,132 485,166
Trustee's fees and expenses............................. (3,844) (3,510) (3,683)
---------- ---------- ----------
Net investment income................................... 509,645 466,183 485,275
---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Realized gain on securities sold........................ 27,728 245,706 406,791
Unrealized appreciation (depreciation)
of investments........................................ (1,062,997) 415,809 152,479
---------- ---------- ----------
Realized and unrealized gain (loss) on
investments........................................... (1,035,269) 661,515 559,270
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS......................................... $ (525,624) $1,127,698 $1,044,545
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-11
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES C
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2006 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
OPERATIONS:
Net investment income................................... $ 509,645 $ 466,183 $ 485,275
Realized gain on securities sold........................ 27,728 245,706 406,791
Unrealized appreciation (depreciation)
of investments........................................ (1,062,997) 415,809 152,479
----------- ---------- ----------
Net increase (decrease) in net assets
resulting from operations............................. (525,624) 1,127,698 1,044,545
---------- ---------- ----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional units............................ 1,237,586 245,845
Redemptions of units.................................... (189,073) (697,866) (1,459,989)
---------- ---------- ----------
Net capital share transactions.......................... (189,073) 539,720 (1,214,144)
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS..................... (714,697) 1,667,418 (169,599)
NET ASSETS, BEGINNING OF YEAR............................. 8,906,001 7,238,583 7,408,182
---------- ---------- ----------
NET ASSETS, END OF YEAR................................... $8,191,304 $8,906,001 $7,238,583
---------- ---------- ----------
---------- ---------- ----------
UNIT VALUE, END OF YEAR................................... $.69105 $.73503 $.64467
---------- ---------- ----------
---------- ---------- ----------
UNITS OUTSTANDING, END OF YEAR............................ 11,853,450 12,116,560 11,228,372
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-12
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES D
STATEMENT OF CONDITION
AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
2007 TRUST
<S> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1)................................ $11,760,274
Other....................................................... 2,796
-----------
Total trust property.............................. 11,763,070
LESS LIABILITY - Other........................................ 1,283
-----------
NET ASSETS (Note 2)........................................... $11,761,787
-----------
-----------
UNITS OUTSTANDING............................................. 18,280,661
-----------
-----------
UNIT VALUE.................................................... $.64340
-----------
-----------
</TABLE>
See Notes to Financial Statements.
D-13
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES D
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2007 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income......................................... $ 6,914 $ 7,329 $ 7,314
Accretion of original issue discount.................... 939,212 884,318 826,932
Trustee's fees and expenses............................. (6,854) (7,337) (7,325)
----------- ---------- ----------
Net investment income................................... 939,272 884,310 826,921
----------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Realized gain on securities sold........................ 413,425 75,524 59,353
Unrealized appreciation (depreciation) of
investments........................................... (2,423,766) 953,956 674,748
----------- ---------- ----------
Realized and unrealized gain (loss) on
investments........................................... (2,010,341) 1,029,480 734,101
----------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS......................................... $(1,071,069) $1,913,790 $1,561,022
----------- ---------- ----------
----------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-14
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES D
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2007 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
OPERATIONS:
Net investment income................................... $ 939,272 $ 884,310 $ 826,921
Realized gain on securities sold........................ 413,425 75,524 59,353
Unrealized appreciation (depreciation)
of investments........................................ (2,423,766) 953,956 674,748
----------- ----------- -----------
Net increase (decrease)in net assets
resulting from operations............................. (1,071,069) 1,913,790 1,561,022
----------- ----------- -----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional units............................ 318,728 1,541,671
Redemptions of units.................................... (2,247,198) (327,475) (300,187)
----------- ----------- -----------
Net capital share transactions.......................... (2,247,198) (8,747) 1,241,484
----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS..................... (3,318,267) 1,905,043 2,802,506
NET ASSETS, BEGINNING OF YEAR............................. 15,080,054 13,175,011 10,372,505
----------- ---------- -----------
NET ASSETS, END OF YEAR................................... $11,761,787 $15,080,054 $13,175,011
----------- ---------- -----------
----------- ---------- -----------
UNIT VALUE, END OF YEAR................................... $.64340 $.69445 $.60479
----------- ---------- -----------
----------- ---------- -----------
UNITS OUTSTANDING, END OF YEAR............................ 18,280,661 21,715,233 21,784,452
----------- ---------- -----------
----------- ---------- -----------
</TABLE>
See Notes to Financial Statements.
D-15
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES E
STATEMENT OF CONDITION
AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
2008 TRUST
<S> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1).................................. $19,387,001
Other......................................................... 35,163
-----------
Total trust property................................ 19,422,164
LESS LIABILITY - Other.......................................... 7,639
-----------
NET ASSETS (Note 2)............................................. $19,414,525
-----------
-----------
UNITS OUTSTANDING............................................... 32,987,304
-----------
-----------
UNIT VALUE...................................................... $.58855
-----------
-----------
</TABLE>
See Notes to Financial Statements.
D-16
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES E
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2008 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
INVESTMENT INCOME
Interest income......................................... $ 12,755 $ 14,231 $ 15,421
Accretion of original issue
discount.............................................. 1,435,802 1,483,819 1,504,333
Trustee's fees and expenses............................. (10,653) (11,317) (11,957)
----------- ---------- ----------
Net investment income................................... 1,437,904 1,486,733 1,507,797
----------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Realized gain on securities sold........................ 481,343 783,621 288,696
Unrealized appreciation (depreciation)
of investments........................................ (3,961,819) 1,129,509 1,163,882
----------- ---------- ----------
Realized and unrealized gain (loss)
on investments........................................ (3,480,476) 1,913,130 1,452,578
----------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............................... $(2,042,572) $3,399,863 $2,960,375
----------- ---------- ----------
----------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-17
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES E
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2008 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
OPERATIONS:
Net investment income................................... $ 1,437,904 $ 1,486,733 $ 1,507,797
Realized gain on securities sold........................ 481,343 783,621 288,696
Unrealized appreciation (depreciation) of
investments........................................... (3,961,819) 1,129,509 1,163,882
----------- ----------- -----------
Net increase (decrease) in net assets
resulting from operations............................. (2,042,572) 3,399,863 2,960,375
----------- ----------- -----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional Units............................ 447,496
Redemptions of Units.................................... (2,273,793) (2,925,925) (2,064,469)
----------- ----------- -----------
Net capital share transactions.......................... (2,273,793) (2,478,429) (2,064,469)
----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS..................... (4,316,365) 921,434 895,906
NET ASSETS, BEGINNING OF YEAR............................. 23,730,890 22,809,456 21,913,550
----------- ----------- -----------
NET ASSETS, END OF YEAR................................... $19,414,525 $23,730,890 $22,809,456
----------- ----------- -----------
----------- ----------- -----------
UNIT VALUE, END OF YEAR................................... $.58855 $.64561 $.55850
----------- ----------- -----------
----------- ----------- -----------
UNITS OUTSTANDING, END OF YEAR............................ 32,987,304 36,757,279 40,840,808
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
See Notes to Financial Statements.
D-18
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES F
STATEMENT OF CONDITION
AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
2009 TRUST
<S> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1).................................. $ 8,945,403
Other......................................................... 15,268
-----------
Total trust property................................ 8,960,671
LESS LIABILITY - Other.......................................... 7,485
-----------
NET ASSETS (Note 2)............................................. $ 8,953,186
-----------
-----------
UNITS OUTSTANDING............................................... 16,288,248
-----------
-----------
UNIT VALUE...................................................... $.54967
-----------
-----------
</TABLE>
See Notes to Financial Statements.
D-19
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES F
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2009 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income......................................... $ 6,117 $ 6,487 $ 7,191
Accretion of original issue discount.................... 617,452 614,533 639,710
Trustee's fees and expenses............................. (6,081) (6,485) (7,105)
---------- ---------- ----------
Net investment income................................... 617,488 614,535 639,796
---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain on securities sold........................ 50,758 299,484 220,815
Unrealized appreciation (depreciation) of
investments........................................... (1,657,161) 576,107 471,994
---------- ---------- ----------
Realized and unrealized gain (loss) on
investments........................................... (1,606,403) 875,591 692,809
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS......................................... $ (988,915) $1,490,126 $1,332,605
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-20
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES F
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2009 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
OPERATIONS:
Net investment income................................... $ 617,488 $ 614,535 $ 639,796
Realized gain on securities sold........................ 50,758 299,484 220,815
Unrealized appreciation (depreciation) of
investments........................................... (1,657,161) 576,107 471,994
---------- ---------- ----------
Net increase (decrease) in net assets
resulting from operations............................. (988,915) 1,490,126 1,332,605
---------- --------- ----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional units............................ 279,335
Redemptions of units.................................... (303,364) (1,103,948) (1,170,043)
---------- ---------- ----------
Net capital share transactions.......................... (24,029) (1,103,948) (1,170,043)
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS..................... (1,012,944) 386,178 162,562
NET ASSETS, BEGINNING OF YEAR............................. 9,966,130 9,579,952 9,417,390
---------- --------- ----------
NET ASSETS, END OF YEAR................................... $8,953,186 $9,966,130 $9,579,952
---------- --------- ----------
---------- --------- ----------
UNIT VALUE, END OF YEAR................................... $.54967 $.60954 $.52533
---------- --------- ----------
---------- --------- ----------
UNITS OUTSTANDING, END OF YEAR............................ 16,288,248 16,350,375 18,236,148
---------- --------- ----------
---------- --------- ----------
</TABLE>
See Notes to Financial Statements.
D-21
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES G
STATEMENTS OF CONDITION
AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
2000 TRUST 2010 TRUST
<S> <C> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1)............................ $26,550,950 $ 7,325,493
Other................................................... 5,446 7,811
----------- -----------
Total trust property........................... 26,556,396 7,333,304
LESS LIABILITY - Other.................................... 1,644 1,618
----------- -----------
NET ASSETS (Note 2)....................................... $26,554,752 $ 7,331,686
----------- -----------
----------- -----------
UNITS OUTSTANDING......................................... 26,671,303 14,427,345
----------- -----------
----------- -----------
UNIT VALUE................................................ $.99563 $.50818
----------- -----------
----------- -----------
</TABLE>
See Notes to Financial Statements.
D-22
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES G
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2000 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income......................................... $ 9,684 $ 9,671 $ 9,454
Accretion of original issue discount.................... 1,665,265 1,694,876 1,610,298
Trustee's fees and expenses............................. (9,223) (9,184) (9,020)
--------- ---------- ----------
Net investment income................................... 1,665,726 1,695,363 1,610,732
---------- ---------- ----------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Realized gain (loss) on securities sold................. (1,007) 85,281 97,827
Unrealized appreciation (depreciation)
of investments.......................................... (468,895) (73,905) (181,107)
---------- ---------- ----------
Realized and unrealized gain (loss) on
investments........................................... (469,902) 11,376 (83,280)
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS......................................... $1,195,824 $1,706,739 $1,527,452
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-23
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES G
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2010 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income......................................... $ 6,071 $ 6,416 $ 7,100
Accretion of original issue discount.................... 553,854 540,842 634,768
Trustee's fees and expenses............................. (5,887) (6,387) (6,969)
---------- ---------- ----------
Net investment income................................... 554,038 540,871 634,899
---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain (loss) on securities sold................. 138,067 69,850 192,086
Unrealized appreciation (depreciation) of
investments........................................... (1,694,311) 721,439 410,774
---------- ---------- ----------
Realized and unrealized gain (loss)on
investments........................................... (1,556,244) 791,289 602,860
----------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS......................................... $(1,002,206) $1,332,160 $1,237,759
----------- ---------- ----------
----------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-24
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES G
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2000 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
OPERATIONS:
Net investment income................................... $ 1,665,726 $ 1,695,363 $ 1,610,732
Realized gain (loss) on securities sold................. (1,007) 85,281 97,827
Unrealized appreciation (depreciation)
of investments........................................ (468,895) (73,905) (181,107)
----------- ----------- -----------
Net increase (decrease) in net assets
resulting from operations............................. 1,195,824 1,706,739 1,527,452
----------- ----------- -----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional units............................ 1,608,060 5,875,313 1,984,343
Redemptions of units.................................... (2,784,130) (3,803,375) (2,875,921)
----------- ----------- -----------
Net capital share transactions.......................... (1,176,070) 2,071,938 (891,578)
----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS..................... 19,754 3,778,677 635,874
NET ASSETS, BEGINNING OF YEAR ........................... 26,534,998 22,756,321 22,120,447
----------- ----------- -----------
NET ASSETS, END OF YEAR ................................. $26,554,752 $26,534,998 $22,756,321
----------- ----------- -----------
----------- ----------- -----------
UNIT VALUE, END OF YEAR ................................. $.99563 $.95261 $.88976
----------- ----------- -----------
----------- ----------- -----------
UNITS OUTSTANDING, END OF YEAR............................ 26,671,303 27,855,188 25,575,784
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
See Notes to Financial Statements.
D-25
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES G
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2010 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
OPERATIONS:
Net investment income................................... $ 554,038 $ 540,871 $ 634,899
Realized gain (loss) on securities sold................. 138,067 69,850 192,086
Unrealized appreciation (depreciation) of
investments........................................... (1,694,311) 721,439 410,774
----------- ----------- ----------
Net increase (decrease) in net assets
resulting from operations............................. (1,002,206) 1,332,160 1,237,759
----------- ----------- ----------
CAPITAL SHARE TRANSACTIONS (Note 3):
Issuance of additional units............................ 1,225,106 5,760,544
Redemptions of units.................................... (2,104,112) (540,288) (6,927,386)
----------- --------- ----------
Net capital share transactions.......................... (2,104,112) 684,818 (1,166,842)
----------- ----------- ----------
NET INCREASE (DECREASE) IN NET ASSETS..................... (3,106,318) 2,016,978 70,917
NET ASSETS, BEGINNING OF YEAR............................. 10,438,004 8,421,026 8,350,109
----------- ----------- ----------
NET ASSETS, END OF YEAR................................... $ 7,331,686 $10,438,004 $8,421,026
----------- ----------- ----------
----------- ----------- ----------
UNIT VALUE, END OF YEAR................................... $.50818 $.56753 $.48925
----------- ----------- ----------
----------- ----------- ----------
UNITS OUTSTANDING, END OF YEAR............................ 14,427,345 18,391,957 17,212,004
----------- ----------- ----------
----------- ----------- ----------
</TABLE>
See Notes to Financial Statements.
D-26
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES H
STATEMENT OF CONDITION
AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
2011 TRUST
<S> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1).................................. $1,803,305
Other......................................................... 2,123
----------
Total trust property................................. 1,805,428
LESS LIABILITY - Other.......................................... 282
----------
NET ASSETS (Note 2)............................................. $1,805,146
----------
----------
UNITS OUTSTANDING............................................... 3,760,137
----------
----------
UNIT VALUE...................................................... $.48007
----------
----------
</TABLE>
See Notes to Financial Statements.
D-27
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES H
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2011 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income........................................... $ 1,575 $ 1,507 $ 2,020
Accretion of original issue discount...................... 132,963 118,651 164,042
Trustee's fees and expenses............................... (1,544) (1,527) (1,943)
-------- -------- --------
Net investment income..................................... 132,994 118,631 164,119
-------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain on securities sold or redeemed.............. 13,108 104,640
Unrealized appreciation (depreciation) of investments..... (399,174) 186,725 71,464
--------- -------- --------
Realized and unrealized gain (loss) on investments........ (386,066) 186,725 176,104
--------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS........................................... $(253,072) $305,356 $340,223
--------- -------- --------
--------- -------- --------
</TABLE>
See Notes to Financial Statements.
D-28
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES H
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2011 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
OPERATIONS:
Net investment income................................... $ 132,994 $ 118,631 $ 164,119
Realized gain on securities sold........................ 13,108 104,640
Unrealized appreciation (depreciation)
of investments........................................ (399,174) 186,725 71,464
---------- ---------- ----------
Net increase (decrease) in net assets
resulting from operations............................. (253,072) 305,356 340,223
---------- ---------- ----------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Issuance of additional units............................ 223,286
Redemption of units..................................... (251,662) (1,116,749)
---------- ---------- ----------
Net capital share transactions.......................... (251,662) 223,286 (1,116,749)
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS..................... (504,734) 528,642 (776,526)
NET ASSETS, BEGINNING OF YEAR............................. 2,309,880 1,781,238 2,557,764
---------- ---------- ----------
NET ASSETS, END OF YEAR................................... $1,805,146 $2,309,880 $1,781,238
---------- ---------- ----------
---------- ---------- ----------
UNIT VALUE, END OF YEAR................................... $.48007 .53929 $.46569
---------- ---------- ----------
---------- ---------- ----------
UNITS OUTSTANDING, END OF YEAR............................ 3,760,137 4,283,180 3,824,917
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-29
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES I
STATEMENT OF CONDITION
AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
2002 TRUST
<S> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1)............................... $11,171,662
Other...................................................... 768
-----------
Total trust property.............................. 11,172,430
LESS LIABILITY - Other....................................... 461
-----------
NET ASSETS (Note 2).......................................... $11,171,969
-----------
-----------
UNITS OUTSTANDING............................................ 12,717,680
-----------
-----------
UNIT VALUE................................................... $.87846
-----------
-----------
</TABLE>
See Notes to Financial Statements.
D-30
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES I
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2002 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income......................................... $ 4,770 $ 5,166 $ 4,996
Accretion of original issue discount.................... 731,886 749,861 677,645
Trustee's fees and expenses............................. (7,304) (2,627) (4,866)
-------- ---------- --------
Net investment income................................... 729,352 752,400 677,775
-------- ---------- --------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain on securities sold or redeemed............ 24,891 60,441 24,811
Unrealized appreciation (depreciation) of
investments........................................... (634,836) 256,059 144,877
-------- ---------- --------
Realized and unrealized gain (loss) on
investments........................................... (609,945) 316,500 169,688
-------- ---------- --------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS......................................... $119,407 $1,068,900 $847,463
-------- ---------- --------
-------- ---------- --------
</TABLE>
See Notes to Financial Statements.
D-31
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES I
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2002 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
OPERATIONS:
Net investment income................................... $ 729,352 $ 752,400 $ 677,775
Realized gain on securities sold........................ 24,891 60,441 24,811
Unrealized appreciation (depreciation) of
investments........................................... (634,836) 256,059 144,877
----------- ----------- -----------
Net increase in net assets resulting
from operations....................................... 119,407 1,068,900 847,463
----------- ----------- -----------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Issuance of additional units............................ 589,692 1,602,921
Redemptions of units.................................... (900,964) (713,612) (329,153)
----------- ----------- -----------
Net capital share transactions.......................... (900,964) (123,920) 1,273,768
------------ ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS..................... (781,557) 944,980 2,121,231
NET ASSETS, BEGINNING OF YEAR............................. 11,953,526 11,008,546 8,887,315
----------- ----------- -----------
NET ASSETS, END OF YEAR................................... $11,171,969 $11,953,526 $11,008,546
----------- ----------- -----------
----------- ----------- -----------
UNIT VALUE, END OF YEAR................................... $.87846 $.86857 $.79373
----------- ----------- -----------
----------- ----------- -----------
UNITS OUTSTANDING, END OF YEAR............................ 12,717,680 13,762,347 13,869,363
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
See Notes to Financial Statements.
D-32
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES J
STATEMENT OF CONDITION
AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
2013 TRUST
<S> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1).................................. $1,472,076
Other......................................................... 1,263
----------
Total trust property................................. 1,473,339
LESS LIABILITY - Other.......................................... 80
----------
NET ASSETS (Note 2)............................................. $1,473,259
----------
----------
UNITS OUTSTANDING............................................... 3,548,349
----------
----------
UNIT VALUE...................................................... $.41520
----------
----------
</TABLE>
See Notes to Financial Statements.
D-33
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES J
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2013 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income......................................... $ 1,279 $ 1,279 $ 1,279
Accretion of original issue discount.................... 95,708 88,872 82,526
Trustee's fees and expenses............................. (1,919) (640) (1,280)
-------- -------- --------
Net investment income................................... 95,068 89,511 82,525
-------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)ON INVESTMENTS:
Realized gain on securities sold
or redeemed...........................................
Unrealized appreciation (depreciation) of
investments........................................... (305,885) 138,787 157,252
--------- -------- --------
Realized and unrealized gain (loss) on
investments........................................... (305,885) 138,787 157,252
--------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............................... $(210,817) $228,298 $239,777
--------- -------- --------
--------- -------- --------
</TABLE>
See Notes to Financial Statements.
D-34
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES J
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2013 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
OPERATIONS:
Net investment income................................... $ 95,068 $ 89,511 $ 82,525
Realized gain on securities sold........................ 0 0 0
Unrealized appreciation (depreciation) of
investments........................................... (305,885) 138,787 157,252
---------- ---------- ----------
Net increase (decrease) in net assets resulting
from operations....................................... (210,817) 228,298 239,777
---------- ---------- ----------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Issuance of additional units............................
Redemption of units..................................... ---------- ---------- ----------
Net capital share transactions.......................... ---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS..................... (210,817) 228,298 239,777
NET ASSETS, BEGINNING OF YEAR............................. 1,684,076 1,455,778 1,216,001
---------- ---------- ----------
NET ASSETS, END OF YEAR................................... $1,473,259 $1,684,076 $1,455,778
---------- ---------- ----------
---------- ---------- ----------
UNIT VALUE, END OF YEAR................................... $.41520 $.47461 $.41027
---------- ---------- ----------
---------- ---------- ----------
UNITS OUTSTANDING, END OF YEAR............................ 3,548,349 3,548,349 3,548,349
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-35
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES K
STATEMENTS OF CONDITION
AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
2004 TRUST 2014 TRUST
<S> <C> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1)............................ $ 8,741,876 $19,678,783
Other................................................... 2,048 28,836
----------- -----------
Total trust property........................... 8,743,924 19,707,619
LESS LIABILITY - Other.................................... 845 3,564
----------- -----------
NET ASSETS (Note 2)....................................... $ 8,743,079 $19,704,055
----------- -----------
----------- -----------
UNITS OUTSTANDING......................................... 11,372,192 51,464,519
----------- -----------
----------- -----------
UNIT VALUE................................................ $.76881 $.38287
----------- -----------
----------- -----------
</TABLE>
See Notes to Financial Statements.
D-36
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES K
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2004 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income......................................... $ 4,043 $ 3,839 $ 4,366
Accretion of original issue discount.................... 532,984 517,767 556,688
Trustee's fees and expenses............................. (3,890) (3,721) (4,217)
--------- -------- ----------
Net investment income................................... 533,137 517,885 556,837
--------- -------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain on securities sold........................ 61,277 164,436 429,318
Unrealized appreciation (depreciation)
of investments........................................ (808,067) 207,329 152,350
--------- -------- ----------
Realized and unrealized gain (loss) on
investments........................................... (746,790) 371,765 581,668
--------- -------- ----------
NET INCREASE (DECREASE)IN NET ASSETS RESULTING
FROM OPERATIONS......................................... $(213,653) $889,650 $1,138,505
--------- -------- ----------
--------- -------- ----------
</TABLE>
See Notes to Financial Statements.
D-37
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES K
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
2014 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income......................................... $ 23,378 $ 19,256 $ 21,572
Accretion of original issue discount.................... 1,752,879 1,464,616 1,515,782
Trustee's fees and expenses............................. (15,897) (15,177) (15,987)
----------- ---------- ---------
Net investment income................................... 1,760,360 1,468,695 1,521,367
----------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain (loss) on securities sold................. 460,505 1,722,576 2,627
Unrealized appreciation (depreciation)
of investments........................................ (6,005,304) 53,921 2,654,490
----------- ---------- ----------
Realized and unrealized gain (loss)
on investments........................................ (5,544,799) 1,776,497 2,657,117
----------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............................... $(3,784,439) $3,245,192 $4,178,484
----------- ---------- ----------
----------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-38
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES K
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2004 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
OPERATIONS:
Net investment income................................... $ 533,137 $ 517,885 $ 556,837
Realized gain on securities sold........................ 61,277 164,436 429,318
Unrealized appreciation (depreciation)
of investments........................................ (808,067) 207,329 152,350
---------- ---------- ----------
Net increase (decrease) in net assets
resulting from operations............................. (213,653) 889,650 1,138,505
---------- ---------- ----------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Issuance of additional units............................ 1,362,662 796,913 513,283
Redemptions of units.................................... (657,428) (1,486,459) (2,219,459)
---------- ---------- ----------
Net capital share transactions.......................... 705,234 (689,546) (1,706,176)
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS..................... 491,581 200,104 (567,671)
NET ASSETS, BEGINNING OF YEAR............................. 8,251,498 8,051,394 8,619,065
---------- ---------- ----------
NET ASSETS, END OF YEAR................................... $8,743,079 $8,251,498 $8,051,394
---------- ---------- ----------
---------- ---------- ----------
UNIT VALUE, END OF YEAR................................... $.76881 $.78879 $.70618
---------- ---------- ----------
---------- ---------- ----------
UNITS OUTSTANDING, END OF YEAR............................ 11,372,192 10,460,977 11,401,318
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
See Notes to Financial Statements.
D-39
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES K
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2014 TRUST
YEARS ENDED DECEMBER 31,
1999 1998 1997
<S> <C> <C> <C>
OPERATIONS:
Net investment income................................... $ 1,760,360 $ 1,468,695 $1,521,367
Realized gain (loss) on securities sold................. 460,505 1,722,576 2,627
Unrealized appreciation (depreciation)
of investments........................................ (6,005,304) 53,921 2,654,490
----------- ----------- ----------
Net increase (decrease) in net assets
resulting from operations............................. (3,784,439) 3,245,192 4,178,484
----------- ----------- ----------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Issuance of additional units............................ 7,459,882 12,948,776 5,440,489
Redemptions of units.................................... (10,462,999) (9,990,644) (10,272,293)
----------- ----------- -----------
Net capital share transactions.......................... (3,003,117) 2,958,132 (4,831,804)
----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS..................... (6,787,556) 6,203,324 (653,320)
NET ASSETS, BEGINNING OF YEAR............................. 26,491,611 20,288,287 20,941,607
----------- ----------- -----------
NET ASSETS, END OF YEAR................................... $19,704,055 $26,491,611 $20,288,287
----------- ----------- -----------
----------- ----------- -----------
UNIT VALUE, END OF YEAR................................... $.38287 $.44130 $.38263
----------- ----------- -----------
----------- ----------- -----------
UNITS OUTSTANDING, END OF YEAR............................ 51,464,519 60,031,399 53,023,893
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
See Notes to Financial Statements.
D-40
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES L
STATEMENT OF CONDITION
AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
2019 TRUST
<S> <C>
TRUST PROPERTY:
Investment in marketable securities
(see Portfolio and Note 1).................................. $5,347,625
Other......................................................... 3,214
----------
Total trust property................................. 5,350,839
LESS LIABILITY - Other.......................................... 2,885
----------
NET ASSETS (Note 2)............................................. $5,347,954
----------
----------
UNITS OUTSTANDING............................................... 19,378,418
----------
----------
UNIT VALUE...................................................... $.27597
----------
----------
</TABLE>
See Notes to Financial Statements.
D-41
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES L
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
2019 TRUST
APRIL 29
TO
DECEMBER 31,
1999
<S> <C>
INVESTMENT INCOME:
Interest income............................................... $ 1,696
Accretion of original issue discount.......................... 119,803
Trustee's fees and expenses................................... (1,367)
-------
Net investment income......................................... 120,132
-------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain on securities sold
or redeemed................................................. 16,664
Unrealized appreciation (depreciation) of
investments................................................. (130,118)
-------
Realized and unrealized gain (loss) on
investments................................................. (113,454)
--------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS..................................... $6,678
--------
--------
</TABLE>
See Notes to Financial Statements.
D-42
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES, SERIES L
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
2019 TRUST
APRIL 29
TO
DECEMBER 31
1999
<S> <C>
OPERATIONS:
Net investment income........................................ $ 120,132
Realized gain on securities sold............................. 16,664
Unrealized(depreciation)of
investments................................................ (130,118)
-----------
Net increase in net assets resulting
from operations............................................ 6,678
----------
CAPITAL SHARE TRANSACTIONS (NOTE 3):
Issuance of additional units................................. 9,355,980
Redemption of units.......................................... (4,136,740)
----------
Net capital share transactions............................... 5,219,240
----------
NET INCREASE IN NET ASSETS..................................... 5,225,918
NET ASSETS, BEGINNING OF YEAR.................................. 122,036
----------
NET ASSETS, END OF YEAR........................................ $5,347,954
----------
----------
UNIT VALUE, END OF YEAR........................................ $.27597
----------
----------
UNITS OUTSTANDING, END OF YEAR................................. 19,378,418
----------
----------
</TABLE>
See Notes to Financial Statements.
D-43
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
The Funds are registered under the Investment Company Act of 1940 as a
Unit Investment Trust. The following is a summary of significant
accounting policies consistently followed by the Funds in the
preparation of their financial statements. The policies are in
conformity with generally accepted accounting principles.
(a) Securities are stated at value as determined by an independent
evaluator based on bid side evaluations for the securities.
(b) Cost of securities is based on offering side evaluations for the
securities at Dates of Deposit. Cost of securities subsequent to
such dates has been adjusted to include the accretion of original
issue discount on the Stripped Treasury Securities. Realized gain
and loss on sales of securities are determined using the
first-in, first-out cost basis.
(c) The Funds are not subject to income taxes. Accordingly, no
provision such taxes is required.
2. NET ASSETS, DECEMBER 31, 1999
<TABLE>
<S> <C>
Series A (2003 Trust)
Cost of 52,539,538 units at Dates of Deposit................... $12,866,830
Less sales charge.............................................. 225,170
-----------
Net amount applicable to Holders............................... 12,641,660
Realized gain on securities sold............................... 14,002,705
Unrealized appreciation of investments......................... 2,945,412
Redemptions of units - net cost of units redeemed less
redemption amounts........................................... (8,337,260)
Undistributed net investment income............................ 20,702,142
-----------
Net assets..................................................... $41,954,659
-----------
-----------
Series B (2001 Trust)
Cost of 47,974,296 units at Dates of Deposit................... $15,263,483
Less sales charge.............................................. 228,952
-----------
Net amount applicable to Holders............................... 15,034,531
Realized gain on securities sold............................... 14,630,415
Unrealized depreciation of investments......................... (751,079)
Redemptions of units - net cost of units redeemed less
redemption amounts........................................... (4,286,418)
Undistributed net investment income............................ 20,467,243
-----------
Net assets..................................................... $45,094,692
-----------
-----------
</TABLE>
D-44
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
NOTES TO FINANCIAL STATEMENTS
2. NET ASSETS, DECEMBER 31, 1999 (Continued)
<TABLE>
<S> <C>
Series B (2005 Trust)
Cost of 28,909,581 units at Dates of Deposit................... $ 7,343,504
Less sales charge.............................................. 128,511
-----------
Net amount applicable to Holders............................... 7,214,993
Realized gain on securities sold............................... 6,749,469
Unrealized appreciation of investments......................... 555,259
Redemptions of units - redemption amounts less net cost
of units redeemed............................................ (273,885)
Undistributed net investment income............................ 6,747,391
-----------
Net assets..................................................... $20,993,227
-----------
-----------
Series C (2006 Trust)
Cost of 11,853,450 units at Dates of Deposit................... $ 3,416,913
Less sales charge.............................................. 59,796
-----------
Net amount applicable to Holders............................... 3,357,117
Realized gain on securities sold............................... 1,825,252
Unrealized depreciation of investments......................... (102,777)
Redemptions of units - net cost of units redeemed less
redemption amounts........................................... 1,251,039
Undistributed net investment income............................ 1,860,673
-----------
Net assets..................................................... $ 8,191,304
-----------
-----------
Series D (2007 Trust)
Cost of 18,280,661 units at Dates of Deposit................... $ 3,592,937
Less sales charge.............................................. 71,859
-----------
Net amount applicable to Holders............................... 3,521,078
Realized gain on securities sold............................... 4,787,420
Unrealized appreciation of investments......................... 1,197,916
Redemptions of units - net cost of units redeemed less
redemption amounts........................................... (2,443,257)
Undistributed net investment income............................ 4,698,630
-----------
Net assets..................................................... $11,761,787
-----------
-----------
Series E (2008 Trust)
Cost of 32,987,304 units at Dates of Deposit................... $ 6,561,354
Less sales charge.............................................. 131,227
-----------
Net amount applicable to Holders............................... 6,430,127
Realized gain on securities sold............................... 10,783,978
Unrealized appreciation of investments......................... 1,920,037
Redemptions of units - net cost of units redeemed less
redemption amounts........................................... (7,485,669)
Undistributed net investment income............................ 7,766,052
-----------
Net assets..................................................... $19,414,525
-----------
-----------
</TABLE>
D-45
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
NOTES TO FINANCIAL STATEMENTS
2. NET ASSETS, DECEMBER 31, 1999 (Continued)
<TABLE>
<S> <C>
Series F (2009 Trust)
Cost of 16,288,248 units at Dates of Deposit................... $ 3,559,995
Less sales charge.............................................. 35,600
-----------
Net amount applicable to Holders............................... 3,524,395
Realized gain on securities sold............................... 116,958
Unrealized appreciation of investments......................... 929,856
Redemptions of units - net cost of units redeemed less
redemption amounts........................................... 933,110
Undistributed net investment income............................ 3,448,867
-----------
Net assets..................................................... $ 8,953,186
-----------
-----------
Series G (2000 Trust)
Cost of 26,671,303 units at Dates of Deposit................... $17,215,185
Less sales charge.............................................. 258,228
-----------
Net amount applicable to Holders............................... 16,956,957
Realized gain on securities sold............................... 540,089
Unrealized appreciation of investments......................... 18,193
Redemptions of units - net cost of units redeemed less
redemption amounts........................................... 3,390,686
Undistributed net investment income............................ 5,648,827
-----------
Net assets..................................................... $26,554,752
-----------
-----------
Series G (2010 Trust)
Cost of 14,427,345 units at Dates of Deposit................... $ 3,733,216
Less sales charge.............................................. 74,664
-----------
Net amount applicable to Holders............................... 3,658,552
Realized gain on securities sold............................... 2,934,824
Unrealized depreciation of investments......................... (309,558)
Redemptions of units - net cost of units redeemed less
redemption amounts........................................... 46,866
Undistributed net investment income............................ 1,001,002
-----------
Net assets..................................................... $ 7,331,686
-----------
-----------
</TABLE>
D-46
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
NOTES TO FINANCIAL STATEMENTS
2. NET ASSETS, DECEMBER 31, 1999 (Continued)
<TABLE>
<S> <C>
Series H (2011 Trust)
Cost of 3,760,137 units at Dates of Deposit.................... $ 1,158,912
Less sales charge.............................................. 23,178
-----------
Net amount applicable to Holders............................... 1,135,734
Realized gain on securities sold............................... 671,882
Unrealized appreciation of investments......................... 36,139
Redemptions of units - net cost of units redeemed less
redemption amounts........................................... (491,555)
Undistributed net investment income............................ 452,946
-----------
Net assets..................................................... $ 1,805,146
-----------
-----------
Series I (2002 Trust)
Cost of 12,717,680 units at Dates of Deposit................... $ 8,296,478
Less sales charge.............................................. 124,447
-----------
Net amount applicable to Holders............................... 8,172,031
Realized gain on securities sold............................... 170,098
Unrealized appreciation of investments......................... 79,360
Redemptions of units - net cost of units redeemed less
redemption amounts........................................... (11,471)
Undistributed net investment income............................ 2,761,951
-----------
Net assets..................................................... $11,171,969
-----------
-----------
Series J (2013 Trust)
Cost of 3,548,349 units at Dates of Deposit.................... $ 936,698
Less sales charge.............................................. 18,734
-----------
Net amount applicable to Holders............................... 917,964
Realized loss on securities sold............................... (15,485)
Unrealized appreciation of investments......................... 111,042
Redemptions of units - net cost of units redeemed less
redemption amounts........................................... 72,037
Undistributed net investment income............................ 387,701
-----------
Net assets..................................................... $ 1,473,259
-----------
-----------
Series K (2004 Trust)
Cost of 11,372,192 units at Dates of Deposit................... $ 6,745,672
Less sales charge.............................................. 134,913
-----------
Net amount applicable to Holders............................... 6,610,759
Realized gain on securities sold............................... 748,218
Unrealized depreciation of investments......................... (134,600)
Redemption of units - net cost of units redeemed less
redemption amounts........................................... (25,187)
Undistributed net investment income............................ 1,543,889
-----------
Net assets..................................................... $ 8,743,079
-----------
-----------
</TABLE>
D-47
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
NOTES TO FINANCIAL STATEMENTS
2. NET ASSETS, DECEMBER 31, 1999 (Concluded)
<TABLE>
<S> <C>
Series K (2014 Trust)
Cost of 51,464,519 units at Dates of Deposit................... $16,246,211
Less sales charge.............................................. 324,924
-----------
Net amount applicable to Holders............................... 15,921,287
Realized gain on securities sold............................... 3,401,446
Unrealized depreciation of investments......................... (3,243,877)
Redemptions of units - net cost of units redeemed less
redemption amounts........................................... 2,040,888
Undistributed net investment income............................ 1,584,311
-----------
Net assets..................................................... $19,704,055
-----------
-----------
Series L (2019 Trust)
Cost of 19,378,418 units at Dates of Deposit................... $5,597,098
Less sales charge.............................................. 111,663
-----------
Net amount applicable to Holders............................... 5,485,435
Realized gain on securities sold............................... 16,664
Unrealized depreciation of investments......................... (130,118)
Redemptions of units - net cost of units redeemed less
redemption amounts........................................... (72,845)
Undistributed net investment income............................ 48,818
-----------
Net assets..................................................... $ 5,347,954
-----------
-----------
</TABLE>
3. CAPITAL SHARE TRANSACTIONS
Additional units were issued as follows:
<TABLE>
<CAPTION>
Series Trust 1999 1998 1997
<S> <C> <C> <C> <C>
A 2003 745,575 0 295,618
B 2001 1,113,282 749,573 499,725
B 2005 0 2,941,197 1,222,534
C 2006 0 1,681,203 420,107
D 2007 0 458,880 2,872,766
E 2008 0 780,399 0
F 2009 476,294 0 0
G 2000 1,681,366 6,346,370 2,356,540
G 2010 0 2,245,742 13,001,876
H 2011 0 458,263 0
I 2002 0 727,856 2,168,572
J 2013 0 0 0
K 2004 1,749,845 1,072,923 770,557
K 2014 17,787,517 31,094,278 16,314,688
L 2019 33,092,500 0 0
</TABLE>
D-48
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
NOTES TO FINANCIAL STATEMENTS
3. CAPITAL SHARE TRANSACTIONS (Continued)
Units were redeemed as follows:
<TABLE>
<CAPTION>
Series Trust 1999 1998 1997
<S> <C> <C> <C> <C>
A 2003 8,056,956 5,826,527 8,066,861
B 2001 6,659,064 4,662,930 5,992,055
B 2005 4,957,583 2,316,917 2,976,435
C 2006 263,110 793,015 2,117,172
D 2007 3,434,572 528,099 529,607
E 2008 3,769,975 4,863,928 4,049,357
F 2009 538,421 1,885,773 2,422,964
G 2000 2,865,251 4,066,966 3,340,861
G 2010 3,964,612 1,065,789 15,603,490
H 2011 523,043 0 2,616,292
I 2002 1,044,667 834,872 418,112
J 2013 0 0 0
K 2004 838,630 2,013,264 2,847,208
K 2014 26,354,397 24,086,772 29,625,233
L 2019 14,104,605 0 0
</TABLE>
Units may be redeemed at the office of the Trustee upon tender thereof
generally on any business day or, in the case of uncertificated units,
upon delivery of a request for redemption and payment of any relevant
tax. The Trustee will redeem units either in cash or in kind at the
option of the Holder as specified in writing to the Trustee.
4. INCOME TAXES
All items of income received, accretion of original issue discount,
expenses paid, and realized gains and losses on securities sold are
attributable to the Holders, on a pro rata basis, for Federal income tax
purposes in accordance with the grantor trust rules of the United States
Internal Revenue Code.
At December 31, 1999, the cost of investment securities for Federal
income tax purposes was approximately equivalent to the adjusted cost
as shown in each Trust's portfolio.
5. DISTRIBUTIONS
It is anticipated that each Trust will not make any distributions
until the first business day following the maturity of its holdings in
the Stripped Treasury Securities which are noninterest-bearing.
D-49
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
PORTFOLIOS
AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
PORTFOLIO NO. ADJUSTED
AND TITLE OF INTEREST FACE COST VALUE
SECURITIES RATE MATURITIES AMOUNT (NOTE A) (NOTE A)
<S> <C> <C> <C> <C> <C>
Series A (2003 Trust)
1 Stripped Treasury
Securities (Note B) 0% 8/15/03 $52,409,625 $38,716,750 $41,670,547
2 U.S. Treasury Bonds 11.125 8/15/03 169,789 203,165 194,780
----------- ----------- -----------
Total $52,579,414 $38,919,915 $41,865,327
----------- ----------- -----------
----------- ----------- -----------
Series B (2001 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/01 $48,009,325 $45,597,502 $44,870,462
2 U.S. Treasury Bonds 11.750 2/15/01 142,152 174,853 150,814
----------- ----------- -----------
Total $48,151,477 $45,772,355 $45,021,276
----------- ----------- -----------
----------- ----------- -----------
Series B (2005 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/05 $29,076,940 $20,299,901 $20,864,278
2 U.S. Treasury Bonds 11.625 11/15/04 87,141 114,504 105,386
----------- ----------- -----------
Total $29,164,081 $20,414,405 $20,969,664
----------- ----------- -----------
----------- ----------- -----------
Series C (2006 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/06 $12,145,000 $ 8,241,677 $ 8,142,640
2 U.S. Treasury Bonds 9.375 2/15/06 40,698 50,187 46,447
----------- ----------- -----------
Total $12,185,698 $ 8,291,864 $ 8,189,087
----------- ----------- -----------
----------- ----------- -----------
Series D (2007 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/07 $18,640,000 $10,489,816 $11,684,900
2 U.S. Treasury Bonds 9.375 2/15/06 66,045 72,542 75,374
----------- ----------- -----------
Total $18,706,045 $10,562,358 $11,760,274
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
D-50
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
PORTFOLIOS
AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
PORTFOLIO NO. ADJUSTED
AND TITLE OF INTEREST FACE COST VALUE
SECURITIES RATE MATURITIES AMOUNT (NOTE A) (NOTE A)
<S> <C> <C> <C> <C> <C>
Series E (2008 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/08 $32,954,000 $17,326,543 $19,241,148
2 U.S. Treasury Bonds 9.375 2/15/06 127,801 140,421 145,853
----------- ----------- -----------
Total $33,081,801 $17,466,964 $19,387,001
----------- ----------- -----------
----------- ----------- -----------
Series F (2009 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/09 $16,308,000 $ 7,942,452 $ 8,872,025
2 U.S. Treasury Bonds 9.375 2/15/06 64,296 73,094 73,378
----------- ----------- -----------
Total $16,372,296 $ 8,015,546 $ 8,945,403
----------- ----------- -----------
----------- ----------- -----------
Series G (2000 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/00 $26,607,000 $26,413,198 $26,441,478
2 U.S. Treasury Notes 8.500 2/15/00 108,995 119,559 109,472
----------- ----------- -----------
Total $26,715,995 $26,532,757 $26,550,950
----------- ----------- -----------
----------- ----------- -----------
Series G (2010 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/10 $14,308,000 $ 7,570,049 $ 7,259,722
2 U.S. Treasury Bonds 9.375 2/15/06 57,631 65,003 65,772
----------- ----------- -----------
Total $14,365,631 $ 7,635,052 $ 7,325,494
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
D-51
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
PORTFOLIOS
AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
PORTFOLIO NO. ADJUSTED
AND TITLE OF INTEREST FACE COST VALUE
SECURITIES RATE MATURITIES AMOUNT (NOTE A) (NOTE A)
<S> <C> <C> <C> <C> <C>
Series H (2011 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/11 $ 3,773,000 $ 1,749,125 $ 1,786,361
2 U.S. Treasury Bonds 9.375 2/15/06 14,847 18,041 16,944
----------- ----------- -----------
Total $ 3,787,847 $ 1,767,166 $ 1,803,305
----------- ----------- -----------
----------- ----------- -----------
Series I (2002 Trust)
1 Stripped Treasury
Securities (Note B) 0% 02/15/02 $12,668,000 11,028,104 11,109,190
2 U.S. Treasury Notes 7.500 11/15/01 61,135 64,198 62,472
----------- ----------- -----------
Total $12,729,135 11,092,302 11,171,662
----------- ----------- -----------
----------- ----------- -----------
Series J (2013 Trust)
1 Stripped Treasury
Securities (Note B) 0% 02/15/13 $ 3,552,000 $ 1,345,661 $ 1,457,098
2 U.S. Treasury Bonds 10.375 11/15/12(C) 12,328 15,373 14,978
----------- ----------- -----------
Total $ 3,564,328 $ 1,361,034 $ 1,472,076
----------- ----------- -----------
----------- ----------- -----------
Series K (2004 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/04 $11,288,000 $ 8,806,113 $ 8,674,591
2 U.S. Treasury Notes 5.875 2/15/04 68,418 70,363 67,285
----------- ----------- ---------
Total $11,356,418 $ 8,876,476 $ 8,741,876
----------- ----------- -----------
----------- ----------- -----------
Series K (2014 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/14 $50,893,000 $22,676,383 $19,452,781
2 U.S. Treasury Bonds 11.250 2/15/15 159,931 246,277 226,002
----------- ----------- -----------
Total $51,052,931 $22,922,660 $19,678,783
----------- ----------- -----------
----------- ----------- -----------
Series L (2019 Trust)
1 Stripped Treasury
Securities (Note B) 0% 2/15/19 $19,224,000 $5,384,455 $5,255,822
2 U.S. Treasury Bonds 8.875% 2/15/19 75,480 93,288 91,803
--------- -------- ----------
Total $19,299,480 $5,477,743 $5,347,625
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
D-52
<PAGE>
THE MERRILL LYNCH FUND OF STRIPPED ("ZERO")
U.S. TREASURY SECURITIES
NOTES TO PORTFOLIOS
AS OF DECEMBER 31, 1999
Note A - See Note 1 to Financial Statements.
Note B - Stripped Treasury Securities consist of one or more of the following
types of securities: (a) U.S. Treasury debt obligations which have
been stripped of their remaining interest coupons, (b) interest
coupons which have been stripped from U.S. Treasury debt obligations,
and (c) receipts or certificates for underlying stripped U.S. Treasury
debt obligations. The receipts or certificates evidence ownership of
future interest or principal payments on U.S. Treasury notes or bonds.
The receipts or certificates are issued in registered form by a major
bank which acts as custodian and nominal holder of the underlying
stripped U.S. Treasury debt obligations. The Stripped Treasury
Securities are payable in full at maturity at their stated maturity
amount and are not subject to redemption prior to maturity. The
Stripped Treasury Securities do not make any periodic payments of
interest.
Note C - Callable at par commencing 11/15/07.
D-53
<PAGE>
This report is authorized for distribution only to Policyowners of certain
variable life insurance policies that 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 neither
insured nor guaranteed by the US Government. There can be no assurance that the
Money Reserve Portfolio will be able to maintain a stable net asset value of
$1.00 per share. Statements and other information herein are as dated and are
subject to change.
59828-12/99
